AMERICAN CAPITAL SMALL CAPITALIZATION FUND INC
N-30D, 1995-07-10
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<PAGE>   1
                AMERICAN CAPITAL SMALL CAPITALIZATION FUND, INC.

                           APRIL 30, 1995 (UNAUDITED)
<PAGE>   2
                AMERICAN CAPITAL SMALL CAPITALIZATION FUND, INC.

Investment Portfolio
- --------------------------------------------------------------------------------
April 30, 1995 (Unaudited)


<TABLE>
<CAPTION>
        Number                                                                                                      Market
       of Shares                                                                                                     Value
- ------------------------------------------------------------------------------------------------------------------------------------
           <S>                                                                                                     <C>
                   COMMON STOCK     96.2%
                   CONSUMER DISTRIBUTION     8.1%
             6,000 Arbor Drugs, Inc.                                                                                 $154,500
           *29,000 Barnes & Noble, Inc.                                                                               833,750
            13,000 Big B, Inc.                                                                                        189,313
            *5,000 Books-A-Million, Inc.                                                                               68,125
            *3,000 Carson Pirie Scott & Co.                                                                            48,000
            *4,000 CDW Computer Centers, Inc.                                                                         142,000
            39,000 Circuit City Stores, Inc.                                                                          984,750
            60,000 Claire's Stores, Inc.                                                                              832,500
           *12,000 CompUSA, Inc.                                                                                      295,500
            26,000 Fingerhut Companies, Inc.                                                                          295,750
             7,000 Food Lion, Inc.                                                                                     38,938
           *33,000 General Nutrition Companies, Inc.                                                                  810,563
           *16,000 Gymboree Corp.                                                                                     378,000
             4,000 Haggar Corp.                                                                                        82,000
           *11,000 Health Management, Inc.                                                                            198,000
            *2,000 Hills Stores Co.                                                                                    40,250
           *14,000 MacFrugals Bargains Closeouts                                                                      197,750
             4,000 Medicine Shoppe International, Inc.                                                                129,000
            *6,000 Men's Wearhouse, Inc.                                                                              151,500
            *7,900 Meyer (Fred), Inc.                                                                                 245,888
            *1,000 Michael's Stores, Inc.                                                                              28,750
           *20,000 Micro Warehouse, Inc.                                                                              705,000
             7,000 New England Business Service, Inc.                                                                 127,750
            *4,000 Nine West Group, Inc.                                                                              129,500
            39,900 Pier 1 Imports, Inc.                                                                               359,100
            *5,000 Proffitts, Inc.                                                                                    123,438
            *5,000 Rex Stores Corp.                                                                                    67,500
             3,000 Richfood Holdings, Inc.                                                                             60,000
             7,000 Ross Stores, Inc.                                                                                   67,813
            12,500 Rykoff-Sexton, Inc.                                                                                217,188
            *5,000 Shoe Carnival, Inc.                                                                                 30,000
           *31,800 Stop & Shop Companies, Inc.                                                                        846,675
           *31,000 Sunglass Hut International, Inc.                                                                   875,749
            *3,000 Urban Outfitters, Inc.                                                                              63,000
           *13,000 Viking Office Products, Inc.                                                                       354,250
           *39,000 Waban, Inc.                                                                                        648,375
            *3,000 Younkers, Inc.                                                                                      55,875
           *12,000 Zale Corp.                                                                                         140,250
                                                                                                                   ----------
                           TOTAL CONSUMER DISTRIBUTION                                                             11,016,290
                                                                                                                   ----------
</TABLE>




                                       1
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                AMERICAN CAPITAL SMALL CAPITALIZATION FUND, INC.

Investment Portfolio
- --------------------------------------------------------------------------------
April 30, 1995 (Unaudited)

<TABLE>
<CAPTION>
         Number                                                                                                      Market
        of Shares                                                                                                     Value
- ------------------------------------------------------------------------------------------------------------------------------------
           <S>                                                                                                      <C>
                   CONSUMER DURABLES      5.2%
           *11,000 Aldila, Inc.                                                                                        68,750
             2,000 Armstrong World Industries, Inc.                                                                    90,750
           *11,000 Automotive Industries Holdings, Inc., Class A                                                      290,125
             3,000 Borg Warner Automotive, Inc.                                                                        75,750
            10,000 Breed Technologies, Inc.                                                                           202,500
            *4,000 Champion Enterprises, Inc.                                                                         118,500
            35,000 Clayton Homes, Inc.                                                                                581,875
            28,000 Echlin, Inc.                                                                                     1,022,000
             5,000 Fleetwood Enterprises, Inc.                                                                        111,875
             8,000 Harman International Industries, Inc.                                                              290,000
            11,000 Leggett & Platt, Inc.                                                                              424,875
            32,000 Lennar Corp.                                                                                       524,000
             7,000 Libbey, Inc.                                                                                       136,500
            32,000 Masland Corp.                                                                                      428,000
            46,000 Maytag Co.                                                                                         793,500
            30,000 Oakwood Homes Corp.                                                                                742,500
            12,000 Outboard Marine Corp.                                                                              256,500
            10,000 Pulte Corp.                                                                                        215,000
             7,000 Smith (A.O.) Corp.                                                                                 166,250
            *3,000 Strattec Security Corp.                                                                             34,500
            12,000 Toro Co.                                                                                           346,500
            15,000 Winnebago Industries, Inc.                                                                         151,875
           *14,000 Zenith Electronics Corp.                                                                           105,000
                                                                                                                    ---------
                           TOTAL CONSUMER DURABLES                                                                  7,177,125
                                                                                                                    ---------
                   CONSUMER NON-DURABLES    5.3%
            22,000 American Greetings Corp., Class A                                                                  603,625
             7,000 Armor All Products Corp.                                                                           140,000
             6,000 Barefoot, Inc.                                                                                      66,000
             5,000 Cyrk, Inc.                                                                                          71,250
             4,000 Dean Foods Co.                                                                                     113,000
             4,000 Dial Corp.                                                                                          96,000
            *7,000 Fieldcrest Cannon, Inc.                                                                            155,750
           *15,000 Griffon Corp.                                                                                      118,125
             5,000 Hormel (Geo. A.) & Co.                                                                             136,250
            13,000 IBP, Inc.                                                                                          477,750
            *1,800 Jones Apparel Group, Inc.                                                                           47,025
             2,000 Kellwood Co.                                                                                        35,250
</TABLE>




                                       2
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                AMERICAN CAPITAL SMALL CAPITALIZATION FUND, INC.

