<PAGE>
--------------------------------------------------------------------------------
Dimensional Investment Group Inc.
The DFA 6-10 Institutional Portfolio
Semi-Annual Report
Six Months Ended May 31, 2000
(Unaudited)
-------------------------------------
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA 6-10 INSTITUTIONAL PORTFOLIO
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
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<S> <C>
DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities..................... 1
Statement of Operations................................. 2
Statements of Changes in Net Assets..................... 3
Financial Highlights.................................... 4
Notes to Financial Statements........................... 5-6
THE DFA INVESTMENT TRUST COMPANY - THE U.S. 6-10 SMALL
COMPANY SERIES
Schedule of Investments................................. 7-37
Statement of Assets and Liabilities..................... 38
Statement of Operations................................. 39
Statements of Changes in Net Assets..................... 40
Financial Highlights.................................... 41
Notes to Financial Statements........................... 42-43
</TABLE>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA 6-10 INSTITUTIONAL PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2000
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investment in The U.S. 6-10 Small Company Series of The DFA
Investment Trust Company (13,814,306 Shares, Cost
$168,366)++ at Value...................................... $ 164,252
Receivable for Investment Securities Sold................... 359
Receivable for Fund Shares Sold............................. 12
-----------
Total Assets............................................ 164,623
-----------
LIABILITIES:
Payable for Fund Shares Redeemed............................ 371
Accrued Expenses............................................ 33
-----------
Total Liabilities....................................... 404
-----------
NET ASSETS.................................................. $ 164,219
===========
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 200,000,000).................................. 14,926,562
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 11.00
===========
COMPONENTS OF NET ASSETS:
Paid-In Capital............................................. $ 161,730
Accumulated Net Investment Loss............................. (86)
Undistributed Net Realized Gain............................. 6,689
Unrealized Depreciation of Investment Securities............ (4,114)
-----------
Total Net Assets........................................ $ 164,219
===========
</TABLE>
--------------
++ The cost for federal income tax purposes is $171,099.
See accompanying Notes to Financial Statements.
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA 6-10 INSTITUTIONAL PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Distributions Received From The DFA Investment
Trust Company.......................................... $ 167
-------
EXPENSES
Administrative Services................................. 60
Accounting & Transfer Agent Fees........................ 5
Legal Fees.............................................. 3
Audit Fees.............................................. 1
Filing Fees............................................. 3
Shareholders' Reports................................... 11
Directors' Fees and Expenses............................ 1
-------
Total Expenses...................................... 84
-------
NET INVESTMENT INCOME................................... 83
-------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received from The DFA Investment
Trust Company............................................. 13,624
Net Realized Loss on Investment Securities Sold............. (923)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities..................................... (4,108)
-------
NET GAIN ON INVESTMENT SECURITIES....................... 8,593
-------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $ 8,676
=======
</TABLE>
See accompanying Notes to Financial Statements.
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA 6-10 INSTITUTIONAL PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2000 1999
----------- ---------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................................... $ 83 $ 992
Capital Gain Distribution Received from The DFA
Investment Trust Company.............................. 13,624 8,991
Net Realized Loss on Investment Securities Sold......... (923) (1,675)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................. (4,108) 10,698
-------- --------
Net Increase in Net Assets Resulting from
Operations........................................ 8,676 19,006
-------- --------
Distributions From:
Net Investment Income................................... (1,030) (761)
Net Realized Gains...................................... (10,485) (3,293)
-------- --------
Total Distributions................................. (11,515) (4,054)
-------- --------
Capital Share Transactions (1):
Shares Issued........................................... 43,787 28,233
Shares Issued in Lieu of Cash Distributions............. 11,515 4,054
Shares Redeemed......................................... (23,351) (10,812)
-------- --------
Net Increase from Capital Share Transactions........ 31,951 21,475
-------- --------
Total Increase...................................... 29,112 36,427
NET ASSETS
Beginning of Period..................................... 135,107 98,680
-------- --------
End of Period........................................... $164,219 $135,107
======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................... 3,632 2,731
Shares Issued in Lieu of Cash Distributions............. 1,092 435
Shares Redeemed......................................... (1,935) (1,099)
-------- --------
2,789 2,067
======== ========
</TABLE>
See accompanying Notes to Financial Statements.
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA 6-10 INSTITUTIONAL PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
----------- --------- --------- --------- --------- ---------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of $ 11.13 $ 9.80 $ 11.90 $ 14.60 $ 12.79 $ 10.29
Period...........................
-------- -------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ 0.01 0.08 0.08 0.08 0.13 0.13
Net Gains (Losses) on Securities
(Realized and Unrealized)...... 0.80 1.66 (1.10) 2.46 2.22 2.84
-------- -------- ------- ------- ------- -------
Total from Investment
Operations..................... 0.81 1.74 (1.02) 2.54 2.35 2.97
-------- -------- ------- ------- ------- -------
LESS DISTRIBUTIONS
Net Investment Income............ (0.08) (0.08) (0.08) (0.13) (0.02) (0.13)
Net Realized Gains............... (0.86) (0.33) (1.00) (5.11) (0.52) (0.34)
-------- -------- ------- ------- ------- -------
Total Distributions.............. (0.94) (0.41) (1.08) (5.24) (0.54) (0.47)
-------- -------- ------- ------- ------- -------
Net Asset Value, End of Period..... $ 11.00 $ 11.13 $ 9.80 $ 11.90 $ 14.60 $ 12.79
======== ======== ======= ======= ======= =======
Total Return....................... 7.66%# 18.47% (9.09)% 26.52% 19.04% 29.08%
Net Assets, End of Period
(thousands)...................... $164,219 $135,107 $98,680 $15,968 $10,990 $21,192
Ratio of Expenses to Average Net
Assets (1)....................... 0.19%* 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses)(1)....... 0.19%* 0.21% 0.22% 0.40% 0.38% 0.56%
Ratio of Net Investment Income to
Average Net Assets............... 0.10%* 0.89% 1.26% 0.77% 0.47% 1.12%
Ratio of Net Investment Income to
Average Net Assets (excluding
waivers and assumption of
expenses)........................ 0.10%* 0.88% 1.24% 0.57% 0.28% 0.77%
Portfolio Turnover Rate............ N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series...................... 57%* 29% 29% 30% 32% 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 The DFA 6-10 Institutional Portfolio (the "Portfolio") is presented in
this report.
The Portfolio invests all of its assets in The U.S. 6-10 Small Company
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At May 31, 2000, the Portfolio owned 25% of the outstanding shares of
the Series. The financial statement of the Series are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. FEDERAL INCOME TAXES: It is the Portfolio's intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal income tax is required in the
financial statements.
3. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. 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 based on an effective annual rate of 0.07 of 1% of average daily net
assets.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
The Advisor has agreed to waive its fees and assume the expenses of the
Portfolio to the extent necessary to keep the annual combined expenses of the
Portfolio and its respective Master Fund to not more than 0.20% of average daily
net assets on an annualized basis. Annualized expenses are those expenses
incurred in any period consisting of twelve consecutive months. At May 31, 2000,
approximately $4,100 of previously waived fees are subject to future
reimbursement to the Advisor.
5
<PAGE>
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>
<CAPTION>
<S> <C>
Gross Unrealized Appreciation............................... --
Gross Unrealized Depreciation............................... $(6,847)
---------
Net....................................................... $(6,847)
=========
</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 DFA INVESTMENT TRUST COMPANY
THE U.S. 6-10 SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (100.0%)
*@track Communications, Inc........................... 22,300 $ 63,416
*1-800 CONTACTS, Inc.................................. 5,900 168,887
*21st Century Holding Co.............................. 1,100 5,706
*24/7 Media, Inc...................................... 5,300 75,691
*3-D Systems Corp..................................... 15,100 177,897
*3Dfx Interactive, Inc................................ 29,443 218,062
*3DO Co............................................... 41,000 229,344
*4Front Software International, Inc................... 15,000 209,531
*800-Jr Cigar, Inc.................................... 11,500 115,359
*8X8, Inc............................................. 22,500 172,266
*99 Cents Only Stores................................. 6,400 230,000
*A Consulting Team, Inc............................... 5,500 36,094
*A.C. Moore Arts & Crafts, Inc........................ 7,400 42,666
*AAON, Inc............................................ 7,600 185,012
AAR Corp.............................................. 32,800 455,100
Aaron Rents, Inc. Class A............................. 4,900 72,887
Aaron Rents, Inc. Class B............................. 14,400 187,200
*Aastrom Biosciences, Inc............................. 23,800 62,847
*Abaxis, Inc.......................................... 18,100 112,559
ABC Bancorp........................................... 8,310 82,581
*ABC Rail Products Corp............................... 23,500 147,609
Abington Bancorp, Inc................................. 3,900 36,319
*Abiomed, Inc......................................... 13,200 504,075
*Able Telcom Holding Corp............................. 19,900 37,934
*Ablest, Inc.......................................... 2,100 10,369
ABM Industries, Inc................................... 26,800 621,425
Abrams Industries, Inc................................ 200 762
*Abraxas Petroleum Corp............................... 4,200 6,258
*Acacia Research Corp................................. 18,500 292,531
*Accelr8 Technology Corp.............................. 6,500 8,531
*Acceptance Insurance Companies, Inc.................. 17,600 90,200
*Access Worldwide Communications, Inc................. 12,400 16,662
*Acclaim Entertainment, Inc........................... 69,800 166,866
*Ace Cash Express, Inc................................ 13,100 189,131
*Ace Comm Corp........................................ 10,900 60,291
Aceto Corp............................................ 6,000 64,125
Ackerley Group, Inc................................... 28,300 343,137
*Acme Electric Corp................................... 4,600 38,094
*Acme Metals, Inc..................................... 11,000 1,815
*Acme United Corp..................................... 3,100 7,362
*Acorn Products, Inc.................................. 5,300 8,281
*ACT Manufacturing, Inc............................... 21,200 668,462
*ACT Networks, Inc.................................... 13,400 156,194
*Actel Corp........................................... 22,800 661,912
*Action Performance Companies, Inc.................... 21,400 171,869
*Actionpoint, Inc..................................... 5,600 55,650
*Active Apparel Group, Inc............................ 1,500 6,141
*Active Voice Corp.................................... 13,200 88,687
*Activision, Inc...................................... 27,600 171,206
*Actrade International, Ltd........................... 10,300 155,787
*Actuate Corp......................................... 23,400 543,319
*Acuson Corp.......................................... 33,100 405,475
*Adac Laboratories.................................... 26,866 518,010
*adam.com, Inc........................................ 7,000 25,375
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Adams Resources & Energy, Inc......................... 5,400 $ 89,437
*Adaptive Broadband Corp.............................. 22,000 582,312
*ADE Corp............................................. 17,400 266,437
*Adept Technology, Inc................................ 12,500 261,719
*Administaff, Inc..................................... 16,100 836,194
*Advance Lighting Technologies, Inc................... 26,500 277,422
*Advance Paradigm, Inc................................ 26,000 407,875
*Advanced Aerodynamics & Structures, Inc.............. 5,000 17,578
*Advanced Digital Information Corp.................... 10,000 126,562
*Advanced Magnetics, Inc.............................. 8,700 58,725
Advanced Marketing Services, Inc...................... 16,600 306,581
*Advanced Materials Group, Inc........................ 237 196
*Advanced Neuromodulation Systems, Inc................ 7,700 94,325
*Advanced Nutraceuticals, Inc......................... 2,800 4,331
*Advanced Photonix, Inc. Class A...................... 14,100 26,437
*Advanced Polymer Systems, Inc........................ 21,600 74,250
*Advanced Radio Telecom Corp.......................... 31,700 328,887
*Advanced Technical Products, Inc..................... 3,600 15,075
*Advanced Tissue Sciences, Inc........................ 65,800 258,059
Advanta Corp. Class A................................. 12,500 210,547
Advanta Corp. Class B Non-Voting...................... 17,800 215,269
*Advantage Learning Systems, Inc...................... 44,400 577,200
*Advantica Restaurant Group, Inc...................... 48,400 35,544
Advest Group, Inc..................................... 9,800 187,425
*Advo, Inc............................................ 24,800 796,700
*Aehr Test Systems.................................... 8,200 48,687
*AEP Industries, Inc.................................. 9,700 160,353
*Aeroflex, Inc........................................ 20,500 738,000
*Aerosonic Corp....................................... 5,100 49,725
*Aerovox, Inc......................................... 6,500 20,922
*Aetrium, Inc......................................... 11,300 61,091
*Affiliated Managers Group, Inc....................... 13,600 455,600
*Affinity Technology Group, Inc....................... 33,600 24,675
*Aftermarket Technology Corp.......................... 22,600 133,481
*AG Services America, Inc............................. 6,800 110,925
*Ag-Chem Equipment Co., Inc........................... 8,000 51,000
Agco Corp............................................. 68,500 856,250
*Agribiotech, Inc..................................... 22,100 718
*Agribrands International, Inc........................ 7,000 290,062
*Agritope, Inc........................................ 2,040 5,801
*AHL Services, Inc.................................... 20,800 159,900
*AHT Corp............................................. 10,900 12,944
*Air Methods Corp..................................... 8,300 29,050
*Airgas, Inc.......................................... 75,700 406,887
*Airnet Systems, Inc.................................. 12,500 55,859
*Airtran Holdings, Inc................................ 78,000 320,531
*Akorn, Inc........................................... 23,900 191,573
*Aksys, Ltd........................................... 18,000 141,187
Alabama National Bancorporation....................... 13,900 263,231
Alamo Group, Inc...................................... 8,700 103,856
*Alaris Medical, Inc.................................. 69,400 99,762
*Albany International Corp. Class A................... 33,404 478,095
*Alcide Corp.......................................... 2,300 31,337
*Aldila, Inc.......................................... 13,900 22,370
*Alexion Pharmaceuticals, Inc......................... 16,500 615,141
</TABLE>
7
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Alfa Corp............................................. 43,100 $ 734,047
*Algos Pharmaceutical Corp............................ 17,000 214,094
Alico, Inc............................................ 9,100 139,912
*Align-Rite International, Inc........................ 5,100 105,187
*All American Semiconductor, Inc...................... 5,100 52,912
*Allcity Insurance Co................................. 200 1,487
Allegiant Bancorp, Inc................................ 4,700 42,741
Allen Organ Co. Class B............................... 800 51,450
*Allen Telecom, Inc................................... 35,900 574,400
Alliance Bancorp...................................... 11,455 202,252
*Alliance Gaming Corp................................. 8,265 12,656
*Alliance Pharmaceuticals Corp........................ 51,600 443,437
*Alliance Semiconductor Corp.......................... 36,400 900,900
*Alliant Techsystems, Inc............................. 9,400 648,600
*Allied Healthcare Products, Inc...................... 6,700 22,194
*Allied Holdings, Inc................................. 8,400 53,550
Allied Products Corp.................................. 14,250 18,703
*Allied Research Corp................................. 6,300 48,825
*Allin Communications Corp............................ 7,800 18,525
*Allou Health & Beauty Care, Inc. Class A............. 5,800 39,875
*Alltrista Corp....................................... 8,100 198,956
*Almost Family, Inc................................... 1,600 4,050
*Alpha Microsystems, Inc.............................. 14,000 53,812
*Alpha Technologies Group, Inc........................ 8,500 74,109
*Alphanet Solutions, Inc.............................. 6,900 31,912
Alpharma, Inc. Class A................................ 13,000 643,500
*Alpine Group, Inc.................................... 19,000 125,875
*Alteon, Inc.......................................... 16,200 25,819
*Alternative Resources Corp........................... 19,200 27,000
*Alterra Healthcare Corp.............................. 28,700 55,606
*Alyn Corp............................................ 10,000 6,562
*Alysis Technologies, Inc............................. 2,000 6,187
Ambanc Holding Co., Inc............................... 8,300 120,091
*Ambassadors, Inc..................................... 11,700 159,047
*AMBI, Inc............................................ 32,800 93,275
*AMC Entertainment, Inc............................... 23,600 112,100
Amcast Industrial Corp................................ 11,500 99,187
Amcol International Corp.............................. 32,200 535,325
Amcore Financial, Inc................................. 34,525 672,159
*Amedisys, Inc........................................ 1,400 2,844
*Amerco, Inc.......................................... 24,800 434,775
*America Services Group, Inc.......................... 4,600 73,600
*America West Holdings Corp. Class B.................. 41,700 742,781
*American Aircarriers Support, Inc.................... 7,200 33,975
American Annuity Group, Inc........................... 6,600 112,612
American Bancorporation Ohio.......................... 400 5,537
American Bank of Connecticut.......................... 4,900 96,162
American Biltrite, Inc................................ 4,500 59,344
*American Claims Evaluation, Inc...................... 1,000 2,187
*American Classic Voyages Co.......................... 22,800 433,912
*American Coin Merchandising, Inc..................... 7,800 20,475
*American Dental Partners, Inc........................ 7,800 58,012
*American Dental Technologies, Inc.................... 5,100 6,694
*American Ecology Corp................................ 13,650 46,922
*American Freightways Corp............................ 37,100 553,022
*American Healthcorp, Inc............................. 10,600 42,400
*American Homestar Corp............................... 17,530 17,256
*American Indemnity Financial Escrow.................. 800 800
*American Italian Pasta Co............................ 19,800 486,337
*American Medical Electronics, Inc. (Escrow-Bonus).... 4,400 0
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*American Medical Electronics, Inc.
(Escrow-Earnings)................................... 4,400 $ 0
*American Medical Security Group, Inc................. 19,500 127,969
*American Pacific Corp................................ 9,200 54,912
*American Physicians Services Group, Inc.............. 2,200 6,772
*American Retirement Corp............................. 19,500 107,250
*American Science & Engineering, Inc.................. 6,500 32,500
*American Shared Hospital Services.................... 4,900 14,394
*American Skiing Co................................... 17,600 30,800
*American Software, Inc. Class A...................... 21,500 84,992
American States Water Company......................... 11,600 345,825
*American Superconductor Corp......................... 18,300 491,241
*American Technical Ceramics Corp..................... 9,800 335,650
American Vanguard Corp................................ 189 1,488
*American Wagering, Inc............................... 10,100 33,772
American Woodmark Corp................................ 10,400 196,625
*American Xtal Technology, Inc........................ 24,200 843,975
Americana Bancorp, Inc................................ 2,712 31,188
*Amerihost Properties, Inc............................ 6,400 22,200
*Ameripath, Inc....................................... 21,400 183,572
*Amerisource Health Corp.............................. 33,400 814,125
*Ameristar Casinos, Inc............................... 20,300 80,566
Ameron, Inc........................................... 5,100 187,425
Amerus Life Holdings, Inc. Class A.................... 22,144 441,496
*Ames Department Stores, Inc.......................... 30,800 364,787
Ametek, Inc........................................... 38,600 803,362
*AMF Bowling, Inc..................................... 29,500 27,656
*Amistar Corp......................................... 1,600 3,575
*AML Communications, Inc.............................. 8,200 25,369
Ampco-Pittsburgh Corp................................. 11,900 131,644
*Ampex Corp. Class A.................................. 65,400 114,450
Amplicon, Inc......................................... 15,000 149,062
*Amrep Corp........................................... 8,300 53,950
*Amresco, Inc......................................... 52,300 30,236
*Amsurg Corp. Class A................................. 589 3,571
*Amsurg Corp. Class B................................. 6,200 37,394
*Amtran, Inc.......................................... 13,500 191,109
Amwest Insurance Group, Inc........................... 3,694 18,008
*Amylin Pharmaceuticals, Inc.......................... 33,500 305,687
*Anacomp, Inc......................................... 16,900 47,531
Analogic Corp......................................... 16,600 598,637
Analysts International Corp........................... 27,100 219,341
*Analytical Surveys, Inc.............................. 7,700 26,709
*Anaren Microwave, Inc................................ 5,600 565,075
Anchor Bancorp Wisconsin, Inc......................... 28,505 440,937
Anchor Financial Corp................................. 8,100 220,725
*Anchor Gaming, Inc................................... 12,000 536,625
Andersons, Inc........................................ 8,200 72,262
Andover Bancorp, Inc.................................. 8,300 241,219
*Andrea Electronics Corp.............................. 15,900 107,325
*Anesta Corp.......................................... 14,700 217,284
*Angeion Corp......................................... 4,300 5,912
Angelica Corp......................................... 8,900 60,075
*Anicom, Inc.......................................... 30,200 149,584
*Anika Therapeutics, Inc.............................. 12,700 31,353
*Ann Taylor Stores Corp............................... 20,200 525,200
*Ansoft Corp.......................................... 15,200 131,575
*Ansys, Inc........................................... 18,800 206,212
*Anthony and Sylvan Pools Corp........................ 2,341 19,174
*APAC Teleservices, Inc............................... 56,400 498,787
*Apex, Inc............................................ 22,300 810,466
</TABLE>
8
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Aphton Corp.......................................... 19,800 $ 404,662
Apogee Enterprises, Inc............................... 37,600 152,750
Applebees International, Inc.......................... 13,300 427,678
*Applica, Inc......................................... 26,100 384,975
*Applied Analytical Industries, Inc................... 19,000 146,359
*Applied Digital Solutions, Inc....................... 54,900 177,567
*Applied Extrusion Technologies, Inc.................. 15,300 89,887
*Applied Films Corp................................... 6,600 151,800
*Applied Graphics Technologies, Inc................... 24,700 85,678
*Applied Imaging Corp................................. 15,700 38,269
Applied Industrial Technologies, Inc.................. 24,850 433,322
*Applied Innovation, Inc.............................. 18,100 125,003
*Applied Microsystems Corp............................ 8,900 49,506
*Applied Science & Technology, Inc.................... 18,500 375,781
Applied Signal Technologies, Inc...................... 9,200 93,150
*Applix, Inc.......................................... 14,600 86,687
*Aquila Biopharmaceuticals, Inc....................... 11,000 25,781
*Aradigm Corp......................................... 19,200 268,200
*Arch Capital Group, Ltd.............................. 20,500 309,422
Arch Chemicals, Inc................................... 24,600 424,350
Arch Coal, Inc........................................ 42,000 315,000
*Arch Communications Group, Inc....................... 62,566 314,785
Arctic Cat, Inc....................................... 23,600 254,437
Area Bancshares Corp.................................. 21,200 422,012
Argonaut Group, Inc................................... 25,300 456,981
*Argosy Gaming Corp................................... 36,600 578,737
*Arguss Holdings, Inc................................. 16,900 282,019
*ARI Network Services, Inc............................ 8,000 24,750
*Ariad Pharmaceuticals, Inc........................... 26,100 214,102
*Ariel Corp........................................... 14,400 39,150
*ARIS Corp............................................ 16,400 58,937
*Ark Restaurants Corp................................. 2,700 21,178
*Arkansas Best Corp................................... 25,700 284,306
Arm Financial Group, Inc. Class A..................... 29,100 684
*Armor Holdings, Inc.................................. 28,300 309,531
Armstrong Holdings, Inc............................... 12,000 206,250
Arnold Industries, Inc................................ 27,900 319,978
*Aronex Pharmaceuticals, Inc.......................... 29,600 74,925
*Arqule, Inc.......................................... 17,500 120,312
*Arrhythmia Research Technology, Inc.................. 1,800 3,150
Arrow Financial Corp.................................. 9,500 142,500
Arrow International, Inc.............................. 30,900 1,025,494
*Artesyn Technologies, Inc............................ 44,700 983,400
*Arthrocare Corp...................................... 4,000 341,000
*Artisan Components, Inc.............................. 17,100 133,594
*Artisoft, Inc........................................ 19,700 205,619
*Arts Way Manufacturing Co., Inc...................... 200 800
*ARV Assisted Living, Inc............................. 15,700 15,209
Arvin Industries, Inc................................. 23,100 415,800
*Asante Technologies, Inc............................. 7,200 10,575
ASB Financial Corp.................................... 1,000 8,781
*Ascent Assurance, Inc................................ 109 181
*Ascent Pediatrics, Inc............................... 100 148
*Asche Transportation Services, Inc................... 4,200 7,612
*Ashworth, Inc........................................ 17,500 74,922
*ASI Solutions, Inc................................... 6,600 42,075
*Aspect Development, Inc.............................. 198 11,552
*Aspen Technology, Inc................................ 28,600 588,981
*Aspeon, Inc.......................................... 12,900 71,958
*Assisted Living Concepts, Inc........................ 15,600 14,625
Associated Materials, Inc............................. 6,900 106,950
*Astea International, Inc............................. 18,500 40,758
*Astec Industries, Inc................................ 22,900 591,822
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Astro-Med, Inc........................................ 4,500 $ 26,437
*Astronics Corp....................................... 6,200 54,250
*AstroPower, Inc...................................... 14,700 202,584
*ASV, Inc............................................. 12,500 154,297
*Asyst Technologies, Inc.............................. 9,300 374,034
*ATG, Inc............................................. 16,200 35,437
*Athey Products Corp.................................. 2,940 6,247
*Atlanta Sosnoff Capital Corp......................... 7,700 74,112
*Atlantic American Corp............................... 20,500 64,062
*Atlantic Coast Airlines, Inc......................... 21,600 656,775
*Atlantic Data Services, Inc.......................... 16,800 69,300
*Atlantic Premium Brands, Ltd......................... 2,000 5,500
*Atlantis Plastics, Inc............................... 3,300 23,100
Atmos Energy Corp..................................... 41,000 750,812
*Atrion Corp.......................................... 2,700 32,062
*Atrix Labs, Inc...................................... 14,900 108,956
*ATS Medical, Inc..................................... 23,300 232,272
*Atwood Oceanics, Inc................................. 12,300 672,656
*Audiovox Corp. Class A............................... 22,300 421,609
*Ault, Inc............................................ 5,700 33,309
*Aurora Biosciences Corp.............................. 9,500 450,359
*Aurora Foods, Inc.................................... 63,900 227,644
*Auspex Systems, Inc.................................. 36,400 174,037
*Autobond Acceptance Corp............................. 5,900 870
*Autoimmune, Inc...................................... 19,200 24,900
*Autologic Information International, Inc............. 2,300 6,253
*Autote Corp. Class A................................. 40,858 125,128
Avado Brands, Inc..................................... 33,200 47,206
*Avalon Holding Corp. Class A......................... 1,550 6,103
*Avant Corp........................................... 50,100 784,378
*Avant Immunotherapeutics, Inc........................ 55,075 268,491
*Avatar Holdings, Inc................................. 9,100 180,009
Avert, Inc............................................ 4,200 82,819
*Avi Biopharma, Inc................................... 17,100 167,794
*Aviall, Inc.......................................... 19,400 104,275
*Aviation Sales Co.................................... 18,242 121,993
*Avid Technology, Inc................................. 28,600 287,787
*Avigen, Inc.......................................... 20,700 618,412
*Aviron............................................... 21,800 530,694
*Avis Group Holdings, Inc............................. 37,400 719,950
*AVT Corporation...................................... 36,600 331,116
*Avteam, Inc. Class A................................. 12,800 25,400
*Axent Technologies, Inc.............................. 33,920 620,100
*Axsys Technologies, Inc.............................. 5,100 74,906
*Axys Pharmaceuticals, Inc............................ 37,800 146,475
*Aztar Corp........................................... 51,400 655,350
Aztec Manufacturing Co................................ 6,100 97,600
*Bacou USA, Inc....................................... 24,900 491,775
Badger Meter, Inc..................................... 3,200 101,600
*Badger Paper Mills, Inc.............................. 1,000 4,344
Bairnco Corp.......................................... 8,700 62,531
Baker (J.), Inc....................................... 16,000 102,000
*Baker (Michael) Corp................................. 6,900 44,850
*Balanced Care Corp................................... 5,300 8,944
Balchem Corp.......................................... 5,000 50,937
Baldor Electric Co.................................... 43,933 823,744
