<PAGE>
=============================================================================
DFA Investment Dimensions Group Inc.
and
The DFA Investment Trust Company
Semi-Annual
Report
Six Months Ended May 31, 1995
(Unaudited)
=============================================================================
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<CAPTION>
Page
--------
<S> <C>
Schedules of Investments .................................................
The U.S. 9-10 Small Company Portfolio ............................... 1-22
The U.S. 6-10 Small Company Portfolio ............................... 23
The U.S. Large Company Portfolio .................................... 23
The U.S. Small Cap Value Portfolio .................................. 23
The U.S. Large Cap Value Portfolio .................................. 23
The DFA/AEW Real Estate Securities Portfolio ........................ 24-25
The Japanese Small Company Portfolio ................................ 26-31
The Pacific Rim Small Company Portfolio ............................. 32-41
The United Kingdom Small Company Portfolio .......................... 42-48
The Emerging Markets Portfolio ...................................... 49
The Continental Small Company Portfolio ............................. 50-60
The Large Cap International Portfolio ............................... 61-63
The DFA International High Book to Market Portfolio ................. 64
The DFA International Small Cap Value Portfolio ..................... 65-69
The DFA One-Year Fixed Income Portfolio ............................. 70
The DFA Five-Year Government Portfolio .............................. 70
The DFA Global Fixed Income Portfolio ............................... 71
The DFA Intermediate Government Fixed Income Portfolio .............. 72
Statements of Assets and Liabilities ..................................... 73-75
Statements of Operations ................................................. 76-81
Statements of Changes in Net Assets ...................................... 82-87
Financial Highlights ..................................................... 88-97
Notes to Financial Statements ............................................ 98-104
</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>
THE DFA INVESTMENT TRUST COMPANY
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<CAPTION>
Page
---------
<S> <C>
Statements of Net Assets .................................................
The U.S. 6-10 Small Company Series .................................. 105-131
The U.S. Large Company Series ....................................... 132-136
The U.S. Small Cap Value Series ..................................... 137-148
The U.S. Large Cap Value Series ..................................... 149-150
The DFA One-Year Fixed Income Series ................................ 151-152
The DFA International Value Series .................................. 153-161
The Emerging Markets Series ......................................... 162-166
Statements of Operations ................................................. 167-168
Statements of Changes in Net Assets ...................................... 169-171
Financial Highlights ..................................................... 172-174
Notes to Financial Statements ............................................ 175-178
</TABLE>
ii
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULE OF INVESTMENTS
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C> <C>
COMMON STOCKS - (97.4%)
*A Plus Communications, Inc. ............................ 57,100 $ 742,300
AAON, Inc. ............................................. 39,490 308,516
ABS Industries, Inc. ................................... 114,200 1,370,400
ACC Corp. .............................................. 14,500 197,563
*ACS Enterprises, Inc. .................................. 23,900 418,250
ADAC Laboratories ...................................... 16,400 167,075
*AEL Industries, Inc. Class A ........................... 1,000 22,375
AEP Industries, Inc. ................................... 22,350 528,019
*AER Energy Resources, Inc. ............................. 110,200 585,438
*AFC Cable Systems, Inc. ................................ 200 3,300
*AG Services America, Inc. .............................. 1,400 11,288
*AM International, Inc. ................................. 4,200 38,850
*ARI Holdings Corp. ..................................... 2,200 17,188
*ARI Network Services, Inc. ............................. 15,500 31,969
*ARK Restaurants Corp. .................................. 5,800 54,375
*ATS Medical, Inc. ...................................... 11,400 100,463
*AW Computer Systems, Inc. Class A ...................... 1,000 1,250
Aames Financial Corp. .................................. 6,000 90,000
Aaron Rents, Inc. Class A .............................. 41,500 617,313
Aaron Rents, Inc. Class B .............................. 52,100 794,525
*Abaxis, Inc. ........................................... 1,000 5,188
Abington Savings Bank MA ............................... 18,400 239,200
*Abiomed, Inc. .......................................... 5,500 44,344
Abrams Industries, Inc. ................................ 200 850
*Accell International Corp. ............................. 97,293 249,313
*Acceptance Insurance Companies, Inc. ................... 55,420 775,880
*Access Health Marketing, Inc. .......................... 53,500 845,969
*Ace Cash Express, Inc. ................................. 200 1,750
Aceto Corp. ............................................ 5,710 83,509
Ackerley Communications, Inc. .......................... 27,700 273,538
*Acmat Corp. ............................................ 100 1,600
*Acme Electric Corp. .................................... 99,584 2,713,664
*Acme Metals, Inc. ...................................... 98,500 1,637,563
*Acme United Corp. ...................................... 69,033 258,874
Acme-Cleveland Corp. ................................... 32,100 750,338
*Action Industries, Inc. ................................ 47,100 52,988
*Action Performance Companies, Inc. ..................... 2,900 22,656
*Active Voice Corp. ..................................... 200 5,088
*Adage, Inc. ............................................ 50,942 261,077
Adams Resources & Energy, Inc. ......................... 74,150 630,275
*Addington Resources, Inc. .............................. 11,300 146,900
*Advance Circuits, Inc. ................................. 154,012 2,242,800
*Advance Ross Corp. ..................................... 60,500 1,527,625
*Advanced Logic Research, Inc. .......................... 13,800 80,213
*Advanced Magnetics, Inc. ............................... 45,550 1,047,650
*Advanced Marketing Services, Inc. ...................... 31,500 196,875
*Advanced Medical, Inc. ................................. 15,800 35,550
*Advanced NMR Systems, Inc. ............................. 26,200 71,231
*Advanced Polymer Systems, Inc. ......................... 71,000 353,891
*Advanced Promotion Technologies, Inc. (Private
Placement) ........................................... 107,000 225,703
Advantage Bancorp, Inc. ................................ 1,000 29,250
*Advantage Companies, Inc. .............................. 18,600 295,275
*Advantage Health Corp. ................................. 49,100 1,356,388
*Advest Group, Inc. ..................................... 9,000 55,125
*Aequitron Medical, Inc. ................................ 55,700 327,238
1
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Aeroflex, Inc. ......................................... 97,252 $ 425,478
*Aerosonic Corp. DE ..................................... 200 456
*Aerovox, Inc. .......................................... 1,000 7,500
*Aetrium, Inc. .......................................... 200 3,350
*Agouron Pharmaceuticals, Inc. .......................... 39,400 807,700
*Agridyne Technology, Inc. .............................. 63,900 79,875
*Aileen, Inc. ........................................... 104,200 58,613
*Air Methods Corp. ...................................... 5,000 13,125
*Air-Cure Environmental ................................. 5,100 12,750
*Airsensors, Inc. ....................................... 10,000 93,750
Airtran Corp. .......................................... 59,100 517,125
*Akorn, Inc. ............................................ 17,800 46,169
*Alamco, Inc. ........................................... 47,160 365,490
Alamo Group, Inc. ...................................... 5,000 96,250
Alatenn Resources, Inc. ................................ 39,900 783,038
*Alba-Waldensian, Inc. .................................. 21,000 179,813
*Alcide Corp. ........................................... 1,000 10,625
*Aldila, Inc. ........................................... 200 1,088
*Alexander Energy Co. ................................... 86,000 360,125
*Alfin, Inc. ............................................ 78,727 63,966
Alico, Inc. ............................................ 200 3,300
*Alkermes, Inc. ......................................... 136,000 425,000
*All American Semiconductor, Inc. ....................... 1,000 2,125
*All for a Dollar, Inc. ................................. 1,000 688
*Allcity Insurance Co. .................................. 200 1,775
*Allegheny & Western Energy Corp. ....................... 49,400 586,625
*Allegiant Physician Services, Inc. ..................... 25,000 27,344
Allen Organ Co. Class B ................................ 200 8,400
*Allerion, Inc. ......................................... 12,000 0
*Alliance Gaming Corp. .................................. 113,300 552,338
*Alliance Pharmaceuticals Corp. ......................... 25,700 167,050
Allied Bankshares, Inc. ................................ 200 2,100
Allied Healthcare Products, Inc. ....................... 200 2,988
*Allied Holdings, Inc. .................................. 75,000 721,875
Allied Life Financial Corp. ............................ 20,000 342,500
Allied Products Corp. .................................. 211,994 4,133,883
*Allied Research Corp. .................................. 41,040 138,510
*Allied Waste Industries, Inc. .......................... 43,100 263,988
*Allou Health & Beauty Care, Inc. Class A ............... 29,200 240,900
*Allstate Financial Corp. ............................... 11,500 83,375
*Alltrista Corp. ........................................ 6,374 140,228
*Aloette Cosmetics, Inc. ................................ 7,200 19,350
*Alpha Beta Technology, Inc. ............................ 108,000 715,500
Alpha Industries, Inc. ................................. 89,700 1,222,163
*Alpha Microsystems, Inc. ............................... 48,600 46,322
*Alpha One Biomedicals, Inc. ............................ 60,700 22,763
*Alpha Technologies Group, Inc. ......................... 107,200 636,500
*Alpharel, Inc. ......................................... 60,300 86,681
Alpine Group, Inc. ..................................... 159,544 857,549
*Alpine Lace Brands, Inc. ............................... 28,500 204,844
*Alpnet, Inc. ........................................... 30,500 11,438
*Alta Gold Co. .......................................... 14,143 16,353
*Alteon, Inc. ........................................... 102,000 650,250
Altron, Inc. ........................................... 57,975 1,231,969
*Ambar, Inc. ............................................ 1,000 4,688
*Ambers Stores, Inc. .................................... 1,000 703
Amcast Industrial Corp. ................................ 1,100 21,725
*America Services Group, Inc. ........................... 29,000 148,625
2
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
American Bancorpation Ohio ............................. 200 $ 3,950
American Bank of Connecticut ........................... 200 4,375
American Biltrite, Inc. ................................ 97,800 2,616,150
American City Business Journals, Inc. .................. 13,650 259,350
*American Claims Evaluation, Inc. ....................... 3,100 5,425
American Classic Voyages Co. ........................... 15,200 135,850
*American Consumer Products, Inc. ....................... 38,600 98,913
*American Dental Technologies, Inc. ..................... 1,000 844
American Ecology Corp. ................................. 62,800 251,200
*American Educational Products, Inc. .................... 21,000 39,375
American Federal Bank FSB Greenville, SC ............... 34,300 473,769
American Filtrona Corp. ................................ 20,200 611,050
*American Healthcorp, Inc. .............................. 56,700 425,250
*American Holdings, Inc. ................................ 169,100 287,998
*American Homepatient, Inc. ............................. 51,000 1,530,000
*American Homestar Corp. ................................ 19,000 211,375
American Indemnity Financial Corp. ..................... 16,400 182,450
American List Corp. .................................... 21,615 512,005
*American Locker Group, Inc. ............................ 8,800 74,800
American Maize Products Co. Class A .................... 68,400 2,077,650
*American Medical Electronics, Inc. ..................... 102,100 976,331
*American Metals Services, Inc. (In Liquidation) ........ 14,278 10,780
*American Pacific Corp. ................................. 9,400 48,175
*American Physicians Services Group, Inc. ............... 46,800 157,950
American Precision Industries, Inc. .................... 160,375 1,523,563
American Recreation Centers, Inc. ...................... 4,300 30,638
*American Recreation Co. Holdings, Inc. ................. 75,200 582,800
*American Safety Razor Co. .............................. 8,000 94,000
*American Science & Engineering, Inc. ................... 75,000 548,438
*American Shared Hospital Services ...................... 14,800 25,900
American Software, Inc. Class A ........................ 9,000 34,313