Investment Portfolio
- --------------------------------------------------------------------------------
April 30, 1995 (Unaudited)


<TABLE>
<CAPTION>
        Number                                                                                                        Market
       of Shares                                                                                                      Value
- ------------------------------------------------------------------------------------------------------------------------------------
           <S>                                                                                                      <C>
            19,000 Lancaster Colony Corp.                                                                             665,000
            *5,000 Nautica Enterprises, Inc.                                                                          140,000
            *5,000 Nu-kote Holdings, Inc., Class A                                                                    139,063
           *22,000 Paragon Trade Brands, Inc.                                                                         338,250
            11,000 Phillips-Van Heusen Corp.                                                                          167,750
            *3,000 Scotts Co., Class A                                                                                 59,250
            *9,000 Smithfield Foods, Inc.                                                                             204,750
            18,000 Springs Industries, Inc.                                                                           693,000
            *4,000 Starbucks Corp.                                                                                     93,750
             3,000 St. John Knits, Inc.                                                                               102,750
            31,000 Topps, Inc.                                                                                        186,000
            17,000 Unifi, Inc.                                                                                        431,375
             9,000 Universal Foods Corp.                                                                              292,500
           *10,000 Westpoint Stevens, Inc.                                                                            183,750
            53,000 Whitman Corp.                                                                                      960,625
             6,000 WLR Foods, Inc.                                                                                    138,000
            12,000 Wolverine World Wide, Inc.                                                                         393,000
                                                                                                                    ---------
                           TOTAL CONSUMER NON-DURABLES                                                              7,248,838
                                                                                                                    ---------
                   CONSUMER SERVICES        8.2%
             4,000 Advo, Inc.                                                                                          80,000
            *4,000 American Media, Inc., Class A                                                                       24,500
           *10,200 American Medical Response                                                                          261,375
             5,000 Banta Corp.                                                                                        166,250
             6,000 Belo (A.H.) Corp.                                                                                  361,500
            25,000 Bowne & Co., Inc.                                                                                  403,125
            *6,000 Brinker International, Inc.                                                                        102,750
             1,000 Central Newspapers, Inc., Class A                                                                   26,000
             3,500 Club Med, Inc.                                                                                      99,313
            33,000 Equifax, Inc.                                                                                    1,056,000
            *1,000 Heritage Media Corp., Class A                                                                       25,500
           *16,000 Hospitality Franchise Systems, Inc.                                                                488,000
            *3,000 Jones Intercable, Inc., Class A                                                                     43,125
            11,000 Kelly Services, Inc.                                                                               375,375
             1,000 Lee Enterprises, Inc.                                                                               35,750
           *28,000 Lone Star Steakhouse & Saloon, Inc.                                                                861,000
           *27,000 Mirage Resorts, Inc.                                                                               803,250
            35,760 Ogden Corp.                                                                                        733,080
            11,000 Olsten Corp.                                                                                       374,000
             5,200 PHH Corp.                                                                                          207,350
</TABLE>




                                       3
<PAGE>   5


                AMERICAN CAPITAL SMALL CAPITALIZATION FUND, INC.

Investment Portfolio
- --------------------------------------------------------------------------------
April 30, 1995 (Unaudited)


<TABLE>
<CAPTION>
        Number                                                                                                       Market
       of Shares                                                                                                      Value
- ------------------------------------------------------------------------------------------------------------------------------------
          <S>                                                                                                      <C>
           *17,000 Players International, Inc.                                                                        503,625
            *3,000 Regal Cinemas, Inc.                                                                                 82,500
           *33,000 Robert Half International, Inc.                                                                    870,375
            26,000 Sbarro, Inc.                                                                                       672,750
             3,000 Scripps (E.W.) Co., Class A                                                                         86,625
            10,000 Service Corp. International                                                                        278,750
            13,500 Spelling Entertainment, Group I                                                                    138,374
           *18,000 SPS Transaction Services                                                                           558,000
            58,000 Wendy's International, Inc.                                                                        993,250
           *32,000 Westcott  Communications, Inc.                                                                     452,000
                                                                                                                   ----------
                           TOTAL CONSUMER SERVICES                                                                 11,163,492
                                                                                                                   ----------
                   ENERGY          6.8%
            *5,000 Addington Resources, Inc.                                                                           58,125
            21,000 Ashland, Inc.                                                                                      769,125
           *17,000 BJ Services Co.                                                                                    391,000
            *5,000 Chesapeake Energy Corp.                                                                            117,500
            *4,000 Columbia Gas System, Inc.                                                                          118,000
            14,000 Diamond Shamrock R & M, Inc.                                                                       383,250
            27,000 Eastern Enterprises                                                                                806,625
            19,000 El Paso Natural Gas Co.                                                                            553,375
            19,000 KCS Energy, Inc.                                                                                   339,625
             2,000 MAPCO, Inc.                                                                                        113,250
             7,000 McDermott (J. Ray) & Co., Inc.                                                                     193,375
          *102,000 Nabors Industries, Inc.                                                                            956,250
             9,000 NACCO Industries, Inc., Class A                                                                    499,500
            15,500 National Fuel Gas Co.                                                                              443,687
             8,000 New Jersey Resources Corp.                                                                         183,000
            35,000 NICOR, Inc.                                                                                        866,250
           *20,000 Offshore Logistics, Inc.                                                                           271,250
            14,400 ONEOK, Inc.                                                                                        273,600
            *3,000 Oryx Energy Co.                                                                                     41,625
            39,000 Pacific Enterprises                                                                                960,375
             3,000 Phoenix Resource Co.                                                                                85,500
             7,000 Quaker State Corp.                                                                                  99,750
            *6,000 Smith International, Inc.                                                                          103,500
             7,000 Southwestern Energy Co.                                                                            106,750
             4,000 Tosco Corp.                                                                                        136,500
               301 Transco Energy Co.                                                                                   6,095
           *30,000 Varco International, Inc.                                                                          247,500
             5,400 WICOR, Inc.                                                                                        147,150
                                                                                                                   ----------
                           TOTAL ENERGY                                                                             9,271,532
                                                                                                                   ----------
</TABLE>