Baldwin & Lyons, Inc. Class B......................... 14,700 266,437
*Baldwin Piano & Organ Co............................. 1,300 7,881
*Baldwin Technology, Inc. Class A..................... 13,500 28,687
*Ballantyne Omaha, Inc................................ 16,100 39,244
*Bally Total Fitness Holding Corp..................... 28,575 659,011
*Baltek Corp.......................................... 1,500 11,156
</TABLE>
9
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THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Bancfirst Ohio Corp................................... 9,800 $ 152,206
*Bancinsurance Corp................................... 7,800 32,175
Bancorp Connecticut, Inc.............................. 6,700 98,406
Bandag, Inc........................................... 11,800 292,787
Bandag, Inc. Class A.................................. 11,100 252,525
Bangor Hydro-Electric Co.............................. 9,500 141,312
Bank of Granite Corp.................................. 14,800 288,600
Bank of The Ozarks.................................... 3,800 63,412
*Bank Plus Corp....................................... 23,300 64,803
*Bank United Financial Corp. Class A.................. 21,600 139,050
Bank West Financial Corp.............................. 2,600 16,737
BankAtlantic Bancorp, Inc. Class A.................... 11,285 43,024
BankAtlantic Bancorp, Inc. Class B.................... 12,681 72,519
*BankFirst Corp....................................... 11,800 92,925
*Banknorth Group, Inc................................. 37,960 530,254
Banta Corp............................................ 31,900 590,150
Barnes Group, Inc..................................... 24,100 402,169
*Barnett, Inc......................................... 20,400 193,162
*Barnwell Industries, Inc............................. 400 5,425
*Barra, Inc........................................... 18,200 784,306
*Barrett Business Services, Inc....................... 9,600 53,400
*Barringer Technologies, Inc.......................... 7,900 48,634
*Barrister Information Systems Corp................... 11,800 11,800
*Barry (R.G.) Corp.................................... 10,764 37,001
*Base Ten Systems, Inc................................ 1,720 1,908
*Basin Exploration, Inc............................... 24,000 399,000
Bassett Furniture Industries, Inc..................... 14,700 179,616
*Battle Mountain Gold Co.............................. 144,600 280,162
Bay State Bancorp, Inc................................ 1,400 25,725
Bay View Capital Corp................................. 42,300 428,287
*Baycorp Holdings, Ltd................................ 10,700 86,937
*Bayou Steel Corp. Class A............................ 13,000 29,250
*BCT International, Inc............................... 2,700 3,544
*Be Aerospace, Inc.................................... 32,300 223,072
Beauticontrol Cosmetics, Inc.......................... 8,000 28,750
*Beazer Homes USA, Inc................................ 11,500 211,312
*bebe stores, inc..................................... 27,700 246,703
*BEI Electronics, Inc................................. 7,600 10,094
BEI Technologies, Inc................................. 9,700 172,175
*Bel Fuse, Inc. Class A............................... 3,300 60,019
Bel Fuse, Inc. Class B................................ 5,250 94,336
*Belco Oil & Gas Corp................................. 36,600 285,937
Belden, Inc........................................... 30,400 832,200
*Bell and Howell Co................................... 5,000 107,187
Bell Industries, Inc.................................. 10,520 27,615
*Bell Microproducts, Inc.............................. 12,100 156,544
*Bellwether Exploration Co............................ 16,600 141,359
*Benchmark Electronics, Inc........................... 19,500 663,000
*Benihana, Inc........................................ 1,000 14,812
*Bentley Pharmaceuticals, Inc......................... 12,560 80,070
*Benton Oil & Gas Co.................................. 35,400 97,350
Bergen Brunswig Corp. Class A......................... 101,200 524,975
Berkley (W.R.) Corp................................... 28,100 619,078
Berkshire Energy Resources............................ 2,000 74,750
*Berlitz International, Inc........................... 5,200 57,850
Berry Petroleum Corp. Class A......................... 25,300 396,894
*Bethlehem Steel Corp................................. 20,000 77,500
*Beverly Enterprises.................................. 112,700 338,100
*Beyond.com Corp...................................... 47,100 73,594
BHA Group Holdings, Inc. Class A...................... 8,400 85,050
*BI, Inc.............................................. 10,300 54,719
*Big 4 Ranch, Inc..................................... 3,200 0
*Big City Radio, Inc.................................. 5,200 23,725
<CAPTION>
SHARES VALUE+
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Big Dog Holdings, Inc................................. 1,500 $ 6,750
*Billing Information Concepts Corp.................... 50,200 232,959
Bindley Western Industries, Inc....................... 43,821 835,338
*BindView Development Corp............................ 7,100 49,589
*Bio Technology General Corp.......................... 59,500 626,609
*Bio Vascular, Inc.................................... 11,600 33,712
*Bioanalytical Systems, Inc........................... 4,500 11,812
*Biocryst Pharmaceuticals, Inc........................ 20,400 479,400
*Bio-Logic Systems Corp............................... 5,200 30,225
*Biomatrix, Inc....................................... 25,600 475,200
*Bionova Holdings Corp................................ 8,070 16,140
*Bionx Implants, Inc.................................. 13,900 30,406
*Bio-Plexus, Inc...................................... 2,700 6,581
*Bio-Rad Laboratories, Inc. Class A................... 11,800 273,612
*BioReliance Corp..................................... 7,500 37,734
*Biosite Diagnostics, Inc............................. 17,200 388,612
*Biosource International, Inc......................... 10,600 72,212
*Biospecifics Technologies Corp....................... 5,800 15,769
*Biospherics, Inc..................................... 13,700 84,769
*BioTransplant, Inc................................... 11,700 70,200
Birmingham Steel Corp................................. 38,300 148,412
*Bitstream, Inc....................................... 10,000 51,562
*Black Hawk Gaming & Development, Inc................. 3,600 24,637
Black Hills Corp...................................... 27,700 663,069
Blair Corp............................................ 10,500 202,125
Blanch (E.W.) Holdings, Inc........................... 14,700 377,606
*BLC Financial Services, Inc.......................... 5,000 9,375
Block Drug Co., Inc. Class A.......................... 18,100 501,144
*Blonder Tongue Laboratories, Inc..................... 9,800 67,375
*Blount International, Inc............................ 24,000 328,500
*Blue Rhino Corp...................................... 8,600 73,906
*Blue Wave Systems, Inc............................... 17,700 195,253
*Bluegreen Corp....................................... 31,965 99,891
BMC Industries, Inc................................... 35,600 135,725
Bob Evans Farms, Inc.................................. 41,100 557,419
*Boca Research, Inc................................... 15,000 81,562
*Boca Resorts, Inc.................................... 44,600 384,675
*Bogen Communications International, Inc.............. 8,300 51,616
*Bolder Technologies Corp............................. 18,900 108,380
*Bolt Technology Corp................................. 7,000 31,500
*Bombay Co., Inc...................................... 47,200 150,450
*Bonded Motors, Inc................................... 1,800 326
*Bone Care International, Inc......................... 2,250 44,227
*Bontex, Inc.......................................... 200 481
*Bon-Ton Stores, Inc.................................. 15,600 34,856
*Books-a-Million, Inc................................. 19,900 67,784
*Boron, Lepore and Associates, Inc.................... 15,900 121,734
Boston Acoustics, Inc................................. 6,400 68,000
*Boston Beer Company, Inc. Class A.................... 18,000 153,000
*Boston Biomedical, Inc............................... 6,400 23,400
*Boston Communications Group, Inc..................... 21,600 222,075
Boston Private Financial Holdings, Inc................ 12,000 117,750
Bostonfed Bancorp, Inc................................ 4,200 55,125
*Boundless Corp....................................... 4,400 31,350
Bowne & Co., Inc...................................... 48,000 483,000
*Boyd Gaming Corp..................................... 74,700 368,831
*Bradley Pharmaceuticals, Inc. Class A................ 8,200 9,097
Brady (W.H.) Co. Class A.............................. 24,900 750,112
*Brass Eagle, Inc..................................... 7,900 38,512
</TABLE>
10
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Brauns Fashions Corp................................. 7,400 $ 164,650
*Breed Technologies, Inc.............................. 36,800 8,740
Brenton Banks, Inc.................................... 24,496 245,725
*Bridgestreet Accomodations, Inc...................... 7,200 19,800
Bridgford Foods Corp.................................. 14,100 149,372
*Brigham Exploration Co............................... 14,500 38,062
*Brightpoint, Inc..................................... 60,900 707,962
*BrightStar Information Technology Group, Inc......... 9,500 36,812
*Brilliant Digital Entertainment, Inc................. 18,600 106,950
*Brio Technology, Inc................................. 4,200 59,850
*Britesmile, Inc...................................... 25,800 191,081
*Broadview Media, Inc................................. 200 291
*Brookdale Living Communities......................... 15,400 209,825
Brookline Bancorp, Inc................................ 36,000 352,125
*Brooks Automation, Inc............................... 4,900 195,387
*Brookstone, Inc...................................... 10,600 150,387
*Brooktrout Technology, Inc........................... 15,800 356,487
*Brown & Sharpe Manufacturing Co. Class A............. 12,900 29,025
*Brown (Tom), Inc..................................... 40,400 881,225
Brown and Brown, Inc.................................. 16,350 762,319
Brown Shoe Company, Inc............................... 21,000 250,687
*Brunswick Technologies, Inc.......................... 6,800 59,712
Brush Wellman, Inc.................................... 18,000 313,875
Bryn Mawr Bank Corp................................... 800 16,350
BSB Bancorp, Inc...................................... 12,273 234,338
BT Financial Corp..................................... 18,318 317,130
*BTG, Inc............................................. 11,600 94,250
*BTU International, Inc............................... 8,900 77,041
*Buckeye Technology, Inc.............................. 42,200 804,437
*Buckhead America Corp................................ 900 4,556
*Buckle, Inc.......................................... 24,000 325,500
*Budget Group, Inc.................................... 44,200 168,512
*Buffets, Inc......................................... 50,486 585,322
*Builders Transport, Inc.............................. 1,800 99
*Building Materials Holding Corp...................... 15,200 141,075
*Bull Run Corp. GA.................................... 44,900 128,386
Burlington Coat Factory Warehouse Corp................ 49,480 627,777
*Burlington Industries, Inc........................... 54,000 178,875
*Burns International Services Corp.................... 23,500 273,187
*Bush Boake Allen, Inc................................ 23,200 756,900
Bush Industries, Inc. Class A......................... 13,200 225,225
*Business Resource Group.............................. 6,800 42,287
*Butler International, Inc............................ 12,300 100,706
Butler Manufacturing Co............................... 7,400 165,112
*BWAY Corp............................................ 12,000 86,250
*BYL Bancorp.......................................... 2,800 28,787
C & D Technologies, Inc............................... 13,000 942,500
*C.P. Clare Corp...................................... 12,400 81,375
*Cable Design Techologies Corp........................ 20,725 573,823
Cabot Oil & Gas Corp. Class A......................... 27,600 688,275
*Cache, Inc........................................... 11,800 44,250
*Caci International, Inc. Class A..................... 14,700 289,866
*Cadiz, Inc........................................... 38,800 261,900
Cadmus Communications Corp............................ 11,700 101,644
Cagle's, Inc. Class A................................. 2,000 17,000
*Cal Dive International, Inc.......................... 18,600 856,181
Calgon Carbon Corp.................................... 47,400 311,062
*Caliber Learning Network, Inc........................ 13,600 36,975
*California Amplifier, Inc............................ 15,700 353,741
*California Coastal Communities, Inc.................. 9,800 56,044
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*California Micro Devices Corp........................ 13,500 $ 191,109
California Water Service Group........................ 14,200 331,037
*Callon Petroleum Co.................................. 15,300 233,325
*Calloways Nursery, Inc............................... 1,200 1,462
Cal-Maine Foods, Inc.................................. 12,400 41,462
*Calton Inc........................................... 24,000 31,500
*Cambridge Heart, Inc................................. 18,100 44,684
*Cambridge Technology Partners, Inc................... 10,700 85,600
Camco Financial Corp.................................. 6,316 56,844
*Cameron Ashley Building Products, Inc................ 11,300 204,106
Cameron Financial Corp................................ 1,300 15,316
*Candela Laser Corp................................... 14,300 145,234
*Candies, Inc......................................... 17,200 23,381
*Canisco Resources, Inc............................... 500 270
*Cannon Express, Inc. Class A......................... 900 1,744
*Cannondale Corp...................................... 9,700 69,719
*Cantel Industries, Inc. Class B...................... 5,700 37,406
*Canterbury Information Technology, Inc............... 12,000 31,875
*Capital Corp. of the West............................ 4,100 40,231
*Capital Crossing Bank................................ 7,600 77,900
*Capital Pacific Holdings, Inc........................ 12,300 33,825
*Capital Senior Living Corp........................... 21,200 50,350
Capital Southwest Corp................................ 300 16,912
Capitol Bancorp, Ltd.................................. 8,564 96,345
Capitol Transamerica Corp............................. 14,600 164,250
Caraustar Industries, Inc............................. 28,600 472,794
*Carbide/Graphite Group, Inc.......................... 10,800 46,237
Carbo Ceramics, Inc................................... 17,800 556,250
*Cardiac Pathways Corp................................ 2,000 7,875
*Cardima, Inc......................................... 21,200 25,837
*Cardiotech International, Inc........................ 6,600 9,487
*Caredata.com, Inc.................................... 9,900 39,600
*Career Blazers, Inc. Trust Units..................... 800 0
*Career Education Corp................................ 10,300 411,356
*CareerEngine Network, Inc............................ 7,000 12,687
*Carematrix, Inc...................................... 15,800 11,603
*Carey International, Inc............................. 10,600 98,381
*Caribiner International, Inc......................... 27,900 20,925
*Carlyle Industries, Inc.............................. 2,458 1,306
*Carmike Cinemas, Inc. Class A........................ 13,500 71,719
Carpenter Technology Corp............................. 24,100 498,569
*Carreker-Antinori, Inc............................... 24,100 262,087
*Carriage Services, Inc. Class A...................... 15,400 44,275
*Carrington Laboratories, Inc......................... 12,300 27,291
*Carrizo Oil & Gas, Inc............................... 10,000 62,969
*Carson, Inc.......................................... 11,800 47,937
Carter-Wallace, Inc................................... 37,200 744,000
Cascade Corp.......................................... 14,800 166,500
Cascade Natural Gas Corp.............................. 14,300 253,825
*Casella Waste Systems, Inc. Class A.................. 19,669 255,697
Casey's General Stores, Inc........................... 59,300 700,481
Cash America International, Inc....................... 27,900 285,975
*Casino Data Systems.................................. 23,900 105,683
*Castle & Cooke, Inc.................................. 18,800 350,150
Castle (A.M.) & Co.................................... 16,837 209,410
*Castle Dental Centers, Inc........................... 6,300 15,356
Castle Energy Corp.................................... 7,300 44,142
*Catalina Lighting, Inc............................... 7,400 29,600
*Catalyst International, Inc.......................... 10,300 64,375
*Catalytica, Inc...................................... 37,600 356,025
Cathay Bancorp, Inc................................... 6,100 278,122
</TABLE>
11
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Cato Corp. Class A.................................... 26,700 $ 331,247
Catskill Financial Corp............................... 3,500 57,750
Cavalier Homes, Inc................................... 21,460 32,190
*CB Richard Ellis Services, Inc....................... 26,900 270,681
CBRL Group, Inc....................................... 57,500 831,953
*CCA Industries, Inc.................................. 4,300 4,434
CCBT Financial Companies, Inc......................... 11,100 163,378
*CCC Information Services Group, Inc.................. 28,900 285,387
*CD Warehouse, Inc.................................... 3,300 5,105
*CDI Corp............................................. 21,000 452,812
*CDNOW/N2K, Inc....................................... 31,900 94,703
*Cec Entertainment Inc................................ 10,800 248,400
*Celadon Group, Inc................................... 10,100 136,666
*Celebrity, Inc....................................... 1,300 2,945
*Celeris Corporation.................................. 4,000 11,062
*Celeritek, Inc....................................... 7,700 370,322
*Cell Genesys, Inc.................................... 28,452 509,469
*Cell Pathways, Inc................................... 4,829 97,636
*Cell Therapeutics, Inc............................... 22,600 371,487
*Cellegy Pharmaceuticals, Inc......................... 12,700 61,516
*Cellnet Data Systems, Inc............................ 41,900 0
*Cellstar Corp........................................ 79,000 218,484
*Cellular Technical Services.......................... 2,100 15,356
*Cel-Sci Corp......................................... 2,500 7,500
Cenit Bancorp, Inc.................................... 6,100 67,862
*Centennial Bancorp................................... 21,697 186,459
*Centennial Technologies Inc.......................... 196 1,390
*CenterSpan Communication Corp........................ 7,900 111,834
Centex Construction Products, Inc..................... 24,200 726,000
*Centigram Communications Corp........................ 6,600 123,956
Central Bancorp, Inc.................................. 2,400 39,075
*Central Garden & Pet Co.............................. 29,500 336,484
Central Parking Corp.................................. 31,800 836,737
Central Vermont Public Service Corp................... 14,900 162,969
Centura Banks, Inc.................................... 5,470 236,577
Century Aluminum Co................................... 22,200 226,856
Century Bancorp Income Class A........................ 1,000 13,625
*Century Business Services, Inc....................... 99,500 259,633
Century South Banks, Inc.............................. 17,900 353,525
*Cephalon, Inc........................................ 11,800 609,912
*Ceradyne, Inc........................................ 10,500 86,625
Cerberonics, Inc. Class A............................. 200 937
*Ceres Group, Inc..................................... 15,700 93,219
*Cerner Corp.......................................... 28,400 646,987
*Cerprobe Corp........................................ 12,200 150,975
*Cerus Corp........................................... 16,600 644,287
*CFM Technologies, Inc................................ 8,100 63,281
CFW Communications Co................................. 14,400 544,950
CH Energy Group, Inc.................................. 19,800 637,312
*Chad Therapeutics.................................... 10,000 8,750
*Champion Enterprises, Inc............................ 57,700 328,169
Champion Industries, Inc.............................. 10,062 28,614
*Championship Auto Racing Teams, Inc.................. 20,200 395,162
*Champps Entertainment, Inc........................... 15,100 58,984
*Channell Commercial Corp............................. 4,200 44,887
*Charles and Colvard, Ltd............................. 9,200 56,925
*Charles River Associates, Inc........................ 11,300 202,341
*Charming Shoppes, Inc................................ 108,500 640,828
*Chart House Enterprises, Inc......................... 14,500 77,031
Chart Industries, Inc................................. 26,125 114,297
*Charter Federal Savings Bank (Escrow)................ 2,100 0
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Chase Corp............................................ 4,100 $ 43,562
*Chase Industries, Inc................................ 11,800 109,150
*Chattem, Inc......................................... 11,800 140,862
*Chaus (Bernard), Inc................................. 11,100 9,019
*Check Technology Corp................................ 8,000 40,750
*Checkers Drive-In Restaurant, Inc.................... 3,034 6,495
*Checkpoint System, Inc............................... 36,200 287,337
*Cheesecake Factory, Inc.............................. 19,650 781,702
Chemed Corp........................................... 13,300 403,156
*Chemfab Corp......................................... 9,700 97,000
Chemfirst, Inc........................................ 18,000 375,750
Chemical Financial Corp............................... 15,918 440,730
*Cherokee, Inc........................................ 9,100 65,122
*Cherry Corp.......................................... 4,800 96,600
*Chesapeake Biological Laboratories, Inc. Class A..... 6,100 15,822
Chesapeake Corp....................................... 19,200 627,600
*Chesapeake Energy Corp............................... 118,570 681,777
Chesapeake Utilities Corp............................. 6,700 118,506
Chester Valley Bancorp................................ 475 8,535
Chicago Rivet & Machine Co............................ 200 4,450
*Chicos Fas, Inc...................................... 18,700 338,353
*Children's Comprehensive Services, Inc............... 8,650 19,462
*Children's Place Retail Stores, Inc.................. 30,500 583,312
*Childtime Learning Centers, Inc...................... 6,500 43,875
Chiquita Brands International, Inc.................... 73,385 288,953
*Chirex, Inc.......................................... 19,700 342,287
Chittenden Corp....................................... 14,959 414,177
*Choicepoint, Inc..................................... 9,909 400,695
*Cholestech Corp...................................... 15,300 114,750
*ChromaVision Medical Systems, Inc.................... 25,300 271,975
*Chromcraft Revington, Inc............................ 12,600 140,175
*Chronimed, Inc....................................... 15,700 103,031
*CHS Electronics, Inc................................. 27,000 337
Church & Dwight Co., Inc.............................. 50,500 918,469
Churchill Downs, Inc.................................. 12,800 288,800
*Chyron Corp.......................................... 32,100 80,250
CICOR International, Inc.............................. 9,550 100,872
*CIDCO, Inc........................................... 17,800 54,512
*Cima Laboratories, Inc............................... 14,000 206,062
*Ciprico, Inc......................................... 6,400 69,200
Circle International, Inc............................. 19,900 376,234
*Circuit City Stores, Inc. (Carmax Group)............. 26,500 71,219
*Circuit Systems, Inc................................. 2,600 2,478
*Citadel Holding Corp. Class A........................ 4,240 13,250
*Citation Computer System, Inc........................ 5,000 18,047
*Citation Holding Corp. Class B....................... 1,060 3,312
*Citizens, Inc. Class A............................... 25,893 158,595
City Holding Co....................................... 18,686 185,692
*Civic Bancorp........................................ 6,000 84,187
CKE Restaurants, Inc.................................. 55,500 183,844
Clarcor, Inc.......................................... 26,600 470,487
*Clark (Dick) Productions, Inc........................ 3,880 49,480
*Clark/Bardes Holdings, Inc........................... 10,600 155,687
*Clean Harbors, Inc................................... 12,400 22,862
Cleveland Cliffs, Inc................................. 13,900 353,581
*click2learn.com, Inc................................. 19,000 226,812
*ClickAction, Inc..................................... 10,600 138,131
*Clintrials Research, Inc............................. 20,750 67,113
*Closure Medical Corp................................. 17,400 293,081
CMI Corp. Class A..................................... 17,800 63,412
</TABLE>
12
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
CMP Media Group, Inc.................................. 3,200 $ 92,800
CNA Surety Corp....................................... 47,900 598,750
CNBT Bancshares, Inc.................................. 6,400 78,400
*CNS, Inc............................................. 19,100 76,400
CNY Financial Corp.................................... 4,600 85,531
Coachmen Industries, Inc.............................. 17,200 205,325
*Coast Dental Services, Inc........................... 8,300 16,989
*Coast Distribution System............................ 4,000 8,500
Coastal Bancorp, Inc.................................. 8,200 123,512
*Coastcast Corp....................................... 10,000 191,250
*Cobalt Group, Inc.................................... 21,800 141,700
*Cobra Electronic Corp................................ 6,100 33,550
Coca-Cola Bottling Co. Consolidated................... 7,800 380,006
*Coeur d'Alene Mines Corp. ID......................... 39,500 96,281
*Cognitronics Corp.................................... 3,750 38,437
*Cohesion Technologies, Inc........................... 11,500 121,469
Cohu, Inc............................................. 10,300 364,362
*Coinmach Laundry Corp................................ 12,600 170,494
*Coinstar, Inc........................................ 26,100 241,833
Cold Metal Products, Inc.............................. 3,500 13,125
*Coldwater Creek, Inc................................. 13,300 305,484
*Cole (Kenneth) Productions, Inc. Class A............. 11,250 376,172
Cole National Corp. Class A........................... 17,100 107,944
*Collagenex Pharmaceuticals, Inc...................... 10,300 103,322
*Collateral Therapeutics, Inc......................... 16,900 391,869
*Collins & Aikman Corp................................ 70,700 419,781
Collins Industries, Inc............................... 9,700 46,075
Colorado Business Bankshares, Inc..................... 5,700 74,278
*Colorado Medtech, Inc................................ 15,800 79,494
*Columbia Banking System, Inc......................... 14,922 162,743
*Columbia Laboratories, Inc........................... 34,900 331,550
*Columbia Sportswear Co............................... 27,800 731,487
*Columbus Energy Corp................................. 4,800 33,600
Columbus McKinnon Corp................................ 14,900 205,806
*Com21, Inc........................................... 23,900 472,772
*Comarco, Inc......................................... 4,400 126,637
*Comdial Corp......................................... 11,900 108,773
*Comforce Corp........................................ 13,877 27,754
*Comfort Systems USA, Inc............................. 41,600 252,200
*Command Systems, Inc................................. 7,700 14,197
Commercial Bancshares, Inc............................ 2,586 45,740
Commercial Bank of New York........................... 4,200 49,875
Commercial Metals Co.................................. 15,800 415,737
Commercial National Financial Corp.................... 3,200 51,800
*Commodore Applied Technologies, Inc.................. 13,902 15,640
Commonwealth Bancorp, Inc............................. 14,500 167,656
Commonwealth Industries, Inc.......................... 18,300 112,659
Communications Systems, Inc........................... 11,300 154,669
Community Bank System, Inc............................ 9,200 209,300
Community Bankshares, Inc............................. 210 2,441
Community Financial Corp.............................. 2,200 24,612
Community Financial Group, Inc........................ 2,300 30,187
Community First Brokerage Co.......................... 2,700 45,394
Community Savings Bankshares, Inc..................... 11,073 116,959
Community Trust Bancorp, Inc.......................... 13,748 198,916
Community West Bancshares............................. 5,500 33,687
*Competitive Technologies, Inc........................ 7,900 94,800
*Complete Business Solutions, Inc..................... 11,500 259,469
*Comptek Research, Inc................................ 7,900 134,794
*Compucom Systems, Inc................................ 54,700 131,622
*Computer Horizons Corp............................... 42,100 470,994
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Computer Learning Centers, Inc....................... 18,900 $ 18,309
*Computer Motion, Inc................................. 11,400 87,281
*Computer Network Technology Corp..................... 26,200 326,681
*Computer Outsourcing Services, Inc................... 6,300 95,287
Computer Task Group, Inc.............................. 24,800 178,250
*Computrac, Inc....................................... 6,200 5,812
*Computron Software, Inc.............................. 28,700 57,400
CompX International, Inc.............................. 7,900 149,112
*Comshare, Inc........................................ 12,500 47,656
*Comstock Resources, Inc.............................. 27,100 203,250
*Comtech Telecommunications Corp...................... 5,900 74,672
*Concentrex, Inc...................................... 6,900 31,266
*Conceptus, Inc....................................... 12,500 61,328
*Concord Camera Corp.................................. 25,800 437,794
*Concord Communications, Inc.......................... 20,900 517,275
*Concurrent Computer Corp............................. 58,700 500,784
*Condor Technology Solutions, Inc..................... 11,800 4,978
*Conductus, Inc....................................... 4,900 41,191
*Cone Mills Corp. NC.................................. 29,200 167,900
*Congoleum Corp. Class A.............................. 5,500 17,187
*Conmed Corp.......................................... 19,875 478,863
Connecticut Water Services, Inc....................... 6,200 169,531
*Connitics Corp....................................... 29,900 263,494
*Conrad Industries, Inc............................... 6,800 38,887
*Consolidated Delivery and Logistics, Inc............. 7,300 12,775
*Consolidated Freightways Corp........................ 28,200 128,662
*Consolidated Graphics, Inc........................... 15,900 164,962
*Consolidated Products, Inc........................... 32,300 320,981
Consolidated Tokoma Land Co........................... 6,400 76,000
*Continental Materials Corp........................... 200 3,462
*Converse, Inc........................................ 22,300 13,241
*Cooker Restaurant Corp............................... 6,600 15,675
Cooper Companies, Inc................................. 18,300 631,350
Cooperative Bankshares, Inc........................... 1,400 13,650
*CoorsTek, Inc........................................ 6,900 222,525
*Copart, Inc.......................................... 30,200 533,219
*Copytele, Inc........................................ 81,500 140,078
*Cordiant Communications Group P.L.C. ADR............. 6,324 121,342
*Core Materials Corp.................................. 7,700 12,031
*Core, Inc............................................ 10,700 61,525
*Corixa Corp.......................................... 27,000 858,094
*Cornell Corrections, Inc............................. 12,400 89,900
*Correctional Services Corp........................... 14,812 65,265
*Corrpro Companies, Inc............................... 7,875 29,531
*Corsair Communications, Inc.......................... 22,900 516,681
Corus Bankshares, Inc................................. 15,800 392,037
*Corvas International, Inc............................ 27,300 172,331
*Corvel Corp.......................................... 3,900 106,519
*Cost Plus, Inc....................................... 22,500 656,016
*CoStar Group, Inc.................................... 16,800 351,750
*Cost-U-Less, Inc..................................... 3,000 4,969
*Cotelligent Group, Inc............................... 19,200 87,600
Cotton States Life Insurance Co....................... 6,330 52,222
*Coulter Pharmaceutical, Inc.......................... 21,800 405,344
Courier Corp.......................................... 1,900 49,162
*Covance, Inc......................................... 62,800 447,450