American Studios, Inc. ................................. 120,000 322,500
*American Technical Ceramics Corp. ...................... 1,000 10,750
*American Telecasting, Inc. ............................. 16,000 220,000
*American United Global, Inc. ........................... 1,000 3,438
*American White Cross, Inc. ............................. 69,700 187,319
*American Woodmark Corp. ................................ 44,329 249,351
Americana Bancorp, Inc. ................................ 13,650 208,163
*Ameridata Technologies, Inc. ........................... 12,200 94,550
*Amerihost Properties, Inc. ............................. 15,000 78,750
*Ameriquest Technology, Inc. ............................ 72,775 163,744
*Ameriwood Industries International Corp. ............... 52,900 347,156
Ameron, Inc. ........................................... 2,000 69,500
Amfed Financial, Inc. .................................. 29,419 700,540
*Amistar Corp. .......................................... 65,100 164,784
Ampco-Pittsburgh Corp. ................................. 40,100 330,825
Amplicon, Inc. ......................................... 29,000 442,250
Amre, Inc. ............................................. 124,500 513,563
*Amrep Corp. ............................................ 60,510 404,661
Amresco, Inc. .......................................... 84,500 633,750
*Amrion Corp. ........................................... 4,500 41,625
3
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Amserv, Inc. ........................................... 9,151 $ 26,881
Amtech Corp. ........................................... 24,800 155,000
*Amtran, Inc. ........................................... 200 1,850
Amtrol, Inc. ........................................... 200 3,700
Amvestors Financial Corp. .............................. 90,352 982,578
Amwest Insurance Group, Inc. ........................... 42,900 638,138
*Amylin Pharmaceuticals, Inc. ........................... 16,500 123,750
*Anacomp, Inc. .......................................... 46,600 37,863
Analysis & Technology, Inc. ............................ 26,800 355,100
Analysts International Corp. ........................... 1,100 29,838
*Anaren Microwave, Inc. ................................. 69,400 373,025
Anchor Bancorp Wisconsin, Inc. ......................... 4,000 122,000
*Andersen Group, Inc. ................................... 15,000 73,125
Andover Bancorp, Inc. DE ............................... 13,900 251,938
*Andover Togs, Inc. ..................................... 3,562 8,682
*Andrea Electronics Corp. ............................... 1,500 28,500
*Andros, Inc. ........................................... 68,300 1,161,100
*Anergen, Inc. .......................................... 8,200 19,731
*Anesta Corp. ........................................... 200 1,500
Anthony Industries, Inc. ............................... 50,242 828,993
*Anuhco, Inc. ........................................... 5,700 50,944
*Apertus Technologies, Inc. ............................. 116,300 1,155,731
*Aphton Corp. ........................................... 100 963
*Appliance Recycling Centers of America, Inc. ........... 2,100 9,319
*Applied Bioscience International, Inc. ................. 115,200 604,800
*Applied Digital Access, Inc. ........................... 36,300 458,288
*Applied Extrusion Technologies, Inc. ................... 30,000 420,000
*Applied Immune Sciences, Inc. .......................... 28,600 126,913
*Applied Magnetics Corp. ................................ 70,700 406,525
*Applied Microbiology, Inc. ............................. 46,800 76,050
*Applied Science & Technology, Inc. ..................... 200 1,963
*Applied Signal Technologies, Inc. ...................... 75,000 309,375
Aquarion Co. ........................................... 4,000 92,000
*Arabian Shield Development Co. ......................... 66,200 132,400
*Arbor Health Care Co. .................................. 20,400 392,700
*Arch Communications Group, Inc. ........................ 68,700 1,425,525
*Arch Petroleum, Inc. ................................... 26,826 52,814
*Argus Pharmaceuticals, Inc. ............................ 11,400 21,731
*Arizona Instrument Corp. ............................... 100 119
*Arlen Corp. ............................................ 280,300 6,570
*Armatron International, Inc. ........................... 68,500 64,219
*Arrhythmia Research Technology, Inc. ................... 75 225
*Arris Pharmaceutical Corp. ............................. 75,000 609,375
*Arrow Automotive Industries, Inc. ...................... 44,800 266,000
Arrow Financial Corp. .................................. 10,826 163,743
*Arrow Transportation Co. ............................... 200 625
*Artisoft, Inc. ......................................... 16,400 142,475
Artistic Greetings, Inc. ............................... 4,500 16,875
*Artra Group, Inc. ...................................... 65,200 268,950
*Arts Way Manufacturing Co., Inc. ....................... 100 600
*Asante Technologies, Inc. .............................. 200 763
*Aseco Corp. ............................................ 20,100 304,013
*Ashworth, Inc. ......................................... 74,600 629,438
Aspen Bancshares, Inc. ................................. 1,250 19,063
*Aspen Imaging International, Inc. ...................... 53,900 48,005
*Astec Industries, Inc. ................................. 98,100 1,146,544
Astro-Med, Inc. ........................................ 58,175 618,109
*Astronics Corp. ........................................ 18,280 54,840
*Astrosystems, Inc. ..................................... 44,100 223,256
*Astrotech International Corp. .......................... 22,500 70,313
4
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Asyst Technologies, Inc. ............................... 200 $ 6,225
Atalanta Sosnoff Capital Corp. ......................... 200 1,400
*Atchison Casting Corp. ................................. 200 2,938
*Athena Neurosciences, Inc. ............................. 15,000 115,313
*Athey Products Corp. ................................... 24,277 142,627
Atkinson (Guy F.) of California ........................ 13,900 121,625
*Atlantic American Corp. ................................ 112,825 253,856
*Atlantic Beverage, Inc. ................................ 20,000 55,000
*Atlantic Coast Airlines, Inc. .......................... 65,000 333,125
*Atlantic Gulf Communities Corp. ........................ 11,000 85,250
*Atlantic Tele-Network, Inc. ............................ 10,000 80,625
Atlantis Plastics, Inc. ................................ 8,100 56,700
*Atlas Corp. ............................................ 117,620 191,133
*Atrix Labs, Inc. ....................................... 8,500 60,563
*Atwood Oceanics, Inc. .................................. 22,000 328,625
*Audiovox Corp. Class A ................................. 9,000 47,813
*Audits & Surveys Worldwide, Inc. ....................... 56,422 183,372
*Aura Systems, Inc. ..................................... 46,100 247,788
*Aurora Electronics, Inc. ............................... 120,962 370,446
Autocam Corp. .......................................... 35,253 392,190
Autoclave Engineers, Inc. .............................. 30,180 381,023
*Autofinance Group, Inc. ................................ 87,356 1,375,857
*Autoimmune, Inc. ....................................... 200 1,688
*Autoinfo, Inc. ......................................... 115,900 409,272
*Autote Corp. Class A ................................... 17,000 68,000
Avemco Corp. ........................................... 48,600 832,275
Aviall, Inc. ........................................... 139,500 1,168,313
*Avondale Industries, Inc. .............................. 60,600 443,138
*Aydin Corp. ............................................ 56,350 852,294
Aztec Manufacturing Co. ................................ 55,826 202,369
BEI Electronics, Inc. .................................. 4,100 28,188
BGS Systems, Inc. ...................................... 6,400 193,600
BHA Group, Inc. Class A ................................ 63,828 861,678
*BI, Inc. ............................................... 85,900 563,719
BMC Industries, Inc. MN ................................ 17,400 378,450
*BMC West Corp. ......................................... 5,000 71,250
BMJ Financial Corp. .................................... 56,750 737,750
BOK Financial Corp. .................................... 3,054 68,142
*BPI Packaging Technologies, Inc. ....................... 8,200 32,288
BSB Bancorp, Inc. ...................................... 41,150 1,229,356
BT Financial Corp. ..................................... 10,996 329,880
*BTU International, Inc. ................................ 20,000 156,250
*Bachman Information Systems, Inc. ...................... 94,600 543,950
*Back Bay Restaurant Group, Inc. ........................ 22,800 128,250
Badger Meter, Inc. ..................................... 14,600 367,738
Badger Meter, Inc. ..................................... 20,300 511,306
*Badger Paper Mills, Inc. ............................... 200 3,025
*Bailey Corp. ........................................... 6,900 36,225
Bairnco Corp. .......................................... 108,900 490,050
*Baker (Michael) Corp. .................................. 87,000 462,188
*Baker (Michael) Corp. Class B .......................... 15,400 81,813
Balchem Corp. .......................................... 1,500 9,188
*Baldwin Piano & Organ Co. .............................. 37,900 487,963
*Baldwin Technology, Inc. Class A ....................... 25,000 145,313
*Bally Gaming International, Inc. ....................... 10,000 89,375
*Baltek Corp. ........................................... 21,562 184,625
BanCorp New Jersey, Inc. ............................... 1,000 43,875
*BancTexas Group, Inc. .................................. 73,187 59,464
*Bancinsurance Corp. .................................... 3,500 10,391
Bancorp Connecticut, Inc. .............................. 1,000 15,500
Bangor Hydro-Electric Co. .............................. 63,000 716,625
Bank of Granite Corp. .................................. 77 2,060
Bank of New Hampshire Corp. ............................ 23,300 605,800
Bank of Southington .................................... 200 1,575
5
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
BankAtlantic Bancorp, Inc. ............................. 4,600 $ 70,725
*Banker's Note, Inc. .................................... 30,700 22,066
Bankers Corp. .......................................... 3,600 60,075
Bankers First Corp. .................................... 46,700 1,249,225
*Banner Aerospace, Inc. ................................. 33,100 148,950
Barefoot, Inc. ......................................... 16,900 209,138
Barnwell Industries, Inc. .............................. 11,800 219,775
*Barra, Inc. ............................................ 75,400 735,150
*Barrett Business Services, Inc. ........................ 49,800 594,488
*Barrister Information Systems Corp. .................... 7,866 4,425
*Barry (R.G.) Corp. ..................................... 108,966 1,838,801
Barrys Jewelers, Inc. .................................. 192 564
*Base Ten Systems, Inc. Class A ......................... 3,500 25,594
*Basin Exploration, Inc. ................................ 53,000 397,500
Bay View Capital Corp. ................................. 1,500 39,000
*Bayou Steel Corp. Class A .............................. 9,100 41,519
*Bayport Restaurant Group, Inc. ......................... 29,800 130,375
*Be Aerospace, Inc. ..................................... 135,000 1,130,625
*Beard Co. .............................................. 26,533 59,699
Beauticontrol Cosmetics, Inc. .......................... 2,600 32,175
*Beazer Homes USA, Inc. ................................. 5,500 85,250
*Beeba's Creations, Inc. ................................ 20,780 84,419
*Bel Fuse, Inc. ......................................... 86,500 973,125
*Belden & Blake Corp. ................................... 2,200 35,750
*Bell Industries, Inc. .................................. 60,693 1,160,756
*Bell Sports Corp. ...................................... 4,100 49,200
*Bellwethwer Exporation Co. ............................. 2,200 13,338
*Belmac Corp. ........................................... 1,000 438
*Ben & Jerry's Homemade, Inc. Class A ................... 6,400 91,200
*Ben Franklin Retail Stores, Inc. ....................... 11,000 54,313
*Benchmark Electronics, Inc. ............................ 44,100 948,150
*Benihana, Inc. ......................................... 9,100 68,250
Berkshire Gas Co. ...................................... 7,200 105,300
*Berlitz International, Inc. ............................ 63,100 926,781
*Bertuccis, Inc. ........................................ 26,500 187,156
*Best Power Technology, Inc. ............................ 200 4,188
*Bestop, Inc. ........................................... 3,000 38,063
*Bethlehem Corp. ........................................ 200 438
*Bettis Corp. ........................................... 81,850 286,475
*Big O Tires, Inc. ...................................... 1,000 13,688
Bindley Western Industries, Inc. ....................... 4,900 76,869
Binks Manufacturing Co. ................................ 61,300 1,494,188
*Bio Dental Technologies Corp. .......................... 2,000 7,813
*Bio Technology General Corp. ........................... 29,000 115,094
*Bio-Logic Systems Corp. ................................ 23,400 81,900
*Biocircuits Corp. ...................................... 101,000 50,500
*Biomagnetic Technologies, Inc. ......................... 11,400 11,756
*Biomatrix, Inc. ........................................ 85,000 409,063
*Biomedical Waste Systems, Inc. ......................... 62,000 24,219