                                       4
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                AMERICAN CAPITAL SMALL CAPITALIZATION FUND, INC.

Investment Portfolio
- --------------------------------------------------------------------------------
April 30, 1995 (Unaudited)


<TABLE>
<CAPTION>
        Number                                                                                                       Market
       of Shares                                                                                                      Value
- ------------------------------------------------------------------------------------------------------------------------------------
           <S>                                                                                                      <C>
                   FINANCE      13.2%
             8,000 Advanta Corp., Class A                                                                             274,000
            15,000 Alex Brown, Inc.                                                                                   605,625
            *2,080 Alleghany Corp.                                                                                    323,960
            17,000 AMBAC, Inc.                                                                                        688,500
            29,000 Bankers Life Holdings Corp.                                                                        605,375
             8,000 BanPonce Corp.                                                                                     257,000
             4,500 Capitol American Financial Corp.                                                                    97,875
             6,000 Capital Re Corp.                                                                                   138,750
             6,000 Charter One Financial, Inc.                                                                        137,250
            10,000 CMAC Investment Corp.                                                                              365,000
             5,000 Comdisco, Inc.                                                                                     140,625
           *11,000 Commercial Federal Corp.                                                                           288,750
            16,500 Compass Bancshares, Inc.                                                                           432,094
           *81,960 Dime Bancorp, Inc.                                                                                 778,620
             2,000 Eaton Vance Corp.                                                                                   63,250
            13,000 Finova Group, Inc.                                                                                 438,750
             7,000 First American Corp.                                                                               241,500
             1,000 First Commercial Corp.                                                                              27,500
             2,000 First Financial Corp.                                                                               31,625
            26,000 First USA, Inc.                                                                                  1,111,500
            15,000 Firstar Corp.                                                                                      433,125
            24,000 FirstFed Michigan Corp.                                                                            579,000
            14,000 Foothill Group, Inc., Class A                                                                      306,250
            13,000 Fremont General Corp.                                                                              287,625
             4,000 GATX Corp.                                                                                         180,000
            79,000 Hibernia Corp., Class A                                                                            651,750
            15,000 Integra Financial Corp.                                                                            654,375
             5,000 Inter-Regional Financial Group, Inc.                                                               126,875
             7,000 Marshall & Ilsley Corp.                                                                            140,875
             2,000 Mercantile Bancorporation, Inc.                                                                     72,750
            20,000 Mercury Finance Co.                                                                                302,500
            29,300 MGIC Investment Corp.                                                                            1,230,600
             3,000 Ohio Casualty Corp.                                                                                 87,375
             4,000 Old Kent Financial Corp.                                                                           124,000
            17,250 Orion Capital Corp.                                                                                605,906
            15,000 Protective Life Corp.                                                                              680,625
            29,000 Regions Financial Corp.                                                                          1,000,500
            20,000 Reliastar Financial Corp.                                                                          715,000
             3,000 Roosevelt Financial Group, Inc.                                                                     48,094
             7,000 Southern National Corp.                                                                            142,625
            54,000 SouthTrust Corp.                                                                                 1,161,000
</TABLE>




                                       5
<PAGE>   7

                AMERICAN CAPITAL SMALL CAPITALIZATION FUND, INC.

Investment Portfolio
- --------------------------------------------------------------------------------
April 30, 1995 (Unaudited)


<TABLE>
<CAPTION>
        Number                                                                                                       Market
       of Shares                                                                                                      Value
- ------------------------------------------------------------------------------------------------------------------------------------
           <S>                                                                                                     <C>
             2,000 Standard Federal Bancorp                                                                            56,000
            20,300 Star Banc Corp.                                                                                    847,525
            10,000 TCF Financial Corp.                                                                                427,500
            *5,500 White River Corp.                                                                                  180,125
                                                                                                                   ----------
                           TOTAL FINANCE                                                                           18,089,549
                                                                                                                   ----------
                   HEALTH CARE            8.4%
            *8,000 Abbey Healthcare Group, Inc.                                                                       311,000
           *24,000 AMSCO International, Inc.                                                                          303,000
           *23,000 Calgene, Inc.                                                                                      158,125
           *14,000 Circa Pharmaceuticals, Inc.                                                                        341,250
            *6,000 Cognex Corp.                                                                                       178,500
            *3,000 Cordis Corp.                                                                                       219,750
             4,000 Dentsply International, Inc.                                                                       141,000
           *38,000 FoxMeyer Health Corp.                                                                              726,750
           *14,000 Genetic Therapy, Inc.                                                                              133,000
           *51,000 Gilead Sciences, Inc.                                                                              752,250
            *8,000 Healthsouth Rehabilitation                                                                         157,000
           *26,000 ICOS Corp.                                                                                         117,000
             9,000 Intergrated Health Services, Inc.                                                                  312,750
           *21,000 Lincare Holdings, Inc.                                                                             630,000
             1,000 Manor Care, Inc.                                                                                    29,750
            *6,000 Mariner Health Group, Inc.                                                                          87,750
            11,000 Mentor Corp.                                                                                       248,875
            27,000 Mylan Laboratories, Inc.                                                                           833,625
           *23,000 Nellcor, Inc.                                                                                      943,000
           *16,000 Oxford Health Plans, Inc.                                                                          672,000
            *6,000 Pacific Physician Services, Inc.                                                                   110,250
           *12,000 Pacificare Health Systems, Inc., Class A                                                           750,000
            *3,000 Quintiles Transnational                                                                            114,000
            *7,000 Scios Nova, Inc.                                                                                    46,375
            *1,000 Sierra Health Services, Inc.                                                                        26,500
           *18,000 Steris Corp.                                                                                       711,000
            *3,000 Target Therapeutics, Inc.                                                                          108,750
           *26,000 Thermo Cardiosystems, Inc.                                                                         867,750
            *2,000 United American Healthcare Corp.                                                                    34,000
             4,000 United Wisconsin Services, Inc.                                                                     81,000
            *3,000 Universal Health Services, Inc., Class B                                                            78,750
           *24,000 Vivra, Inc.                                                                                        777,000
           *15,000 Watsons Pharmaceuticals, Inc.                                                                      465,000
                                                                                                                   ----------
                           TOTAL HEALTH CARE                                                                       11,466,750
                                                                                                                   ----------
</TABLE>