*Covenant Transport, Inc. Class A..................... 13,800 141,881
*Coventry Health Care, Inc............................ 64,900 768,659
Covest Bancshares, Inc................................ 2,425 25,235
*Covol Technologies, Inc.............................. 7,100 10,872
*Coyote Network Systems, Inc.......................... 21,600 128,925
</TABLE>
13
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
CPAC, Inc............................................. 6,120 $ 42,075
CPB, Inc.............................................. 12,000 282,000
*C-Phone Corp......................................... 11,700 12,066
*CPI Aerostructures, Inc.............................. 66 162
CPI Corp.............................................. 10,500 234,281
Craftmade International, Inc.......................... 8,700 42,684
*Craig (Jenny), Inc................................... 18,600 26,737
*Craig Corp........................................... 2,400 9,750
Crawford & Co. Class A................................ 300 3,131
Crawford & Co. Class B................................ 15,600 183,300
*Cray, Inc............................................ 29,800 103,834
*Creative Biomolecules, Inc........................... 45,800 234,009
*Creative Computers, Inc.............................. 13,500 62,437
*Credit Acceptance Corp............................... 52,400 291,475
*Credit Management Solutions.......................... 7,700 31,522
*Creditrust Corp...................................... 12,000 6,187
*Crescent Operating, Inc.............................. 9,100 13,366
*Criticare Systems, Inc............................... 7,500 16,406
*Cross (A.T.) Co. Class A............................. 16,200 99,225
Cross Timbers Oil Co.................................. 57,550 1,168,984
*Crossman Communities, Inc............................ 14,200 251,606
*Crosswalk.com, Inc................................... 9,600 23,400
*Crown Central Petroleum Corp. Class A................ 4,300 38,969
*Crown Central Petroleum Corp. Class B................ 4,700 42,594
Crown Crafts, Inc..................................... 11,100 15,956
*Crown Group, Inc..................................... 1,400 7,175
*Crown Resources Corp................................. 12,400 8,912
*Crown Vantage, Inc................................... 8,500 1,992
*Crown-Andersen, Inc.................................. 1,000 4,625
*Crusader Holding Corp................................ 3,900 31,444
*Cryolife, Inc........................................ 15,900 273,281
*CSK Auto Corp........................................ 33,400 501,000
*CSP, Inc............................................. 4,600 28,606
*CSS Industries, Inc.................................. 11,600 232,000
*CT Communications, Inc............................... 4,800 153,000
*CTB International Corp............................... 11,800 76,884
*CTC Communications Group, Inc........................ 18,750 465,234
CTG Resources, Inc.................................... 11,200 441,000
Cubic Corp............................................ 11,500 230,000
*Cubist Pharmaceuticals, Inc.......................... 20,500 588,094
Culp, Inc............................................. 11,200 70,700
*Cumulus Media, Inc. Class A.......................... 10,000 114,375
*Cunningham Graphics International, Inc............... 6,100 133,628
*CUNO, Inc............................................ 21,200 589,625
*Curative Health Services, Inc........................ 11,500 61,992
Curtiss-Wright Corp................................... 13,000 452,562
*Cuseeme Networks, Inc................................ 15,600 140,400
*Cutter & Buck, Inc................................... 12,350 124,272
*CV Therapeutics, Inc................................. 20,100 832,266
CVB Financial Corp.................................... 27,900 428,962
*CVF Technologies Corp................................ 7,400 17,575
*Cyanotech Corp....................................... 18,000 23,906
*Cybercash, Inc....................................... 31,000 133,687
*Cyberian Outpost, Inc................................ 28,000 119,000
*Cyberonics, Inc...................................... 21,600 384,075
*Cyberoptics Corp..................................... 6,600 246,056
*Cybersource Corp..................................... 13,700 195,653
*Cybex Corp........................................... 21,012 707,842
*Cybex International, Inc............................. 8,700 23,381
*Cygnus, Inc.......................................... 29,700 239,456
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Cylink Corp.......................................... 36,300 $ 501,394
*Cyrk, Inc............................................ 17,300 99,475
*Cytogen Corp......................................... 64,400 258,606
*Cytrx Corp........................................... 8,000 8,750
*D & K Healthcare Resources, Inc...................... 4,300 48,912
*D A Consulting Group, Inc............................ 6,700 14,761
*Daily Journal Corp................................... 200 5,887
Dain Rauscher Corp.................................... 1,500 89,437
*Dairy Mart Convenience Stores, Inc................... 1,600 6,800
*Daisytek International Corp.......................... 22,500 227,812
*Daktronics, Inc...................................... 11,500 104,398
*Dal-Tile International, Inc.......................... 63,700 577,281
*Damark International, Inc. Class A................... 8,200 154,519
*Dan River, Inc. (GA) Class A......................... 23,100 115,500
*Danielson Holding Corp............................... 22,800 108,300
*Daou Systems, Inc.................................... 23,000 32,344
*Darling International, Inc........................... 15,600 18,525
*Data Broadcasting Corp............................... 42,213 193,256
*Data Dimensions, Inc................................. 17,800 32,262
*Data I/O Corp........................................ 9,500 35,625
*Data Race, Inc....................................... 27,400 120,731
Data Research Association, Inc........................ 5,600 28,875
*Data Systems & Software, Inc......................... 8,300 37,350
*Datakey, Inc......................................... 1,000 4,250
*Datalink Corp........................................ 3,000 52,125
*Datamarine International, Inc........................ 200 169
*Dataram Corp......................................... 8,000 142,500
Datascope Corp........................................ 17,300 650,372
*Datastream Systems, Inc.............................. 22,400 226,800
*DataTRAK International, Inc.......................... 5,600 30,450
*Dataware Technologies, Inc........................... 13,400 35,594
*Datawatch Corp....................................... 9,300 18,745
*Datron Systems, Inc.................................. 3,500 40,578
*Datum, Inc........................................... 5,900 91,819
*Dave and Busters, Inc................................ 16,800 115,500
*Davel Communications, Inc............................ 9,478 16,438
*Davox Corp........................................... 16,000 333,500
*Daw Technologies, Inc................................ 14,300 17,205
*Dawson Geophysical Co................................ 5,400 52,481
*Daxor Corp........................................... 6,100 74,725
*Dayton Superior Corp. Class A........................ 6,500 165,750
Deb Shops, Inc........................................ 17,200 213,387
*Deckers Outdoor Corp................................. 11,800 39,825
*Decora Industries, Inc............................... 10,200 10,041
Decorator Industries, Inc............................. 2,162 10,540
*Del Global Technologies Corp......................... 8,500 71,187
Del Laboratories, Inc................................. 16,439 162,335
*Del Monte Foods Co................................... 50,000 425,000
*Delco Remy International, Inc........................ 18,300 138,394
*Delia's, Inc......................................... 17,000 42,500
*Delphi Financial Group, Inc. Class A................. 19,400 649,900
*Delta Financial Corp................................. 19,600 34,300
Delta Natural Gas Co., Inc............................ 3,100 46,791
Delta Woodside Industries, Inc........................ 26,200 58,950
*Deltek Systems, Inc.................................. 22,100 236,884
Deltic Timber Corp.................................... 13,500 288,562
*Denali, Inc.......................................... 4,300 9,070
*Dense-Pac Microsystems, Inc.......................... 22,200 126,262
*Department 56, Inc................................... 18,500 165,344
*DepoMed, Inc......................................... 9,300 34,875
Designs, Inc.......................................... 14,800 22,662
*Detection Systems, Inc............................... 8,200 80,975
*Detrex Corp.......................................... 500 2,422
</TABLE>
14
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Detroit Diesel Corp................................... 25,700 $ 404,775
*Devcon International Corp............................ 4,000 26,750
Dewolfe Companies, Inc................................ 200 1,450
*Dexterity Surgical, Inc.............................. 1,000 969
*Diacrin, Inc......................................... 14,900 101,506
Diagnostic Products Corp.............................. 17,700 550,912
*Diametrics Medical, Inc.............................. 31,200 225,225
*Diamond Home Services, Inc........................... 7,300 566
*Dianon Systems, Inc.................................. 9,200 192,625
*Diedrich Coffee, Inc................................. 15,520 38,315
*Digene Corp.......................................... 17,400 517,650
*Digi International, Inc.............................. 17,200 88,687
*Digital Biometrics, Inc.............................. 21,200 74,862
*Digital Courier Technologies, Inc.................... 5,000 22,031
*Digital Generation Systems, Inc...................... 32,100 146,456
*Digital Power Corp................................... 1,000 2,875
*Digital River, Inc................................... 24,700 279,419
Dime Community Bancorp, Inc........................... 13,900 225,875
Dimon, Inc............................................ 46,700 105,075
*Diodes, Inc.......................................... 7,800 212,550
*Dionex Corp.......................................... 18,600 655,650
*Directrix, Inc....................................... 813 4,090
*Discount Auto Parts, Inc............................. 21,700 217,000
*Dispatch Management Services Corp.................... 4,300 5,375
*Display Technologies, Inc............................ 7,930 21,560
*Diversified Corporate Resources, Inc................. 2,200 6,050
*Dixie Group, Inc..................................... 11,200 39,900
*Dixon Ticonderoga Co................................. 1,900 7,006
*DocuCorp International, Inc.......................... 17,800 83,716
*Document Sciences Corp............................... 14,200 29,731
*Documentum, Inc...................................... 14,200 784,106
*Dollar Thrifty Automotive Group, Inc................. 26,600 478,800
*Dominion Homes, Inc.................................. 5,800 37,156
Donegal Group, Inc.................................... 11,200 77,875
*Donna Karan International, Inc....................... 24,100 170,206
Donnelly Corp. Class A................................ 7,300 105,394
*Dorsey Trailers, Inc................................. 3,000 2,437
*Dot Hill Systems Corp................................ 15,460 135,275
Dover Downs Entertainment, Inc........................ 13,400 158,287
Downey Financial Corp................................. 30,976 921,536
*Dress Barn, Inc...................................... 23,600 502,237
*Drew Industries, Inc................................. 14,300 100,100
*Drexler Technology Corp.............................. 12,800 147,200
Dreyer's Grand Ice Cream, Inc......................... 28,800 611,100
*Dril-Quip, Inc....................................... 17,200 741,750
*DRS Technologies, Inc................................ 12,600 143,325
*Drug Emporium, Inc................................... 17,200 19,619
*Dryclean USA, Inc.................................... 1,000 1,625
*Drypers Corp......................................... 4,700 8,445
*DSET Corp............................................ 12,200 231,037
DT Industries, Inc.................................... 11,100 111,694
*DualStar Technologies Corp........................... 17,200 70,412
*Duane Reade, Inc..................................... 19,100 571,806
*Duckwall-Alco Stores, Inc............................ 6,200 53,475
*Ducommun, Inc........................................ 12,500 139,844
*Dunn Computer Corp................................... 12,200 23,447
*DuPont Photomasks, Inc............................... 2,200 126,569
*Dura Automotive Systems, Inc......................... 18,100 215,503
*Dura Pharmaceuticals, Inc............................ 49,100 575,391
*Duramed Pharmaceuticals, Inc......................... 30,500 157,266
*DVI, Inc............................................. 15,200 218,500
*Dwyer Group, Inc..................................... 9,100 22,750
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Dynamic Healthcare Technologies, Inc................. 18,800 $ 20,562
*Dynamic Materials Corp............................... 2,000 3,312
*Dynamics Research Corp............................... 9,700 68,506
*Dynatech Corp........................................ 5,100 61,200
*E Com Ventures, Inc.................................. 6,800 20,612
*e.spire Communications, Inc.......................... 56,600 214,903
*E4L, Inc............................................. 37,011 34,698
Eagle Bancshares, Inc................................. 7,200 84,150
*Eagle Food Centers, Inc.............................. 10,300 10,622
*Eagle Point Software Corp............................ 6,200 28,675
Earthgrains Co........................................ 44,500 734,250
*EarthShell Corp...................................... 110,000 443,437
East West Bancorp, Inc................................ 24,800 304,575
Eastern Co............................................ 4,950 63,731
*Eateries, Inc........................................ 3,800 14,012
*ECC International Corp............................... 8,300 24,900
*ECCS, Inc............................................ 1,700 6,614
*Eclipse Surgical Technologies, Inc................... 35,300 121,344
*Eclipsys Corp........................................ 15,000 104,531
*Eco Soil Systems, Inc................................ 19,700 30,166
*Ecogen, Inc.......................................... 13,640 21,526
Ecology & Environment, Inc. Class A................... 2,000 11,750
*Edac Technologies Corp............................... 3,500 2,516
Edelbrock Corp........................................ 6,700 76,631
*Edge Petroleum Corp.................................. 9,200 28,462
*Edison Control Corp.................................. 1,000 8,531
Edo Corp.............................................. 8,700 56,006
*Education Management Corp............................ 31,700 528,994
Educational Development Corp.......................... 1,800 4,894
*Educational Insights, Inc............................ 2,700 3,333
*EduTrek International, Inc........................... 3,900 5,241
*eFax.com, Inc........................................ 16,800 17,850
EFC Bancorp, Inc...................................... 4,800 43,800
*EFTC Corp............................................ 20,100 42,398
*Egghead.com, Inc..................................... 45,442 155,497
*eGlobe, Inc.......................................... 31,300 96,345
*El Paso Electric Co.................................. 70,300 834,812
*Elan Corp. P.L.C. ADR................................ 15,595 620,876
*Elantec Semiconductor, Inc........................... 16,600 633,394
*Elcom International, Inc............................. 33,600 175,350
Elcor Corp............................................ 20,175 384,586
*Elcotel, Inc......................................... 17,600 32,725
*Elder-Beerman Stores Corp............................ 16,400 74,825
*Electric Fuel Corp................................... 20,900 118,216
*Electro Rent Corp.................................... 27,000 293,625
*Electro Scientific Industries, Inc................... 6,900 325,378
*Electroglas, Inc..................................... 22,200 585,525
*Electronic Processing, Inc........................... 4,200 46,200
*Electronic Retailing System International, Inc....... 2,300 1,473
*Elite Information Group, Inc......................... 9,300 59,287
Ellett Brothers, Inc.................................. 5,600 23,100
*E-Loan, Inc.......................................... 20,000 95,937
*eLOT, Inc............................................ 69,000 186,516
*Eltrax System, Inc................................... 5,546 26,690
*ELXSI Corp........................................... 1,800 21,825
*Embrex, Inc.......................................... 10,400 182,650
EMC Insurance Group, Inc.............................. 14,600 117,712
*Emcee Broadcast Products, Inc........................ 5,100 16,097
*Emcor Group, Inc..................................... 13,500 299,531
*Emergent Information Technologies, Inc............... 17,700 51,717
</TABLE>
15
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Emerging Vision, Inc................................. 26,800 $ 61,556
*Emeritus Corp........................................ 12,500 36,719
*Emisphere Technologies, Inc.......................... 14,500 573,203
Empire District Electric Co........................... 19,000 448,875
Empire Federal Bancorp, Inc........................... 2,100 23,231
*EMS Technologies, Inc................................ 11,300 182,566
*En Pointe Technologies, Inc.......................... 8,100 85,303
*Encad, Inc........................................... 15,300 53,550
*Encompass Services Corp.............................. 78,000 458,250
*Encore Med Corp...................................... 9,900 22,430
*Encore Wire Corp..................................... 19,700 123,741
*Endocardial Solutions, Inc........................... 13,200 109,725
*Endosonics Corp...................................... 19,400 82,753
Energen Corp.......................................... 36,100 798,712
*Energy Biosystems Corp............................... 7,214 62,897
*Energy Conversion Devices, Inc....................... 13,900 253,675
Energy West, Inc...................................... 200 1,581
Energynorth, Inc...................................... 4,300 253,700
Energysouth, Inc...................................... 5,300 102,687
Enesco Group, Inc..................................... 17,500 70,000
Engineered Support Systems, Inc....................... 9,000 113,625
*Engineering Animation, Inc........................... 13,800 132,178
*Engineering Measurements Co.......................... 1,250 7,734
Engle Homes, Inc...................................... 14,300 137,191
Enhance Financial Services Group, Inc................. 41,900 576,125
*Enlighten Software Solutions, Inc.................... 1,600 4,750
Ennis Business Forms, Inc............................. 21,300 157,087
*Enserch Exploration Corp............................. 42,400 217,300
*Entrade, Inc......................................... 16,400 105,575
*Entremed, Inc........................................ 16,900 369,159
*Envirogen, Inc....................................... 616 1,829
*Environmental Elements Corp.......................... 9,200 12,650
*Environmental Technologies Corp...................... 3,700 50,875
*Environmental Tectonics Corp......................... 8,900 84,550
*Enzo Biochem, Inc.................................... 7,340 258,735
*EP Medsystems, Inc................................... 10,200 47,175
*Epicor Software Corp................................. 50,642 181,995
*Epimmune, Inc........................................ 9,500 52,844
*Epitope, Inc......................................... 17,100 177,947
*EPIX Medical, Inc.................................... 11,700 161,241
*ePlus, Inc........................................... 4,400 88,687
*ePresence, Inc....................................... 28,900 242,037
*Equimed Inc Nevis.................................... 2,250 0
*Equinox Systems, Inc................................. 7,000 40,687
*Equity Marketing, Inc................................ 8,100 82,012
*Equity Oil Co........................................ 10,200 20,878
*Ergo Science Corp.................................... 15,700 19,380
ESB Financial Corp.................................... 4,840 50,517
*Escalon Medical Corp................................. 3,200 5,300
*Esco Electronics Corp................................ 13,700 241,462
*eShare Communications, Inc........................... 23,500 138,062
Eskimo Pie Corp....................................... 3,100 30,516
Espey Manufacturing & Electronics Corp................ 400 5,750
*ESS Technology, Inc.................................. 45,800 602,556
*Esterline Technologies Corp.......................... 19,100 260,237
Ethan Allen Interiors, Inc............................ 31,500 732,375
Ethyl Corp............................................ 104,000 266,500
E'town Corp........................................... 11,300 749,331
*European Micro Holdings, Inc......................... 4,400 28,600
*Evans & Sutherland Computer Corp..................... 12,100 95,666
*Evans Systems, Inc................................... 4,000 1,812
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Evercel, Inc......................................... 1,666 $ 23,740
*Evergreen Resources, Inc............................. 16,400 450,487
*Evolving Systems, Inc................................ 13,400 52,344
*Exabyte Corp......................................... 27,300 115,172
*Exactech, Inc........................................ 6,500 95,875
*Exar Corp............................................ 6,100 418,803
*Excalibur Technologies Corp.......................... 18,700 538,794
*Excel Legacy Corp.................................... 40,200 115,575
*Excel Technology, Inc................................ 15,100 476,594
*eXcelon Corp......................................... 32,400 212,625
*Excelsior-Henderson Motorcycle Manufacturing Co...... 5,200 624
Exide Corp............................................ 24,200 205,700
*Exponent, Inc........................................ 8,700 68,241
*Extended Stay America, Inc........................... 79,300 713,700
*Extended Systems, Inc................................ 12,300 396,675
Ezcorp, Inc. Class A Non-Voting....................... 11,900 26,031
*E-Z-Em, Inc. Class A................................. 5,400 37,125
*E-Z-Em, Inc. Class B................................. 4,462 28,724
*Ezenia! Inc.......................................... 16,300 73,350
F & M Bancorp (MD).................................... 8,462 146,234
F & M National Corp................................... 27,400 649,037
F.N.B. Corp........................................... 23,205 424,942
Fab Industries, Inc................................... 6,900 69,000
*Factory 2-U Stores, Inc.............................. 15,200 530,575
*Factual Data Corp.................................... 5,400 45,225
Fair, Isaac & Co., Inc................................ 18,300 770,887
*Fairchild Corp. Class A.............................. 35,152 166,972
*Fairfield Communities, Inc........................... 50,400 425,250
Falcon Products, Inc.................................. 11,300 111,587
*Family Golf Centers, Inc............................. 25,550 7,984
*Famous Dave's of America, Inc........................ 2,400 8,137
*Fansteel, Inc........................................ 8,700 34,800
*Farm Family Holdings, Inc............................ 4,700 126,900
Farmer Brothers Co.................................... 2,400 402,000
*Faro Technologies, Inc............................... 13,600 36,975
*Faroudja, Inc........................................ 11,900 37,931
Farrel Corp........................................... 3,400 5,525
*Fatbrain.com, Inc.................................... 12,600 83,278
FBL Financial Group, Inc. Class A..................... 35,500 519,187
FCNB Corp............................................. 11,977 145,595
*Featherlite Manufacturing, Inc....................... 6,500 22,547
Fedders Corp.......................................... 20,700 125,494
Fedders Corp. Class A................................. 7,700 43,312
Federal Screw Works................................... 1,800 74,925
*FEI Co............................................... 30,200 546,431
*Female Health Co..................................... 9,300 5,812
Ferro Corp............................................ 33,500 741,187
FFLC Bancorp.......................................... 4,600 58,937
FFY Financial Corp.................................... 8,900 98,456
*Fibermark, Inc....................................... 8,800 91,850
*Fiberstars, Inc...................................... 5,200 40,787
Fidelity Bancorp, Inc. Delaware....................... 2,600 45,662
Fidelity Bankshares, Inc.............................. 6,800 105,825
*Fidelity Federal Bancorp............................. 2,500 4,844
*Fidelity Holdings, Inc............................... 21,900 55,434
Fidelity National Corp................................ 11,400 70,894
Fidelity National Financial, Inc...................... 30,800 477,400
*Fieldworks, Inc...................................... 8,900 9,178
*Filenet Corp......................................... 29,000 609,906
*Film Roman, Inc...................................... 4,700 5,214
*Financial Federal Corp............................... 16,300 289,325
*Finish Line, Inc. Class A............................ 20,800 144,300
</TABLE>
16
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THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Finishmaster, Inc.................................... 800 $ 4,350
*Finlay Enterprises, Inc.............................. 13,500 153,984
First Albany Companies, Inc........................... 6,244 116,301
*First American Health Concepts, Inc.................. 1,600 4,200
*First Aviation Services, Inc......................... 6,200 41,462
First Bancorp......................................... 600 9,750
First Bell Bancorp, Inc............................... 6,600 94,256
*First Cash, Inc...................................... 9,400 39,656
First Charter Corp.................................... 19,780 315,862
First Citizens Bancshares, Inc. NC.................... 1,300 78,406
First Commonwealth Financial Corp..................... 63,900 623,025
*First Consulting Group, Inc.......................... 26,544 206,545
First Defiance Financial Corp......................... 6,959 57,629
First Essex Bancorp................................... 9,800 161,394
First Federal Bancshares of Arkansas, Inc............. 4,400 66,550
First Federal Capital Corp............................ 18,500 197,141
First Federal of East Hartford........................ 2,000 57,750
First Financial Bankshares, Inc....................... 12,813 375,581
*First Financial Corp................................. 1,275 41,437
First Financial Holdings, Inc......................... 14,700 230,147
First Franklin Corp................................... 300 2,709
First Georgia Holdings, Inc........................... 1,012 4,744
First Indiana Corp.................................... 16,400 286,487
First International Bancorp, Inc...................... 10,700 90,616
*First Investors Financial Services Group, Inc........ 6,000 28,312
First Keystone Financial, Inc......................... 2,000 20,250
First Mariner Bank Corp............................... 3,200 20,600
First Merchants Corp.................................. 14,100 300,506
First Midwest Financial, Inc.......................... 2,500 24,766
First Mutual Bancshares, Inc.......................... 3,768 37,444
First Niagara Financial Group, Inc.................... 19,800 181,294
First Northern Capital Corp........................... 11,100 148,116
First Oak Brook Bancshares, Inc. Class A.............. 2,100 31,434
*First Republic Bank.................................. 11,900 200,812
First Savings Bancorp, Inc. North Carolina............ 4,500 81,000
First SecurityFed Financial, Inc...................... 5,400 61,425
First Sentinel Bancorp, Inc........................... 47,400 369,572
First Source Corp..................................... 24,700 443,828
*First Team Sports, Inc............................... 5,900 12,630
First United Bancshares, Inc.......................... 5,000 84,531
First United Corp..................................... 2,800 32,900
First Washington Bancorp, Inc......................... 12,300 177,966
First Years, Inc...................................... 13,300 123,441
FirstBank NW Corp..................................... 1,600 16,200
*FirstCity Financial Corp............................. 8,300 18,156
Firstfed America Bancorp, Inc......................... 6,300 73,237
*FirstFed Financial Corp. DE.......................... 20,100 270,094
Firstspartan Financial Corp........................... 3,400 59,500
*Firstwave Technologies, Inc.......................... 7,500 26,602
*Fischer Imaging Corp................................. 9,100 24,456
Flag Financial Corp................................... 6,500 34,328
Flagstar Bancorp, Inc................................. 13,700 128,866
Flamemaster Corp...................................... 247 2,231
*Flander Corp......................................... 25,600 91,200
Fleetwood Enterprises, Inc............................ 35,900 511,575
Fleming Companies, Inc................................ 43,100 606,094
Flexsteel Industries, Inc............................. 8,300 107,122
*flightserv.com....................................... 34,400 43,000
*Flir Systems, Inc.................................... 17,150 118,978
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Flooring America, Inc................................ 21,000 $ 57,750
*Florida Banks, Inc................................... 6,000 31,312
Florida Public Utilities Co........................... 3,600 52,650
Florida Rock Industries, Inc.......................... 24,000 949,500
*Florsheim Group, Inc................................. 8,400 20,737
*Flour City International, Inc........................ 4,900 14,087
*Flow International Corp.............................. 17,700 183,084
Flowserve Corp........................................ 43,900 702,400
Flushing Financial Corp............................... 12,400 179,025
FNB Financial Services Corp........................... 2,100 25,725
*Foamex International, Inc............................ 20,500 108,266
*Focal, Inc........................................... 18,500 69,953
*Foilmark, Inc........................................ 10,300 39,591
*Foodarama Supermarkets, Inc.......................... 1,400 37,800
Foothill Independent Bancorp.......................... 7,400 71,687
*Footstar, Inc........................................ 22,900 821,537
Forest City Enterprises, Inc. Class A................. 2,700 79,987
Forest City Enterprises, Inc. Class B................. 3,000 94,500
*Forest Oil Corp...................................... 64,540 1,028,606
*Forrester Resh, Inc.................................. 7,400 438,681
*Fortel, Inc.......................................... 13,800 28,247
*Forward Air Corp., Inc............................... 22,750 728,000
*Fossil, Inc.......................................... 35,300 706,000
*Foster (L.B.) Co. Class A............................ 10,000 33,437
Foster Wheeler Corp................................... 44,800 378,000
*Fotoball USA, Inc.................................... 3,100 12,787
*Fountain Powerboat Industries, Inc................... 6,100 14,678
*Four Kids Entertainment, Inc......................... 15,400 283,937
*Fourth Shift Corp.................................... 13,800 59,297
*FPIC Insurance Group, Inc............................ 10,400 134,225
Frankfort First Bancorp, Inc.......................... 850 10,094
Franklin Bank National Associaton Southfield, MI...... 3,789 32,680
*Franklin Covey Co.................................... 20,300 157,325
Franklin Electric Co., Inc............................ 7,000 487,594
*Franklin Electronic Publishers, Inc.................. 7,300 47,450
Freds, Inc. Class A................................... 15,500 265,437
Fremont General Corp.................................. 71,900 314,562
*French Fragrances, Inc............................... 15,200 116,850
Frequency Electronics, Inc............................ 10,300 175,100
*Fresh America Corp................................... 4,900 10,719
*Fresh Choice, Inc.................................... 7,400 26,709
*Fresh Foods, Inc..................................... 7,600 22,325
*Friede Goldman International......................... 47,873 403,928
*Friedman Billings Ramsey Group, Inc. Class A......... 13,100 83,512
Friedman Industries, Inc.............................. 4,305 13,991
Friedmans, Inc. Class A............................... 16,000 96,500
*Friendly Ice Cream Corp.............................. 7,500 35,859
Frisch's Restaurants, Inc............................. 7,000 68,250
*Fritz Companies, Inc................................. 42,100 438,103
Frontier Adjusters of America, Inc.................... 1,000 3,937
*Frontier Airlines, Inc............................... 23,000 303,312
Frontier Insurance Group, Inc......................... 36,990 43,926
*Frontier Oil Corp.................................... 35,100 245,700
Frozen Food Express Industries, Inc................... 17,907 45,327
FSF Financial Corp.................................... 2,800 34,650