Biomerica, Inc. ........................................ 48,500 46,984
*Biopharmaceutics, Inc. ................................. 6,000 3,000
*Biosafety Systems, Inc. ................................ 200 456
*Biospherics, Inc. ...................................... 18,300 123,525
*Biosys, Inc. ........................................... 104,345 207,060
*Biotechnica International, Inc. ........................ 146,500 38,914
*Biowhittaker, Inc. ..................................... 30,000 225,000
*Bird Corp. ............................................. 55,800 369,675
*Bird Medical Technologies, Inc. ........................ 44,600 270,388
Biscayne Apparel, Inc. ................................. 8,190 14,333
Blessings Corp. ........................................ 161,912 1,963,183
*Bliss & Laughlin Industries, Inc. ...................... 200 1,200
*Blyth Holdings, Inc. ................................... 55,200 148,350
*Bobbie Brooks, Inc. .................................... 300 394
6
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Boca Research, Inc. .................................... 200 $ 2,975
*Bollinger Industries, Inc. ............................. 2,200 17,600
*Bon-Ton Stores, Inc. ................................... 12,100 124,781
*Bonray Drilling Corp. .................................. 4,985 43,619
Boole & Babbage, Inc. .................................. 33,300 1,011,488
*Boomtown, Inc. ......................................... 78,700 875,538
*Borg-Warner Security Corp. ............................. 108,800 816,000
*Borror Corp. ........................................... 5,300 24,513
Boston Acoustics, Inc. ................................. 30,000 570,000
Bowl America, Inc. Class A ............................. 56,160 435,240
*Bowmar Instrument Corp. ................................ 104,100 273,263
Bradlees, Inc. ......................................... 54,100 263,738
Braintree Savings Bank MA .............................. 14,800 221,075
Brandon Systems Corp. .................................. 6,487 145,147
Branford Savings Bank CT ............................... 610 1,373
*Brauns Fashions Corp. .................................. 13,500 40,500
Brenco, Inc. ........................................... 142,500 1,843,594
*Brendle's, Inc. ........................................ 45,400 28,375
Brenton Banks, Inc. .................................... 200 3,725
*Brewer (C.) Homes, Inc. Class A ........................ 64,000 324,000
Bridgford Foods Corp. .................................. 200 2,475
*Brite Voice Systems, Inc. .............................. 69,000 1,332,563
Broad National Bancorporation .......................... 200 1,650
*Broadcast International, Inc. .......................... 31,000 199,563
*Broadway & Seymour, Inc. ............................... 66,600 1,198,800
*Brock Exploration Corp. ................................ 200 756
Brooke Group, Ltd. ..................................... 15,400 67,375
*Brookstone, Inc. ....................................... 57,800 319,706
*Brooktrout Technology, Inc. ............................ 39,000 575,250
*Brothers Gourmet Coffees, Inc. ......................... 200 1,800
*Brown & Sharpe Manufacturing Co. Class A ............... 108,000 675,000
*Brown (Tom), Inc. ...................................... 40,600 588,700
Bryn Mawr Bank Corp. ................................... 500 17,875
*Buckle, Inc. ........................................... 5,700 86,925
*Buffton Corp. .......................................... 15,800 24,688
*Builders Transport, Inc. ............................... 52,100 579,613
*Bull Run Corp. GA ...................................... 171,700 370,228
Burr Brown Corp. ....................................... 121,050 2,708,494
Bush Industries, Inc. Class A .......................... 30,000 352,500
*Business Records Corp. Holding Co. ..................... 63,400 2,195,225
*Butler International, Inc. ............................. 23,727 154,226
Butler Manufacturing Co. ............................... 10,400 417,950
*Buttrey Food & Drug Stores Co. ......................... 41,000 304,938
CB Bancshares, Inc. HI ................................. 818 24,540
*CCA Industries, Inc. ................................... 31,000 92,031
*CE Software Holdings, Inc. ............................. 10,900 31,167
*CEM Corp. .............................................. 41,500 547,281
*CFI Industries, Inc. ................................... 19,600 74,725
*CFI Proservices, Inc. .................................. 200 2,450
CFSB Bancorp, Inc. ..................................... 1,100 22,275
CFX Corp. .............................................. 14,994 356,108
*CII Financial, Inc. .................................... 26,500 168,938
*CIS Technologies, Inc. DE .............................. 31,900 67,289
CKE Restaurants, Inc. .................................. 20,400 158,100
*CMC Industries, Inc. ................................... 200 425
*CMI Corp. Class A ...................................... 264,699 1,786,718
CNS Income ............................................. 9,300 300,506
CPAC, Inc. ............................................. 18,243 189,271
CPB, Inc. .............................................. 1,900 49,875
CRSS, Inc. ............................................. 26,000 377,000
*CSP, Inc. .............................................. 59,300 455,869
*CTL Credit, Inc. ....................................... 2,100 32,156
CTS Corp. .............................................. 20,000 645,000
7
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------------------ ------------------
CU Bancorp ............................................. 21,440 $ 158,120
CVB Financial Corp. .................................... 22,270 286,726
*Cablemaxx, Inc. ........................................ 40,000 272,500
*Cabot Medical Corp. .................................... 43,910 326,581
*Cache, Inc. ............................................ 81,375 386,531
*Caci International, Inc. Class A ....................... 1,000 10,125
*Cadiz Land, Inc. ....................................... 12,100 55,206
Cadmus Communications Corp. ............................ 58,900 1,082,288
*Caere Corp. ............................................ 11,900 96,688
Cagle's, Inc. Class A .................................. 109,900 1,964,463
*Caire, Inc. ............................................ 669 8,028
*California Amplifier, Inc. ............................. 26,200 255,450
*California Culinary Academy, Inc. ...................... 200 1,613
California Financial Holding Corp. ..................... 43,870 729,339
*California Micro Devices Corp. ......................... 36,300 190,394
California State Bank .................................. 10,000 128,750
*Calloways Nursery, Inc. ................................ 28,500 29,391
*Calprop Corp. .......................................... 61,478 76,848
Calumet Bancorp, Inc. .................................. 200 5,375
*Cambex Corp. ........................................... 82,300 540,094
Cambrex Corp. .......................................... 200 6,750
*Cambridge Neuroscience, Inc. ........................... 11,800 70,800
*Cambridge Soundworks, Inc. ............................. 9,000 56,250
*Campo Eletronics, Appliances & Computers, Inc. ......... 47,700 304,088
*Candela Laser Corp. .................................... 13,700 25,688
*Candies, Inc. .......................................... 5,200 7,556
*Cannon Express, Inc. Class A ........................... 3,250 45,500
*Cannon Express, Inc. Class B ........................... 3,250 41,438
*Cantel Industries, Inc. Class B ........................ 26,000 156,000
*Canterbury Educational Services, Inc. .................. 12,100 32,519
*Canyon Resources Corp. ................................. 96,000 199,500
Cape Cod Bank & Trust Co. .............................. 13,900 422,213
*Capital Associates, Inc. ............................... 42,100 31,575
Capital Bancorporation ................................. 200 5,650
Capital Guarantee Corp. ................................ 29,400 516,338
Capitol Bancorp, Ltd. .................................. 4,400 40,150
Capitol Transamerica Corp. ............................. 200 3,275
*Care Group, Inc. ....................................... 77,100 265,031
*Careline, Inc. ......................................... 10,000 72,500
*Carlisle Plastics, Inc. Class A ........................ 16,300 81,500
*Carolco Pictures, Inc. ................................. 97,200 2,284
Carolina First Corp. ................................... 21,050 290,753
*Carolina Freight Corp. ................................. 28,550 278,363
*Carr-Gottstein Foods Co. ............................... 128,100 816,638
*Carrington Laboratories, Inc. .......................... 164,300 3,532,450
*Carver Corp. WA ........................................ 94,700 153,888
Cascade Natural Gas Corp. .............................. 33,900 504,263
*Casino America, Inc. ................................... 15,800 240,950
*Casino Data Systems .................................... 2,300 34,788
*Casino Resource Corp. .................................. 7,700 30,319
Castle (A.M.) & Co. .................................... 210,605 3,185,401
*Catalina Lighting, Inc. ................................ 53,600 328,300
*Catalyst Semiconductor, Inc. ........................... 50,000 190,625
*Catalytica, Inc. ....................................... 5,000 17,188
*Catherines Stores Corp. ................................ 50,600 509,163
Cavalier Homes, Inc. ................................... 29,837 331,937
*Celestial Seasonings, Inc. ............................. 500 8,969
*Celex Group, Inc. ...................................... 3,900 26,325
*Celgene Corp. .......................................... 115,300 1,037,700
*Cell Genesys, Inc. ..................................... 30,000 140,625
*Cellpro, Inc. .......................................... 6,500 67,844
*Cellular Technical Services Co., Inc. .................. 8,700 170,738
8
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------------------ ------------------
*Celtrix Pharmaceuticals, Inc. .......................... 91,800 $ 143,438
Cenfed Financial Corp. ................................. 100 1,988
Cenit Bancorp, Inc. .................................... 200 7,225
Centennial Bancorp ..................................... 1,270 12,224
Center Banks, Inc. ..................................... 22,800 290,700
Centerbank Waterbury, CT ............................... 111,200 1,598,500
*Centigram Communications Corp. ......................... 2,800 36,400
Central & Southern Holding Co. ......................... 19,700 144,056
*Central Co-Operative Bank Somerville, MA ............... 1,000 10,000
Central Jersey Financial Corp. ......................... 151 2,982
Central Reserve Life Corp. ............................. 22,100 164,369
*Central Sprinkler Corp. ................................ 31,100 703,638
Century Bancorp Income Class A ......................... 1,000 8,063
*Cephalon, Inc. ......................................... 85,000 844,688
*Ceradyne, Inc. ......................................... 115,100 582,694
*Cerberonics, Inc. Class A .............................. 3,500 17,281
Chad Therapeutics ...................................... 3,900 32,175
Champion Industries, Inc. .............................. 200 4,275
Champion Parts, Inc. ................................... 31,200 40,950
*Chart House Enterprises, Inc. .......................... 51,800 401,450
Chart Industries, Inc. ................................. 10,000 53,750
Charter Federal Savings Bank ........................... 43,340 525,498
Charter Power Systems, Inc. ............................ 35,800 809,975
*Chattem, Inc. .......................................... 4,400 23,375
*Chaus (Bernard), Inc. .................................. 53,600 180,900
*Check Technology Corp. ................................. 19,200 117,600
*Checkers Drive-In Restaurant, Inc. ..................... 55,100 123,114
*Checkmate Electronics, Inc. ............................ 200 2,000
*Checkpoint System, Inc. ................................ 21,600 472,500
*Chemex Pharmaceuticals, Inc. ........................... 74,500 16,018
*Chemfab Corp. .......................................... 81,800 1,349,700
*Chempower, Inc. ........................................ 8,600 30,100
*Chemtrak, Inc. ......................................... 5,800 16,313
*Cherry Corp. Class A ................................... 3,600 54,900
Cherry Corp. Class B ................................... 9,900 139,838
Chesapeake Utilities Corp. ............................. 16,975 214,309
Chester Valley Bancorp ................................. 663 13,343
*Chic by His, Inc. ...................................... 5,000 53,750
Chicago Rivet & Machine Co. ............................ 14,200 406,475
*Chicos Fas, Inc. ....................................... 49,600 272,800
*Children's Comprehensive Services, Inc. ................ 24,000 60,000
*Children's Discovery Centers of America, Inc. Class A .. 3,600 60,975
*Chips & Technologies, Inc. ............................. 19,000 181,688
Chittenden Corp. ....................................... 12,344 266,934
Chock Full O' Nuts Corp. ............................... 181,694 1,181,011
*Choice Drug System, Inc. ............................... 6,400 29,600
*Cholestech Corp. ....................................... 71,000 128,688
*Christiana Companies, Inc. ............................. 16,600 448,200
*Chromcraft Revington, Inc. ............................. 56,000 1,330,000
Chronimed, Inc. ........................................ 14,800 197,950
*Chyron Corp. ........................................... 75,061 65,678
*Ciber, Inc. ............................................ 30,000 412,500
*Cimco, Inc. ............................................ 12,225 58,069