                                       6
<PAGE>   8
                AMERICAN CAPITAL SMALL CAPITALIZATION FUND, INC.

Investment Portfolio
- --------------------------------------------------------------------------------
April 30, 1995 (Unaudited)




<TABLE>
<CAPTION>
        Number                                                                                                      Market
       of Shares                                                                                                     Value
- ------------------------------------------------------------------------------------------------------------------------------------
           <S>                                                                                                     <C>
                   PRODUCER MANUFACTURING    7.8%
            18,000 AGCO Corp.                                                                                         639,000
           *36,000 Allwaste, Inc.                                                                                     220,500
             5,000 Ametek, Inc.                                                                                        81,250
             9,600 Aptar Group, Inc.                                                                                  283,200
             3,000 Belden, Inc.                                                                                        67,500
             2,000 Blount, Inc., Class A                                                                               90,000
            20,000 Briggs & Stratton Corp.                                                                            702,500
            21,000 Cummins Engine Co., Inc.                                                                           929,250
            30,000 Danaher Corp.                                                                                      862,500
           *10,000 Detroit Diesel Corp.                                                                               232,500
            *2,000 Duracraft Corp.                                                                                     64,500
             4,000 Granite Construction, Inc.                                                                          80,250
            24,500 IDEX Corp.                                                                                         808,500
            *7,000 Indresco, Inc.                                                                                      95,375
            20,000 Juno Lighting, Inc.                                                                                405,000
             5,000 Kaydon Corp.                                                                                       138,125
            *2,000 Kent Electrics Corp.                                                                                58,750
            *8,000 Kulicke & Soffa Industries, Inc.                                                                   343,000
           *40,000 Manville Corp.                                                                                     465,000
           *12,000 Mueller Industries, Inc.                                                                           498,000
             4,000 National Service Industries, Inc.                                                                  112,000
            *1,000 Newpark Resources, Inc.                                                                             21,625
            *5,500 PEC Israel Economic Corp.                                                                          151,938
             8,000 Ruddick Corp.                                                                                      166,000
            *9,000 Southdown, Inc.                                                                                    171,000
           *11,000 SPS Technologies, Inc.                                                                             343,750
           *16,000 Sterling Chemicals, Inc.                                                                           198,000
           *42,000 Thermo Instrument Systems, Inc.                                                                    976,500
            *5,000 United Waste Systems, Inc.                                                                         145,000
           *14,000 Varity Corp.                                                                                       586,250
             6,000 Watts Industries, Inc., Class A                                                                    138,000
             9,000 Wellman, Inc.                                                                                      247,500
             7,000 York International Corp.                                                                           288,750
                                                                                                                   ----------
                           TOTAL PRODUCER MANUFACTURING                                                            10,611,013
                                                                                                                   ----------
</TABLE>




                                       7
<PAGE>   9
                AMERICAN CAPITAL SMALL CAPITALIZATION FUND, INC.

Investment Portfolio
- --------------------------------------------------------------------------------
April 30, 1995 (Unaudited)




<TABLE>
<CAPTION>
        Number                                                                                                       Market
       of Shares                                                                                                      Value
- ------------------------------------------------------------------------------------------------------------------------------------
           <S>                                                                                                     <C>
                   RAW MATERIALS/PROCESSING INDUSTRIES  8.4%
             9,900 Amcast Industrial Corp.                                                                            195,525
            35,000 Ecolab, Inc.                                                                                       796,250
             6,000 First Mississippi Corp.                                                                            150,000
            22,000 Georgia Gulf Corp.                                                                                 723,250
            24,000 Handy & Harman                                                                                     357,000
             8,000 Inland Steel Industries, Inc.                                                                      208,000
             6,000 International Specialty Products, Inc.                                                              47,250
           *14,000 Jefferson Smurfit Corp.                                                                            190,750
             2,000 Justin Industries, Inc.                                                                             22,000
            *6,000 Kaiser Aluminum Corp.                                                                               67,500
            22,000 Longview Fibre Co.                                                                                 360,250
            18,000 Lubrizol Corp.                                                                                     627,750
            29,000 Lyondell Petrochemical Co.                                                                         725,000
           *20,000 Magma Copper Co., Class B                                                                          330,000
             3,000 Medusa Corp.                                                                                        67,875
            22,000 Minerals Technologies, Inc.                                                                        731,500
             2,000 NCH Corp.                                                                                          127,000
            12,000 Olin Corp.                                                                                         670,500
           *73,000 Owens-Illinois, Inc.                                                                               866,875
             2,000 Pentair, Inc.                                                                                       91,000
            10,000 Potlatch Corp.                                                                                     422,500
            16,000 Rayonier, Inc.                                                                                     530,000
             9,000 Riverwood International Corp.                                                                      196,875
            25,000 RPM, Inc.                                                                                          490,625
           *10,000 Sealed Air Corp.                                                                                   427,500
            15,000 Terra Industries, Inc.                                                                             165,000
            *7,000 USG Corp.                                                                                          163,625
            21,000 Vigoro Corp.                                                                                       840,000
             4,000 Vulcan Materials Co.                                                                               232,500
            37,500 Worthington Industries, Inc.                                                                       703,124
                                                                                                                   ----------
                          TOTAL RAW MATERIALS/PROCESSING INDUSTRIES                                                11,527,024
                                                                                                                   ----------
</TABLE>