*FSI International, Inc............................... 32,600 469,644
*FTI Consulting, Inc.................................. 6,800 63,750
*FuelCell Energy, Inc................................. 6,550 284,106
Fuller (H.B.) Co...................................... 12,600 487,462
*Funco, Inc........................................... 6,000 147,562
*Furr's/Bishop's, Inc................................. 2,700 7,762
</TABLE>
17
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Fusion Medical Technologies, Inc..................... 13,000 $ 166,156
*FVC.COM, Inc......................................... 18,400 103,500
*FX Energy, Inc....................................... 10,000 75,625
*FYI, Inc............................................. 18,800 615,700
G & K Services, Inc. Class A.......................... 20,900 523,153
GA Financial, Inc..................................... 5,700 66,975
*Gadzooks, Inc........................................ 11,600 165,300
Gainsco, Inc.......................................... 23,811 125,008
*Galagen, Inc......................................... 11,400 22,087
*Galey & Lord, Inc.................................... 14,600 35,587
*GameTech International, Inc.......................... 11,700 74,587
Garan, Inc............................................ 6,900 141,450
*Garden Fresh Restaurant Corp......................... 7,300 79,387
*Gardenburger, Inc.................................... 8,700 47,306
*Gardner Denver Machinery, Inc........................ 19,800 346,500
*Gart Sports Co....................................... 676 3,845
*Gasonics International, Inc.......................... 17,150 467,337
*Gaylord Container Corp. Class A...................... 60,300 241,200
GBC Bancorp........................................... 14,900 427,909
*GC Companies, Inc.................................... 10,100 267,019
*Geerling & Wade, Inc................................. 5,000 17,812
*Gehl Co.............................................. 7,200 128,925
*Geltex Pharmaceuticals, Inc.......................... 25,700 500,347
*Gencor Industries, Inc............................... 5,100 32,194
Gencorp, Inc.......................................... 50,200 492,587
*Gene Logic, Inc...................................... 27,900 590,259
*Genelabs Technologies, Inc........................... 45,700 154,952
General Binding Corp.................................. 16,000 120,000
General Cable Corp.................................... 41,600 345,800
*General Chemical Group, Inc.......................... 15,100 14,628
*General Communications, Inc. Class A................. 49,600 238,700
*General Datacomm Industries, Inc..................... 25,700 101,194
General Employment Enterprises, Inc................... 6,600 23,100
*General Magic, Inc................................... 49,500 130,711
General Magnaplate Corp............................... 400 950
*General Semiconductor, Inc........................... 41,500 653,625
*Genesco, Inc......................................... 26,000 401,375
*Genesee & Wyoming, Inc............................... 3,100 56,769
Genesee Corp. Class B................................. 200 3,737
*Genesis Health Ventures, Inc......................... 31,700 11,887
Genesis Worldwide, Inc................................ 3,400 3,400
*Geneva Steel Co. Class A............................. 11,900 4,462
*Genlyte Group, Inc................................... 17,700 360,084
*Genome Therapeutics Corp............................. 26,700 414,684
*Genrad, Inc.......................................... 32,800 239,850
*GenStar Therapeutics Corporation..................... 2,100 9,712
*Gensym Corp.......................................... 8,100 29,489
Gentek, Inc........................................... 22,200 299,700
*Gentiva Health Services.............................. 13,950 121,627
*Genus, Inc........................................... 20,100 110,550
*Genzyme Transgenics Corp............................. 31,300 580,028
Geon Co............................................... 26,100 561,150
Georgia Gulf Corp..................................... 20,000 500,000
*Geoworks............................................. 19,900 214,547
*Gerald Stevens, Inc.................................. 53,800 105,919
*Gerber Childrenswear, Inc............................ 10,000 52,500
Gerber Scientific, Inc................................ 28,800 345,600
*Geron Corp........................................... 23,500 425,203
*Getty Petroleum Marketing, Inc....................... 13,900 50,387
Getty Realty Corp. (Holding Co.)...................... 13,600 152,150
*Giant Group, Ltd..................................... 2,200 1,409
*Giant Industries, Inc................................ 11,800 103,987
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Gibraltar Steel Corp.................................. 16,300 $ 258,253
*Giga Information Group, Inc.......................... 10,000 49,062
*Giga-Tronics, Inc.................................... 5,600 42,350
*G-III Apparel Group, Ltd............................. 6,700 30,987
*Gilman & Ciocia, Inc................................. 9,900 52,903
*Gish Biomedical, Inc................................. 2,700 5,822
Glacier Bancorp, Inc.................................. 3,627 46,358
*Glacier Water Services, Inc.......................... 3,600 43,650
Glatfelter (P.H.) Co.................................. 46,600 550,462
*Glenayre Technologies, Inc........................... 35,900 295,053
*Gliatech, Inc........................................ 9,900 185,316
*Global Imaging Systems, Inc.......................... 21,100 191,219
*Global Payment Technologies, Inc..................... 5,500 34,375
*Global Sources, Ltd.................................. 1,669 46,054
*Global Sports, Inc................................... 22,100 120,169
*Global Technologies, Ltd............................. 10,700 39,791
*Global Vacation Group, Inc........................... 16,300 41,769
*Globe Business Resources, Inc........................ 6,200 79,244
*Globecomm Systems, Inc............................... 15,100 164,684
Gold Banc Corp........................................ 41,800 236,431
Golden Enterprises, Inc............................... 12,200 38,125
*Golden State Vintners, Inc........................... 4,600 22,137
*Good Guys, Inc....................................... 24,400 65,575
*Goodrich Petroleum Corp.............................. 6,500 27,625
*Goodys Family Clothing............................... 33,300 182,109
Gorman-Rupp Co........................................ 7,975 139,064
*Gottschalks, Inc..................................... 13,100 66,319
*Government Technology Services, Inc.................. 9,300 28,191
*GP Strategies Corp................................... 10,960 41,785
Graco, Inc............................................ 22,500 721,406
*Gradco Systems, Inc.................................. 9,600 17,850
*Graham Corp.......................................... 1,000 7,625
*Grand Union Co....................................... 10,200 8,606
Granite Construction, Inc............................. 27,000 703,687
Granite State Bankshares, Inc......................... 7,400 122,100
*Graphic Packaging International Corp................. 34,200 117,562
Gray Communications Systems, Inc...................... 8,700 98,419
*Great Plains Software................................ 9,700 404,369
Great Southern Bancorp, Inc........................... 5,400 90,787
Greater Bay Bancorp................................... 14,458 662,809
*Green Mountain Coffee, Inc........................... 3,100 55,800
Green Mountain Power Corp............................. 7,000 55,562
*Greenbriar Corp...................................... 6,760 10,140
Greenbrier Companies, Inc............................. 15,600 118,950
Grey Advertising, Inc................................. 200 93,200
*Grey Wolf, Inc....................................... 186,700 933,500
*Griffin Land & Nurseries, Inc. Class A............... 2,200 29,700
*Griffon Corp......................................... 33,400 202,487
*Gristede's Sloans, Inc............................... 1,200 2,400
*Group 1 Automotive, Inc.............................. 24,600 282,900
*Group 1 Software, Inc................................ 8,025 146,958
*Grow Biz International, Inc.......................... 3,800 18,525
*Grubb & Ellis Co..................................... 23,700 131,831
*GSV, Inc............................................. 9,500 4,750
*GT Interactive Software Corp......................... 113,500 237,641
*Gtech Holdings, Inc.................................. 22,000 485,375
*GTS Duratek, Inc..................................... 17,300 140,562
*Guaranty Bancshares, Inc............................. 3,900 39,975
Guaranty Federal Bancshares, Inc...................... 5,200 51,837
*Guess, Inc........................................... 33,650 513,162
*Guest Supply, Inc.................................... 8,100 142,256
Guilford Mills, Inc................................... 27,250 178,828
</TABLE>
18
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Guilford Pharmaceuticals, Inc........................ 27,700 $ 386,069
*Guitar Center, Inc................................... 28,600 366,437
*Gulf Island Fabrication, Inc......................... 11,600 201,187
*Gulfmark Offshore, Inc............................... 10,500 226,406
*Gumtech International, Inc........................... 11,400 125,044
*Gundle/SLT Environmental, Inc........................ 13,700 42,812
*Gymboree Corp........................................ 30,300 84,745
*GZA Geoenvironmental Technologies, Inc............... 1,700 10,412
*Hadco Corp........................................... 11,900 1,050,175
*Haemonetics Corp..................................... 28,100 602,394
Haggar Corp........................................... 8,600 99,706
*Hagler Bailly, Inc................................... 19,900 36,069
*Hahn Automotive Warehouse, Inc....................... 2,163 2,298
*Hain Celestial Group, Inc............................ 35,588 1,048,749
*Halifax Corp......................................... 1,000 5,187
*Hall Kinion Associates, Inc.......................... 12,700 324,644
Hallmark Capital Corp................................. 3,400 28,900
*Ha-Lo Industries, Inc................................ 53,800 299,262
*Halsey Drug Co., Inc................................. 12,200 13,725
*Hamilton Bancorp, Inc................................ 10,100 173,594
*Hammons (John Q.) Hotels, Inc. Class A............... 7,800 32,175
*Hampshire Group, Ltd................................. 2,000 16,000
*Hampton Industries, Inc.............................. 4,944 9,270
Hancock Fabrics, Inc.................................. 22,100 103,594
Hancock Holding Co.................................... 13,810 438,467
*Handleman Co......................................... 34,900 340,275
*Hanger Orthopedic Group, Inc......................... 31,900 153,519
*Hanover Direct, Inc.................................. 220,600 344,687
*Harbinger Corp....................................... 30,800 462,000
Harbor Federal Bancorp, Inc........................... 770 13,379
Harbor Florida Bancshares, Inc........................ 29,300 310,397
*Harding Lawson Associates Group, Inc................. 6,600 74,869
Hardinge Brothers, Inc................................ 11,700 112,978
*Harken Energy Corp................................... 110,500 82,875
Harland (John H.) Co.................................. 31,000 476,625
Harleysville Group, Inc............................... 31,900 540,306
Harleysville National Corp. PA........................ 10,200 302,494
Harmon Industries, Inc................................ 14,700 196,612
*Harnischfeger Industries, Inc........................ 37,800 16,632
*Harolds Stores, Inc.................................. 2,308 5,770
Harris Financial, Inc................................. 37,400 231,412
*Harry's Farmers Market, Inc. Class A................. 2,100 2,362
*Hartmarx Corp........................................ 44,900 101,025
*Harvard Industries, Inc.............................. 2,500 11,328
*Harvey Entertainment Co.............................. 5,400 16,537
*Hastings Entertainment, Inc.......................... 11,700 15,539
Hastings Manufacturing Co............................. 700 6,366
*Hathaway Corp........................................ 2,900 10,331
*Hauppauge Digital, Inc............................... 11,300 96,403
*Hauser, Inc.......................................... 5,050 6,944
Haven Bancorp, Inc.................................... 11,700 209,869
Haverty Furniture Co., Inc............................ 16,200 182,250
Haverty Furniture Co., Inc. Class A................... 400 4,700
*Hawaiian Airlines, Inc............................... 40,900 102,250
*Hawk Corp............................................ 9,600 65,400
*Hawker Pacific Aerospace............................. 7,500 42,187
Hawkins Chemical, Inc................................. 13,800 108,675
*Hawthorne Financial Corp............................. 7,200 58,500
*Hayes Lemmerz International, Inc..................... 33,300 480,769
HCC Insurance Holdings, Inc........................... 49,900 851,419
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*HD Vest, Inc......................................... 3,000 $ 18,281
*Headway Corporate Resources, Inc..................... 14,700 46,856
*Health Management Systems, Inc....................... 20,625 85,400
*Health Power, Inc.................................... 1,900 8,431
*Health Risk Management, Inc.......................... 5,300 30,806
*Health Systems Design Corp........................... 8,700 48,937
*HealthAxis, Inc...................................... 14,200 74,994
*Healthcare Recoveries, Inc........................... 14,600 50,872
*Healthcare Services Group, Inc....................... 13,050 58,725
*Healthcare.com Corp.................................. 32,500 83,281
*Healthcor Holdings................................... 3,000 105
*HealthGrades.com, Inc................................ 8,700 10,059
Healthplan Services Corp.............................. 15,729 38,339
*Heartland Express, Inc............................... 35,976 635,201
*Heartport, Inc....................................... 29,200 92,162
*Hearx, Ltd........................................... 12,000 47,250
*HeavenlyDoor.com, Inc................................ 347 553
*Hecla Mining Co...................................... 53,300 56,631
*Hector Communications Corp........................... 4,600 58,650
*HEI, Inc............................................. 6,100 73,962
Heico Corp............................................ 11,000 144,375
Heico Corp. Class A................................... 2,507 32,591
Heilig-Meyers Co...................................... 64,750 109,266
*Hello Direct, Inc.................................... 6,800 84,575
*Hemasure, Inc........................................ 6,600 15,262
*Hemispherx Biopharma, Inc............................ 31,600 183,675
Henry Jack & Associates, Inc.......................... 1,096 47,642
Herbalife International, Inc. Class A................. 8,800 76,450
Herbalife International, Inc. Class B................. 12,200 93,025
Heritage Financial Corp............................... 12,400 98,037
*Herley Industries, Inc............................... 6,000 97,125
*Heska Corp........................................... 35,000 71,094
*Hexcel Corp.......................................... 40,200 311,550
HF Financial Corp..................................... 6,100 52,803
*HI/FN, Inc........................................... 11,400 330,956
*Hibbett Sporting Goods, Inc.......................... 6,500 126,141
*Hickory Tech Corp.................................... 10,400 136,500
*High Plains Corp..................................... 15,900 35,775
*Highlands Insurance Group, Inc....................... 15,400 111,650
Hilb Rogal Hamilton Co................................ 14,400 450,900
*Hines Horticulture, Inc.............................. 24,300 161,747
*Hirsch International Corp. Class A................... 5,500 7,734
*Hi-Shear Industries, Inc............................. 500 1,211
*Hi-Shear Technology Corp............................. 8,600 17,200
*Hi-Tech Pharmacal, Inc............................... 4,400 17,119
*HMI Industries, Inc.................................. 5,400 7,931
HMN Financial, Inc.................................... 6,000 67,875
*HMT Technology Corp.................................. 53,700 92,297
*Hoenig Group, Inc.................................... 10,600 98,381
*Holiday RV Superstores, Inc.......................... 9,400 39,362
*Hollis-Eden Pharmaceuticals, Inc..................... 12,200 109,037
Holly Corp............................................ 10,700 107,000
*Hollywood Casino Corp. Class A....................... 27,400 138,712
*Hollywood Entertainment Corp......................... 54,900 378,295
*Hologic, Inc......................................... 17,800 102,350
*Holt's Cigar Holdings, Inc........................... 1,122 6,206
Home Bancorp.......................................... 1,700 25,128
Home Federal Bancorp.................................. 6,100 100,269
Home Loan Financial Corp.............................. 2,400 15,900
Home Port Bancorp, Inc................................ 600 14,550
*Home Products International, Inc..................... 9,400 40,537
*Homebase, Inc........................................ 46,050 86,344
*Homegold Financial, Inc.............................. 7,700 6,978
</TABLE>
19
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Homeland Holding Corp................................ 3,000 $ 11,812
*Homestead Village, Inc............................... 34,400 139,750
HopFed Bancorp, Inc................................... 2,100 21,459
Horace Mann Educators Corp............................ 49,200 836,400
Horizon Financial Corp................................ 9,453 88,326
*Horizon Health Corp.................................. 6,700 40,619
*Horizon Medical Products, Inc........................ 7,400 15,725
*Horizon Offshore, Inc................................ 20,700 233,522
*Horizon Organic Holding Corp......................... 10,700 102,987
*Horizon Pharmacies, Inc.............................. 7,600 28,500
*Hot Topic, Inc....................................... 9,800 250,206
*Hotelworks.com, Inc.................................. 16,100 6,037
*HotJobs.com, Ltd..................................... 34,800 403,462
*Houston Exploration Co............................... 26,300 657,500
*Hovnanian Enterprises, Inc. Class A.................. 16,100 88,550
*Hovnanian Enterprises, Inc. Class B.................. 1,150 6,325
Howell Corp........................................... 2,100 19,556
*Howtek, Inc.......................................... 3,600 6,806
*HPSC, Inc............................................ 2,100 19,819
*HS Resources, Inc.................................... 20,700 694,744
HSB Group, Inc........................................ 17,700 514,406
*HTE, Inc............................................. 19,100 19,398
*Hub Group, Inc. Class A.............................. 9,100 115,172
*Hudson Hotels Corp................................... 3,100 3,148
Hudson River Bancorp, Inc............................. 15,900 155,522
*Hudson Technologies, Inc............................. 6,600 13,819
Huffy Corp............................................ 12,500 40,625
Hughes Supply, Inc.................................... 25,900 492,100
Hunt (J.B.) Transport Services, Inc................... 39,200 633,325
Hunt Corp............................................. 12,900 129,806
*Huntco, Inc. Class A................................. 4,900 15,006
*Hurco Companies, Inc................................. 6,200 27,125
Hussmann International, Inc........................... 31,400 906,675
*Hutchinson Technology, Inc........................... 27,200 320,450
*Hvide Marine, Inc. Class A........................... 7,000 0
*Hycor Biomedical, Inc................................ 9,500 47,500
*Hypercom Corp........................................ 36,500 456,250
*HyperFeed Technologies, Inc.......................... 12,000 35,250
*Hyperion Solutions Corp.............................. 23,935 752,457
*Hyseq, Inc........................................... 14,600 338,081
*I.C. Isaacs & Co., Inc............................... 7,200 11,925
Iberiabank Corp....................................... 8,500 126,969
*Ibis Technology Corp................................. 6,100 219,219
*Ico, Inc............................................. 14,320 23,494
*ICT Group, Inc....................................... 13,000 91,406
*ICU Medical, Inc..................................... 10,700 200,959
*Identix, Inc......................................... 34,100 439,037
*IDEXX Laboratories, Inc.............................. 29,700 737,859
*IDG Books Worldwide, Inc............................. 14,300 128,253
*IDT Corp............................................. 23,200 756,175
*IDX Systems Corp..................................... 33,800 500,662
*IEC Electronics Corp................................. 8,100 15,441
*IFR Systems, Inc..................................... 10,700 61,191
*IGEN, Inc............................................ 17,000 225,781
*IGI, Inc............................................. 9,600 13,800
*Igo Corp............................................. 5,000 18,750
*IHOP Corp............................................ 22,100 389,512
*II-VI, Inc........................................... 6,200 238,312
*Ikos Systems, Inc.................................... 10,900 92,820
*Il Fornaio (America) Corp............................ 5,800 50,025
*ilife.com, Inc....................................... 7,000 14,219
*Image Entertainment, Inc............................. 18,800 74,612
*Imatron, Inc......................................... 110,800 230,256
<CAPTION>
SHARES VALUE+
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IMCO Recycling, Inc................................... 18,200 $ 121,712
*Immucor, Inc......................................... 9,300 74,691
*Immune Response Corp. DE............................. 31,100 209,439
*Immunogen, Inc....................................... 35,300 243,791
*Immunomedics, Inc.................................... 38,000 471,437
*Impath, Inc.......................................... 11,300 614,791
*Impco Technologies, Inc.............................. 9,500 272,531
*Imperial Credit Industries, Inc...................... 41,790 146,265
Imperial Sugar Co..................................... 37,251 51,220
*Impreso.com, Inc..................................... 5,300 21,697
*IMR Global Corp...................................... 42,400 700,925
*In Focus Systems, Inc................................ 25,300 706,028
*In Home Health, Inc.................................. 6,100 12,486
*Inacom Corp.......................................... 50,244 8,541
Independence Community Bank Corp...................... 1,040 13,910
Independence Holding Co............................... 2,500 30,937
Independent Bank Corp. MA............................. 15,600 194,512
Independent Bank East................................. 14,500 189,406
*Individual Investor Group, Inc....................... 12,700 26,392
*Indus International, Inc............................. 44,200 262,437
Industrial Bancorp, Inc............................... 4,100 46,637
*Industrial Data Systems Corp......................... 5,000 5,625
*Industrial Distribution Group, Inc................... 9,700 23,037
*Industrial Holdings, Inc............................. 13,000 15,031
*Industri-Matematik International Corp................ 33,100 173,775
*Inference Corp. Class A.............................. 8,500 52,594
*Infinium Software, Inc............................... 16,000 51,500
*Infocure Corp........................................ 34,400 149,425
*Infonautics Corp. Class A............................ 8,500 34,797
*Information Architects Corp.......................... 31,400 218,819
*Information Management Associates, Inc............... 9,700 42,437
*Information Resource Engineering, Inc................ 8,600 123,087
*Information Resources, Inc........................... 31,500 156,516
*infoUSA, Inc......................................... 54,800 275,712
*Infu-tech, Inc....................................... 2,000 4,156
*Ingenuus Corp........................................ 29,700 43,622
Ingles Market, Inc. Class A........................... 12,000 118,500
*Innerdyne, Inc....................................... 24,400 135,725
*Innodata Corp........................................ 1,800 11,137
*Innotrac Corp........................................ 15,300 75,544
*Innovative Clinical Solutions, Ltd................... 30,000 5,250
*Innovative Gaming Corp. of America................... 8,300 6,095
*Innoveda, Inc........................................ 19,700 88,034
Innovex, Inc.......................................... 19,200 165,000
*Inprise Corp......................................... 57,800 322,416
*Input/Output, Inc.................................... 55,800 439,425
*Insight Enterprises, Inc............................. 10,262 465,959
*Insignia Financial Group, Inc........................ 28,733 325,042
*Insilco Holding Co................................... 192 5,184
*Insite Vision, Inc................................... 22,300 87,806
*Insituform East, Inc................................. 1,700 2,284
*Insituform Technologies, Inc. Class A................ 14,910 515,793
*Inso Corp............................................ 19,000 67,094
*Inspire Insurance Solutions, Inc..................... 24,550 85,158
Insteel Industries, Inc............................... 6,800 39,100
*Insurance Auto Auctions, Inc......................... 15,000 291,094
*Insurance Management Solutions, Inc.................. 16,600 26,716
*Integ, Inc........................................... 9,700 16,823
Integra Bank Corp..................................... 18,494 366,412
</TABLE>
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<TABLE>
<CAPTION>
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*Integra Lifesciences Corp............................ 21,200 $ 149,725
*Integra, Inc......................................... 5,900 3,687
*Integral Vision, Inc................................. 11,700 20,475
*IntegraMed America, Inc.............................. 4,300 13,437
*Integrated Electrical Services, Inc.................. 39,300 194,044
*Integrated Measurement System, Inc................... 10,100 150,237
*Integrated Silicon Solution, Inc..................... 26,200 776,994
*INTELFILM Corp....................................... 8,300 21,787
*Intellicall, Inc..................................... 8,900 7,231
*Intellidata Technologies Corp........................ 42,600 259,594
Intelligent Systems Corp.............................. 5,800 24,650
*Intelligroup, Inc.................................... 18,000 170,719
*Inter Parfums, Inc................................... 10,200 119,850
*InterCept Group, Inc................................. 14,300 243,547
Interchange Financial Services Corp................... 8,400 107,100
*InterDent, Inc....................................... 21,700 69,169
*Interdigital Communications Corp..................... 20,300 326,703
*Interface Systems, Inc............................... 6,000 42,187
Interface, Inc. Class A............................... 48,500 212,187
*Interferon Scientific, Inc........................... 2,435 3,082
*Intergraph Corp...................................... 54,400 304,300
*Interlink Electronics................................ 14,400 312,300
*Interlinq Software Corp.............................. 6,200 17,437
*Interlogix, Inc...................................... 8,500 187,531
*Interlott Technologies, Inc.......................... 4,100 24,087
*Intermagnetics General Corp.......................... 17,200 195,650
Intermet Corp......................................... 25,700 177,089
*International Aircraft Investors..................... 4,200 21,525
International Aluminum Corp........................... 2,100 30,581
*International FiberCom, Inc.......................... 33,500 480,516
*International Microcomputer Software, Inc............ 5,100 3,366
International Multifoods Corp......................... 20,600 287,113
*International Remote Imaging Systems, Inc............ 10,100 14,519
International Shipholding Corp........................ 7,900 60,238
*International Speciality Products, Inc............... 75,700 411,619
*International Total Services, Inc.................... 5,600 5,600
*Interneuron Pharmaceuticals, Inc..................... 50,800 78,581
*Interphase Corp...................................... 7,500 105,938
*Interplay Entertainment Corp......................... 25,100 44,709
Interpool, Inc........................................ 33,050 264,400
*Interpore International.............................. 17,800 136,003
*Interstate National Dealers Services, Inc............ 5,100 27,731
*Intertan, Inc........................................ 33,300 351,731
Inter-Tel, Inc........................................ 28,900 407,309
*Intervisual Books, Inc. Class A...................... 1,000 1,438
*Intervoice, Inc...................................... 35,200 497,200
Interwest Bancorp..................................... 17,300 263,284
*Intest Corp.......................................... 4,400 64,075
*Intevac, Inc......................................... 15,300 47,813
*IntraNet Solutions, Inc.............................. 21,800 429,188
Invacare Corp......................................... 31,100 769,725
*Inverness Medical Technology, Inc.................... 26,700 206,925
Investors Financial Services Corp..................... 10,198 827,950
Investors Title Co.................................... 1,400 15,400
*Invision Technologies, Inc........................... 12,200 49,181
*Invivo Corp.......................................... 5,600 56,350
*Iomed, Inc........................................... 6,200 34,100
*Ion Networks, Inc.................................... 10,500 63,492
*Ionics, Inc.......................................... 17,800 511,750
*IRI International Corp............................... 39,900 356,606
<CAPTION>
SHARES VALUE+
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*Iridex Corp.......................................... 8,600 $ 73,100
*Iron Mountain, Inc................................... 11,520 420,480
Iroquois Bancorp...................................... 400 13,038
Irwin Financial Corp.................................. 27,300 393,291
*Isco, Inc............................................ 14,735 66,077
*Isis Pharmaceuticals, Inc............................ 35,900 334,319
*Isle of Capri Casinos, Inc........................... 33,200 453,388
*Isolyser Co., Inc.................................... 46,010 162,473
*I-Stat Corp.......................................... 20,000 293,125
*IT Group, Inc ....................................... 28,080 163,215
*ITC Learning Corp.................................... 3,800 9,381
*ITEQ, Inc............................................ 25,354 14,262
*ITLA Capital Corp.................................... 9,200 120,175
*Itron, Inc........................................... 19,500 90,797
*ITT Educational Services, Inc........................ 31,900 530,338
*Ivex Packaging Corp.................................. 27,200 244,800
*IVI Checkmate Corp................................... 23,600 69,325
*J & J Snack Foods Corp............................... 10,500 156,516
*J. Alexander's Corp.................................. 6,900 26,738
*J. Jill Group, Inc................................... 10,400 64,025
*Jackpot Enterprises, Inc............................. 8,000 92,500
Jacksonville Bancorp, Inc............................. 1,600 20,500
*Jaclyn, Inc.......................................... 1,300 2,600
*Jaco Electronics, Inc................................ 3,973 64,685
*Jacobson Stores, Inc................................. 6,200 34,875
*Jakks Pacific, Inc................................... 25,100 364,734
*Jan Bell Marketing, Inc.............................. 24,800 54,250
*Jason, Inc........................................... 22,400 225,400
*JDA Software Group, Inc.............................. 31,400 487,681
Jefferies Group, Inc.................................. 28,000 565,250
Jefferson Savings Bancorp, Inc........................ 10,000 109,063
*Jennifer Convertibles, Inc........................... 1,300 2,681
*JFAX.com, Inc........................................ 35,000 53,594
JLG Industries, Inc................................... 48,800 475,800
*JLK Direct Distribution, Inc. Class A................ 6,300 43,706
*JLM Industries, Inc.................................. 6,100 23,066
*JMAR Industries, Inc................................. 28,400 117,150
*Jo-Ann Stores, Inc. Class A.......................... 4,500 42,750
*Jo-Ann Stores, Inc. Class B.......................... 3,400 27,413
*Johnson Outdoors, Inc................................ 6,700 59,253
*Jones Lang LaSalle, Inc.............................. 33,900 523,331
*Jos. A. Bank Clothiers, Inc.......................... 7,500 33,984
*Joule, Inc........................................... 1,500 2,063
*Journal Register Co.................................. 51,200 665,600
*JPM Co............................................... 9,500 48,984
*JPS Industries, Inc.................................. 6,000 22,406
*Jps Packaging Company................................ 4,300 12,094
*Judge.com, Inc....................................... 16,700 18,788
*Juno Lighting, Inc................................... 980 7,350
Justin Industries, Inc................................ 33,400 582,413
*JWGenesis Financial Corp............................. 10,900 89,925