*Cincinnati Microwave, Inc. ............................. 103,700 1,315,694
*Ciprico, Inc. .......................................... 28,850 207,359
*Circon Corp. ........................................... 8,600 162,863
*Circuit Systems, Inc. .................................. 3,200 11,800
*Citation Computer System, Inc. ......................... 30,000 138,750
*Citation Insurance Group ............................... 1,300 3,900
Citfed Bancorp, Inc. ................................... 21,000 564,375
*Citizens, Inc. Class A ................................. 3,000 26,625
City Holding Co. ....................................... 200 5,450
9
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*Civic Bancorp .......................................... 2,800 $ 20,300
*Clark (Dick) Productions, Inc. ......................... 1,800 15,975
*Clean Harbors, Inc. .................................... 90,500 475,125
*Cliffs Drilling Co. .................................... 39,300 537,919
*Clinicom, Inc. ......................................... 5,300 89,769
Clinicorp, Inc. ........................................ 200 550
*Clothestime, Inc. ...................................... 116,300 347,083
Co-Operative Bank of Concord, MA ....................... 30,300 458,288
Coachmen Industries, Inc. .............................. 120,200 1,652,750
*Coast Distribution System .............................. 43,600 283,400
Coastal Bancorp, Inc. .................................. 29,400 455,700
*Cobra Electronic Corp. ................................. 135,100 240,647
*Cobra Industries ,Inc. ................................. 3,300 9,694
*Cocensys, Inc. ......................................... 14,000 59,500
*Coda Energy, Inc. ...................................... 180,000 1,215,000
*Code Alarm, Inc. ....................................... 42,900 289,575
*Cognitronics Corp. ..................................... 57,450 222,619
*Coherent Communications Systems Corp. .................. 63,400 1,862,375
*Coho Energy, Inc. ...................................... 99,000 538,313
Cohu, Inc. ............................................. 65,500 2,980,250
*Cold Metal Products, Inc. .............................. 5,400 39,150
*Cole National Corp. Class A ............................ 2,000 19,500
*Collins Industries, Inc. ............................... 86,325 210,417
Colonial Gas Co. ....................................... 5,150 101,713
*Columbia First Bank, A Federal Savings Bank ............ 26,200 1,504,863
*Columbia Laboratories, Inc. ............................ 155,700 1,070,438
Columbus Energy Corp. .................................. 1,420 11,005
*Comarco, Inc. .......................................... 47,200 460,200
*Comdata Holding Corp. .................................. 93,800 1,166,638
*Comdial Corp. .......................................... 454,300 1,362,900
Commerce Bancorp, Inc. ................................. 9,318 167,142
Commercial Bancshares, Inc. ............................ 17,200 249,400
Communication Cable, Inc. .............................. 24,975 198,239
Communications Systems, Inc. ........................... 118,500 1,896,000
Community Bank System, Inc. ............................ 26,800 683,400
Community Banks, Inc. .................................. 200 5,225
Community Bankshares, Inc. NH .......................... 1,700 27,838
Community First Bankshares, Inc. ....................... 15,400 239,663
*Community Health Computing Corp. ....................... 57,600 5,760
*Comnet Corp. ........................................... 30,300 291,638
*Competitive Technologies, Inc. ......................... 109,100 695,513
Comprehensive Care Corp. ............................... 420 2,993
*Compression Laboratories, Inc. ......................... 16,100 150,938
*Comptek Research, Inc. ................................. 95,100 1,557,263
*Compucom Systems, Inc. ................................. 25,200 111,825
Computer Data Systems, Inc. ............................ 104,700 1,060,088
Computer Horizons Corp. ................................ 89,138 1,125,361
*Computer Identics Corp. ................................ 23,800 70,656
Computer Language Research, Inc. ....................... 83,800 759,438
*Computer Network Technology Corp. ...................... 4,200 43,050
*Computer Outsourcing Services, Inc. .................... 200 675
*Computer Products, Inc. ................................ 237,600 1,321,650
Computer Task Group, Inc. .............................. 53,300 606,288
Computer Telephone Corp. Class 1 ....................... 1,200 16,200
*Computrac, Inc. ........................................ 73,400 82,575
*Comshare, Inc. ......................................... 42,100 736,750
*Comstock Resources, Inc. ............................... 12,200 57,569
10
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------------------ ------------------
*Comtech Telecommunications Corp. ....................... 1,000 $ 2,625
*Concord Camera Corp. ................................... 5,800 15,859
*Concord Fabrics, Inc. Class A .......................... 45,500 290,063
*Concord Fabrics, Inc. Class B .......................... 45,700 285,625
*Concurrent Computer Corp. .............................. 7,780 6,808
*Condor Services, Inc. .................................. 7,900 39,006
Conmed Corp. ........................................... 25,133 490,094
Connecticut Water Services, Inc. ....................... 42,350 1,021,694
*Consep, Inc. ........................................... 200 550
Conservative Savings Corp. ............................. 200 1,975
*Consilium, Inc. ........................................ 50,700 411,938
*Conso Products Co. ..................................... 10,000 136,250
Consolidated Products, Inc. ............................ 48,290 700,205
Consolidated Tokoma Land Co. ........................... 2,800 39,200
*Consumer Portfolio Services, Inc. ...................... 1,100 18,288
*Consumers Financial Corp. .............................. 26,000 87,750
Consumers Water Co. .................................... 4,900 73,500
*Continental Can, Inc. DE ............................... 4,100 100,450
Continental Homes Holding Corp. ........................ 70,100 1,069,025
*Continental Materials Corp. ............................ 7,900 96,281
*Control Data Systems, Inc. ............................. 48,000 498,000
*Convest Energy Corp. ................................... 10,000 38,438
*Convex Computer Corp. .................................. 12,000 46,500
Cooker Restaurant Corp. ................................ 25,300 218,213
*Cooper Companies, Inc. ................................. 52,000 110,500
*Cooper Development Co. ................................. 6,800 20,400
*Copytele, Inc. ......................................... 14,900 98,247
*Corcom, Inc. ........................................... 63,400 233,788
Core Industries, Inc. .................................. 56,800 589,300
*Cornerstone Financial Corp. ............................ 19,500 165,750
*Cornerstone Imaging, Inc. .............................. 22,200 291,375
*Cornerstone Natural Gas, Inc. .......................... 165,500 413,750
*Cortech, Inc. .......................................... 30,000 70,781
*Corvel Corp. ........................................... 1,000 22,250
*Cosmetic Centers, Inc. Class A ......................... 19,650 153,516
*Cosmetic Centers, Inc. Class B ......................... 20,050 164,159
Cosmo Communications Corp. ............................. 17,600 19,800
Cotton States Life Insurance Co. ....................... 200 1,813
Country Wide Transport Services, Inc. .................. 26,000 46,313
Courier Corp. .......................................... 31,700 614,188
Craftmade International, Inc. .......................... 30,000 238,125
*Craig Corp. ............................................ 43,900 430,769
*Creative Biomolecules, Inc. ............................ 139,800 297,075
*Cree Research, Inc. .................................... 45,300 993,769
*Criticare Systems, Inc. ................................ 29,500 63,609
*Crosscomm Corp. ........................................ 10,000 118,125
*Crossman Communities, Inc. ............................. 60,000 592,500
*Crowley, Milner & Co. .................................. 12,200 53,375
*Crown Books Corp. ...................................... 11,900 178,500
Crown Crafts, Inc. ..................................... 25,500 446,250
*Crown Resources Corp. .................................. 87,700 416,575
*Crown-Andersen, Inc. ................................... 10,500 68,250
*Cruise America, Inc. ................................... 37,100 180,863
*Cryenco Sciences, Inc. Class A ......................... 30,900 123,600
*Cryolife, Inc. ......................................... 200 2,075
*Cryomedical Sciences, Inc. ............................. 26,800 65,325
*Crystal Oil Co. ........................................ 5,000 152,500
Cubic Corp. ............................................ 3,600 83,700
*Culbro Corp. ........................................... 62,600 1,658,900
Culp, Inc. ............................................. 178,580 1,696,510
Cupertino National Bancorp ............................. 200 1,825
*Curative Technologies, Inc. ............................ 79,600 527,350
*Custom Chrome, Inc. .................................... 1,000 20,000
11
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CONTINUED
Shares Value+
------------------ ------------------
*Customedix Corp. ....................................... 3,350 $ 8,166
*Cyberonics, Inc. ....................................... 6,000 27,000
*Cyberoptics Corp. ...................................... 16,000 287,000
*Cycare Systems, Inc. ................................... 54,400 1,346,400
*Cygne Designs, Inc. .................................... 10,000 55,000
*Cygnus Therapeutic System .............................. 1,500 12,469
*Cytel Corp. ............................................ 44,500 212,070
*Cytocare, Inc. ......................................... 28,200 200,925
*Cytogen Corp. .......................................... 54,200 199,863
*Cytotherapeutics, Inc. ................................. 97,700 592,306
*Cytrx Corp. ............................................ 90,000 157,500
*D F & R Restaurants, Inc. .............................. 200 3,750
*D&N Financial Corp. .................................... 27,800 265,838
*DBA Systems, Inc. ...................................... 20,800 152,100
*DDL Electronics, Inc. .................................. 171,500 321,563
*DEP Corp. Class A ...................................... 66,025 82,531
*DEP Corp. Class B ...................................... 66,025 94,911
*DH Technology, Inc. .................................... 31,900 769,588
*DI Industries, Inc. .................................... 157,700 128,131
*DIY Home Warehouse, Inc. ............................... 70,000 494,375
*DM Management Co. ...................................... 15,000 44,063
*DMX, Inc. .............................................. 205,800 450,188
*DNA Plant Technology Corp. ............................. 54,000 109,688
*DNX Corp. .............................................. 70,000 253,750
DR Horten, Inc. ........................................ 127,530 1,466,595
*DRCA Medical Corp. ..................................... 45,000 151,875
DS Bancor, Inc. ........................................ 46,565 1,216,511
*DSP Technology, Inc. ................................... 1,000 7,250
DT Industries, Inc. .................................... 50,000 593,750
*DVI, Inc. .............................................. 68,100 817,200
*Daily Journal Corp. .................................... 200 4,150
*Daisy Systems, Inc. .................................... 317,500 0
*Daka International, Inc. ............................... 1,300 23,075
*Damark International, Inc. Class A ..................... 10,100 65,650
Daniel Industries, Inc. ................................ 40,000 615,000
*Danielson Holding Corp. ................................ 153 1,128
*Danskin, Inc. .......................................... 11,800 25,075
Dart Group Corp. Class A ............................... 200 17,600
*Data I/O Corp. ......................................... 42,900 343,200
*Data Measurement Corp. ................................. 500 5,344
*Data Race, Inc. ........................................ 3,600 39,600
*Data Research Association, Inc. ........................ 1,000 11,688
*Data Switch Corp. ...................................... 106,800 440,550
*Data Systems & Software, Inc. .......................... 4,300 33,325
*Data Translation, Inc. ................................. 41,300 1,109,938
*Data Transmission Network Corp. ........................ 200 5,100
*Dataflex Corp. ......................................... 38,325 287,438
*Datakey, Inc. .......................................... 11,100 40,238
*Datamarine International, Inc. ......................... 200 1,800
*Datametrics Corp. ...................................... 31,000 273,188
*Datapoint Corp. ........................................ 129,100 209,788
*Dataram Corp. .......................................... 3,300 18,356
*Dataware Technologies, Inc. ............................ 46,000 598,000
*Datawatch Corp. ........................................ 3,600 13,500
*Datron Systems, Inc. ................................... 23,200 256,650
*Datum, Inc. ............................................ 72,600 948,338
*Davel Communications Group, Inc. ....................... 200 2,275
Davis Water & Waste Industries, Inc. ................... 48,900 476,775
*Davox Corp. ............................................ 53,900 427,831
*Dawson Geophysical Co. ................................. 44,700 558,750
*Daxor Corp. ............................................ 47,700 327,938
*Day Runner, Inc. ....................................... 2,000 34,500