                                       8
<PAGE>   10
                AMERICAN CAPITAL SMALL CAPITALIZATION FUND, INC.

Investment Portfolio
- --------------------------------------------------------------------------------
April 30, 1995 (Unaudited)




<TABLE>
<CAPTION>
        Number                                                                                                       Market
       of Shares                                                                                                      Value
- ------------------------------------------------------------------------------------------------------------------------------------
           <S>                                                                                                      <C>
                   TECHNOLOGY        16.2%
            *7,500 Altera Corp.                                                                                       600,469
           *13,950 Analog Devices, Inc.                                                                               371,419
           *10,000 Aspect Telecommunications Corp.                                                                    416,250
            *4,000 Atmel Corp.                                                                                        171,000
             3,000 Augat, Inc.                                                                                         61,125
            22,400 Avnet, Inc.                                                                                        994,000
           *16,000 BMC Software, Inc.                                                                                 988,000
           *13,000 Chipcom Corp.                                                                                      419,250
            *3,000 Cirrus Logic, Inc.                                                                                 146,625
            *5,000 Conner Peripherals, Inc.                                                                            53,750
           *21,000 Credence Systems Corp.                                                                             771,750
            *2,000 Cyrix Corp.                                                                                         48,375
           *21,000 Electroglas, Inc.                                                                                  913,500
           *20,000 Electronics For Imaging                                                                            920,000
           *16,000 Exabyte Corp.                                                                                      200,000
           *21,000 Filenet Corp.                                                                                      708,750
           *22,000 Frame Technology Corp.                                                                             462,000
            *4,000 FTP Software, Inc.                                                                                 104,500
           *48,000 Gateway 2000, Inc.                                                                                 912,000
            17,000 Harris Corp.                                                                                       799,000
            *4,200 Input/Output, Inc.                                                                                 143,325
           *10,000 Integrated Device Technology, Inc.                                                                 390,000
           *14,000 International Rectifier Corp.                                                                      353,500
           *51,000 Intervoice, Inc.                                                                                   777,750
            *3,000 Komag, Inc.                                                                                        116,625
           *21,000 Lam Research Corp.                                                                               1,050,000
           *25,000 LEGENT Corp.                                                                                       675,000
            *1,000 Littelfuse, Inc.                                                                                    33,750
           *12,000 National Semiconductor Corp.                                                                       271,500
           *15,500 Novellus Systems, Inc.                                                                             926,125
             3,000 Pioneer Standard Electronics, Inc.                                                                  58,500
            *5,000 Quantum Corp.                                                                                       91,250
            *4,000 Recoton Corp.                                                                                       63,000
           *19,000 S3, Inc.                                                                                           444,125
           *14,000 Seagate Technology                                                                                 441,000
           *33,000 Sequent Computer Systems, Inc.                                                                     548,624
           *34,000 Solectron Corp.                                                                                    994,500
           *16,000 Sterling Software, Inc.                                                                            536,000
</TABLE>




                                       9
<PAGE>   11
                AMERICAN CAPITAL SMALL CAPITALIZATION FUND, INC.

Investment Portfolio
- --------------------------------------------------------------------------------
April 30, 1995 (Unaudited)




<TABLE>
<CAPTION>
        Number                                                                                                       Market
       of Shares                                                                                                      Value
- ------------------------------------------------------------------------------------------------------------------------------------
           <S>                                                                                                    <C>
            *1,000 Symbol Technologies, Inc.                                                                           32,875
            *9,000 Synopsys, Inc.                                                                                     488,250
           *15,000 Tandem Computers, Inc.                                                                             193,125
           *18,000 Teradyne, Inc.                                                                                     893,250
            *6,000 3Com Corp.                                                                                         336,750
            *5,737 U.S. Robotics Corp.                                                                                446,768
            *5,000 VLSI Technology, Inc.                                                                              102,500
            *6,000 Wall Data, Inc.                                                                                    111,000
           *49,000 Western Digital Corp.                                                                              784,000
           *11,000 Xilinx, Inc.                                                                                       838,750
                                                                                                                  -----------
                           TOTAL TECHNOLOGY                                                                        22,203,605
                                                                                                                  -----------
                   TRANSPORTATION       2.4%
            45,000 Arkansas Best Corp.                                                                                450,000
             8,000 Arnold Industries, Inc.                                                                            142,000
             6,800 Consolidated Freightways, Inc.                                                                     173,400
            28,000 Illinois Central Corp.                                                                             983,500
            *2,000 M.S. Carriers, Inc.                                                                                 47,750
           *29,000 Northwest Airlines, Inc., Class A                                                                  866,375
            19,000 Pittston Company Services Group                                                                    451,250
             9,000 Skywest, Inc.                                                                                      142,875
                                                                                                                  -----------
                           TOTAL TRANSPORTATION                                                                     3,257,150
                                                                                                                  -----------
                   UTILITIES     6.2%
             8,000 Atlantic Energy, Inc.                                                                              145,000
            37,100 Boston Edison Co.                                                                                  890,400
            *3,000 C-TEC Corp.                                                                                         63,750
             4,300 Central Hudson Gas & Electric Corp.                                                                111,263
             2,000 Cilcorp, Inc.                                                                                       72,750
            44,000 Delmarva Power & Lighting Co.                                                                      863,500
            28,000 DQE, Inc.                                                                                          941,500
             8,000 Eastern Utilities Associates                                                                       191,000
            42,000 Illinova Corp.                                                                                     976,500
            35,000 Lincoln Telecommunications Co.                                                                     542,500
            33,500 Oklahoma Gas & Electric Co.                                                                      1,151,562
             3,000 Orange & Rockland Utilities, Inc.                                                                   95,250
            40,000 Pinnacle West Capital Corp.                                                                        855,000
            47,000 Portland General Corp.                                                                             963,500
           *16,000 Public Services Co. of New Mexico                                                                  202,000
            14,200 Southern New England Telecommunications                                                            466,825
                                                                                                                  -----------
                           TOTAL UTILITIES                                                                          8,532,300
                                                                                                                  -----------
                           TOTAL COMMON STOCK (COST $120,748,859)                                                 131,564,668
                                                                                                                  -----------
</TABLE>