K Swiss, Inc. Class A................................. 7,600 99,988
*K2, Inc.............................................. 22,475 158,730
*Kaiser Aluminum Corp................................. 87,300 387,394
*Kaiser Group International, Inc...................... 17,900 2,517
*Kaiser Ventures, Inc................................. 9,700 125,494
Kaman Corp. Class A................................... 27,000 269,156
*Kaneb Services, Inc.................................. 36,800 179,400
*Kasper A.S.L., Ltd................................... 5,500 14,180
Katy Industries, Inc.................................. 9,600 93,000
Kaye Group, Inc....................................... 3,000 20,250
*KBK Capital Corp..................................... 5,000 20,938
Keithley Instruments, Inc............................. 1,000 61,688
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
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*Kellstrom Industries, Inc............................ 12,600 $ 63,394
Kellwood Co........................................... 30,600 516,375
*Kendle International, Inc............................ 14,600 92,163
*Kennedy-Wilson, Inc.................................. 11,800 60,844
*Kensey Nash Corp..................................... 7,900 76,038
*Kent Electronics Corp................................ 23,000 638,250
*Kentucky Electric Steel, Inc......................... 2,800 5,950
Kentucky First Bancorp, Inc........................... 900 9,169
*Keravision, Inc...................................... 22,000 116,188
*Kevco, Inc........................................... 8,300 13,228
Kewaunee Scientific Corp.............................. 2,000 23,313
*Key Energy Group, Inc................................ 69,500 755,813
*Key Production Co., Inc.............................. 15,000 240,938
*Key Technology, Inc.................................. 6,100 52,803
*Key Tronic Corp...................................... 12,500 33,984
*Keystone Automotive Industries, Inc.................. 18,040 132,199
*Keystone Consolidated Industries, Inc................ 13,000 50,375
*kforce.com, Inc...................................... 60,300 774,478
*KFX, Inc............................................. 24,500 42,875
Kimball International, Inc. Class B................... 32,400 523,463
*Kimmins Corp......................................... 3,400 1,067
*Kinark Corp.......................................... 6,800 8,925
*Kinnard Investment, Inc.............................. 6,300 50,006
*Kirby Corp........................................... 27,000 597,375
*Kit Manufacturing Co................................. 300 1,950
*Kitty Hawk, Inc...................................... 17,300 8,088
Klamath First Bancorp, Inc............................ 9,900 110,756
*KLLM Transport Services, Inc......................... 3,500 27,891
Knape & Vogt Manufacturing Co......................... 3,190 48,348
*Knight Transportation, Inc........................... 16,600 252,631
*Koala Corp........................................... 6,400 92,000
Kollmorgen Corp....................................... 11,100 253,913
*Komag, Inc........................................... 69,100 144,678
*Kos Pharmaceuticals, Inc............................. 18,800 294,338
*Koss Corp............................................ 3,300 55,172
*Krauses Furniture, Inc............................... 23,100 28,875
*Kroll-O'Gara Co...................................... 26,700 142,678
*Kronos, Inc.......................................... 16,200 469,294
*Krug International Corp.............................. 1,048 1,376
*K-Tel International, Inc............................. 12,700 23,416
*K-Tron International, Inc............................ 6,200 97,844
*Kushner-Locke Co..................................... 16,600 32,681
*K-V Pharmaceutical Co. Class A....................... 12,800 245,600
*K-V Pharmaceutical Co. Class B....................... 8,300 165,481
*KVH Industries, Inc.................................. 7,300 38,097
*La Jolla Pharmceutical Co............................ 24,300 84,291
*LaBarge, Inc......................................... 16,200 28,350
LabOne, Inc........................................... 19,050 98,227
*Labor Ready, Inc..................................... 47,100 441,563
*Laboratory Corp. of America Holdings, Inc............ 10,790 775,531
*Labtec, Inc.......................................... 950 5,938
Laclede Gas Co........................................ 20,700 407,531
*Laclede Steel Co..................................... 2,700 1,097
LaCrosse Footwear, Inc................................ 7,700 31,041
*Ladish Co., Inc...................................... 17,400 151,706
*Lakeland Industries, Inc............................. 2,000 12,750
*Lakes Gaming, Inc.................................... 10,475 86,091
*Lamson & Sessions Co................................. 14,700 117,600
Lance, Inc............................................ 31,800 310,050
*Lancer Corp.......................................... 9,600 34,800
*Landair Corp......................................... 4,100 16,784
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Landamerica Financial Group, Inc...................... 14,700 $ 271,031
Landauer, Inc......................................... 9,400 173,900
*Landec Corp.......................................... 15,900 81,488
*Landmark Systems, Inc................................ 15,300 98,494
Landrys Seafood Restaurants, Inc...................... 29,277 228,727
*Landstar Systems, Inc................................ 9,100 482,300
*Larscom, Inc......................................... 8,200 41,000
*Laser Pacific Media Corp............................. 6,600 24,441
*Laser Power Corp..................................... 8,600 18,813
*Laser Technology, Inc................................ 5,000 7,500
*Laser Vision Centers, Inc............................ 27,700 130,709
*Laserscope........................................... 15,100 17,695
*LaserSight Corporation............................... 25,700 130,909
*Lason, Inc........................................... 22,700 58,878
*Launch Media, Inc.................................... 2,300 20,053
Lawrence Savings Bank MA.............................. 4,300 31,041
Lawson Products, Inc.................................. 11,400 273,244
*Layne Christensen Co................................. 12,600 55,913
*Lazare Kaplan International, Inc..................... 10,500 91,875
*LBP, Inc............................................. 3,200 10,700
*LCA-Vision, Inc...................................... 60,600 168,544
*LCC International, Inc. Class A...................... 9,700 143,378
*Leapnet, Inc......................................... 29,922 95,844
*Learn2.com, Inc...................................... 61,215 117,648
*Learning Tree International, Inc..................... 19,300 1,018,075
*Lechters, Inc........................................ 17,000 26,031
*Lecroy Corp.......................................... 10,000 105,625
*Lectec Corp.......................................... 5,000 13,438
Lennox International, Inc............................. 13,065 153,514
Lesco, Inc............................................ 11,000 171,188
*Let's Talk Cellular & Wireless, Inc.................. 4,000 1,920
*Level 8 Systems, Inc................................. 14,387 281,895
*Lexington Global Asset Managers, Inc................. 3,600 36,338
Libbey, Inc........................................... 16,800 508,200
Liberty Bancorp, Inc.................................. 2,700 18,647
*Liberty Corp......................................... 19,200 674,400
Liberty Homes, Inc. Class A........................... 200 1,300
*Life Financial Corp.................................. 6,700 26,381
*Lifecell Corp........................................ 13,100 77,372
*Lifecore Biomedical, Inc............................. 16,100 117,228
*Lifeline Systems, Inc................................ 4,100 49,969
*Lifemark Corporation................................. 4,766 26,958
Lifetime Hoan Corp.................................... 12,562 104,422
*Ligand Pharmaceuticals, Inc. Class B................. 39,377 419,611
*Lightbridge, Inc..................................... 21,600 469,125
*Lightning Rod Software, Inc.......................... 580 2,918
Lillian Vernon Corp................................... 11,600 113,100
Lilly Industry, Inc. Class A.......................... 26,500 382,594
*Lindal Cedar Homes, Inc.............................. 4,482 9,104
Lindberg Corp......................................... 6,300 49,613
Lindsay Manufacturer Co............................... 14,900 279,375
Liqui Box Corp........................................ 3,800 192,494
*Lithia Motors, Inc. Class A.......................... 9,600 116,400
*Littlefield, Adams & Co.............................. 900 225
*Littlefuse, Inc...................................... 25,400 1,017,588
*LJL Biosystems, Inc.................................. 15,800 143,681
*LLEX Oncology, Inc................................... 23,900 596,753
*LLX Resorts, Inc..................................... 2,900 5,891
*LMI Aerospace, Inc................................... 7,900 22,466
LNR Property Corp..................................... 28,200 546,375
*Lodgenet Entertainment Corp.......................... 13,200 308,138
*Lodgian, Inc......................................... 21,900 49,275
</TABLE>
22
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Loews Cineplex Entertainment Corp.................... 68,100 $ 178,763
*Logic Devices, Inc................................... 8,600 20,156
*Logility, Inc........................................ 14,600 58,856
*Lojack Corp.......................................... 17,400 120,169
Lone Star Steakhouse Saloon........................... 39,000 413,156
Longs Drug Stores Corp................................ 15,700 316,944
Longview Fibre Co..................................... 56,800 681,600
*Loronix Information Systems, Inc..................... 6,600 220,275
*Lowrance Electronics, Inc............................ 2,200 9,075
LSB Bancshares, Inc. NC............................... 5,156 73,795
*LSB Industries, Inc.................................. 10,700 8,694
LSI Industries, Inc................................... 13,200 226,463
LTV Corp.............................................. 110,300 289,538
*LTX Corp............................................. 4,800 126,150
Luby's Cafeterias, Inc................................ 23,900 210,619
Lufkin Industries, Inc................................ 8,200 138,888
*Lumisy, Inc.......................................... 12,000 29,625
*Lunar Corp........................................... 11,100 122,794
*Lund International Holdings, Inc..................... 2,200 9,900
*Lydall, Inc.......................................... 19,500 203,531
*Lynch Corp........................................... 2,200 67,925
*Lynch Interactive Corp............................... 2,200 231,000
*Lynx Therapeutics, Inc............................... 14,400 230,850
M.A. Hanna Co......................................... 51,800 605,413
*M.H. Meyerson & Co., Inc............................. 8,300 30,866
*Mace Security International, Inc..................... 26,100 50,569
*Mac-Gray Corp........................................ 23,100 70,744
*Mackie Designs, Inc.................................. 16,100 110,184
*Madden (Steven), Ltd................................. 13,900 221,966
*Made2Manage Systems, Inc............................. 6,100 39,269
Madison Gas & Electric Co............................. 21,000 394,406
MAF Bancorp, Inc...................................... 26,484 523,059
*Magainin Pharmaceuticals, Inc........................ 30,100 103,469
*Magellan Health Services, Inc........................ 35,900 76,288
*Magnetek, Inc........................................ 33,400 281,813
*Magnum Hunter Resources, Inc......................... 22,200 119,325
*MAI Systems Corp..................................... 9,600 4,800
*Mail.com, Inc........................................ 5,702 31,628
*Mail-Well, Inc....................................... 54,100 507,188
*Main Street & Main, Inc.............................. 13,000 43,063
Main Street Bancorp, Inc.............................. 10,100 85,061
Maine Public Service Co............................... 1,700 31,556
*Mallon Resources Corp................................ 8,600 65,709
*Manatron, Inc........................................ 1,102 7,507
*Manchester Equipment Co., Inc........................ 8,900 38,938
*Manhattan Associates, Inc............................ 29,100 551,991
Manitowoc Co., Inc.................................... 25,850 844,972
*Manugistic Group, Inc................................ 12,900 374,906
*Mapics, Inc.......................................... 23,000 116,797
*Mapinfo Corp......................................... 11,100 326,409
Marcus Corp........................................... 19,300 211,094
*Marine Transport Corp................................ 7,540 19,793
*MarineMax, Inc....................................... 16,700 153,431
*Marisa Christina, Inc................................ 6,700 11,306
Maritrans, Inc........................................ 11,800 70,063
*Markel Corp.......................................... 4,000 575,750
*Marketing Services, Inc.............................. 29,900 154,172
*MarkWest Hydrocarbon, Inc............................ 8,500 71,188
*Marlton Technologies, Inc............................ 7,800 9,750
Marsh Supermarkets, Inc. Class A...................... 1,600 26,000
Marsh Supermarkets, Inc. Class B...................... 5,800 59,813
*Martek Biosciences Corp.............................. 19,200 355,800
*Marten Transport, Ltd................................ 4,200 56,438
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Marvel Enterprises, Inc.............................. 17,400 $ 75,038
MascoTech, Inc........................................ 49,100 632,163
Massbank Corp. Reading, MA............................ 4,200 124,163
*Master Graphics, Inc................................. 5,500 1,265
Matec Corp............................................ 1,100 8,525
*Material Sciences Corp............................... 20,500 220,375
*Mathsoft, Inc........................................ 6,300 15,356
*Matlack Systems, Inc................................. 9,600 29,400
*Matria Healthcare, Inc............................... 44,100 150,216
*Matritech, Inc....................................... 26,100 115,819
*Matrix Bancorp, Inc.................................. 6,800 53,338
*Matrix Pharmaceutical, Inc........................... 24,900 216,319
*Matrix Service Co.................................... 9,700 47,288
Matthews International Corp. Class A.................. 14,600 367,738
*Matthews Studio Equipment Group...................... 8,800 275
*Mattson Technology, Inc.............................. 19,500 591,094
Maui Land & Pineapple Company, Inc.................... 4,300 83,850
*Maverick Tube Corp................................... 23,100 812,109
*Max & Ermas Restaurants, Inc......................... 3,300 28,463
*Maxco, Inc........................................... 4,000 31,250
*Maxicare Health Plans, Inc........................... 17,900 29,088
*Maxim Pharmaceuticals, Inc........................... 9,300 357,759
*Maximus, Inc......................................... 27,300 566,475
*Maxtor Corp.......................................... 38,600 404,094
*Maxwell Shoe Company, Inc............................ 11,400 86,569
*Maxwell Technologies, Inc............................ 12,600 177,188
*Maxxam, Inc.......................................... 7,300 186,150
*Maynard Oil Co....................................... 6,200 103,850
*Mays (J.W.), Inc..................................... 200 1,050
*Mazel Stores, Inc.................................... 11,800 103,250
*MB Financial, Inc.................................... 7,100 78,766
*McClain Industries, Inc.............................. 266 1,288
McGrath Rent Corp..................................... 12,600 197,663
*McMoran Exploration Co............................... 15,796 245,825
*McNaughton Apparel Group, Inc........................ 9,800 93,406
*McWhorter Technologies, Inc.......................... 12,900 252,356
MDC Holdings, Inc..................................... 24,100 465,431
*Meade Instruments Corp............................... 8,000 396,250
*Meadow Valley Corp................................... 2,200 8,388
Meadowbrook Insurance Group, Inc...................... 11,000 59,125
*Measurement Specialties, Inc......................... 5,000 127,500
MECH Financial, Inc................................... 4,500 155,391
*Mechanical Dynamics, Inc............................. 8,100 48,094
*Medarex, Inc......................................... 3,400 154,806
Medford Bancorp, Inc.................................. 10,600 158,338
*Media 100, Inc....................................... 8,600 152,113
*Media Arts Group, Inc................................ 16,800 65,100
*MediaBay, Inc........................................ 13,300 43,641
*Medialink Worldwide, Inc............................. 7,300 52,469
*Medical Action Industries, Inc....................... 11,900 47,228
*Medical Alliance, Inc................................ 7,900 30,613
*Medical Assurance, Inc............................... 25,700 292,338
*Medical Resources, Inc............................... 5,283 304
*Medicalcontrol, Inc.................................. 3,500 21,875
*Medicore, Inc........................................ 3,800 7,719
*Medplus, Inc......................................... 7,400 38,156
*Medstone International, Inc.......................... 6,000 32,063
*MEDTOX Scientific, Inc............................... 3,000 25,875
*Memberworks, Inc..................................... 19,300 623,028
Mentor Corp. MN....................................... 31,400 755,563
*Mentor Graphics Corp................................. 51,800 885,456
Merchants Bancshares, Inc............................. 5,500 108,625
</TABLE>
23
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Merchants Group, Inc.................................. 1,300 $ 19,744
Merchants New York Bancorp, Inc....................... 24,100 410,453
*Mercury Air Group, Inc............................... 8,400 39,900
Meridian Diagnostics, Inc............................. 18,900 127,575
Meridian Insurance Group, Inc......................... 3,267 44,105
*Meridian Medical Technology, Inc..................... 3,800 32,775
*Meridian Resource Corp............................... 59,172 314,351
*Merisel, Inc......................................... 77,400 61,678
*MeriStar Hotels & Resorts, Inc....................... 33,500 96,313
*Merit Medical Systems, Inc........................... 9,500 46,906
*Merix Corp........................................... 8,500 234,016
*Merrimac Industries, Inc............................. 1,160 14,065
*Mesa Air Group, Inc.................................. 44,400 265,706
*Mesa Labs, Inc....................................... 4,900 21,820
*Mesaba Holdings, Inc................................. 22,850 263,489
*Messagemedia, Inc.................................... 61,100 181,391
*Mestek, Inc.......................................... 4,200 69,825
*Meta Group, Inc...................................... 13,500 335,391
*Metacreations Corp................................... 30,100 215,403
*Metal Management, Inc................................ 36,421 49,510
Metals USA, Inc....................................... 42,000 220,500
*Metamor Worldwide, Inc............................... 32,400 740,138
*Metatec Corp. Class A................................ 6,300 17,325
*Met-Coil Systems Corp................................ 1,000 7,031
Met-Pro Corp.......................................... 11,175 94,988
*Metro Information Services, Inc...................... 18,000 179,438
*Metro One Telecommunications, Inc.................... 15,000 149,531
*Metrocall, Inc....................................... 36,985 119,045
MetroCorp. Bancshares, Inc............................ 7,100 52,141
*Metrologic Instruments, Inc.......................... 4,900 76,563
*Metromedia International Group, Inc.................. 103,400 445,913
*Metropolitan Financial Corp.......................... 4,100 16,913
*Metrotrans Corp...................................... 1,600 200
Metrowest Bank MA..................................... 15,700 92,238
MFB Corp.............................................. 1,800 29,813
*MFRI, Inc............................................ 4,400 17,325
*MGI Pharma, Inc...................................... 16,900 369,688
MI Schottenstein Homes, Inc........................... 10,500 178,500
*Miami Computer Supply Corp........................... 15,600 315,900
*Michael Anthony Jewelers, Inc........................ 7,400 18,500
Michael Foods, Inc.................................... 24,358 557,950
*Micro Component Technology, Inc...................... 10,352 58,554
*Micro Linear Corp.................................... 12,100 63,903
*Microage, Inc........................................ 21,750 10,331
*Microcide Pharmaceuticals, Inc....................... 14,600 109,044
MicroFinancial, Inc................................... 4,000 38,000
*Micrografx, Inc...................................... 14,700 48,234
*Micros Systems, Inc.................................. 10,700 338,053
*Micros to Mainframes, Inc............................ 6,100 36,219
*Microsemi Corp....................................... 17,400 376,819
*Microtest, Inc....................................... 7,900 58,756
*Micro-Therapeutics, Inc.............................. 9,900 54,759
*Microtouch Systems, Inc.............................. 8,400 74,288
*Microvision, Inc..................................... 13,800 370,013
*Microware Systems Corp............................... 19,500 57,281
*Microwave Power Dynamics, Inc........................ 13,800 67,922
Mid America Banccorp.................................. 13,800 322,575
*Mid Atlantic Medical Services, Inc................... 56,800 702,900
Midas, Inc............................................ 17,950 465,578
Midcoast Energy Resources, Inc........................ 16,200 259,200
*Middleby Corp........................................ 13,200 88,275
Middlesex Water Co.................................... 4,200 123,113
Midland Co............................................ 3,300 83,325
<CAPTION>
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*Midway Airlines Corp................................. 8,500 $ 50,469
*Midway Games, Inc.................................... 42,100 276,281
Midwest Banc Holdings, Inc............................ 12,000 164,625
*Midwest Express Holdings, Inc........................ 15,575 324,155
*Midwest Grain Products, Inc.......................... 10,400 73,125
Mikasa, Inc........................................... 16,400 157,850
*Mikohn Gaming Corp................................... 7,500 47,578
Milacron, Inc......................................... 39,800 629,338
*Milestone Scientific, Inc............................ 8,800 13,200
*Miller Building Systems, Inc......................... 3,200 18,100
*Miller Industries, Inc............................... 52,400 121,175
*Miltope Group, Inc................................... 11,000 22,172
*MIM Corp............................................. 24,600 45,356
Mine Safety Appliances Co............................. 15,000 348,750
*Mining Services International Corp................... 2,500 5,156
Minntech Corp......................................... 7,300 53,838
*Minolta-QMS, Inc..................................... 13,921 46,113
Minuteman International, Inc.......................... 1,000 8,438
*MIPS Technologies, Inc............................... 16,900 425,669
*Miravant Medical Technologies........................ 20,000 246,875
Mississippi Chemical Corp............................. 28,742 167,063
Mississippi Valley Bancshares, Inc.................... 12,100 273,763
*Mitcham Industries, Inc.............................. 9,600 56,550
*Mity-Lite, Inc....................................... 6,200 84,863
*Mobile America Corp.................................. 6,100 16,013
*Mobile Mini, Inc..................................... 12,500 260,156
*Mobius Management Systems, Inc....................... 21,400 87,606
MOCON, Inc............................................ 7,800 44,241
*Modine Manufacturing Co.............................. 12,600 253,181
*Modtech Holdings, Inc................................ 15,457 166,646
*Molecular Biosystems, Inc............................ 16,700 11,481
*Molecular Devices Corp............................... 12,600 671,738
*Monaco Coach Corp.................................... 20,700 297,563
*Monarch Casino and Resort, Inc....................... 10,400 49,400
*Monarch Dental Corp.................................. 11,000 31,797
*Mondavi (Robert) Corp. Class A....................... 10,400 327,925
*Monro Muffler Brake, Inc............................. 10,700 89,278
Monterey Bay Bancorp, Inc............................. 4,300 38,297
*Monterey Pasta Co.................................... 14,900 58,669
*Moog, Inc. Class A................................... 9,400 200,925
*Moog, Inc. Class B................................... 2,000 81,125
*Moore Medical Corp................................... 3,900 34,125
Morgan Keegan, Inc.................................... 37,700 607,913
*Morgan's Foods, Inc.................................. 900 2,250
*Morrison Knudsen Corp................................ 57,500 445,625
Morrison Management Specialists, Inc.................. 14,100 383,344
*Morton Industrial Group, Inc. Class A................ 1,000 5,375
*Morton's Restaurant Group, Inc....................... 6,200 113,925
*Mossimo, Inc......................................... 16,600 8,300
*Mother's Work, Inc................................... 3,300 34,856
*Motient Corp......................................... 47,000 424,469
*Motor Car Parts & Accessories, Inc................... 6,100 6,207
*Motor Cargo Industries, Inc.......................... 5,700 28,500
*Motor Club of America................................ 700 5,556
Movado Group, Inc..................................... 12,300 117,811
*Movie Gallery, Inc................................... 14,400 48,150
*MPW Industrial Services Group........................ 5,000 34,375
*MS Carriers, Inc..................................... 14,800 285,363
*MSC Industrial Direct Co., Inc. Class A.............. 25,900 597,319
*MSC Software Corp.................................... 15,200 131,100
*MTI Technology Corp.................................. 13,000 91,406
</TABLE>
24
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THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
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<S> <C> <C>
MTS Systems Corp...................................... 20,840 $ 151,416
*Multi Color Corp..................................... 1,000 7,938
*Multiple Zones International, Inc.................... 14,700 61,786
*Musicland Stores Corp................................ 41,000 302,375
Myers Industries, Inc................................. 22,007 299,845
*Myriad Genetics, Inc................................. 7,400 580,206
Mystic Financial, Inc................................. 1,700 18,700
*N & F Worldwide Corp................................. 20,700 106,088
*NABI, Inc............................................ 42,000 243,469
Nacco Industries, Inc. Class A........................ 4,600 173,650
*Nanogen, Inc......................................... 20,900 518,581
*Nanometrics, Inc..................................... 11,500 282,469
*Nanophase Technologies Corp.......................... 13,800 103,931
*Napco Security Systems, Inc.......................... 2,150 8,197
*Napro Biotherapeutics, Inc........................... 27,500 156,406
Nash Finch Co......................................... 14,800 115,163
Nashua Corp........................................... 7,600 62,700
*Nastech Pharmaceutical Co., Inc...................... 8,000 31,375
*Nathans Famous, Inc.................................. 7,900 23,206
*National Beverage Corp............................... 20,400 173,400
National City Bancorp................................. 11,300 163,850
*National Dentex Corp................................. 4,600 72,594
*National Discount Brokers Group, Inc................. 22,900 572,500
*National Equipment Services, Inc..................... 24,600 139,913
*National Home Centers, Inc........................... 3,000 5,109
*National Home Health Care Corp....................... 3,815 15,737
National Penn Bancshares, Inc......................... 19,400 425,588
National Presto Industries, Inc....................... 8,550 265,584
*National Processing, Inc............................. 57,700 674,369
*National Record Mart, Inc............................ 6,500 10,461
*National Research Corp............................... 7,000 38,281
*National RV Holdings, Inc............................ 20,700 234,169
*National Standard Co................................. 6,500 11,781
National Steel Corp. Class B.......................... 24,900 130,725
National Technical Systems, Inc....................... 10,800 33,750
*National Techteam, Inc............................... 17,200 57,513
*National Western Life Insurance Co. Class A.......... 1,000 73,969
*NationsRent, Inc..................................... 30,500 112,469
*Natrol, Inc.......................................... 1,000 4,203
*Natural Alternatives International, Inc.............. 5,400 8,522
*Natural Microsystems Corp............................ 12,800 824,400
*Natural Wonders, Inc................................. 5,700 6,413
Natures Sunshine Products, Inc........................ 22,759 173,537
*Nautica Enterprises, Inc............................. 43,900 541,891
*Navarre Corp......................................... 30,500 54,805
*Navigant Consulting, Inc............................. 49,000 226,625
*Navigant International, Inc.......................... 15,200 137,750
*Navigators Group, Inc................................ 8,400 74,025
NBT Bancorp........................................... 13,148 131,480
NCH Corp.............................................. 7,000 280,000
*NCI Building Systems, Inc............................ 19,900 339,544
*NCO Group, Inc....................................... 25,400 605,631
*NCS Healthcare, Inc.................................. 16,700 15,134
*Neff Corp. Class A................................... 20,800 79,300
Nelson (Thomas), Inc.................................. 17,200 121,475
*Neogen Corp.......................................... 5,900 35,769
*NeoMagic Corp........................................ 30,300 94,214
*Neopharm, Inc........................................ 10,600 150,388
*Neorx Corp........................................... 23,900 345,803
*Neose Technologies, Inc.............................. 17,600 491,700
*Neotherapeutics, Inc................................. 9,000 99,563
*Neoware Systems, Inc................................. 6,900 13,692
<CAPTION>
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*Netguru, Inc......................................... 3,200 $ 54,200
*Netmanage, Inc....................................... 71,345 195,084
*Netopia, Inc......................................... 21,200 705,563
*NetRadio Corp........................................ 11,000 29,219
*Netrix Corp.......................................... 34,800 381,713
*Netscout System, Inc................................. 20,300 241,697
*Netspeak Corp........................................ 17,800 176,331
*Network Computing Devices, Inc....................... 17,800 28,369
*Network Equipment Technologies, Inc.................. 23,600 252,225
*Network Peripherals, Inc............................. 20,500 364,516
*Network Six, Inc..................................... 275 1,023
*Neurobiological Technologies, Inc.................... 2,700 18,731
*Neurocrine Biosciences, Inc.......................... 28,300 601,375
*Neurogen Corp........................................ 17,000 400,563
*New American Healthcare Corp......................... 200 8
*New Brunswick Scientific Co., Inc.................... 6,900 36,227
*New Century Financial Corp........................... 19,500 179,766
*New Day Runner, Inc.................................. 2,140 3,511
New England Business Services, Inc.................... 15,200 224,200
New Hampshire Thrift BancShares, Inc.................. 200 2,538
*New Horizons Worldwide, Inc.......................... 9,600 167,400
New Jersey Resources Corp............................. 19,600 759,500
*New Mexico & Arizona Land Co......................... 6,258 32,072
*New World Coffee - Manhattan Bagel................... 11,000 22,344
*Newcor, Inc.......................................... 6,300 13,388
*Newmark Homes Corp................................... 8,500 50,469
Newmil Bancorp, Inc................................... 4,700 47,588
*Newpark Resources, Inc............................... 65,100 545,213
Newport Corp.......................................... 3,200 545,700
*Newsedge Corp........................................ 23,500 46,633
*Nexell Therapeutics, Inc............................. 21,223 73,286
*Nexthealth, Inc...................................... 8,600 24,188
*Niagara Corp......................................... 9,000 38,813
Nitches, Inc.......................................... 785 4,219
NL Industries, Inc.................................... 31,000 538,625
*NMT Medical, Inc..................................... 14,100 53,536
NN Ball & Roller, Inc................................. 16,750 148,395
*Nobel Learning Communities, Inc...................... 7,600 54,863
*Nobility Homes....................................... 6,000 30,375
*Noble International, Ltd............................. 8,400 75,600