*De Soto, Inc. .......................................... 42,800 214,000
12
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CONTINUED
Shares Value+
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*De Tomaso Industries, Inc. ............................. 7,000 $ 68,250
DeKalb Genetics Corp. Class B .......................... 1,300 48,669
Deb Shops, Inc. ........................................ 39,600 158,400
*Deckers Outdoor Corp. .................................. 200 2,200
Decorator Industries, Inc. ............................. 1,000 8,875
Defiance, Inc. ......................................... 65,200 411,575
*Deflecta-Shield Corp. .................................. 200 1,950
Del Electronics Corp. .................................. 7,396 45,301
Del Laboratories, Inc. ................................. 46,384 2,261,220
*Delaware Ostego Corp. .................................. 963 9,510
Delchamps, Inc. ........................................ 2,800 52,325
*Delphi Information Systems, Inc. ....................... 7,000 9,188
Delta Natural Gas Co., Inc. ............................ 18,800 326,650
*Designatronics, Inc. ................................... 57,175 268,008
*Designs, Inc. .......................................... 16,500 143,344
*Detection Systems, Inc. ................................ 44,124 306,110
*Detrex Corp. ........................................... 9,500 74,813
*Devcon International Corp. ............................. 18,900 144,113
*Devlieg-Bullard, Inc. .................................. 30,000 57,188
*Devon Group, Inc. ...................................... 1,000 26,625
*Dewolfe Companies, Inc. ................................ 700 3,238
*Diagnostic Retrieval Systems, Inc. Class A ............. 1,100 6,463
*Diana Corp. ............................................ 65,632 303,548
*Dianon Systems, Inc. ................................... 16,700 79,325
Digicon, Inc. .......................................... 15,166 75,830
*Digital Biometrics, Inc. ............................... 32,000 322,000
*Digital Communications Technology Corp. ................ 3,500 4,375
*Digital Sound Corp. .................................... 17,900 43,631
*Digital Systems International, Inc. .................... 96,900 744,919
*Dimark, Inc. ........................................... 42,325 560,806
*Dime Financial Corp. ................................... 20,100 198,488
*Diodes, Inc. ........................................... 31,400 314,000
*Diversified Communications Industries, Ltd. ............ 1,000 370
Dixie Yarns, Inc. ...................................... 42,319 301,523
*Dixon Ticonderoga Co. .................................. 26,550 207,422
Dolco Packaging Corp. .................................. 200 3,300
Donegal Group, Inc. .................................... 12,500 212,500
Donnelly Corp. Class A ................................. 8,500 129,625
*Dorsey Trailers, Inc. .................................. 39,000 394,875
*Dotronix, Inc. ......................................... 97,000 209,156
Douglas & Lomason Co. .................................. 37,550 591,413
*Dravo Corp. ............................................ 14,300 189,475
Drew Industries, Inc. .................................. 42,100 452,575
*Drexler Technology Corp. ............................... 112,550 745,644
*Driver-Harris Co. ...................................... 27,000 145,125
*Drug Emporium, Inc. .................................... 12,200 50,325
*Drypers Corp. .......................................... 5,000 30,625
*Dual Drilling Co. ...................................... 200 2,000
*Ducommun, Inc. ......................................... 52,100 348,419
*Duplex Products, Inc. .................................. 68,500 573,688
*Dura Pharmaceuticals, Inc. ............................. 4,000 58,500
*Durakon Industries, Inc. ............................... 54,500 892,438
*Duramed Pharmaceuticals, Inc. .......................... 53,000 867,875
*Dycom Industries, Inc. ................................. 100,700 541,263
Dyersburg Corp. ........................................ 12,200 64,050
Dynamics Corp. of America .............................. 86,300 1,984,900
*Dynamics Research Corp. ................................ 53,984 246,302
*E & B Marine, Inc. ..................................... 200 1,325
E-Z-Em, Inc. Class A ................................... 37,000 189,625
E-Z-Em, Inc. Class B ................................... 47,583 217,097
EA Engineering Science & Technology, Inc. .............. 78,975 454,106
13
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CONTINUED
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*ECC International Corp. ................................ 139,750 $1,519,781
*ECI International, Inc. ................................ 20,000 21,250
*EFI Electronics Corp. .................................. 91,400 139,956
*EIP Microwave, Inc. .................................... 3,140 19,036
*EIS International, Inc. ................................ 43,300 646,794
*ELXSI Corp. ............................................ 3,200 18,800
EMC Insurance Group, Inc. .............................. 20,300 230,913
*EP Technologies, Inc. .................................. 56,000 570,500
*ERO, Inc. .............................................. 20,000 162,500
*ESCO Electronics Corp. Trust Receipts .................. 100,000 837,500
*ESSEF Corp. ............................................ 48,700 779,200
EXX, Inc. Class A ...................................... 300 4,425
EXX, Inc. Class B ...................................... 100 1,450
Eagle Financial Corp. .................................. 605 11,949
*Eagle Food Centers, Inc. ............................... 82,600 185,850
*Earth Technology Corp. ................................. 45,400 215,650
*Easel Corp. ............................................ 60,000 187,500
*Eastco Industrial Safety Corp. ......................... 83 106
Eastern Bancorp, Inc. .................................. 6,800 130,900
Eastern Co. ............................................ 56,500 833,375
*Eastern Environment Services, Inc. ..................... 1,000 1,500
*Eastex Energy, Inc. .................................... 6,200 25,963
*Eateries, Inc. ......................................... 1,100 3,850
*Ecogen, Inc. ........................................... 36,000 76,500
*Ecogen, Inc. (Private Placement) ....................... 140,000 267,750
Ecology & Environment, Inc. Class A .................... 600 4,725
*Ecoscience Corp. ....................................... 83,200 130,000
*Edison Control Corp. ................................... 7,000 37,625
*Edisto Resources Corp. ................................. 110,900 859,475
*Editek, Inc. ........................................... 4,436 12,199
Edo Corp. .............................................. 56,500 183,625
*Education Alternatives, Inc. ........................... 25,800 290,250
*Educational Development Corp. .......................... 200 2,450
*Egghead, Inc. .......................................... 15,000 153,750
Ekco Group, Inc. ....................................... 19,800 118,800
*El Chico Restaurants, Inc. ............................. 84,400 685,750
Elco Industries, Inc. .................................. 49,900 948,100
*Elcor Corp. ............................................ 9,600 186,000
Eldorado Bancorp CA .................................... 12,434 152,317
*Electric & Gas Technology, Inc. ........................ 48,500 125,797
*Electro Rent Corp. ..................................... 137,750 3,013,281
*Electro Scientific Industries, Inc. .................... 77,000 1,891,313
Electro Sensors, Inc. .................................. 2,300 7,044
*Electro-Catheter Corp. ................................. 30,300 24,619
*Electromagnetic Sciences, Inc. ......................... 163,699 2,230,399
*Electronic Associates, Inc. ............................ 63,600 437,250
*Electronic Retailing System International, Inc. ........ 200 825
Electronic Tele Communications, Inc. Class A ........... 15,500 50,375
*Elek-Tek, Inc. ......................................... 40,000 252,500
*Eljer Industries, Inc. ................................. 8,500 45,688
Ellett Brothers, Inc. .................................. 24,000 213,000
*Elsinore Corp. ......................................... 51,720 58,185
*Embrex, Inc. ........................................... 123,200 912,450
*Emcon .................................................. 66,450 315,638
*Emisphere Technologies, Inc. ........................... 4,500 10,969
*Emmis Broadcasting Corp. Class A ....................... 200 4,200
*Empi, Inc. ............................................. 7,700 111,169
*Employee Benefit Plans, Inc. ........................... 53,500 715,563
*Emulex Corp. ........................................... 53,800 1,163,425
14
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Encad, Inc. ............................................ 200 $ 5,113
*Encore Computer Corp. .................................. 363,100 726,200
*Encore Wire Corp. ...................................... 6,300 89,775
*Energy Biosystems Corp. ................................ 74,000 379,250
*Energy Conversion Devices, Inc. ........................ 61,400 1,066,825
*Energy Research Corp. .................................. 18,000 162,000
Energynorth, Inc. ...................................... 32,526 516,350
Engineered Support Systems, Inc. ....................... 22,000 140,250
*Engineering Measurements Co. ........................... 28,400 71,888
Engle Homes, Inc. ...................................... 9,000 82,125
*Ensys Environmental Products, Inc. ..................... 48,000 132,000
*Envirogen, Inc. ........................................ 5,300 11,263
*Environmental Elements Corp. ........................... 47,800 143,400
*Environmental Power Corp. .............................. 221,100 82,913
*Environmental Technologies Corp. ....................... 1,700 21,144
*Environmental Tectonics Corp. .......................... 3,300 9,694
*Enviroq Corp. .......................................... 1,008 0
*Envirosource, Inc. ..................................... 370,700 1,529,138
*Envirotest Systems Corp. Class A ....................... 60,000 363,750
*Enzon, Inc. ............................................ 95,100 231,806
*Equinox Systems, Inc. .................................. 10,000 81,250
*Equitex, Inc. .......................................... 2,600 3,656
*Equitrac Corp. ......................................... 200 938
*Equity Oil Co. ......................................... 134,100 603,450
*Escagenetics Corp. ..................................... 45,800 7,786
*Escalade, Inc. ......................................... 108,398 447,142
Eskimo Pie Corp. ....................................... 27,000 413,438
Espey Manufacturing & Electronics Corp. ................ 21,000 270,375
*Essex Corp. ............................................ 1,000 1,406
Essex County Gas Co. ................................... 200 4,525
*Esterline Technologies Corp. ........................... 32,400 571,050
*Evans & Sutherland Computer Corp. ...................... 12,000 166,500
*Evans, Inc. ............................................ 107,900 168,594
*Everest & Jennings International, Ltd. ................. 4,700 3,231
Evergreen Bancorp, Inc. DE ............................. 2,000 34,500
*Evergreen Healthcare, Inc. ............................. 5,080 61,595
*Evergreen Media Corp. Class A .......................... 55,000 1,175,625
*Evergreen Resources, Inc. .............................. 2,700 14,850
*Excalibur Technologies Corp. ........................... 8,900 110,138
Excel Industries, Inc. ................................. 89,300 1,227,875
*Excel Technology, Inc. ................................. 26,222 103,249
*Executive Telecard, Ltd. ............................... 16,724 63,760
*Executone Information Systems, Inc. .................... 46,900 102,594
*Exide Electronics Group, Inc. .......................... 48,709 852,408
*Express America Holdings Corp. ......................... 34,500 148,781
*Ezcorp, Inc. Class A Non-Voting ........................ 59,800 388,700
*F & M Distributors, Inc. ............................... 5,000 8,750
FCB Financial Corp. .................................... 200 3,100
*FDP Corp. .............................................. 56,200 337,200
*FFO Financial Group, Inc. .............................. 6,000 15,375
*FLIR Systems, Inc. ..................................... 200 2,500
*FPA Corp. .............................................. 101,400 126,750
*FRP Properties, Inc. ................................... 31,700 681,550
FSI International, Inc. ................................ 12,500 596,875
*Fabri-Centers of America, Inc. ......................... 200 4,050
Facelifters Home Systems, Inc. ......................... 200 1,394
*Failure Group, Inc. .................................... 73,000 383,250
*Fairchild Corp. Class A ................................ 125,800 345,950
*Falcon Oil & Gas Co., Inc. ............................. 500 93
Falcon Products, Inc. .................................. 23,900 304,725
15
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Family Bancorp ......................................... 1,400 $ 30,450
*Family Steak Houses of Florida, Inc. ................... 6,900 6,253
Fansteel, Inc. ......................................... 97,500 658,125
*Farah, Inc. ............................................ 75,800 530,600
*Farr Co. ............................................... 25,450 179,741
*Farragut Mortgage, Inc. ................................ 39 0
Farrel Corp. ........................................... 200 1,200
*Fastcomm Communications Corp. .......................... 1,000 5,063
Fay's, Inc. ............................................ 57,100 413,975
*Fedders Corp. .......................................... 21,600 145,800