                                      10
<PAGE>   12
                AMERICAN CAPITAL SMALL CAPITALIZATION FUND, INC.

Investment Portfolio
- --------------------------------------------------------------------------------
April 30, 1995 (Unaudited)

<TABLE>
<CAPTION>
        Number                                                                                                      Market
       of Shares                                                                                                     Value
- ------------------------------------------------------------------------------------------------------------------------------------
     <S>                                                                                                         <C>
                   CONVERTIBLE PREFERRED STOCK      0.0%
             1,600 FHP International, $1.25, Series A (Cost $34,615)                                                   37,800

        Principal
         Amount    REPURCHASE AGREEMENT    1.5%
        ----------
        $2,045,000 SBC Capital Markets, Inc., dated 4/28/95, 5.92%, due 5/1/95,                                     2,045,000
                    (collaterized by U.S. Government obligations in a pooled cash
                     account) repurchase proceeds $2,046,009 (Cost $2,045,000)
                   TOTAL INVESTMENTS     (Cost $122,828,474)   97.7%                                              133,647,468

                   Other assets and liabilities, net            2.3%                                                3,104,847
                                                                                                                 ------------
                   NET ASSETS        100%                                                                        $136,752,315
                                                                                                                 ============
</TABLE>


*Non-income producing security





See Notes to Financial Statements.




                                      11
<PAGE>   13
               AMERICAN CAPITAL SMALL CAPITALIZATION  FUND, INC.


Statement of Assets and Liabilities
- --------------------------------------------------------------------------------
APRIL 30, 1995 (UNAUDITED)

<TABLE>
<S>                                                                                                          <C>
ASSETS
Investments, at market value (Cost $122,828,474)                                                             $133,647,468
Cash                                                                                                                2,803
Receivable for investments sold                                                                                 3,504,668
Dividends and interest receivable                                                                                 160,907
Other assets                                                                                                       45,449
                                                                                                             ------------
    TOTAL ASSETS                                                                                              137,361,295
                                                                                                             ------------
LIABILITIES
Investments purchased                                                                                             548,270
Due to shareholder service agent                                                                                    1,500
Deferred Director compensation                                                                                      1,449
Accrued expenses and other liabilities                                                                             57,761
                                                                                                             ------------
    TOTAL LIABILITIES                                                                                             608,980
                                                                                                             ------------

NET ASSETS,  equivalent to $10.27 per share                                                                  $136,752,315
                                                                                                             ============

NET ASSETS WERE COMPRISED OF:
Capital stock, at par; 13,311,707 shares outstanding                                                             $133,117
Capital surplus                                                                                               127,242,308
Accumulated net realized loss on securities                                                                   (2,039,599)
Net unrealized appreciation of securities                                                                      10,818,994
Undistributed net investment income                                                                               597,495
                                                                                                             ------------
NET ASSETS                                                                                                   $136,752,315
                                                                                                             ============
</TABLE>




See Notes to Financial Statements.




                                      12




<PAGE>   14

               AMERICAN CAPITAL SMALL CAPITALIZATION  FUND, INC.

Statement of Operations
- --------------------------------------------------------------------------------
SIX MONTHS ENDED APRIL 30, 1995 (UNAUDITED)



<TABLE>
<S>                                                                                                      <C>
Investment Income
Dividends                                                                                                   $762,326
Interest                                                                                                      88,813
                                                                                                       -------------
    Investment income                                                                                        851,139
                                                                                                       -------------
Expenses
Shareholder service agent's fees                                                                               9,000
Accounting services                                                                                           12,483
Directors' fees and expenses                                                                                   5,366
Audit fees                                                                                                    12,700
Legal fees                                                                                                     3,255
Registration and filing fees                                                                                  36,557
Organization expenses                                                                                          6,198
Miscellaneous                                                                                                     11
                                                                                                       -------------
    Total expenses                                                                                            85,570
                                                                                                       -------------
    Net investment income                                                                                    765,569
                                                                                                       -------------
Realized and Unrealized Gain (Loss) on Securities
Net realized loss on securities                                                                          (1,189,983)
Net unrealized appreciation of securities                                                                 10,865,211
                                                                                                       -------------
    Net realized and unrealized gain on securities                                                         9,675,228
                                                                                                       -------------
    Increase in net assets resulting from operations                                                     $10,440,797
                                                                                                       =============
</TABLE>





See Notes to Financial Statements.




                                      13



<PAGE>   15





                 AMERICAN CAPITAL SMALL CAPITALIZATION  FUND, INC.


Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
(UNAUDITED)
<TABLE>
<CAPTION>
                                                                                      Six Months              November 23, 1993*
                                                                                         Ended                    through
                                                                                     April 30, 1995            October 31, 1994
                                                                                    ---------------           ------------------
<S>                                                                                  <C>                          <C>
NET ASSETS, BEGINNING OF PERIOD                                                       $20,659,532                  $1,000,000
                                                                                     ------------                 -----------
OPERATIONS                                                                  
  Net investment income                                                                   765,569                     375,365
  Net realized loss on securities                                                      (1,189,983)                   (849,616)
  Net unrealized appreciation (depreciation) of securities                             10,865,211                     (46,217)
                                                                                     ------------                 -----------   
    Increase (decrease) in net assets resulting from operations                        10,440,797                    (520,468)
                                                                                     ------------                 -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME                                 (501,439)                    (42,000)
                                                                                     ------------                 -----------    
CAPITAL TRANSACTIONS                                                        
  Proceeds from shares sold                                                           105,651,986                  20,180,000
  Proceeds from shares issued for dividends reinvested                                    501,439                      42,000
                                                                                     ------------                 -----------
    Increase in net assets resulting from capital transactions                        106,153,425                  20,222,000
                                                                                     ------------                 -----------    
INCREASE IN NET ASSETS                                                                116,092,783                  19,659,532
                                                                                     ------------                 -----------
NET ASSETS, END OF PERIOD                                                            $136,752,315                 $20,659,532
                                                                                     ============                 ===========
</TABLE>                                                                    




* Commencement of operations


See Notes to Financial Statements.




                                      14



<PAGE>   16

               AMERICAN CAPITAL SMALL CAPITALIZATION  FUND, INC.



Financial Highlights
- --------------------------------------------------------------------------------
Selected data for a share of capital stock outstanding throughout the periods
indicated (Unaudited).

<TABLE>
<CAPTION>
                                                                                        Six Months            November 23, 1993  (1)
                                                                                           Ended                    through
                                                                                       April 30, 1995           October 31, 1994
                                                                                       --------------         ----------------------
<S>                                                                                          <C>                      <C>
PER SHARE OPERATING PERFORMANCE  (2)                                            
Net asset value, beginning of the period                                                      $9.82                    $10.00
                                                                                             ------                   -------
INCOME FROM INVESTMENT OPERATIONS                                               
Investment income                                                                              0.09                     .24
Expenses                                                                                     (0.01)                    (.03)
                                                                                             ------                   -------
Net investment income                                                                          0.08                     .21
Net realized and unrealized gains (losses) on securities                                       0.45                    (.37)
                                                                                             ------                   -------
Total from investment operations                                                               0.53                    (.16)
                                                                                             ------                   -------
DISTRIBUTIONS FROM NET INVESTMENT INCOME                                                     (.08)                     (.02)
                                                                                             ------                   -------
Net asset value, end of the period                                                           $10.27                     $9.82
                                                                                             ======                   =======
TOTAL RETURN   (3)                                                                            5.49%                   (1.80%)
                                                                                
                                                                                
RATIOS/SUPPLEMENTAL DATA                                                        
Net assets, end of the period (millions)                                                     $136.8                     $20.7
Average net assets (millions)                                                                 $93.5                     $20.1
                                                                                
Ratios to average net assets  (annualized)                                      
                                                                                
  Expenses                                                                                    .18%                      .30%
  Net investment income                                                                       1.64%                     1.99%
                                                                                
Portfolio turnover rate                                                                         31%                       34%
                                                                                
</TABLE>                                                                        
                                                                                
  (1)  Commencement of operations
  (2)  Based on average month-end shares outstanding
  (3)  Total return has not been annualized





See Notes to Financial Statements.




                                      15



<PAGE>   17
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)


NOTE 1 - SIGNIFICANT ACCOUNTING POLICIES
American Capital Small Capitalization Fund, Inc. (the "Fund") is registered
under the Investment Company Act of 1940, as amended, as a diversified open-end
management investment company. The following is a summary of significant
accounting policies consistently followed by the Fund in the preparation of its
financial statements.

A.       INVESTMENT VALUATIONS
         Securities listed or traded on a national securities exchange are
         valued using prices as of 2:00 p.m. eastern time.  Unlisted and listed
         securities for which the last sale price at 2:00 p.m. eastern time is
         not available are valued at the last reported bid price.

         Short-term investments with a maturity of 60 days or less when
         purchased are valued at amortized cost, which approximates market
         value.  Short-term investments with a maturity of more than 60 days
         when purchased are valued based on market quotations until the
         remaining days to maturity becomes less than 61 days.  From such time,
         until maturity, the investments are valued at amortized cost.

B.       REPURCHASE AGREEMENTS
         A repurchase agreement is a short-term investment in which the Fund
         acquires ownership of a debt security and the seller agrees to
         repurchase the security at a future time and specified price.  The
         Fund may invest independently in repurchase agreements, or transfer
         uninvested cash balances into a pooled cash account along with other
         investment companies advised by Van Kampen American Capital Asset
         Management, Inc. (the "Adviser"), the daily aggregate of which is
         invested in repurchase agreements.  Repurchase agreements are
         collateralized by the underlying debt security.  The Fund will make
         payment for such securities only upon physical delivery or evidence of
         book entry transfer to the account of the custodian bank.  The seller
         is required to maintain the value of the underlying security at not
         less than the repurchase proceeds due the Fund.

C.       FEDERAL INCOME TAXES
         No provision for federal income taxes is required because the Fund
         intends to elect to be taxed as a "regulated investment company" under
         the Internal Revenue Code and intends to maintain this qualification
         by annually distributing all of its taxable net investment income and
         taxable net realized gains on investments to its shareholders.

         The net realized capital loss carryforward of $849,616 for federal
         income tax purposes at October 31, 1994 may be utilized to offset
         current or future capital gains until expiration in 2002.