Noel Group, Inc....................................... 7,200 1,872
Noland Co............................................. 200 3,300
*Noodle Kidoodle, Inc................................. 7,800 23,400
Nordson Corp.......................................... 15,900 773,634
*Norstan, Inc......................................... 14,200 70,113
*Nortek, Inc.......................................... 12,700 272,256
*North American Scientific, Inc....................... 7,000 117,688
North Central Bancshares, Inc......................... 2,700 38,644
North Pittsburgh Systems, Inc......................... 14,700 184,209
Northeast Bancorp..................................... 900 7,200
Northeast Pennsylvania Financial Corp................. 5,500 54,313
Northern Technologies International................... 2,700 17,888
*Northfield Laboratories, Inc......................... 18,500 204,656
Northland Cranberries, Inc. Class A................... 22,100 87,709
Northrim Bank......................................... 3,144 26,822
Northwest Bancorp, Inc................................ 53,000 402,469
Northwest Natural Gas Co.............................. 27,600 603,750
*Northwest Pipe Co.................................... 6,200 83,506
Northwestern Corp..................................... 25,400 590,550
*Novadigm, Inc........................................ 20,200 265,756
</TABLE>
25
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THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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*Novamed Eyecare, Inc................................. 6,000 $ 39,750
*Novametrix Medical Systems, Inc...................... 10,500 65,789
*Novavax, Inc......................................... 25,000 148,438
*Noven Pharmaceuticals, Inc........................... 23,900 446,631
*Novitron International, Inc.......................... 1,430 4,379
*Novoste Corp......................................... 15,000 566,250
*NPC International, Inc............................... 25,100 232,959
*NPS Pharmaceuticals, Inc............................. 26,100 330,328
*NS Group, Inc........................................ 26,200 479,788
*Nstor Technology..................................... 24,600 70,725
*NTN Communications, Inc.............................. 14,093 33,471
*Nu Horizons Electronics Corp......................... 11,900 206,019
*Nucentrix Broadband Networks, Inc.................... 13,100 276,738
*NuCo2, Inc........................................... 8,200 47,150
*Nuevo Energy Co...................................... 22,800 440,325
NUI Corp.............................................. 16,600 464,800
*Number Nine Visual Technology Corp................... 8,400 630
*Numerex Corp. Class A................................ 12,100 111,547
*NuSkin Enterprises, Inc.............................. 14,000 92,750
*Nutraceutical International Corp..................... 12,100 43,673
*Nutramax Products, Inc............................... 3,300 1,007
*NYFIX, Inc........................................... 20,575 549,738
Nymagic, Inc.......................................... 8,700 122,344
*O.I. Corp............................................ 2,600 10,116
Oak Hill Financial, Inc............................... 3,000 49,125
*Oak Technology, Inc.................................. 48,990 724,133
*Oakley, Inc.......................................... 82,600 800,188
Oakwood Homes Corp.................................... 61,000 175,375
*OAO Technology Solutions, Inc........................ 21,500 65,508
*Objective Systems Integrators, Inc................... 39,700 292,167
*Oceaneering International, Inc....................... 25,200 491,400
OceanFirst Financial Corp............................. 13,400 228,638
*O'Charleys, Inc...................................... 20,750 291,148
*Ocular Sciences, Inc................................. 27,500 377,266
*Ocwen Financial Corp................................. 76,500 439,875
*Odetics, Inc. Class A................................ 300 3,178
*ODS Networks, Inc.................................... 20,500 298,531
*Odwalla, Inc......................................... 6,600 40,219
*Officemax, Inc....................................... 42,600 231,638
*Offshore Logistics, Inc.............................. 23,000 322,719
Ogden Corp............................................ 54,400 469,200
Oglebay Norton Co..................................... 6,400 133,600
Ohio Casualty Corp.................................... 1,500 17,953
Oil-Dri Corp. of America.............................. 5,700 55,219
*Old Dominion Freight Lines, Inc...................... 10,800 98,550
Old Guard Group, Inc.................................. 3,500 39,922
Olin Corp............................................. 15,500 242,188
*Olympic Steel, Inc................................... 10,000 43,438
Omega Financial Corp.................................. 11,400 263,269
*Omega Protein Corp................................... 26,500 74,531
*Omega Research, Inc.................................. 27,600 88,406
*Omega Worldwide, Inc................................. 13,800 56,925
*OMNI Energy Services Corp............................ 11,600 8,338
*Omni Nutraceuticals, Inc............................. 32,700 107,297
*Omtool, Ltd.......................................... 17,000 30,813
*On Assignment, Inc................................... 28,100 727,088
*On Command Corp...................................... 33,600 550,200
*On Technology Corp................................... 14,000 40,250
*One Price Clothing Stores, Inc....................... 10,700 25,413
Oneida, Ltd........................................... 21,600 411,750
Oneok, Inc............................................ 4,300 125,238
*Onhealth Network Company............................. 3,800 9,144
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*On-Point Technology Systems, Inc..................... 7,900 $ 4,567
*Ontrack Data International, Inc...................... 7,900 58,509
*Onyx Acceptance Corp................................. 5,900 24,338
*Onyx Pharmacueticals, Inc............................ 17,700 122,794
*Open Market, Inc..................................... 37,100 393,028
*Opinion Research Corp................................ 1,700 10,625
*Opta Food Ingredients, Inc........................... 11,000 24,922
*Opti, Inc............................................ 14,900 59,600
*Optical Cable Corp................................... 14,500 345,734
*Optical Sensors, Inc................................. 9,800 6,125
*Optika Imaging Systems, Inc.......................... 10,000 63,438
*Option Care, Inc..................................... 11,700 76,416
*Orbit International Corp............................. 1,266 2,057
*ORBIT/FR, Inc........................................ 6,700 18,844
*Orbital Sciences Corp................................ 39,200 480,200
Oregon Steel Mills, Inc............................... 30,200 66,063
Oregon Trail Financial Corp........................... 4,600 44,419
*O'Reilly Automotive, Inc............................. 53,200 719,863
*Organogenesis, Inc................................... 37,200 330,150
*Oriole Homes Corp. Class A Convertible............... 800 1,500
*Oriole Homes Corp. Class B........................... 2,000 3,250
*Orleans Homebuilders, Inc............................ 2,000 3,250
*Oroamerica, Inc...................................... 5,800 42,231
*Orphan Medical, Inc.................................. 10,700 75,234
*OrthAlliance, Inc.................................... 15,800 93,319
*Orthodontic Centers of America, Inc.................. 41,850 959,934
*Orthologic Corp...................................... 32,200 148,925
Oshkosh B'Gosh, Inc. Class A.......................... 18,200 307,694
Oshkosh Truck Corp. Class B........................... 17,800 544,569
*Oshman's Sporting Goods, Inc......................... 4,100 12,813
*OSI Pharmaceutical, Inc.............................. 26,100 261,000
*OSI Systems, Inc..................................... 12,000 71,625
*Osicom Technologies, Inc............................. 14,400 609,300
*Osmonics, Inc........................................ 15,700 141,300
*Osteotech, Inc....................................... 15,600 139,669
*Ostex International, Inc............................. 15,000 29,531
*OTR Express, Inc..................................... 200 250
Ottawa Financial Corp................................. 7,800 147,956
Otter Tail Power Co................................... 26,200 551,838
*Outlook Group Corp................................... 1,800 10,013
*Outsource International, Inc......................... 6,900 8,194
*Overland Data........................................ 10,100 82,378
Overseas Shipholding Group, Inc....................... 40,200 932,138
Owens & Minor, Inc.................................... 36,100 390,331
Owosso Corp........................................... 6,800 14,238
Oxford Industries, Inc................................ 9,900 152,831
*Oxigene, Inc......................................... 14,700 164,456
*Oxis International, Inc.............................. 7,900 12,838
*OYO Geospace Corp.................................... 100 1,600
*P&F Industries, Inc. Class A......................... 1,300 10,766
*P.F. Chang's China Bistro, Inc....................... 10,200 327,994
*Pacific Aerospace and Electronics, Inc............... 25,700 32,527
Pacific Capital Bancorp............................... 500 13,438
Pacific Crest Capital, Inc............................ 1,060 13,449
*Pacific Gateway Exchange, Inc........................ 21,400 68,547
*Packaged Ice, Inc.................................... 19,800 69,300
*Pagasus Systems, Inc................................. 26,300 367,378
*Paging Network, Inc.................................. 131,300 88,217
*Palatin Technologies, Inc............................ 62 287
*Palm Harbor Homes, Inc............................... 29,700 460,350
*PAM Transportation Services, Inc..................... 6,700 56,950
</TABLE>
26
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THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Pameco Corp.......................................... 6,500 $ 17,063
Pamrapo Bancorp, Inc.................................. 3,400 67,363
*Panavision, Inc...................................... 3,600 26,100
*Pancho's Mexican Buffet, Inc......................... 1,666 5,987
*Panera Bread CO...................................... 13,700 116,450
*Panja, Inc........................................... 12,000 121,875
*Par Technology Corp.................................. 8,500 32,406
*Paracelsus Healthcare Corp........................... 1,171 110
Paragon Technologies, Inc............................. 4,700 30,550
*Parallel Petroleum Corp.............................. 18,300 49,753
*Paravant, Inc........................................ 19,300 53,980
*Parexel International Corp........................... 18,800 169,200
Paris Corp............................................ 200 388
*Park Bancorp, Inc.................................... 1,700 20,347
Park Electrochemical Corp............................. 13,600 340,850
*Parker Drilling Co................................... 93,700 568,056
*Parkervision, Inc.................................... 15,500 467,906
*Park-Ohio Holdings Corp.............................. 13,700 115,594
Parkvale Financial Corp............................... 7,500 134,063
*Parlex Corp.......................................... 6,200 137,756
*Parlux Fragrances, Inc............................... 13,800 41,831
*Pathogenesis Corp.................................... 21,400 323,006
*Patient Infosy....................................... 8,800 6,875
Patina Oil & Gas Corp................................. 16,834 291,439
Patrick Industries, Inc............................... 6,800 44,625
Patriot Bank Corp..................................... 7,400 58,738
*Patriot Transportation Holding, Inc.................. 2,500 49,219
*Patterson Energy, Inc................................ 37,780 912,623
*Paul Harris Stores, Inc.............................. 11,900 31,981
Paula Financial, Inc.................................. 6,600 17,738
*Paul-Son Gaming Corp................................. 3,800 11,400
*Paxar Corp........................................... 56,015 563,651
*Paxson Communications Corp........................... 59,000 457,250
*Payless Cashways, Inc................................ 159 256
*PBOC Holdings, Inc................................... 20,400 186,150
*PC Connection, Inc................................... 26,550 1,076,934
*PC Service Source, Inc............................... 4,900 5,513
*PCD, Inc............................................. 8,700 38,063
*P-Com, Inc........................................... 71,500 525,078
*PDS Financial Corp................................... 1,100 1,409
*Peapod, Inc.......................................... 20,200 42,294
*Pediatric Services of America, Inc................... 4,800 9,675
*Pediatrix Medical Group, Inc......................... 17,200 122,550
Peerless Manufacturing Co............................. 1,600 22,900
*Peerless Systems Corp................................ 17,900 42,513
*Pegasystems, Inc..................................... 32,000 193,000
*Pemco Aviation Group, Inc............................ 950 14,013
Penford Corp.......................................... 7,600 136,563
Penn Engineering & Manufacturing Corp. Class A........ 600 15,375
Penn Engineering & Manufacturing Corp. Non-voting..... 7,500 217,031
*Penn National Gaming, Inc............................ 19,300 268,994
*Penn Traffic Company................................. 93 523
*Penn Treaty American Corp............................ 8,500 167,344
Penn Virginia Corp.................................... 10,500 234,281
*Pennaco Energy, Inc.................................. 22,000 335,500
Penn-America Group, Inc............................... 10,000 91,875
Pennfed Financial Services, Inc....................... 11,100 148,463
*Pentacon, Inc........................................ 16,900 31,159
Penton Media, Inc..................................... 26,200 733,600
*Penwest Pharmaceuticals Company...................... 16,300 188,469
Peoples Bancorp, Inc.................................. 300 4,256
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Peoples Bancshares, Inc. Massachusetts................ 4,300 $ 74,981
Pep Boys - Manny, Moe & Jack.......................... 56,900 405,413
*Perceptron, Inc...................................... 8,550 33,933
*Performance Food Group Co............................ 15,500 489,703
*Performance Technologies, Inc........................ 17,100 173,672
*Pericom Semiconductor Corp........................... 9,700 397,700
*Perini Corp.......................................... 4,900 14,088
Permanent Bancorp, Inc................................ 4,000 76,500
*Perrigo Co........................................... 88,000 536,250
*Perry Ellis International, Inc....................... 8,700 84,689
*Per-Se Technologies, Inc............................. 29,900 195,284
*Personnel Group of America, Inc...................... 32,500 130,000
*Pervasive Software, Inc.............................. 18,800 94,588
*Petco Animal Supplies, Inc........................... 26,056 494,250
*Petrocorp, Inc....................................... 6,900 48,731
*Petroglyph Energy, Inc............................... 4,400 8,938
*Petroleum Development Corp........................... 17,800 95,119
*PetSmart, Inc........................................ 123,100 367,377
PFF Bancorp, Inc...................................... 15,400 214,638
*Pharmaceutical Products Development Service Co....... 29,570 488,829
*Pharmaceutical Resources, Inc........................ 35,400 212,400
*Pharmacopeia, Inc.................................... 22,700 495,853
*Pharmacyclics........................................ 15,900 672,272
*Pharmanetics, Inc.................................... 9,700 151,563
*PharmaPrint, Inc..................................... 13,900 5,430
*Pharmchem Laboratories, Inc.......................... 7,500 20,391
*Phar-Mor, Inc........................................ 14,200 23,963
*Pharmos Corp......................................... 6,200 20,731
*Philadelphia Consolidated Holding Corp............... 15,900 268,809
*Phillips (R.H.), Inc................................. 6,700 18,634
Phillips-Van Heusen Corp.............................. 28,900 251,069
*Phoenix Gold International, Inc...................... 1,000 2,250
*Phoenix International, Ltd........................... 8,850 17,009
Phoenix Investment Partners, Ltd...................... 49,300 412,888
*Phoenix Technologies, Ltd............................ 32,300 580,391
*Phonetel Technologies, Inc........................... 112 47
*Photo Control Corp................................... 1,000 3,016
*Photoelectron Corp................................... 6,900 29,325
*Photon Dynamics, Inc................................. 6,500 391,828
*PhotoWorks, Inc...................................... 17,900 53,980
*Photronics, Inc...................................... 17,700 426,459
*Phycor, Inc.......................................... 63,200 30,613
Piccadilly Cafeterias, Inc............................ 11,100 31,913
*Pico Holdings, Inc................................... 19,761 213,048
*Picturetel Corp...................................... 48,600 149,597
*Piercing Pagoda, Inc................................. 11,900 169,575
Pilgrim Pride Corp.................................... 31,500 252,000
Pilgrim's Pride Corp.................................. 12,900 76,594
Pillowtex Corp........................................ 14,717 69,906
*Pilot Network Services, Inc.......................... 15,100 150,528
*Pinnacle Entertainment, Inc.......................... 31,300 596,656
*Pinnacle Global Group, Inc........................... 1,400 5,163
Pioneer Standard Electronics, Inc..................... 35,400 423,694
Pitt-Des Moines, Inc.................................. 9,600 223,200
Pittston Brink's Group................................ 10,818 164,298
Pizza Inn, Inc........................................ 11,600 41,325
*PJ America, Inc...................................... 7,000 75,906
*Plains Resources, Inc................................ 19,700 300,425
*Planar Systems, Inc.................................. 13,700 132,291
*Platinum Entertainment, Inc.......................... 9,300 5,086
</TABLE>
27
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CONTINUED
<TABLE>
<CAPTION>
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*Plato Learning, Inc.................................. 7,600 $ 95,475
*Play By Play Toys and Novelties, Inc................. 5,900 10,048
*Playboy Enterprises, Inc. Class A.................... 6,100 72,819
*Playboy Enterprises, Inc. Class B.................... 19,736 259,035
*Plexus Corp.......................................... 160 13,365
*Pliant Systems, Inc.................................. 10,600 53,994
*PLM International, Inc............................... 5,100 37,931
*PMCC Financial Corp.................................. 2,600 9,750
PMR Corp.............................................. 6,700 23,241
Pocahontas Bancorp, Inc............................... 4,800 28,500
*Point West Capital Corp.............................. 3,400 12,644
Polaris Industries, Inc............................... 15,000 450,938
*Policy Management Systems Corp....................... 31,900 324,981
*Polymedica Industries, Inc........................... 13,000 346,125
Polymer Group, Inc.................................... 37,500 274,219
*Polyvision Corp...................................... 15,500 38,750
*Pomeroy Computer Resource, Inc....................... 15,400 225,706
Pope & Talbot, Inc.................................... 16,500 306,281
*Porta Systems Corp................................... 12,300 21,525
*Possis Medical, Inc.................................. 18,000 137,250
*Powell Industries, Inc............................... 10,900 91,117
*Powercerv Corp....................................... 15,800 21,478
*Power-One, Inc....................................... 6,200 546,763
*PPT Vision, Inc...................................... 6,800 31,450
*Prandium, Inc........................................ 21,564 4,636
Precision Castparts Corp.............................. 21,400 1,043,250
Premier Financial Bancorp............................. 5,800 43,319
*Premier Laser Systems, Inc. Class A.................. 9,900 842
Premier National Bancorp.............................. 6,751 84,388
*Premiumwear, Inc..................................... 1,400 18,419
*Pre-Paid Legal Services, Inc......................... 25,850 780,347
Presidential Life Corp................................ 33,900 498,966
*Presstek, Inc........................................ 30,400 579,500
*Previo, Inc.......................................... 5,375 30,234
*Pricesmart, Inc...................................... 4,400 157,850
*Pride International, Inc............................. 15,900 404,456
*Prima Energy Corp.................................... 7,050 294,338
*Primark Corp......................................... 23,200 603,200
*Prime Hospitality Corp............................... 53,800 464,025
*Prime Medical Services, Inc.......................... 19,900 156,091
Primesource Corp...................................... 2,581 13,591
Primex Technologies, Inc.............................. 13,500 261,141
*Primix Solutions, Inc................................ 17,500 90,234
*Princeton Video Image, Inc........................... 9,800 61,709
*Printrak International, Inc.......................... 15,300 110,447
*Printronix, Inc...................................... 8,000 114,250
*Printware, Inc....................................... 4,000 11,250
*Priority Healthcare Corp............................. 2,038 104,448
*ProBusiness Services, Inc............................ 26,100 696,544
*Procom Technology, Inc............................... 14,700 367,959
*Procurenet, Inc...................................... 19,700 0
Professional Bancorp, Inc............................. 1,900 6,650
*Professional Detailing, Inc.......................... 17,600 468,050
*Professionals Group, Inc............................. 9,930 164,776
*Progenics Pharmaceuticals, Inc....................... 15,700 163,378
*Programmers Paradise, Inc............................ 5,600 19,075
Progress Financial Corp............................... 7,200 85,500
*Progress Software Corp............................... 39,200 606,375
*Project Software & Development, Inc.................. 4,900 107,647
*ProMedCo Management Company.......................... 23,900 28,008
*Prophet 21, Inc...................................... 1,500 20,063
*Protection One, Inc.................................. 89,500 167,813
*Protocol Systems, Inc................................ 10,600 164,631
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*Provant, Inc......................................... 21,900 $ 82,809
Providence & Worcester Railroad Co.................... 1,600 10,700
Providence Energy Corp................................ 5,300 214,650
Provident Bancorp, Inc................................ 5,200 80,275
Provident Bankshares Corp............................. 34,800 507,863
Provident Financial Group, Inc........................ 26 727
*Provident Financial Holdings, Inc.................... 5,100 74,906
*Province Healthcare Co............................... 18,900 529,200
*Proxymed, Inc........................................ 19,800 26,606
*PRT Group, Inc....................................... 18,300 16,298
*PRWW, Ltd............................................ 6,900 54,769
*PSC, Inc............................................. 13,400 60,719
*PSS World Medical, Inc............................... 92,300 778,781
*PSW Technologies, Inc................................ 9,500 92,031
Psychemedics Corp..................................... 23,700 112,575
*PTEK Holdings, Inc................................... 56,400 193,875
Public Service Co. of New Mexico...................... 42,200 704,213
Pulaski Financial Corp................................ 3,100 36,038
Pulte Corp............................................ 27,200 603,500
*Puma Technology, Inc................................. 10,400 229,125
*Pure Resources, Inc.................................. 16,562 248,437
*Pure World, Inc...................................... 10,700 33,103
Pyramid Breweries, Inc................................ 5,700 11,044
*Qad, Inc............................................. 36,400 138,775
*QC Optics, Inc....................................... 3,200 4,200
*QEP Co., Inc......................................... 1,300 10,684
*QRS Corp............................................. 10,000 274,688
*Quad Systems Corp.................................... 4,600 7,116
*QuadraMed Corp....................................... 30,206 68,435
Quaker Chemical Corp.................................. 11,400 188,813
*Quaker City Bancorp, Inc............................. 2,187 31,438
*Quaker Fabric Corp................................... 17,250 94,336
*Quality Dining, Inc.................................. 13,700 44,953
Quality Systems, Inc.................................. 8,000 57,750
Quanex Corp........................................... 15,700 229,613
Queens County Bancorp................................. 23,300 459,447
*Quest Educational Corporation........................ 10,300 97,367
*Questcor Pharmaceuticals, Inc........................ 26,800 35,175
*Quidel Corp.......................................... 27,700 173,991
*Quigley Corp......................................... 12,000 20,625
*Quiksilver, Inc...................................... 29,100 396,488
*Quintel Entertainment, Inc........................... 16,700 39,402
*Quipp, Inc........................................... 2,400 44,850
Quixote Corp.......................................... 10,400 148,200
*Quokka Sports, Inc................................... 48,800 218,075
*Quorum Health Group, Inc............................. 71,500 691,539
*R & B, Inc........................................... 9,800 25,725
*R H Donnelley Corp................................... 38,200 706,700
*Racing Champions Corp................................ 19,100 31,336
*Radiance Medical Systems, Inc........................ 15,600 146,006
*Radiant Systems, Inc................................. 28,800 450,900
*Radiologix, Inc...................................... 21,200 86,125
*RadiSys Corp......................................... 3,662 143,848
*Rag Shops, Inc....................................... 2,415 5,283
*Railamerica, Inc..................................... 18,700 98,759
*RailWorks Corp....................................... 13,400 124,788
*Rainbow Rentals, Inc................................. 7,700 79,888
*Rainbow Technologies, Inc............................ 13,400 423,356
*Rainforest Cafe, Inc................................. 24,600 73,031
*Ralcorp Holdings, Inc................................ 33,600 428,400
*Ramsay Youth Services, Inc........................... 6,400 9,000
*Ramtron International Corp........................... 5,760 50,040
Range Resources Corp.................................. 43,800 123,188
</TABLE>
28
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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*Rare Hospitality International, Inc.................. 15,881 $ 438,713
Raven Industries, Inc................................. 5,200 70,850
*Rawlings Sporting Goods, Inc......................... 8,000 46,750
*Rayovac Corp......................................... 30,200 536,050
*Raytech Corp. DE..................................... 2,400 7,350
*Raytel Med Corp...................................... 10,400 26,000
*RCM Technologies, Inc................................ 14,200 114,044
*RDO Equipment Co. Class A............................ 6,300 35,438
*Reading Entertainment, Inc........................... 8,600 44,613
*Read-Rite Corp....................................... 54,500 107,297
*Recoton Corp......................................... 15,200 125,875
*Redhook Ale Brewery, Inc............................. 7,900 13,702
Redwood Empire Bancorp................................ 4,200 80,063
*Reebok International, Ltd............................ 51,900 720,113
*Reeds Jewelers, Inc.................................. 440 1,265
Regal Beloit Corp..................................... 23,100 386,925
*Regeneron Pharmaceuticals, Inc....................... 25,000 507,813
*Regent Communications, Inc........................... 11,500 63,969
Regis Corp............................................ 44,700 536,400
*Rehabcare Group, Inc................................. 9,300 399,900
*Rehabilicare, Inc.................................... 11,600 30,088
*Reliability, Inc..................................... 8,600 34,938
Reliance Group Holdings, Inc.......................... 119,800 277,038
Reliance Steel and Aluminum Co........................ 30,600 640,688
*Reliv International, Inc............................. 7,750 14,652
*Relm Wireless Corp................................... 6,600 16,294
*Remec, Inc........................................... 19,800 671,963
*RemedyTemp, Inc...................................... 7,300 135,734
*Remington Oil & Gas Corp............................. 23,600 154,138
*Renaissance Worldwide, Inc........................... 64,900 143,997
*Rent-A-Center, Inc................................... 30,400 615,600
*Rentrak Corp......................................... 13,600 48,450
*Rent-Way, Inc........................................ 24,200 645,838
*Repligen Corp........................................ 25,100 113,734
*Reptron Electronics, Inc............................. 8,000 81,500
Republic Bancorp, Inc................................. 49,900 489,644
Republic Bancorp, Inc. Class A........................ 13,500 87,117
*Republic Bankshares, Inc............................. 13,700 134,431
*Republic First Bancorp, Inc.......................... 6,434 28,350
Republic Group, Inc................................... 15,300 141,525
Republic Security Financial Corp...................... 60,882 250,187
*Res-Care, Inc........................................ 29,850 229,472
*Research Partners International, Inc................. 11,100 16,997
*ResMed, Inc.......................................... 16,300 391,200
*ResortQuest International, Inc....................... 21,300 101,175
Resource America, Inc................................. 24,600 169,894
Resource Bancshares Mortgage Group, Inc............... 28,408 136,714
*Respironics, Inc..................................... 39,648 636,846
*Response Oncology, Inc............................... 12,000 11,625
*Restoration Hardware, Inc............................ 20,200 127,828
*Revlon, Inc.......................................... 21,900 153,300
*Rex Stores Corp...................................... 9,200 194,350
*Rexall Sundown, Inc.................................. 6,300 150,216
*Rexhall Industries, Inc.............................. 1,771 9,962
*Rexx Environmental Corp.............................. 2,500 12,188
*RF Monolithics, Inc.................................. 7,900 71,841
*Ribozyme Pharmaceuticals............................. 19,700 244,403
Richardson Electronics, Ltd........................... 13,600 167,025
Richmond County Financial Corp........................ 33,820 633,068
*Riddell Sports, Inc.................................. 9,255 28,922
Riggs National Corp................................... 36,800 535,900
*Right Management Consultants, Inc.................... 6,300 64,575
<CAPTION>
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*Right Start, Inc..................................... 6,900 $ 26,306
*Rightchoice Managed Care, Inc. Class A............... 2,400 33,600
*Rimage Corp.......................................... 10,200 156,506
*Riverside Group, Inc................................. 1,000 3,750
Riverview Bancorp, Inc................................ 6,400 56,600
Rivianna Foods, Inc................................... 15,800 263,169
*Riviera Holdings Corporation......................... 5,000 36,875
RLI Corp.............................................. 12,800 465,600
*RMH Teleservices, Inc................................ 10,800 67,500
*RMI.Net, Inc......................................... 19,900 58,767
*Roadhouse Grill, Inc................................. 9,700 54,563
Roadway Express, Inc.................................. 19,700 422,934
Roanoke Electric Steel Corp........................... 14,200 187,706
Robbins & Myers, Inc.................................. 14,200 307,075
*Roberds, Inc......................................... 2,900 58
*Robertson-Ceco Corp.................................. 20,900 239,044
*Robinson Nugent, Inc................................. 6,400 72,000
*Robocom Systems, Inc................................. 800 1,663
*Robotic Vision Systems, Inc.......................... 33,200 393,213
*Rochester Medical Corp............................... 6,900 60,375
*Rock of Ages Co...................................... 5,000 25,000
Rock-Tenn Co. Class A................................. 25,700 245,756
*Rocky Mountain Chocolate Factory..................... 1,900 9,500
*Rocky Shoes & Boots, Inc............................. 4,900 25,266
*Rofin-Sinar Technologies, Inc........................ 14,900 181,128
*Rogers Corp.......................................... 20,000 618,750
*Rogue Wave Software, Inc............................. 13,600 58,225
*Rohn Industries, Inc................................. 60,600 192,216
Rollins Truck Leasing Corp............................ 62,300 587,956
Rollins, Inc.......................................... 33,900 402,563
*Ross Systems, Inc.................................... 25,700 35,739