*Fedders Corp. Class A .................................. 56,650 325,738
Federal Screw Works .................................... 21,600 450,900
*Ferrofluidics Corp. .................................... 36,700 286,719
Fibreboard Corp. ....................................... 2,000 37,750
Fidelity Bancorp, Inc. ................................. 200 3,100
Fidelity Financial Bankshares Corp. .................... 200 2,275
Fidelity National Financial, Inc. ...................... 14,600 189,800
*Fifty-Off Stores, Inc. ................................. 11,400 24,225
*Figgie International, Inc. Class A ..................... 700 5,644
*Figgie International, Inc. Class B ..................... 2,000 14,875
*Filenes Basement Corp. ................................. 52,100 208,400
Financial Benefit Group, Inc. Class A .................. 59,960 187,375
*Financial Federal Corp. ................................ 49,000 857,500
*Finish Line, Inc. Class A .............................. 2,200 19,388
First Bancorp .......................................... 200 4,350
*First Cash, Inc. ....................................... 2,300 7,331
First Central Financial Corp. .......................... 100,400 753,000
*First Citizens Financial Corp. ......................... 2,455 42,045
First City Bancorp, Inc. ............................... 200 2,425
*First Commercial Bancorp, Inc. ......................... 17,700 18,530
First Essex Bancorp .................................... 31,700 255,581
First Federal Alabama FSB Jasper ....................... 200 2,925
First Federal Capital Corp. ............................ 22,000 346,500
First Federal Savings & Loan Association of East
Hartford, CT ......................................... 24,100 436,813
First Federal Savings Bank of Colorado (Lakewood) ...... 200 4,550
First Financial Corp. of Western Maryland .............. 200 3,950
First Financial Holdings, Inc. ......................... 39,700 744,375
First Harrisburg Bancor, Inc. .......................... 200 2,500
First Home Savings Bank FSB Pennsville, NJ ............. 200 2,875
First Indiana Corp. .................................... 61,634 1,163,342
First Liberty Financial Corp. .......................... 6,500 103,188
First Merchants Corp. .................................. 1,300 44,688
First Mutual Savings Bank .............................. 200 2,200
First Northern Savings Bank S.A. Green Bay, WI ......... 16,050 220,688
*First Pacific Networks, Inc. ........................... 26,000 55,250
*First Republic Bancorp, Inc. ........................... 157,149 2,062,581
First State Financial Services, Inc. ................... 300 3,244
First Team Sports, Inc. ................................ 4,950 102,094
First Western Bancorp, Inc. ............................ 200 5,600
*FirstFed Financial Corp. DE ............................ 11,700 195,975
FirstFederal Financial Services Corp. .................. 11,660 237,573
Firstfed Bancshares, Inc. .............................. 19,100 346,188
*Fischer Imaging Corp. .................................. 3,300 17,531
Flag Financial Corp. ................................... 200 2,175
Flair Corp. ............................................ 45,800 958,938
Flamemaster Corp. ...................................... 200 775
16
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Flanigan's Enterprises, Inc. ........................... 10,300 $ 28,325
Flexsteel Industries, Inc. ............................. 52,550 551,775
*Florida First Bancorp, Inc. ............................ 200 1,125
*Florida Gaming Corp. ................................... 15,550 93,300
Florida Public Utilities Co. ........................... 4,500 79,313
*Flow International Corp. ............................... 158,200 1,423,800
*Fonar Corp. ............................................ 171,950 505,103
*Foodarama Supermarkets, Inc. ........................... 22,000 226,875
*Foodbrands America, Inc. ............................... 80,551 886,061
*Foodmaker, Inc. ........................................ 38,200 195,775
Foothill Independent Bancorp ........................... 1,155 9,023
*Forest Oil Corp. ....................................... 224,968 449,936
*Forschner Group, Inc. .................................. 57,300 580,163
*Forstmann & Co., Inc. .................................. 24,200 93,775
*Fortune Petroleum Corp. ................................ 4,707 15,592
Foster (L.B.) Co. Class A .............................. 156,600 616,613
*Fountain Powerboat Industries, Inc. .................... 5,600 27,300
*Fourth Shift Corp. ..................................... 20,000 70,000
*Framingham Savings Bank MA ............................. 52,100 175,838
Franklin Bank National Associaton Southfield, MI ....... 1,200 10,650
Frederick's of Hollywood, Inc. Class A ................. 31,639 168,082
Frederick's of Hollywood, Inc. Class B ................. 84,878 424,390
Freds, Inc. Class A .................................... 20,000 205,000
*Frequency Electronics, Inc. ............................ 57,600 201,600
*Fresh Choice, Inc. ..................................... 50,000 531,250
*Fretter, Inc. .......................................... 38,148 102,523
*Freymiller Trucking, Inc. .............................. 44,100 55,125
Friedman Industries, Inc. .............................. 122,861 499,123
Frisch's Restaurants, Inc. ............................. 59,698 559,669
Frontier Adjusters of America, Inc. .................... 1,000 2,625
*Fruehauf Trailer Corp. ................................. 85,200 362,100
*Funco, Inc. ............................................ 48,200 216,900
Furon Co. .............................................. 4,600 101,200
*Future Healthcare, Inc. ................................ 7,000 25,375
*Future Now, Inc. ....................................... 46,600 343,675
*G-III Apparel Group, Ltd. .............................. 28,560 44,625
GBC Bancorp ............................................ 56,700 701,663
*GBC Technologies, Inc. ................................. 50,000 356,250
*GMIS, Inc. ............................................. 47,500 926,250
*GNI Group, Inc. ........................................ 76,800 484,800
*GRC International, Inc. ................................ 131,600 1,957,550
*GTI Corp. .............................................. 200 3,275
*GTS Duratek, Inc. ...................................... 500 2,438
*GZA Geoenvironmental Technologies, Inc. ................ 15,800 59,250
*Galey & Lord, Inc. ..................................... 80,000 970,000
*Galileo Electro-Optics Corp. ........................... 69,300 467,775
*Galoob (Lewis) Toys, Inc. DE ........................... 166,000 1,307,250
Gamma Biologicals, Inc. ................................ 46,000 207,000
*Gander Mountain, Inc. .................................. 42,290 417,614
Gantos, Inc. ........................................... 12,600 43,313
Garan, Inc. ............................................ 5,200 89,700
*Garnet Resources Corp. ................................. 73,900 217,081
Gateway Bancorp, Inc. .................................. 139 1,616
Gateway Industries, Inc. ............................... 11,120 40,588
*Gehl Co. ............................................... 3,700 31,450
*Gelman Sciences, Inc. .................................. 42,175 785,509
*Gencor Industries, Inc. ................................ 5,500 53,625
*Genelabs Technologies, Inc. ............................ 26,000 37,375
*General Automation, Inc. CA ............................ 4,500 2,250
17
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
General Employment Enterprises, Inc. ................... 200 $ 1,075
General Host Corp. ..................................... 23,200 159,500
General Housewares Corp. ............................... 40,700 488,400
*General Kinetics, Inc. ................................. 61,000 26,688
General Magnaplate Corp. ............................... 4,200 22,575
*General Microwave Corp. ................................ 8,600 73,100
General Parametrics Corp. .............................. 106,906 173,722
General Physics Corp. .................................. 63,700 175,175
*Genesco, Inc. .......................................... 42,000 136,500
Genesee Corp. Class B .................................. 200 7,575
*Genetic Therapy, Inc. .................................. 129,200 1,501,950
*Genicom Corp. .......................................... 109,900 467,075
Genisco Technology Corp. ............................... 7,060 1,103
*Genlyte Group, Inc. .................................... 60,700 349,025
*Genome Therapeutics Corp. .............................. 121,600 710,600
Genovese Drug Stores, Inc. Class A ..................... 96,609 1,026,471
Genrad, Inc. ........................................... 79,600 606,950
*Gensia, Inc. ........................................... 200,000 606,250
Genta, Inc. ............................................ 15,000 35,625
*Genus, Inc. ............................................ 69,100 833,519
*Genzyme Corp. Tissue Repair Division ................... 46,704 309,414
Geodynamics Corp. ...................................... 33,400 304,775
George Mason Bankshares, Inc. .......................... 200 3,975
*Georgia-Bonded Fibres, Inc. ............................ 2,200 7,975
*Geriatric & Medical Companies, Inc. .................... 214,513 455,840
*Gerrity Oil and Gas Corp. .............................. 117,100 483,038
*Getty Petroleum Corp. .................................. 13,900 159,850
*Giant Group, Ltd. ...................................... 92,500 670,625
Giant Industries, Inc. ................................. 37,500 318,750
*Gibraltar Packaging Group, Inc. ........................ 2,000 12,000
Gibson (C.R.) Co. ...................................... 84,260 642,483
Gibson Greetings, Inc. ................................. 16,200 172,125
*Giga-Tronics, Inc. ..................................... 35,000 242,813
Gilbert Associates, Inc. Class A ....................... 5,000 65,000
*Gish Biomedical, Inc. .................................. 74,750 504,563
Glacier Bancorp, Inc. .................................. 5,989 113,042
*Glacier Water Services, Inc. ........................... 2,000 38,750
Gleason Corp. .......................................... 116,700 2,538,225
*Go Video, Inc. ......................................... 86,400 135,000
Golden Enterprises, Inc. ............................... 4,200 29,400
*Golden Oil Co. DE ...................................... 1,369 1,754
Golden Poultry Co., Inc. ............................... 32,400 202,500
*Goldfield Corp. ........................................ 338,400 116,325
*Goldwyn (Samuel) Co. ................................... 41,855 355,768
GoodMark Foods, Inc. ................................... 90,400 1,412,500
Goodys Family Clothing, Inc. ........................... 134,500 1,311,375
Gorman-Rupp Co. ........................................ 200 3,075
*Gottschalks, Inc. ...................................... 43,800 301,125
*Government Technology Services, Inc. ................... 41,000 287,000
*Gradco Systems, Inc. ................................... 151,411 662,423
*Graham Corp. ........................................... 3,300 34,238
*Graham-Field Health Products, Inc. ..................... 42,000 141,750
Granite State Bankshares, Inc. ......................... 500 6,656
*Grant Geophysical, Inc. ................................ 26,500 62,109
Graphic Industries, Inc. ............................... 1,000 9,875
*Great American Recreation, Inc. ........................ 5,000 313
*Great Country Bank of Ansonia, CT ...................... 7,600 20,425
Great Southern Bancorp, Inc. ........................... 1,800 32,175
18
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Greater New York Savings Bank NY ....................... 124,200 $1,125,563
Green (A.P.) Industries, Inc. .......................... 61,550 1,238,694
Green Mountain Power Corp. ............................. 2,800 74,200
*Greenman Brothers, Inc. ................................ 115,400 786,163
*Greenwich Air Services, Inc. ........................... 200 1,775
Greiner Engineering, Inc. .............................. 105,141 1,182,836
Greyhound Lines, Inc. .................................. 20,000 67,500
*Griffin Technology, Inc. ............................... 5,500 42,625
*Grist Mill & Co. ....................................... 60,450 559,163
*Grossmans, Inc. ........................................ 221,500 436,078
*Ground Round Restaurants, Inc. ......................... 84,650 243,369
*Groundwater Technology, Inc. ........................... 4,200 49,875
*Group 1 Software, Inc. ................................. 31,400 317,925
*Group Technologies Corp. ............................... 30,000 150,000
Grovebank for Savings .................................. 3,500 81,375
*Grow Biz International, Inc. ........................... 200 2,375
Grubb & Ellis Co. ...................................... 39,552 93,936
*Gryphon Holdings, Inc. ................................. 200 2,825
Guardsman Products, Inc. ............................... 130,885 1,668,784
*Guest Supply, Inc. ..................................... 71,400 1,856,400
*Gulfmark International, Inc. ........................... 25,800 477,300
*Gull Laboratories, Inc. ................................ 3,900 20,963
*Gundle Environmental Systems, Inc. ..................... 104,600 588,375
*Gupta Corp. ............................................ 200 1,838
*HD Vest, Inc. .......................................... 2,700 8,100
*HEI, Inc. .............................................. 2,200 10,038
HF Financial Corp. ..................................... 200 5,250
*HMG Worldwide Corp. .................................... 62,500 105,469
HMI Industries, Inc. ................................... 84,200 1,399,825
*HPSC, Inc. ............................................. 106,000 490,250