                                      16

<PAGE>   18


D.       INVESTMENT TRANSACTIONS AND RELATED INVESTMENT INCOME
         Investment transactions are accounted for on the trade date.  Realized
         gains and losses on investments are determined on the basis of 
         identified cost.  Dividend income is recorded on the ex-dividend date.
         Interest income is accrued daily.

E.       DIVIDENDS AND DISTRIBUTIONS
         Dividends and distributions to shareholders are recorded on the record
         date.  The Fund distributes tax basis earnings in accordance with the
         minimum distribution requirements of the Internal Revenue code, which
         may differ from generally accepted accounting principles.  Such
         dividends and distributions may exceed financial statement earnings.

F.       ORGANIZATION COSTS
         Organization expenses of approximately $62,000 were deferred and are
         being amortized over a five year period ending October 1998.

NOTE 2 - MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
The Adviser serves as investment manager of the Fund.  The Adviser receives no
compensation for its investment management services.

Accounting services include the salaries and overhead expenses of the Fund's
Treasurer and the personnel operating under his direction.  Charges are
allocated among investment companies advised by the Adviser.  For the period,
these charges included $3,653 as the Fund's share of the employee costs
attributable to the Fund's accounting officers.  A portion of the accounting
services expense was paid to the Adviser in reimbursement of personnel,
facilities and equipment cost attributable to the provision of accounting
services to the Fund.  The accounting services provided by the Adviser are at
cost.

ACCESS Investor Services, Inc., an affiliate of the Adviser, serves as the
Fund's shareholder service agent.  These services are provided at cost plus a
profit.  For the period, fees for such services were $9,000.

At the end of the period, the Fund was owned by three investment companies
advised by the Adviser.  American Capital Pace Fund, Inc., Common Sense Trust
Growth Fund, and Common Sense Trust II Growth Fund owned 50.22%, 49.32%, and
 .46%, respectively, of the Fund.

Legal fees were incurred for services rendered by O'Melveny & Myers, counsel
for the Fund.  Lawrence J. Sheehan, of counsel to that firm, is a director of
the Fund.

Certain officers and directors of the Fund are officers and directors of the
Adviser and the shareholder service agent.




                                      17


<PAGE>   19


NOTE 3 - INVESTMENT ACTIVITY
During the period, the cost of purchases of investments and proceeds from sales
of investments, excluding short-term investments, were $129,945,714 and
$27,968,081 respectively.

The identified cost of investments owned at the end of the period was the same
for Federal income tax and financial statement purposes.  Gross unrealized
appreciation aggregated $14,619,968 and gross unrealized depreciation
aggregated $3,800,974.

NOTE: 4 - DIRECTOR COMPENSATION
Fund directors who are not affiliated with the Adviser are compensated by the
Fund at the annual rate of $850 plus a fee of $20 per day for the  Board and
Committee meetings attended.  The Chairman receives additional fees form the
Fund at the annual rate of $320.  During the period, such fees aggregated
$4,335.

The directors may participate in a voluntary Deferred Compensation Plan (the
"Plan").  The Plan is not funded, and obligations under the Plan will be paid
solely out of the Fund's general accounts.  The Fund will not reserve or set
aside funds for the payment of its obligations under the Plan by any form of
trust or escrow.  Each director covered under the Plan elects to be credited
with an earnings component on amounts deferred equal to the income earned by
the Fund on its short-term investments or equal to the total return of the
Fund.

NOTE  5 - CAPITAL
The Fund has 200 million shares of $.01 par value of capital stock authorized.
Fund shares are only available for purchase by publicly offered Funds for which
the Adviser serves as investment adviser.  The American Capital Pace Fund, Inc.
contributed the initial capital of $1,000,000 for 100,000 shares of the Fund on
November 23, 1993.  Transactions in shares for the period were as follows:

<TABLE>
<CAPTION>
                                                      Six Months Ended         Period Ended
                                                       April 30, 1995        October 31, 1994
                                                       ----------------      ----------------
<S>                                                       <C>                    <C>
Shares sold                                               11,153,426             2,100,000
Shares issued for distribution  reinvested                    54,151                 4,130 
                                                       -------------            -----------
Increase in shares outstanding                            11,207,577              2,104,130
                                                       =============            ===========
</TABLE>




                                      18



<PAGE>   20

AMERICAN CAPITAL SMALL CAPITALIZATION  FUND, INC.


BOARD OF DIRECTORS

J. Miles Branagan                       Lawrence J. Sheehan
Richard E. Caruso                       Fernando Sisto  *
Roger Hilsman                           William S. Woodside
Don G. Powell
David Rees                              *  Chairman of the Board

- --------------------------------------------------------------------

OFFICERS
Don G. Powell                           Nori L. Gabert
  President                               Vice President
                                          and Secretary
Curtis W. Morell
  Vice President                        J. David Wise
  and Treasurer                           Vice President and
                                          Assistant Secretary

Ralph P. Goldsticker
Dennis J. McDonnell                     Perry F. Farrell
Ronald A. Nyberg                        M. Robert Sullivan
Alan T. Sachtleben                        Assistant Treasurers
Paul R. Wolkenberg
  Vice Presidents                       Huey P. Falgout, Jr.
                                          Assistant Secretary
Tanya M. Loden
  Vice President
  and Controller


- --------------------------------------------------------------------

INVESTMENT ADVISER
Van Kampen American Capital Asset Management, Inc.
2800 Post Oak Blvd., Houston, Texas  77056

- --------------------------------------------------------------------

SHAREHOLDER SERVICE AGENT
ACCESS Investor Services, Inc.
P.O. Box 418256, Kansas City, Missouri  64141-9256

- --------------------------------------------------------------------

CUSTODIAN
State Street Bank and Trust Co.
225 Franklin Street, Boston, Massachusetts,  02110

- --------------------------------------------------------------------

COUNSEL
O'Melveny & Myers
400 South Hope Street, Los Angeles, CA  90071

- --------------------------------------------------------------------












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