*Rottlund, Inc........................................ 2,300 5,319
Rouge Industries, Inc. Class A........................ 16,000 72,000
Rowe Furniture Corp................................... 14,500 63,438
*Royal Appliance Manufacturing Co..................... 19,500 119,438
Royal Bancshares of Pennsylvania Class A.............. 3,791 57,813
*Royal Energy, Inc.................................... 2,300 7,044
*Royal Gold, Inc...................................... 19,300 50,361
*Royal Precision, Inc................................. 550 1,530
RPC, Inc.............................................. 36,700 389,938
*RTI International Metals, Inc........................ 22,900 297,700
*RTW, Inc............................................. 12,300 49,584
*Rubio's Restaurants, Inc............................. 5,000 39,063
Ruby Tuesday, Inc..................................... 74,400 734,700
Ruddick Corp.......................................... 46,400 643,800
*Rural Cellular Corp. Class A......................... 10,400 703,950
*Rural/Metro Corp..................................... 14,000 18,156
*Rush Enterprises, Inc................................ 6,700 46,481
Russ Berrie & Co., Inc................................ 22,600 427,988
Russell Corp.......................................... 13,700 304,825
*RWD Technologies, Inc................................ 14,600 61,594
*Ryans Family Steak Houses, Inc....................... 39,800 360,688
Ryerson Tull, Inc..................................... 27,200 268,600
Ryland Group, Inc..................................... 15,700 348,344
*S&K Famous Brands, Inc............................... 6,500 44,688
S&T Bancorp, Inc...................................... 29,700 533,672
*S3, Inc.............................................. 36,876 588,864
*Safeguard Health Enterprises, Inc.................... 4,400 4,290
*Safety 1st, Inc...................................... 8,800 121,275
*Safety Components International, Inc................. 4,100 185
*Safety-Kleen Corp.................................... 15,000 9,375
</TABLE>
29
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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*Saga Communications, Inc. Class A.................... 16,062 $ 331,279
*SAGA Systems, Inc.................................... 31,500 462,656
*Salient 3 Communications, Inc. Class A............... 2,600 29,738
*Salton/Maxim Housewares, Inc......................... 17,700 560,869
*Sames Corp........................................... 3,800 64,600
*Samsonite Corp....................................... 20,618 98,580
*San Filippo (John B.) & Son, Inc..................... 5,000 17,500
*Sanchez Computer Associates, Inc..................... 27,200 459,000
Sanderson Farms, Inc.................................. 15,100 101,453
*Sands Regent Casino Hotel............................ 2,000 3,219
*Sandy Spring Bancorp, Inc............................ 1,000 21,844
*Sangstat Medical Corp................................ 19,600 524,300
*Santa Cruz Operation, Inc............................ 42,400 176,225
*Satcon Technology Corp............................... 15,900 255,394
*Saucony, Inc. Class A................................ 3,500 37,516
*Saucony, Inc. Class B................................ 4,600 46,000
Sauer, Inc............................................ 30,200 260,475
*Savoir Technology Group, Inc......................... 13,500 107,156
*SBE, Inc............................................. 3,700 69,259
*SBS Technologies, Inc................................ 8,100 263,250
*Scan-Optics, Inc..................................... 7,400 7,284
*ScanSoft, Inc........................................ 49,918 120,895
*ScanSource, Inc...................................... 5,500 152,281
*SCB Computer Technology, Inc......................... 25,700 54,613
*SCC Communications Corp.............................. 14,400 79,650
Schawk, Inc. Class A.................................. 25,200 200,025
*Scheid Vineyards, Inc................................ 2,300 8,769
*Schein (Henry), Inc.................................. 42,700 753,922
*Schein Pharmaceutical, Inc........................... 36,200 739,838
*Schick Technologies, Inc............................. 9,000 16,875
*Schieb (Earl), Inc................................... 2,200 7,013
*Schlotzskys, Inc..................................... 9,600 57,900
*Schmitt Industries, Inc.............................. 10,300 27,681
Schnitzer Steel Industries, Inc. Class A.............. 7,200 107,325
*Schuff Steel Company................................. 6,000 19,500
*Schuler Homes, Inc................................... 20,100 124,369
Schulman (A.), Inc.................................... 33,100 394,097
Schultz Sav-O Stores, Inc............................. 7,700 87,588
Schweitzer-Maudoit International, Inc................. 17,300 237,875
*Sciclone Pharmaceuticals, Inc........................ 33,400 281,291
*Scientific Games Holdings Corp....................... 14,800 357,050
Scientific Technologies, Inc.......................... 6,700 37,269
*Scios-Nova, Inc...................................... 46,187 199,181
*Scott Technologies, Inc.............................. 18,600 337,706
*Scotts Co. Class A................................... 6,600 248,325
*Scott's Liquid Gold, Inc............................. 7,100 7,766
*SCP Pool Corp........................................ 14,600 493,663
SCPIE Holdings, Inc................................... 12,800 311,200
Seaboard Corp......................................... 1,400 257,600
*Seachange International, Inc......................... 12,800 330,400
Seacoast Banking Corp. Class A........................ 1,500 39,094
Seacoast Financial Services Corp...................... 5,746 50,457
*Seacor Smit, Inc..................................... 11,300 724,613
Seaway Food Town, Inc................................. 8,700 132,947
*Secom General Corp................................... 140 1,124
Second Bancorp, Inc................................... 10,500 162,094
*Secure Computing Corp................................ 26,800 309,038
*Security Associates International, Inc............... 5,700 22,800
*SED International Holdings, Inc...................... 9,450 30,417
*Sedona Worldwide, Inc................................ 2,502 13
*SEEC, Inc............................................ 6,100 27,736
<CAPTION>
SHARES VALUE+
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*Segue Software, Inc.................................. 23,400 $ 200,363
*Seibels Bruce Group, Inc............................. 5,400 8,438
*Seitel, Inc.......................................... 24,400 207,400
Selas Corp. of America................................ 4,750 26,125
*Select Comfort Corp.................................. 20,000 75,938
Selective Insurance Group, Inc........................ 29,800 552,231
SEMCO Energy, Inc..................................... 19,700 263,488
*Semitool, Inc........................................ 28,800 407,700
*SEMX Corp............................................ 6,200 49,019
*Seneca Foods Corp. Class A........................... 200 2,313
*Seneca Foods Corp. Class B........................... 1,300 14,950
*Sensory Science Corp................................. 15,300 40,163
*Sequa Corp. Class A.................................. 6,400 305,200
*Sequa Corp. Class B.................................. 2,600 149,500
*SeraCare, Inc........................................ 9,600 23,400
*Serologicals Corp.................................... 11,550 46,741
*Servotronics, Inc.................................... 900 3,375
Sevenson Environmental Services, Inc.................. 2,080 23,075
*SGV Bancorp, Inc..................................... 1,400 34,169
*Shared Technologies Cellular, Inc.................... 10,100 15,781
*Sharper Image Corp................................... 13,200 148,088
*Shaw Group, Inc...................................... 19,800 863,775
*Sheffield Medical Technologies, Inc.................. 32,750 135,094
*Sheldahl, Inc........................................ 15,200 71,488
*Shells Seafood Restaurants, Inc...................... 4,400 9,350
*Shiloh Industries, Inc............................... 8,800 90,200
*Shoe Carnival, Inc................................... 14,600 106,306
*Shoe Pavilion, Inc................................... 6,200 9,688
*Sholodge, Inc........................................ 5,800 23,563
*Shoney's, Inc........................................ 45,000 28,125
*Shop At Home, Inc.................................... 34,900 147,234
*Shopko Stores, Inc................................... 39,500 725,813
Shoreline Financial Corp.............................. 3,407 45,995
*Shuffle Master, Inc.................................. 9,200 135,413
*SICOR, Inc........................................... 61,400 523,819
*Siebert Financial Corp............................... 29,700 220,894
*Sierra Health Services, Inc.......................... 31,936 133,732
*SierraCities.com, Inc................................ 23,000 92,359
Sifco Industries, Inc................................. 5,400 33,075
*Sight Resource Corp.................................. 7,100 6,323
*Sigma Designs, Inc................................... 19,100 67,447
*Sigmatron International, Inc......................... 1,700 7,278
*Signal Apparel Co., Inc. Class A..................... 6,200 1,163
*Signal Technology Corp............................... 7,700 114,056
*Signature Eyewear, Inc............................... 3,600 5,850
*Silgan Holdings, Inc................................. 15,000 141,563
*Silicon Valley Bancshares............................ 13,600 446,675
*Silicon Valley Group, Inc............................ 9,600 255,300
*Silverleaf Resorts, Inc.............................. 14,900 53,081
*Simione Central Holdings, Inc........................ 2,035 5,554
Simmons First National Corp. Class A.................. 4,550 86,877
*Simon Transportation Services, Inc................... 6,100 34,884
Simpson Industries, Inc............................... 19,850 174,928
*Simpson Manufacturing Co., Inc....................... 13,100 623,888
*Simula, Inc.......................................... 14,400 27,900
*Sipex Corp........................................... 24,000 525,750
*Sitel Corp........................................... 77,600 451,050
*Sizzler International, Inc........................... 33,200 97,525
SJNB Financial Corp................................... 1,500 39,938
SJW Corp.............................................. 3,600 406,800
*Skyepharma P.L.C. ADR................................ 915 12,526
Skyline Corp.......................................... 8,700 179,438
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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*SkyMall, Inc......................................... 16,800 $ 40,950
Skywest, Inc.......................................... 21,800 831,806
SL Industries, Inc.................................... 9,200 78,775
SLI, Inc.............................................. 44,900 583,700
*Smart & Final Food, Inc.............................. 32,900 269,369
*SMC Corp............................................. 5,600 22,225
Smith (A.O.) Corp..................................... 18,050 379,050
Smith (A.O.) Corp. Convertible Class A................ 3,750 79,219
*Smith Micro Software, Inc............................ 18,600 125,550
*Smithway Motor Express Corp. Class A................. 4,700 12,044
Smucker (J.M.) Co. Class A............................ 15,900 281,231
Smucker (J.M.) Co. Class B............................ 16,200 272,363
*Socrates Technolgies Corp............................ 18,400 20,700
*Softech, Inc......................................... 8,100 8,859
*Softnet Systems, Inc................................. 34,700 369,772
*Software Spectrum, Inc............................... 3,900 56,428
*Sola International, Inc.............................. 27,100 135,500
Somerset Group, Inc................................... 312 6,669
*Somnus Medical Technologies, Inc..................... 13,900 40,831
*Sonic Automotive, Inc................................ 28,600 278,850
*Sonic Corp........................................... 21,950 607,055
*Sonic Foundry, Inc................................... 8,600 121,744
*Sonic Solutions...................................... 14,600 60,453
*Sonosight, Inc....................................... 3,633 72,546
*Sonus Pharmaceuticals, Inc........................... 11,800 34,294
*SOS Staffing Services, Inc........................... 13,100 39,709
*Sound Advice, Inc.................................... 4,800 47,550
*Source Media, Inc.................................... 16,400 89,944
South Financial Group, Inc............................ 27,210 341,826
South Jersey Industries, Inc.......................... 14,600 380,513
*Southern Banc Company, Inc........................... 200 1,650
*Southern Energy Homes, Inc........................... 11,925 13,416
*Southern Pacific Funding Corp........................ 19,600 490
*Southern Union Co.................................... 31,358 540,926
*Southwall Technologies, Inc.......................... 9,800 81,769
Southwest Bancorp, Inc................................ 4,000 66,250
*Southwest Bancorporation of Texas, Inc............... 30,800 611,188
Southwest Gas Corp.................................... 17,000 326,188
Southwest Securities Group, Inc....................... 15,300 443,700
Southwest Water Co.................................... 8,400 110,775
Southwestern Energy Co................................ 29,900 276,575
*Spacehab, Inc........................................ 14,100 62,569
*Spacelabs Medical, Inc............................... 12,300 139,528
Span-American Medical System, Inc..................... 2,400 8,738
*SPAR Group, Inc...................................... 1,500 3,844
Spartan Motors, Inc................................... 14,000 62,125
Spartech Corp......................................... 17,700 524,363
*Sparton Corp......................................... 7,200 29,700
*Spatial Technology, Inc.............................. 10,750 37,625
*Special Metals Corp.................................. 16,100 37,734
*Specialty Equipment Co., Inc......................... 25,000 528,125
*SpectraLink Corp..................................... 22,500 338,203
*Spectranetics Corp................................... 27,602 128,522
*Spectra-Physics Laser, Inc........................... 7,300 287,438
*Spectrian Corp....................................... 11,400 172,425
*Spectrum Control, Inc................................ 13,200 131,175
*SpectRx, Inc......................................... 8,900 96,231
*SpeedFam-IPEC, Inc................................... 32,600 428,894
*Speizman Industries, Inc............................. 2,300 8,338
*Spire Corp........................................... 3,200 15,000
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Splash Technology Holdings, Inc...................... 15,500 $ 122,547
*Sport Chalet, Inc.................................... 2,700 13,163
*Sport Supply Group, Inc.............................. 9,400 44,650
*Sport-Haley, Inc..................................... 3,500 15,039
*Sports Authority, Inc................................ 41,400 87,975
*Sports Club Co., Inc................................. 20,100 67,838
*SportsLine USA, Inc.................................. 1,600 18,400
*Sportsman's Guide, Inc............................... 5,100 14,981
Springs Industries, Inc. Class A...................... 10,600 503,500
*SPS Technologies, Inc................................ 13,800 484,725
*SPSS, Inc............................................ 12,600 315,000
*Spyglass, Inc........................................ 10,700 332,034
*SRS Labs, Inc........................................ 11,700 108,956
*SS&C Technologies, Inc............................... 15,600 71,419
*SSE Telecom, Inc..................................... 7,700 21,175
St. Francis Capital Corp.............................. 13,200 181,913
St. Joseph Light & Power Co........................... 49,600 1,044,700
St. Mary Land & Exploration Co........................ 17,800 641,356
*Staar Surgical Co.................................... 15,300 208,941
*Staff Leasing, Inc................................... 27,400 98,041
*Staffmark, Inc....................................... 32,300 159,481
*Stage II Apparel Corp................................ 1,700 1,700
*Stage Stores, Inc.................................... 21,400 3,344
*Standard Automotive Corp............................. 3,000 17,250
Standard Commercial Corp.............................. 14,229 44,466
*Standard Management Corp............................. 7,600 25,888
*Standard Microsystems Corp........................... 17,100 222,834
Standard Motor Products, Inc. Class A................. 11,900 115,281
Standard Pacific Corp. DE............................. 37,000 420,875
Standard Register Co.................................. 26,100 353,981
Standex International Corp............................ 14,100 237,056
*Stanley Furniture, Inc............................... 7,600 171,713
*Star Buffet, Inc..................................... 2,800 7,438
*Star Multi Care Services, Inc........................ 1,362 2,639
*STAR Telecommunications, Inc......................... 66,800 139,863
*Starcraft Corp....................................... 2,500 19,219
*Starmet Corp......................................... 13,000 36,969
Starrett (L.S.) Co. Class A........................... 6,700 136,094
*Startec Global Communications Corp................... 9,700 111,853
*StarTek, Inc......................................... 13,900 880,913
*Starter Corp......................................... 24,300 134
State Auto Financial Corp............................. 45,200 505,675
State Financial Services Corp. Class A................ 11,100 112,734
Staten Island Bancorp, Inc............................ 8,300 140,581
*Station Casinos, Inc................................. 26,300 713,388
*Steel Dynamics, Inc.................................. 46,100 430,747
Steel Technologies, Inc............................... 14,500 108,297
*Stein Mart, Inc...................................... 53,000 412,406
*Steinway Musical Instruments, Inc.................... 11,200 194,600
*Stemcells, Inc....................................... 22,000 56,031
Stepan Co............................................. 8,400 183,750
Stephan Co............................................ 2,700 9,788
*Stericycle, Inc...................................... 14,700 299,053
*Sterile Recoveries, Inc.............................. 6,100 40,794
*STERIS Corp.......................................... 54,600 499,931
Sterling Bancorp...................................... 10,800 171,450
Sterling Bancshares................................... 28,637 319,482
*Sterling Financial Corp. WA.......................... 10,500 108,609
Stewart & Stevenson Services, Inc..................... 30,700 427,881
Stewart Enterprises, Inc.............................. 128,400 517,613
Stewart Information Services Corp..................... 13,600 171,700
</TABLE>
31
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Stifel Financial Corp................................. 9,400 $ 89,300
*STM Wireless, Inc. Class A........................... 9,200 40,825
*Stockwalk.com Group, Inc............................. 900 7,988
Stone & Webster, Inc.................................. 14,200 13,756
*Stone Energy Corp.................................... 9,200 566,375
*Stoneridge, Inc...................................... 24,600 276,750
*Storage Computer Corp................................ 15,500 108,500
*Stratasys, Inc....................................... 4,400 27,156
*Strategic Diagnostics, Inc........................... 18,000 107,438
*Strategic Distribution, Inc.......................... 40,292 85,621
*Stratesec, Inc....................................... 8,400 21,000
*Strattec Security Corp............................... 6,500 225,469
*Stratus Properties, Inc.............................. 16,100 74,463
*Strawbridge and Clothier Liquidating Trust........... 4,200 629
Strayer Ed, Inc....................................... 17,000 422,344
Stride Rite Corp...................................... 56,800 372,750
*Strouds, Inc......................................... 7,200 14,963
*Structural Dynamics Research Corp.................... 41,100 466,228
Sturm Ruger & Co., Inc................................ 32,000 320,000
*Styleclick.com, Inc.................................. 10,000 104,063
*Suburban Lodges of America, Inc...................... 17,800 100,125
*Success Bancshares, Inc.............................. 2,200 22,550
*Successories, Inc.................................... 8,400 16,013
Suffolk Bancorp....................................... 4,300 115,563
*Summa Industries, Inc................................ 4,300 46,897
Summit Bancshares, Inc................................ 2,000 34,375
Summit Bank Corp...................................... 700 11,463
*Summit Technology, Inc............................... 57,500 1,065,547
*Sun Bancorp, Inc..................................... 9,200 64,113
Sun Hydraulics, Inc................................... 4,400 39,050
*Sunair Electronics, Inc.............................. 3,000 7,875
*Sunbeam Corp......................................... 145,994 456,231
*Sunburst Hospitality Corp............................ 20,600 91,413
*Sundance Homes, Inc.................................. 3,000 990
*Sunglass Hut International, Inc...................... 49,300 296,570
*Sunquest Information Systems, Inc.................... 15,700 117,750
*Sunrise Assisted Living, Inc......................... 26,465 482,159
*Sunrise Medical, Inc................................. 27,200 120,700
*Sunrise Resources, Inc............................... 5,500 27,070
*Sunrise Technologies International, Inc.............. 53,100 462,966
*SunSource, Inc....................................... 6,700 30,150
*Sunterra Corp........................................ 36,000 12,375
*Superconductor Technologies, Inc..................... 10,200 143,438
*Supergen, Inc........................................ 16,600 390,619
*Superior Consultant Holdings Corp.................... 10,800 84,544
*Superior Energy Services, Inc........................ 65,900 667,238
Superior Industries International, Inc................ 27,700 773,869
*Superior National Insurance Group, Inc............... 17,400 1,566
Superior Surgical Manufacturing Co., Inc.............. 10,000 86,250
Superior Telecom, Inc................................. 24,208 263,262
*Supertex, Inc........................................ 26,500 752,766
*Suprema Specialties, Inc............................. 5,700 50,588
*Supreme Industries, Inc.............................. 11,655 59,003
*SurModics, Inc....................................... 7,800 184,763
Susquehanna Bancshares, Inc........................... 43,200 589,950
*SVI Holdings, Inc.................................... 35,700 274,444
*Swift Energy Corp.................................... 23,880 613,418
*Swisher International, Inc........................... 700 700
*Swiss Army Brands, Inc............................... 10,200 53,869
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Sybase, Inc.......................................... 30,800 $ 586,163
*Sybron Chemicals, Inc................................ 3,200 63,200
*Sykes Enterprises, Inc............................... 7,200 139,725
*Sylvan Learning Systems, Inc......................... 13,700 154,981
*Sylvan, Inc.......................................... 7,300 71,631
*Symix Systems, Inc................................... 9,600 96,300
*Symmetricom, Inc..................................... 18,000 270,000
*Symons International Group, Inc...................... 8,300 5,836
*Symphonix Devices, Inc............................... 14,900 54,013
*Syms Corp............................................ 18,500 63,594
Synalloy Corp. DE..................................... 8,100 60,750
*Synaptic Pharmaceutical Corp......................... 13,900 66,025
*Synbiotics Corp...................................... 12,100 27,225
*Sync Research, Inc................................... 3,080 10,203
*Syncor International Corp............................ 15,300 756,394
*Syntel, Inc.......................................... 46,500 565,266
*Syntellect, Inc...................................... 14,500 70,688
*Synthetech, Inc...................................... 14,800 48,100
*Syntroleum Corp...................................... 35,400 633,881
*Sypris Solutions, Inc................................ 2,250 21,656
*System Software Associates, Inc...................... 10,700 514
*Systemax, Inc........................................ 42,700 290,894
*Systems & Computer Technology Corp................... 35,400 653,794
*T&W Financial Corp................................... 6,700 0
Tab Products Co....................................... 5,200 25,025
*Taco Cabana, Inc..................................... 14,400 92,250
*Tag-It Pacific, Inc.................................. 6,700 32,244
*Taitron Components, Inc.............................. 5,500 16,500
*Take Two Interactive Software........................ 28,100 253,778
*TALX Corp............................................ 6,000 90,188
*Tandy Brand Accessories, Inc......................... 7,500 49,453
*Tandy Crafts, Inc.................................... 13,200 39,600
*Targeted Genetics Corp............................... 37,700 266,256
*Tarrant Apparel Group................................ 19,600 159,250
Tasty Baking Co....................................... 10,100 120,569
TB Woods Corp......................................... 4,700 42,888
*TBA Entertainment Corp............................... 10,500 41,016
*TBC Corp............................................. 25,650 123,841
TCBY Enterprises, Inc................................. 24,800 124,000
*TCC Industries, Inc.................................. 1,100 94
*TCI International, Inc............................... 4,400 29,150
*TCSI Corp............................................ 25,300 45,856
*TEAM America Corp.................................... 2,800 10,544
*Team, Inc............................................ 7,600 18,525
Tech/Ops Sevcon, Inc.................................. 4,000 38,750
*Techdyne, Inc........................................ 7,100 17,750
Teche Holding Co...................................... 700 9,275
*Technical Chemicals & Products, Inc.................. 12,000 9,563
*Technical Communications Corp........................ 400 1,925
*Technisource, Inc.................................... 10,400 42,575
Technitrol, Inc....................................... 9,600 662,400
Technology Research Corp.............................. 7,000 13,781
*Technology Solutions Corp............................ 57,100 273,902
*Tech-Sym Corp........................................ 7,500 164,063
*Tegal Corp........................................... 15,600 67,031
Tejon Ranch Co........................................ 13,900 316,225
*Telcom Semiconductor, Inc............................ 22,500 559,688
*Telescan, Inc........................................ 18,200 130,244
*Telescape International, Inc......................... 8,000 62,500
*TeleSpectrum Worldwide, Inc.......................... 38,600 168,875
*Teletouch Communications, Inc........................ 4,200 8,925
*Telular Corp......................................... 12,900 110,053
</TABLE>
32
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Telxon Corp.......................................... 18,100 $ 281,681
*Temtex Industries, Inc............................... 2,000 2,250
Tennant Co............................................ 9,000 321,750
Tenneco Automotive, Inc............................... 10,000 73,125
*Terex Corp........................................... 30,300 482,906
Terra Industries, Inc................................. 98,600 209,525
*Terremark Worldwide, Inc............................. 36,500 73,000
*Tesoro Petroleum Corp................................ 42,200 432,550
*TESSCO Technologies, Inc............................. 5,800 98,238
*Tesseract Group, Inc................................. 7,600 2,375
*Tetra Tech, Inc...................................... 30,281 669,021
*Tetra Technologies, Inc.............................. 13,200 170,775
*Texas Biotechnology Corp............................. 43,300 419,469
Texas Industries, Inc................................. 23,000 659,813
Texas Regional Banchshares, Inc. Class A.............. 16,000 432,000
TF Financial Corp..................................... 2,600 36,725
*TFC Enterprises, Inc................................. 11,400 23,869
*Thackeray Corp....................................... 3,600 11,025
*Theglobe.com, Inc.................................... 31,900 49,345
*Theragenics Corp..................................... 32,500 290,469
*Thermatrix, Inc...................................... 5,400 2,531
*Thermedics, Inc...................................... 46,100 388,969
*Thermo Cardiosystems, Inc............................ 46,200 453,338
*Thermo Ecotek Corp................................... 21,100 164,844
*Thermo Fibergen, Inc................................. 6,800 81,600
*Thermo Fibertek, Inc................................. 70,400 431,200
*Thermo Terratech, Inc................................ 15,500 116,250
*Thermolase Corp...................................... 33,200 76,775
Thermoretec Corp...................................... 17,600 123,200
*Thermotrex Corp...................................... 14,900 148,069
*Thermwood Corp....................................... 200 1,275
Thistle Group Holdings Co............................. 7,100 47,703
*Thomas Group, Inc.................................... 6,100 59,475
Thomas Industries, Inc................................ 17,450 349,000
*Thomaston Mills, Inc................................. 1,900 1,841
Thor Industries, Inc.................................. 15,700 366,988
*Thoratec Laboratories Corp........................... 24,100 295,225
*Thorn Apple Valley, Inc.............................. 4,600 426
*T-HQ, Inc............................................ 24,000 231,750
*Three Rivers Bancorp, Inc............................ 7,300 58,628
*Three-Five Systems, Inc.............................. 9,199 577,237
*Tier Technologies, Inc. Class B...................... 10,700 53,834
*TII Industries, Inc.................................. 8,860 17,582
Timberland Bancorp, Inc............................... 6,600 61,256
Timberline Software Corp.............................. 23,200 179,075
*Tipperary Corp....................................... 15,700 45,138
Titan International, Inc.............................. 20,100 119,344
*Titan Pharmaceuticals, Inc........................... 18,700 474,513
Titanium Metals Corp.................................. 35,600 155,750
*TMBR/Sharp Drilling, Inc............................. 6,200 72,850
*T-Netix, Inc......................................... 16,500 81,469
*Today's Man, Inc..................................... 4,300 2,217
*Todd Shipyards Corp.................................. 12,600 89,775
*Todd-AO Corp. Class A................................ 10,700 216,006
*Toddhunter International, Inc........................ 4,600 37,663
*Tofutti Brands, Inc.................................. 6,900 15,956
*Tokheim Corp......................................... 14,000 19,250
*Toll Brothers, Inc................................... 38,700 749,813
*Tollgrade Communications, Inc........................ 10,600 701,588
Tompkins County Trustco, Inc.......................... 330 7,796
*Topps, Inc........................................... 51,000 537,094
*Toreador Royalty Corp................................ 4,900 26,644
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Toro Co............................................... 14,000 $ 441,000
*Total Entertainment Restaurant Corp.................. 12,300 29,213
*Total Renal Care Holdings, Inc....................... 81,200 319,725
*Total-Telephone USA Communications, Inc.............. 3,000 19,688
*Tower Air, Inc....................................... 13,300 1,929
*Tower Automotive, Inc................................ 31,200 432,900
*Towne Services, Inc.................................. 5,200 3,981
*Toymax International, Inc............................ 11,100 27,750
*Track Data Corp...................................... 65,500 76,758
*Track 'n Trail, Inc.................................. 4,900 3,292
*Tractor Supply Co.................................... 11,400 173,138
*Trailer Bridge, Inc.................................. 5,000 5,078
*Trammell Crow Co..................................... 45,300 569,081
*Trans World Airlines, Inc............................ 65,900 160,631
*Trans World Entertainment Corp....................... 58,300 582,089
*Transact Technologies, Inc........................... 7,200 72,900
*Transaction Systems Architects, Inc.................. 3,400 41,331
*Transcoastal Marine Services, Inc.................... 12,400 6,006
*Transcrypt International, Inc........................ 7,800 16,819
*Transfinancial Holdings, Inc......................... 3,300 5,775
*Transkaryotic Therapies, Inc......................... 3,400 85,106
*Transmation, Inc..................................... 6,700 16,227
*Transmedia Network, Inc.............................. 14,900 45,631
*Transmontaigne Oil Co................................ 39,700 267,975
*Transport Industries, Inc............................ 1,000 5,250
*Transportation Components, Inc....................... 21,000 40,688
Transpro, Inc......................................... 6,700 30,150
Transtechnology Corp.................................. 4,900 42,263
*TransTexas Gas Corp.................................. 48,400 0
*TransTexas Gas Corp. Class A......................... 236 1,239