*Ha-Lo Industries, Inc. ................................. 100 950
*Hadco Corp. ............................................ 126,700 2,724,050
Hahn Automotive Warehouse, Inc. ........................ 7,300 83,038
Halifax Corp. .......................................... 4,700 32,900
*Hallwood Energy Corp. .................................. 200 2,775
Hallwood Group, Inc. ................................... 41,550 124,650
*Halsey Drug Co., Inc. .................................. 41,000 79,438
*Hamburger Hamlet Restaurants, Inc. ..................... 30,700 157,338
*Hampshire Group, Ltd. .................................. 2,100 18,375
*Hampton Industries, Inc. ............................... 139,782 908,583
*Handex Environmental Recovery, Inc. .................... 54,000 317,250
*Hanger Orthopedic Group, Inc. .......................... 39,200 127,400
*Harcor Energy, Inc. .................................... 3,300 11,963
*Harding Associates, Inc. ............................... 72,800 414,050
Harleysville National Corp PA .......................... 200 5,300
*Harlyn Products, Inc. .................................. 42,581 149,034
Harmon Industries, Inc. ................................ 54,300 950,250
Harolds Stores, Inc. ................................... 34,464 344,640
*Harris & Harris Group, Inc. ............................ 31,600 152,075
*Harry's Farmers Market, Inc. Class A ................... 8,900 73,425
*Harvey Entertainment Co. ............................... 30,000 450,000
*Harvey Group, Inc. ..................................... 500 156
Hastings Manufacturing Co. ............................. 10,100 189,375
Hathaway Corp. ......................................... 34,580 92,934
*Hauser Chemical Research, Inc. ......................... 31,800 160,988
Haverfield Corp. ....................................... 200 2,750
Haverty Furniture Co., Inc. ............................ 64,000 660,000
Haverty Furniture Co., Inc. Class A .................... 13,550 143,969
Hawkins Chemical, Inc. ................................. 37,161 255,482
19
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Hawthorne Financial Corp. .............................. 12,800 $ 32,000
*He-Ro Group, Ltd. ...................................... 1,000 875
Health Images, Inc. .................................... 18,100 90,500
Health O Meter Products, Inc. .......................... 9,300 35,166
*Health Professionals, Inc. ............................. 49,229 24,615
*Health Risk Management, Inc. ........................... 22,200 212,288
*Health-Chem Corp. ...................................... 174,500 458,063
*Healthcare Services Group, Inc. ........................ 78,800 881,575
Healthdyne Technologies, Inc. .......................... 15,932 175,251
Healthdyne, Inc. ....................................... 16,800 79,800
*Healthwatch, Inc. ...................................... 6,750 2,320
*Hector Communications Corp. ............................ 21,300 149,100
Heico Corp. ............................................ 60,650 947,656
Hein-Werner Corp. ...................................... 35,288 200,701
*Heist (C.H.) Corp. ..................................... 10,600 86,125
*Helian Health Group, Inc. .............................. 9,700 32,131
*Helionetics, Inc. ...................................... 15,510 7,212
Helix Technology Corp. ................................. 80,350 3,043,256
Henry Jack & Associates, Inc. .......................... 29,166 326,295
Heritage Financial Services, Inc. ...................... 5,700 101,175
*Herley Industries, Inc. ................................ 11,500 42,766
*Hi-Lo Automotive, Inc. ................................. 104,800 930,100
*Hi-Shear Industries, Inc. .............................. 100,075 575,431
*Hi-Tech Pharmacal, Inc. ................................ 37,500 187,500
Hibernia Savings Bank .................................. 750 10,313
*High Plains Corp. ...................................... 124,476 731,297
Hingham Institution for Savings MA ..................... 1,900 20,663
*Hitox Corp. ............................................ 24,700 104,975
Hoenig Group, Inc. ..................................... 4,000 13,000
Hogan Systems, Inc. .................................... 143,700 1,221,450
*Holiday RV Superstores, Inc. ........................... 5,500 11,000
*Hollywood Casino Corp. Class A ......................... 75,000 721,875
*Hologic, Inc. .......................................... 50,300 543,869
*Holopak Technologies, Inc. ............................. 32,000 248,000
*Holophane Corp. ........................................ 200 4,100
*Holson Burnes Group, Inc. .............................. 50,000 218,750
Home Federal Bancorp ................................... 14,800 307,100
Home Federal Financial Corp. ........................... 6,891 95,613
Home Port Bancorp, Inc. ................................ 600 6,300
*Home State Holdings, Inc. .............................. 60,000 600,000
*Home Theater Products International, Inc. .............. 6,600 17,325
*Homecorp, Inc. ......................................... 200 2,950
*Homeowners Group, Inc. ................................. 115,600 135,469
*Hometown Bancorp., Inc. ................................ 200 2,250
*Hometown Buffet, Inc. .................................. 200 2,075
*Hondo Oil and Gas Co. .................................. 24,500 330,750
Hooper Holmes, Inc. .................................... 62,800 565,200
Horizon Bancorp, Inc. .................................. 200 5,900
Horizon Bank Bellingham, WA ............................ 23,573 271,090
*Hornbeck Offshore Services, Inc. ....................... 7,900 123,438
*Hospital Staffing Services, Inc. ....................... 34,200 59,850
*Hosposable Products, Inc. .............................. 500 3,563
*House of Fabrics, Inc. ................................. 116,000 130,500
*Hovnanian Enterprises, Inc. Class A .................... 28,100 166,844
Howell Corp. ........................................... 108,200 1,487,750
Howell Industries, Inc. ................................ 25,000 675,000
*Howtek, Inc. ........................................... 36,100 347,463
Hudson General Corp. ................................... 25,300 480,700
*Huffman Koos, Inc. ..................................... 28,600 196,625
Hughes Supply, Inc. .................................... 57,950 1,137,269
*Hurco Companies, Inc. .................................. 46,900 187,600
*Hutchinson Technology, Inc. ............................ 5,500 182,875
20
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
Shares Value+
------------------ ------------------
*Hycor Biomedical, Inc. ................................. 62,616 $ 313,080
*Hyde Athletic Industries, Inc. Class A ................. 70,700 326,988
*Hyde Athletic Industries, Inc. Class B ................. 65,500 298,844
Hydron Technologies, Inc. .............................. 82,500 404,766
*ICF Kaiser International, Inc. ......................... 19,000 80,750
*ICO, Inc. .............................................. 66,980 360,018
ICOS Corp. ............................................. 48,100 243,506
*ICU Medical, Inc. ...................................... 2,800 38,150
*IEC Electronics Corp. .................................. 200 1,400
*IFR Systems, Inc. ...................................... 62,935 708,019
*IG Laboratories, Inc. .................................. 89,700 566,231
*IGI, Inc. .............................................. 65,500 900,625
*II-VI, Inc. ............................................ 3,400 62,050
*ILC Technology, Inc. ................................... 54,600 573,300
*IMP, Inc. .............................................. 256,600 609,425
*IPL Systems, Inc. Class A .............................. 8,500 39,313
*IQ Software Corp. ...................................... 200 2,775
*IVI Publishing, Inc. ................................... 65,000 450,938
IWC Resources Corp. .................................... 7,100 136,675
*Ibah, Inc. ............................................. 15,200 34,200
*Icot Corp. ............................................. 267,700 468,475
*Identix, Inc. .......................................... 21,300 147,769
Ikos Systems, Inc. ..................................... 3,250 27,016
*Illinois Superconductor Corp. .......................... 5,000 38,125
*Image Entertainment, Inc. .............................. 107,600 783,463
Image Industries, Inc. ................................. 58,000 598,125
*Imatron, Inc. .......................................... 83,600 82,294
*Imclone Systems, Inc. .................................. 12,000 16,125
*Imclone Systems, Inc. (Private Placement) .............. 131,000 158,428
*Immucor, Inc. .......................................... 8,500 79,156
*Immulogic Pharmaceutical Corp. ......................... 16,400 123,256
*Immune Response Corp. DE ............................... 125,100 390,938
*Immunogen, Inc. ........................................ 43,800 104,025
*Immunomedics, Inc. ..................................... 55,200 138,000
*Imo Industries, Inc. ................................... 100,000 800,000
*Impact Systems, Inc. ................................... 232,600 465,200
*Imperial Credit Industries, Inc. ....................... 55,000 639,375
Imperial Holly Corp. ................................... 4,300 37,625
*In Home Health, Inc. ................................... 17,500 45,938
*Inacom Corp. ........................................... 10,800 112,050
*Inco Homes Corp. ....................................... 20,000 36,250
*Incstar Corp. .......................................... 14,200 40,825
*Incyte Pharmaceuticals, Inc. ........................... 19,000 289,750
Independence Holding Co. ............................... 6,739 21,902
Independent Bank Corp. MA .............................. 105,300 691,031
Independent Bank East .................................. 2,250 55,688
Independent Bankshares, Inc. ........................... 590 5,531
Indiana Federal Corp. .................................. 16,449 273,465
Industrial Acoustics Co., Inc. ......................... 900 13,500
*Industrial Funding Corp. Class A ....................... 1,000 1,813
*Industrial Training Corp. .............................. 2,000 19,250
*Infodata Systems, Inc. ................................. 1,833 7,103
*Information International, Inc. ........................ 27,500 220,000
*Infrasonics, Inc. ...................................... 108,000 280,125
*Inmac Corp. ............................................ 108,100 587,794
*Innerdyne, Inc. ........................................ 14,900 44,700
Innovex, Inc. .......................................... 68,000 1,534,250
Insituform East, Inc. .................................. 12,100 50,669
Insteel Industries, Inc. ............................... 42,962 322,215
Instituform Mid America, Inc. Class A .................. 20,000 285,000
Instron Corp. .......................................... 118,200 1,374,075
21
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Integrated Circuit Systems, Inc. ....................... 24,000 $ 300,000
*Integrated Systems, Inc. ............................... 85,600 1,786,900
*Integrated Waste Services, Inc. ........................ 12,500 21,094
*Intellicall, Inc. ...................................... 151,607 663,281
*Intellicorp, Inc. ...................................... 188,300 400,138
Intelogic Trace, Inc. .................................. 6,375 0
*Inter-Tel, Inc. ........................................ 56,200 765,725
*Interactive Network, Inc. .............................. 5,000 1,406
Intercargo Corp. ....................................... 10,600 106,000
Interchange Financial Services Corp. Saddle Brook ...... 1,100 19,938
Intercontinental Bank .................................. 2,700 64,125
Interface Systems, Inc. ................................ 29,800 184,388
*Interferon Sciences, Inc. .............................. 30,000 58,125
Interferon Sciences, Inc. (Private Placement) .......... 180,000 313,875
*Interfilm, Inc. ........................................ 35,000 70,000
*Intergrated Process Equipment Corp. .................... 60,000 1,620,000
*Interlake Corp. ........................................ 172,300 430,750
*Interleaf, Inc. ........................................ 5,500 33,688
*Interlinq Software Corp. ............................... 34,200 128,250
Intermagnetics General Corp. ........................... 155,826 2,356,862
*Intermedia Communications of Florida, Inc. ............. 80,700 791,869
Intermetrics, Inc. ..................................... 29,800 193,700
International Aluminum Corp. ........................... 200 6,800
*International Jensen, Inc. ............................. 3,400 30,175
*International Lottery & Totalizer Systems, Inc. ........ 68,500 134,859
International Recovery Co. ............................. 13,400 279,725
*International Remote Imaging Systems, Inc. ............. 3,000 21,000
International Research & Development Corp. ............. 48,000 49,500
International Shipholding Corp. ........................ 3,000 61,125
*International Technology Corp. ......................... 294,700 884,100
*International Thoroughbred Breeders, Inc. .............. 9,700 66,081
*Interneuron Pharmaceuticals, Inc. (Private Placement) .. 128,200 944,674
*Interphase Corp. ....................................... 30,600 330,863
*Interpoint Corp. WA .................................... 24,000 208,500
*Interpore International ................................ 50,000 287,500
Interstate Johnson Lane, Inc. .......................... 6,800 67,150
*Intersystems, Inc. ..................................... 52,700 54,347
*Intertan, Inc. ......................................... 46,900 340,025
Intertrans Corp. ....................................... 109,600 2,055,000