*Transworld Healthcare, Inc........................... 19,300 29,553
*Travelocity.com, Inc................................. 16,700 296,425
*Travis Boats & Motors, Inc........................... 2,700 14,006
*TRC Companies, Inc................................... 8,800 92,400
*TREEV, Inc........................................... 9,000 58,922
*Trega Biosciences, Inc............................... 25,400 69,056
Tremont Corp. DE...................................... 5,100 84,788
*Trend-Lines, Inc. Class A............................ 3,300 4,177
*Trendwest Resorts, Inc............................... 22,000 506,688
Trenwick Group, Inc................................... 20,075 301,125
*Trex Medical Corp.................................... 32,200 60,375
*Triad Guaranty, Inc.................................. 14,600 270,556
*Triad Hospitals, Inc................................. 1,000 21,438
*Triangle Pharmaceuticals, Inc........................ 44,800 285,600
*Triarc Companies, Inc. Class A....................... 22,200 460,650
Trico Bancshares...................................... 4,950 78,581
*Trico Marine Services, Inc........................... 28,900 280,872
*Trident Microsystems, Inc............................ 14,700 123,572
*Tridex Corp.......................................... 5,100 3,905
*Trimark Holdings, Inc................................ 1,700 13,627
*Trimble Navigation, Ltd.............................. 20,700 917,269
*Trimedyne, Inc....................................... 5,400 10,631
*Trimeris, Inc........................................ 20,300 892,566
*TriPath Imaging, Inc................................. 33,752 166,123
*Triple S Plastics, Inc............................... 3,800 61,513
*Tripos, Inc.......................................... 4,400 70,400
*Tristar Corp......................................... 1,000 5,375
*Triumph Group........................................ 10,800 302,400
*TRM Copy Centers Corp................................ 6,700 33,919
*Tropical Sportswear International Corp............... 8,300 190,381
*Troy Group, Inc...................................... 1,000 9,313
</TABLE>
33
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Trump Hotels & Casino Resorts, Inc................... 28,900 $ 79,475
Trust Co. of New Jersey............................... 21,600 394,875
Trustco Bank Corp. NY................................. 58,800 718,463
*TSR, Inc............................................. 6,100 34,598
Tucker Anthony Sutro Corp............................. 23,800 407,575
*Tuesday Morning Corp................................. 33,900 353,831
*Tufco Technologies, Inc.............................. 4,500 45,281
*TurboChef Technologies, Inc.......................... 20,400 85,425
Tuscarora, Inc........................................ 12,100 153,519
Twin Disc, Inc........................................ 3,600 55,800
*Twinlab Corp......................................... 35,400 253,331
*Tyler Technologies, Inc.............................. 48,200 192,800
U.S. Bancorp, Inc..................................... 17,200 79,013
*U.S. Diagnostic, Inc................................. 18,000 14,063
*U.S. Franchise Systems, Inc.......................... 18,700 101,097
*U.S. Home & Garden, Inc.............................. 23,700 59,991
*U.S. Office Products, Co............................. 39,600 40,219
*U.S. Plastic Lumber Corp............................. 31,700 143,641
*U.S. Vision, Inc..................................... 7,700 13,234
*Ubics, Inc........................................... 8,400 21,263
*Ucar International, Inc.............................. 27,000 330,750
UCBH Holdings, Inc.................................... 10,300 258,788
*UFP Technologies, Inc................................ 3,800 9,975
UGI Corp.............................................. 30,000 663,750
*Ugly Duckling Corp................................... 16,700 120,553
*UICI................................................. 51,000 248,625
*Ultimate Electronics, Inc............................ 12,400 308,450
*Ultimate Software Group, Inc......................... 17,500 139,453
*Ultradata Systems, Inc............................... 2,000 5,813
*Ultrak, Inc.......................................... 15,100 100,981
*Ultralife Batteries, Inc............................. 14,100 106,191
*Ultratech Stepper, Inc............................... 23,600 331,875
Umpqua Holdings Corp.................................. 7,100 58,797
*Unapix Entertainment, Inc............................ 6,100 6,863
*Unicapital Corp...................................... 58,700 40,356
Unico American Corp................................... 7,200 44,213
*UniComp, Inc......................................... 9,600 25,800
*Unidigital, Inc...................................... 6,100 13,725
*Unifab International, Inc............................ 6,800 49,725
*Unifi, Inc........................................... 58,500 745,875
Unifirst Corp......................................... 9,650 79,009
*Unify Corp........................................... 21,000 280,219
*Unimark Group, Inc................................... 10,100 7,575
*Uni-Marts, Inc....................................... 6,500 13,000
*Union Acceptance Corp. Class A....................... 5,200 25,838
Union Community Bancorp............................... 2,300 24,941
*Unique Mobility, Inc................................. 21,500 150,500
*Uniroyal Technology Corp............................. 27,200 433,500
Unisource Energy Corp................................. 36,780 565,493
*Unit Corp............................................ 40,600 535,413
*United American Healthcare Corp.,.................... 5,300 3,313
*United Auto Group, Inc............................... 21,400 191,263
United Community Financial Corp....................... 34,400 203,175
United Financial Corp. MN............................. 400 5,575
United Fire Casualty Co............................... 5,400 93,656
United Guardian, Inc.................................. 1,900 8,313
United Illuminating Co................................ 14,600 691,675
United Industrial Corp................................ 16,000 141,000
United National Bancorp............................... 17,600 323,400
*United Natural Foods, Inc............................ 23,700 359,203
*United Retail Group, Inc............................. 14,600 116,344
*United Road Services, Inc............................ 720 2,880
*United Security Bancorporation....................... 1,600 15,050
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*United States Energy Corp............................ 11,500 $ 33,063
United Wisconsin Services, Inc........................ 18,500 106,375
*Unitel Video, Inc.................................... 700 14
Unitil Corp........................................... 6,100 158,600
Unity Bancorp, Inc.................................... 2,600 10,969
*Universal American Financial Corp.................... 8,400 31,500
Universal Corporation................................. 31,500 730,406
*Universal Electronics, Inc........................... 15,000 329,531
Universal Forest Products, Inc........................ 22,100 290,753
*Universal Stainless & Alloy Products, Inc............ 6,500 44,688
*Uno Restaurant Corp.................................. 14,800 179,450
*Unova, Inc........................................... 25,300 349,456
*Urban Outfitters, Inc................................ 19,400 175,813
*Urocor, Inc.......................................... 12,200 45,750
*Urologix, Inc........................................ 14,900 62,859
*Uromed Corp. New..................................... 4,720 13,496
*URS Corp............................................. 17,700 232,313
*Ursus Telecom Corp................................... 7,300 62,734
*US Can Corp.......................................... 14,800 244,200
*US LEC Corp.......................................... 11,300 216,113
*US Liquids, Inc...................................... 17,800 86,775
*US Oncology, Inc..................................... 89,638 428,582
*US Xpress Enterprises, Inc. Class A.................. 20,523 144,302
*USA Detergents, Inc.................................. 18,100 46,381
*USA Floral Products, Inc............................. 16,400 13,581
*USA Truck, Inc....................................... 10,200 66,938
*USABancShares.com, Inc............................... 5,300 17,308
*USANA, Inc........................................... 10,200 45,581
USB Holding Co., Inc.................................. 14,805 185,063
*USData Corp.......................................... 17,100 82,828
*Usec, Inc............................................ 5,500 25,438
*Utah Medical, Inc.................................... 6,300 44,100
*UTI Energy Corp...................................... 21,400 914,850
*Utilx Corp........................................... 9,600 36,000
*V.I. Technologies, Inc............................... 14,600 105,850
*Vail Resorts, Inc.................................... 16,500 264,000
*Valence Technology, Inc.............................. 36,800 537,050
*Valentis, Inc........................................ 32,066 242,499
*Valley National Gases, Inc........................... 4,200 21,000
Valley Resources, Inc................................. 4,000 95,000
Valmont Industries, Inc............................... 25,800 507,938
*Value City Department Stores, Inc.................... 36,100 358,744
Value Line, Inc....................................... 10,900 365,150
*Vans, Inc............................................ 17,800 278,125
*Varco International, Inc............................. 50,956 1,108,293
*Vari L Co., Inc...................................... 7,500 72,539
*Varian Medical Systems, Inc.......................... 2,850 117,741
*Variflex, Inc........................................ 5,100 29,484
*Vari-Lite International, Inc......................... 4,800 5,250
*VDI Media............................................ 8,800 59,125
Vector Group, Ltd..................................... 26,345 296,381
Vectren Corp.......................................... 27,066 507,488
*Veeco Instruments, Inc............................... 4,100 184,628
*Ventana Medical Systems, Inc......................... 15,500 582,703
*Venture Catalyst, Inc................................ 5,000 19,219
Venturian Corp........................................ 330 1,526
*Veramark Technologies, Inc........................... 10,400 38,675
*Verdant Brands, Inc.................................. 4,517 6,281
*Verilink Corp........................................ 17,000 117,938
*Veritas DGC, Inc..................................... 24,300 671,288
*Vermont Pure Holdings, Ltd........................... 12,300 42,281
*Versant Object Technology Corp....................... 6,500 27,625
</TABLE>
34
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THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Versar, Inc.......................................... 3,000 $ 6,375
*Vertel Corp.......................................... 32,300 377,506
*Vertex Pharmaceuticals, Inc.......................... 5,200 383,988
Vesta Insurance Group, Inc............................ 22,400 133,000
*Vestcom International, Inc........................... 9,600 37,800
*Veterinary Centers of America, Inc................... 23,900 324,891
*Viasat, Inc.......................................... 13,500 522,281
*Viasoft, Inc......................................... 19,800 164,278
*VIB Corp............................................. 103 628
*Vical, Inc........................................... 25,700 482,678
*Vicon Industries, Inc................................ 4,900 15,619
*Vicorp Restaurants, Inc.............................. 8,700 163,941
*Vidamed, Inc......................................... 10,800 19,238
*Video Display Corp................................... 3,000 21,281
*Video Services Corp.................................. 2,000 6,250
*Videonics, Inc....................................... 3,600 3,206
*Viisage Technology, Inc.............................. 9,100 26,873
Vintage Petroleum, Inc................................ 27,700 657,875
*Vion Pharmaceuticals, Inc............................ 5,000 34,375
*Virbac Corp.......................................... 25,200 64,575
Virco Manufacturing Corp.............................. 13,028 136,794
Virginia Gas Co....................................... 5,500 14,609
*ViroPharma, Inc...................................... 13,400 150,331
*Virtualfund.Com, Inc................................. 20,800 41,275
*Vision Sciences, Inc................................. 5,100 6,694
*Vision Twenty-One, Inc............................... 14,500 7,023
*VisionAmerica, Inc................................... 10,100 6,628
*Vista Eyecare, Inc................................... 18,400 5,750
*VISTA Information Solutions, Inc..................... 25,100 54,906
*Vista Medical Technologies, Inc...................... 30,000 21,563
*Visual Data Corp..................................... 8,500 29,883
Vital Signs, Inc...................................... 14,500 301,781
*Vitalcom, Inc........................................ 6,000 9,375
*Vitech America, Inc.................................. 21,200 126,538
*Vivus, Inc........................................... 37,700 217,953
*Vlasic Foods International, Inc...................... 50,100 109,594
*Vodavi Technology, Inc............................... 4,300 10,347
*Volt Information Sciences, Inc....................... 17,400 502,425
*V-ONE Corp........................................... 19,400 64,869
*Voxware, Inc......................................... 16,100 74,463
VRB Bancorp........................................... 7,600 38,950
*VTEL Corp............................................ 27,000 97,031
Vulcan International Corp............................. 700 23,144
*Vysis, Inc........................................... 13,000 101,969
Wabash National Corp.................................. 25,300 324,156
Wabtec Corp........................................... 9,900 111,375
*Wackenhut Corp. Class A.............................. 5,000 66,563
*Wackenhut Corp. Class B Non-Voting................... 10,550 87,038
*Wackenhut Corrections Corp........................... 24,600 159,900
*Walker Interactive Systems, Inc...................... 16,000 50,750
*Wall Street Deli, Inc................................ 1,500 1,641
Wallace Computer Services, Inc........................ 49,800 498,000
Walter Industries, Inc................................ 56,900 615,231
Warnaco Group, Inc.................................... 61,800 417,150
*Warrantech Corp...................................... 12,100 10,588
Warren Bancorp, Inc................................... 9,500 71,547
Warwick Community Bancorp, Inc........................ 5,300 58,300
Washington Banking Co................................. 3,700 30,525
*Washington Homes, Inc................................ 7,900 42,463
Washington Savings Bank FSB........................... 1,600 5,100
Washington Trust Bancorp, Inc......................... 10,700 159,831
*Waste Connections, Inc............................... 27,800 538,625
*Waste Industries, Inc................................ 16,600 141,878
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Waterlink, Inc....................................... 22,700 $ 62,425
Waters Instruments, Inc............................... 200 831
Watsco, Inc. Class A.................................. 42,800 633,975
Watsco, Inc. Class B.................................. 1,350 19,913
Watts Industries, Inc. Class A........................ 19,100 217,263
Wausau-Mosinee Paper Corp............................. 58,400 540,200
*Wavo Corp............................................ 31,600 36,044
WD-40 Co.............................................. 16,000 311,500
*Webb (Del) Corp...................................... 20,100 306,525
*Webco Industries, Inc................................ 6,000 23,625
*Webhire, Inc......................................... 18,900 50,794
*WebLink Wireless, Inc................................ 36,900 234,084
Weider Nutrition International, Inc................... 10,200 33,150
*Weirton Steel Corp................................... 49,900 227,669
Wellco Enterprises, Inc............................... 1,000 8,000
Wellman, Inc.......................................... 38,500 757,969
*Wells-Gardner Electronics Corp....................... 6,200 21,313
Werner Enterprises, Inc............................... 51,700 647,866
Wesbanco, Inc......................................... 23,950 561,328
*Wesley Jessen Vision Care, Inc....................... 21,000 775,688
West Coast Bancorp.................................... 15,354 166,975
*West Marine, Inc..................................... 22,300 180,491
West Pharmaceutical Services, Inc..................... 18,900 444,150
*Westaff, Inc......................................... 17,400 75,038
Westbank Corp......................................... 4,300 37,088
*Westcoast Hospitality Corp........................... 15,000 116,250
Westcorp, Inc......................................... 29,200 317,550
*Westell Technologies, Inc............................ 30,460 503,542
Westerfed Financial Corp.............................. 5,300 75,856
*Western Digital Corp................................. 115,600 541,875
Western Gas Resources, Inc............................ 35,400 803,138
Western Ohio Financial Corp........................... 900 13,444
*Western Power & Equipment Corp....................... 2,600 14,544
*Western Water Co..................................... 10,900 2,555
*Weston (Roy F.), Inc. Class A........................ 7,500 23,672
*Wet Seal, Inc. Class A............................... 9,200 105,800
*WFS Financial, Inc................................... 33,600 530,250
*White Electronics Designs Corp....................... 21,200 210,675
*Whitehall Jewellers, Inc............................. 18,100 235,300
*Whitman Education Group, Inc......................... 12,200 16,775
*WHX Corp............................................. 16,700 98,113
*Wickes Lumber Co..................................... 10,600 56,975
*Wild Oats Markets, Inc............................... 25,300 233,234
*William Lyon Homes................................... 29,100 185,513
*Williams Clayton Energy, Inc......................... 11,900 308,656
*Williams Controls, Inc............................... 14,700 24,347
*Williams Industries, Inc............................. 1,200 3,375
*Willis Lease Finance Corp............................ 7,900 59,744
*Wilshire Financial Sevices Group, Inc................ 137 214
*Wilshire Oil Co. of Texas............................ 7,107 24,430
*Wilsons The Leather Experts, Inc..................... 17,100 267,188
*Wind River Systems, Inc.............................. 9,904 358,092
Winnebago Industries, Inc............................. 23,700 331,800
*Wire One Technologies, Inc........................... 3,950 24,070
*Wireless Telecom Group, Inc.......................... 18,900 44,888
*Wireless Xcessories Group............................ 6,600 8,559
*Wisconsin Central Transportation Corp................ 35,200 459,800
*Wiser Oil Co......................................... 9,100 27,300
*WLR Foods, Inc....................................... 19,192 88,763
*WMF Group, Ltd....................................... 7,700 67,255
*WMS Industries, Inc.................................. 36,700 454,163
Wolohan Lumber Co..................................... 6,400 71,600
</TABLE>
35
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Wolverine Tube, Inc.................................. 15,700 $ 259,050
Wolverine World Wide, Inc............................. 48,100 541,125
Woodhead Industries, Inc.............................. 14,700 237,497
Woodward Governor Co.................................. 11,300 275,791
*Workflow Management, Inc............................. 15,200 184,775
*Workgroup Technology Corp............................ 8,000 5,500
*World Acceptance Corp................................ 20,900 107,766
*World Access, Inc.................................... 20,372 213,269
World Fuel Services Corp.............................. 13,300 90,606
*World of Science, Inc................................ 2,900 3,127
*Worldpages.com, Inc.................................. 29,400 205,800
*Worldtex, Inc........................................ 15,700 6,378
*WPI Group, Inc....................................... 5,300 7,536
WPS Resources Corp.................................... 19,000 593,750
*WSI Industries, Inc.................................. 2,000 8,000
*Wyant Corp........................................... 266 382
Wynns International, Inc.............................. 20,550 277,425
*Xceed, Inc........................................... 28,000 350,875
*Xeta Corp............................................ 3,900 119,559
*Xetel Corp........................................... 12,300 21,525
*Xicor, Inc........................................... 22,000 149,188
*Xoma, Ltd............................................ 31,200 100,913
X-Rite, Inc........................................... 23,900 253,191
*Xtra Corp............................................ 15,600 702,975
Yardville National Bancorp............................ 8,700 91,622
*Yellow Corp.......................................... 27,700 454,453
Yonkers Financial Corp................................ 400 6,025
York Financial Corp................................... 8,891 111,693
York Group, Inc....................................... 9,200 33,350
*York Research Corp................................... 15,100 15,808
*Young Broadcasting, Inc. Class A..................... 16,100 371,809
*Youthstream Media Networks, Inc...................... 24,800 137,175
*Zamba Corporation.................................... 35,600 172,438
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Zap.com Corp......................................... 334 $ 1,044
*Zapata Corp.......................................... 26,600 99,750
*Zaring National Corp................................. 1,900 6,353
Zenith National Insurance Corp........................ 18,800 446,500
*Zevex International, Inc............................. 3,400 16,469
*Zila, Inc............................................ 2,557 8,270
*ZixIt Corp........................................... 16,800 438,900
*Zoll Medical Corp.................................... 8,300 414,481
*Zoltek Companies, Inc................................ 20,600 137,119
*Zonagen, Inc......................................... 8,100 25,059
*Zoran Corp........................................... 7,900 313,038
*Zygo Corp............................................ 15,100 495,469
*Zymetx, Inc.......................................... 7,400 15,494
------------
TOTAL COMMON STOCKS
(Cost $717,422,339).................................. 653,219,719
------------
</TABLE>
<TABLE>
RIGHTS/WARRANTS -- (0.0%)
*American Satellite Network, Inc. Warrants............ 2,525 0
<CAPTION>
------ ------
<S> <C> <C>
*Associates First Capital Corp. (Residual Value
Obligation)......................................... 39,100 1,779
*Elan Corp. P.L.C. Contingent Payment Rights.......... 47,000 24,969
*Golden Books Family Entertainment Warrants
01/01/02............................................ 152 143
*Intercontinental Telecom Corp. Warrants 04/30/02..... 13,190 0
*Millicom, Inc. Contingent Value Rights............... 10,100 0
*Skyepharma P.L.C. Contingent Payment Rights.......... 11,500 0
*TransTexas Gas Corp. Warrants 06/30/02............... 492 0
*Westcorp, Inc. Rights 06/15/00....................... 29,200 6,387
</TABLE>
36
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Xinetix, Inc. Warrants 03/17/03...................... 332 $ 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $296,102)...................................... 33,278
------------
</TABLE>
<TABLE>
PREFERRED STOCKS -- (0.0%)
<CAPTION>
------ ------
<S> <C> <C>
*O'Sullivan Industries Holdings (Senior Preferred 12%)
(Cost $0)........................................... 2,800 1,414
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $717,718,441)++................................ $653,254,411
============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $721,218,465.
</TABLE>
See accompanying Notes to Financial Statements.
37
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. 6-10 SMALL COMPANY SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2000
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments at Value........................................ $ 653,254
Collateral for Securities Loaned............................ 29,558
Receivables:
Dividends and Interest.................................... 508
Investment Securities Sold................................ 8,315
Fund Shares Sold.......................................... 1,355
Prepaid Expenses and Other Assets........................... 3
-----------
Total Assets............................................ 692,993
-----------
LIABILITIES:
Payable for Collateral on Securities Loaned................. 29,558
Payable for Investment Securities Purchased................. 630
Payable for Fund Shares Redeemed............................ 359
Loan Payable................................................ 3,182
Accrued Expenses and Other Liabilities...................... 84
-----------
Total Liabilities....................................... 33,813
-----------
NET ASSETS.................................................. $ 659,180
===========
SHARES OUTSTANDING $.01 PAR VALUE (Unlimited Number of
Shares Authorized)........................................ 55,441,614
-----------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 11.89
===========
Investments at Cost......................................... $ 717,718
===========
COMPONENTS OF NET ASSETS:
Paid-In Capital............................................. $ 621,714
Undistributed Net Investment Income......................... 2,629
Undistributed Net Realized Gain............................. 99,301
Unrealized Depreciation of Investment Securities............ (64,464)
-----------
Total Net Assets........................................ $ 659,180
===========
</TABLE>
See accompanying Notes to Financial Statements.
38
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. 6-10 SMALL COMPANY SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends................................................. $ 2,451
Interest.................................................. 439
Income From Securities Lending............................ 538
--------
Total Investment Income............................... 3,428
--------
EXPENSES
Administrative Services................................... 101
Accounting & Transfer Agent Fees.......................... 126
Custodian's Fees.......................................... 37
Legal Fees................................................ 4
Audit Fees................................................ 3
Shareholders' Reports..................................... 6
Trustees' Fees and Expenses............................... 1
Other..................................................... 21
--------
Total Expenses........................................ 299
--------
NET INVESTMENT INCOME..................................... 3,129
--------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Securities Sold........... 102,797
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................... (78,500)
--------
NET GAIN ON INVESTMENT SECURITIES......................... 24,297
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $ 27,426
========
</TABLE>
See accompanying Notes to Financial Statements.
39
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. 6-10 SMALL COMPANY SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2000 1999
----------- ----------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income..................................... $ 3,129 $ 4,945
Net Realized Gain on Investment Securities Sold........... 102,797 56,608
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................... (78,500) 31,371
--------- ---------
Net Increase in Net Assets Resulting from
Operations.......................................... 27,426 92,924
--------- ---------
Distributions From:
Net Investment Income..................................... (721) (4,995)
Net Realized Gains........................................ (58,823) (49,223)
--------- ---------
Total Distributions................................... (59,544) (54,218)
--------- ---------
Capital Share Transactions (1):
Shares Issued............................................. 219,165 98,295
Shares Issued in Lieu of Cash Distributions............... 58,704 53,051
Shares Redeemed........................................... (172,657) (150,769)
--------- ---------
Net Increase from Capital Share Transactions.......... 105,212 577
--------- ---------
Total Increase........................................ 73,094 39,283
NET ASSETS
Beginning of Period....................................... 586,086 546,803
--------- ---------
End of Period............................................. $ 659,180 $ 586,086
========= =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................... 16,521 8,767
Shares Issued in Lieu of Cash Distributions............. 5,154 5,082
Shares Redeemed......................................... (14,099) (13,717)
--------- ---------
7,576 132
========= =========
</TABLE>
See accompanying Notes to Financial Statements.
40
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. 6-10 SMALL COMPANY SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
SIX MONTHS ENDED ENDED ENDED ENDED ENDED
ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
MAY 31, 2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.................. $ 12.24 $ 11.46 $ 13.82 $ 12.56 $ 11.26 $ 9.54
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............................... 0.06 0.10 0.10 0.11 0.13 0.12
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... 0.83 1.83 (1.28) 2.81 1.92 2.50
-------- -------- -------- -------- -------- --------
Total from Investment Operations.................. 0.89 1.93 (1.18) 2.92 2.05 2.62
---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............................... (0.02) (0.11) (0.10) (0.10) (0.13) (0.12)
Net Realized Gains.................................. (1.22) (1.04) (1.08) (1.56) (0.62) (0.78)
-------- -------- -------- -------- -------- --------
Total Distributions............................... (1.24) (1.15) (1.18) (1.66) (0.75) (0.90)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period........................ $ 11.89 $ 12.24 $ 11.46 $ 13.82 $ 12.56 $ 11.26
=================================================================================================================================
Total Return.......................................... 7.71%# 18.62% (8.98)% 26.47% 19.17% 29.19%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................. $659,180 $586,086 $546,803 $432,833 $$268,401 $221,984
Ratio of Expenses to Average Net Assets............... 0.09%* 0.09% 0.09% 0.11% 0.13% 0.15%
Ratio of Net Investment Income to Average Net
Assets............................................... 0.93%* 0.89% 0.88% 0.96% 1.05% 1.18%
Portfolio Turnover Rate............................... 57%* 29% 29% 30% 32% 21%
---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
</TABLE>
See accompanying Notes to Financial Statements.
41
<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 Small Company
Series (the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day, or if there is no such reported
sale, at the mean between the most recent bid and asked prices. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are readily
available are valued at the mean between the most recent bid and asked prices.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods determined by the Board of Trustees.
2. FEDERAL INCOME TAXES: It is the Series' intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal taxes is required in the financial
statements.
3. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the 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 an effective annual rate of .03 of 1% of average daily net assets.
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
42
<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................................................... $238,948
Sales....................................................... 186,310
</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............................... $ 111,302
Gross Unrealized Depreciation............................... (179,266)
---------
Net....................................................... $ (67,964)
=========
</TABLE>
F. LINE OF CREDIT:
The Trust, together with other DFA-advised series, has entered into a $50
million unsecured line of credit with its domestic custodian bank. Each series
is permitted to borrow, subject to its investment limitations, up to a maximum
of $50 million. Borrowings under the line are charged interest at the current
overnight federal funds rate plus a variable rate determined at the date of
borrowing. Each series is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. Borrowings under the line of credit by the
Series during the six months ended May 31, 2000 were as follows:
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ----------------
<S> <C> <C> <C> <C>
6.70% $5,012,789 19 $17,734 $10,221,000
</TABLE>
The U.S. 6-10 Small Company Series had an outstanding borrowing of
$3,182,000 plus accrued interest 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 Salomon Brothers,
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 $24,587,227,
the related collateral cash received was $29,558,331 and the value of collateral
on overnight repurchase agreements was $30,321,524.
43