*Intervisual Books, Inc. Class A ........................ 1,000 2,094
*Investors Insurance Group, Inc. ........................ 42,700 82,731
Investors Title Co. .................................... 24,000 198,000
Iomega Corp. ........................................... 224,000 3,150,000
Iroquois Bancorp ....................................... 200 4,600
Isco, Inc. ............................................. 101,341 1,127,419
*Isis Pharmaceuticals, Inc. ............................. 180,100 2,048,638
*Isomedix, Inc. ......................................... 2,900 42,050
*Iwerks Entertainment, Inc. ............................. 424 1,537
*J & J Snack Foods Corp. ................................ 40,000 480,000
*JG Industries, Inc. .................................... 29,500 49,320
JLG Industries, Inc. ................................... 91,800 2,352,375
*Jabil Circuit, Inc. .................................... 60,000 382,500
Jackpot Enterprises, Inc. .............................. 5,500 47,438
Jaclyn, Inc. ........................................... 55,427 284,063
Jaco Electronics, Inc. ................................. 385 3,080
*Jacobs Jay, Inc. ....................................... 45,500 54,031
22
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CONTINUED
Shares Value+
------------------ ------------------
Jacobson Stores, Inc. .................................. 66,500 $ 665,000
*Jan Bell Marketing, Inc. ............................... 212,000 556,500
*Jean Philippe Fragrances, Inc. ......................... 6,200 62,000
*Jefferson Savings Bancorp, Inc. ........................ 40,000 735,000
*Jennifer Convertibles, Inc. ............................ 41,000 115,210
*Jetronic Industries, Inc. .............................. 57,569 35,981
Johnston Industries, Inc. .............................. 207,687 1,973,027
*Johnstown American Industries, Inc. .................... 24,200 275,275
Jones Medical Industries, Inc. ......................... 83,820 859,155
*Joule, Inc. ............................................ 42,100 99,988
*Just Toys, Inc. ........................................ 28,300 38,028
K Swiss, Inc. Class A .................................. 30,200 392,600
*K-Tel International, Inc. .............................. 200 700
*K-Tron International, Inc. ............................. 63,400 388,325
*K-V Pharmaceutical Co. Class A ......................... 22,250 127,938
*K-V Pharmaceutical Co. Class B ......................... 18,800 108,100
*KLLM Transport Services, Inc. .......................... 88,900 1,233,488
KTI, Inc. .............................................. 1,733 9,856
Kahler Realty Corp. .................................... 2,500 22,188
*Kaiser Resources, Inc. ................................. 78,900 552,300
*Kaneb Services, Inc. ................................... 1,000 2,000
*Kasler Holding Co. ..................................... 139,300 800,975
Katy Industries, Inc. .................................. 10,000 88,750
Kaufman (H.W.) Financial Group, Inc. ................... 26,730 207,158
Keithley Instruments, Inc. ............................. 200 3,625
*Kelley Oil & Gas Corp. ................................. 67,000 364,313
Kenan Transport Co. .................................... 200 4,050
Kent Financial Services, Inc. .......................... 14,278 73,175
*Kentucky Electric Steel, Inc. .......................... 5,000 46,250
*Kentucky Medical Insurance Co. Class A ................. 200 1,275
*Kenwin Shops, Inc. ..................................... 500 1,688
*Kerr Group, Inc. ....................................... 83,300 655,988
*Kevlin Corp. ........................................... 500 1,281
*Kewaunee Scientific Corp. .............................. 44,800 120,400
*Key Energy Group, Inc. ................................. 36,614 185,358
*Key Production Co., Inc. ............................... 9,500 53,438
*Key Technology, Inc. ................................... 27,000 280,125
*Key Tronic Corp. ....................................... 129,100 1,758,988
*Keystone Consolidated Industries, Inc. ................. 56,650 768,316
Keystone Heritage Group, Inc. .......................... 22,200 579,975
*Killearn Properties, Inc. .............................. 17,000 83,406
*Kimmins Environmental Service Corp. .................... 1,000 2,375
*Kinark Corp. ........................................... 70,800 230,100
*Kings Road Entertainments, Inc. ........................ 53,000 31,469
Kinnard Investment, Inc. ............................... 200 506
*Kit Manufacturing Co. .................................. 12,000 127,500
*Kleer-Vu Industries, Inc. .............................. 20,073 155,566
*Kleinert's, Inc. ....................................... 5,000 89,375
Knape & Vogt Manufacturing Co. ......................... 64,599 1,073,958
*Knogo North America, Inc. .............................. 72,800 195,650
*Koala Corp. ............................................ 200 1,313
Kollmorgen Corp. ....................................... 5,800 44,225
*Kopin Corp. ............................................ 5,600 58,100
*Koss Corp. ............................................. 52,000 299,000
*Krauses Furniture, Inc. ................................ 8,800 13,200
*Kronos, Inc. ........................................... 3,100 101,719
Krug International Corp. ............................... 21,465 64,395
*Krystal Co. ............................................ 56,900 408,969
Kuhlman Corp. .......................................... 138,876 1,683,872
Kysor Industrial Corp. ................................. 27,200 561,000
23
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*L.A. Gear, Inc. ........................................ 20,700 $ 62,100
*LAT Sportswear, Inc. ................................... 200 1,300
LCS Industries, Inc. ................................... 3,080 64,295
*LDI Corp. .............................................. 3,000 10,313
LSB Bancshares, Inc. NC ................................ 1,558 29,797
LSB Industries, Inc. ................................... 64,900 373,175
LSI Industries, Inc. ................................... 95,602 1,613,284
*LTX Corp. .............................................. 50,400 362,250
*LXE, Inc. .............................................. 1,000 13,250
*LaBarge, Inc. .......................................... 228,750 386,016
LaCrosse Footwear, Inc. ................................ 13,300 137,988
*Laclede Steel Co. ...................................... 25,450 286,313
Ladd Furniture, Inc. ................................... 33,333 458,329
Lakeland First Financial Corp. ......................... 5,241 151,334
*Lakeland Industries, Inc. .............................. 3,200 17,600
*Lamson & Sessions Co. .................................. 143,800 844,825
Lancer Corp. ........................................... 29,400 554,925
*Lancit Media Productions, Ltd. ......................... 62,700 964,013
Landauer, Inc. ......................................... 72,000 1,305,000
Landmark Bancorp La Habra .............................. 200 2,050
*Larizza Industries, Inc. ............................... 13,500 61,594
*Laser Pacific Media Corp. .............................. 10,000 12,813
*Lasermaster Technologies, Inc. ......................... 83,300 546,656
*Laserscope ............................................. 66,600 237,263
*Laurentian Capital Corp. DE ............................ 200 2,600
*Lawrence Savings Bank MA ............................... 7,700 30,800
Lawyers Title Corp. .................................... 7,100 99,844
*Layne, Inc. ............................................ 1,000 7,563
*Lazare Kaplan International, Inc. ...................... 71,300 534,750
*Learning Co. ........................................... 6,000 180,000
*Leather Factory, Inc. .................................. 200 713
Lectec Corp. ........................................... 13,080 156,143
*Lee Pharmaceuticals, Inc. .............................. 97,000 54,563
*Lehigh Group, Inc. ..................................... 11,680 5,840
*Leisure Concepts, Inc. ................................. 19,900 59,700
Lesco, Inc. ............................................ 87,100 1,437,150
*Leslie Building Products, Inc. ......................... 27,800 48,511
*Leslie's Poolmart ...................................... 2,850 42,750
*Levitz Furniture, Inc. ................................. 200 1,550
Lexington Savings Bank MA .............................. 3,600 52,875
Liberty Homes, Inc. Class A ............................ 200 1,750
*Lidak Pharmaceuticals Class A .......................... 13,900 45,609
*Life Quest Medical, Inc. ............................... 1,000 2,063
*Lifecore Biomedical, Inc. .............................. 30,000 236,250
*Lifeline Systems, Inc. ................................. 18,700 135,575
Lifetime Hoan Corp. .................................... 200 2,150
Ligand Pharmaceuticals, Inc. Class B ................... 26,558 156,028
Lillian Vernon Corp. ................................... 1,600 32,000
*Lindal Cedar Homes, Inc. ............................... 40,777 165,657
Lindberg Corp. ......................................... 53,200 345,800
*Lindsay Manufacturer Co. ............................... 200 6,325
*Liposome Technology, Inc. .............................. 19,800 148,500
Litchfield Financial Corp. ............................. 1,400 17,588
*Littlefield, Adams & Co. ............................... 16,500 86,625
*Liuski International, Inc. ............................. 2,600 10,400
*Live Entertainment, Inc. ............................... 2,000 8,750
*Lodgenet Entertainment Corp. ........................... 62,000 449,500
*Logic Devices, Inc. .................................... 49,300 258,825
*Lojack Corp. ........................................... 18,800 172,138
*Lomak Petroleum, Inc. .................................. 79,135 638,026
*Lomas Financial Corp. .................................. 117,000 160,875
*Lone Star Casino Corp. ................................. 57,375 45,721
*Lone Star Technologies, Inc. ........................... 15,700 124,619
*Longhorn Steaks, Inc. .................................. 44,500 603,531
24
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Lori Corp. ............................................. 25,300 $ 58,506
*Lottery Enterprises, Inc. .............................. 200 350
Lufkin Industries, Inc. ................................ 2,700 51,975
*Lumex, Inc. ............................................ 81,300 1,006,088
*Lunar Corp. ............................................ 27,000 604,125
*Lund International Holdings, Inc. ...................... 2,600 53,950
*Luria & Son, Inc. ...................................... 121,797 806,905
*Lynch Corp. ............................................ 29,600 1,365,300
*M-Wave, Inc. ........................................... 1,800 27,450
*M/A/R/C, Inc. .......................................... 13,838 179,894
MAF Bancorp, Inc. ...................................... 1,000 23,250
*MAI Systems Corp. ...................................... 166 798
MDC Holdings, Inc. ..................................... 45,500 278,688
*MDL Information Systems, Inc. .......................... 14,900 177,869
*MDT Corp. .............................................. 63,900 367,425
*MFRI, Inc. ............................................. 1,800 7,988
*MGI Pharma, Inc. ....................................... 137,700 593,831
*MHI Group, Inc. ........................................ 37,204 288,331
*MI Schottenstein Homes, Inc. ........................... 9,700 84,875
*MLX Corp. .............................................. 23,145 221,324
MMI Companies, Inc. .................................... 3,700 68,450
MMI Medical, Inc. ...................................... 13,640 51,150
*MRS Technology, Inc. ................................... 20,000 110,000
*MRV Communications, Inc. ............................... 3,500 49,438
MTS Systems Corp. ...................................... 2,750 73,219
MacDermid, Inc. ........................................ 200 8,725
MacNeal-Schwendler Corp. ............................... 5,400 74,250
*Magainin Pharmaceuticals, Inc. ......................... 25,000 100,000
Magna Bancorp .......................................... 7,700 155,925
*Magnetic Technologies Corp. ............................ 200 1,075
*Mail Boxes, Etc. ....................................... 6,100 55,663
*Main Street & Main, Inc. ............................... 11,400 32,063
Maine Public Service Co. ............................... 32,700 694,875
*Mallon Resources Corp. ................................. 7,100 13,313
Manatron, Inc. ......................................... 115 374
*Manugistic Group, Inc. ................................. 200 2,300
Marble Financial Corp. ................................. 29,000 380,625
*Marcam Corp. ........................................... 18,800 297,275
*Marietta Corp. ......................................... 71,200 765,400
*Marine Drilling Companies, Inc. ........................ 48,300 193,200
Maritrans, Inc. ........................................ 13,800 82,800
*Mark VII, Inc. ......................................... 47,800 824,550
*Marlton Technologies, Inc. ............................. 90,100 123,888
*Marquest Medical Products, Inc. ........................ 78,700 44,269
*Marsam Pharmaceuticals, Inc. ........................... 34,000 648,125
Marsh Supermarkets, Inc. Class A ....................... 1,000 11,750
Marsh Supermarkets, Inc. Class B ....................... 200 2,138
*Marten Transport, Ltd. ................................. 35,200 712,800
*Martin Lawrence Limited Editions, Inc. ................. 110,200 58,544
Maryland Federal Bancorp ............................... 1,500 47,250
Massbank Corp. Reading, MA ............................. 2,850 74,456
*Mastec, Inc. ........................................... 58,000 725,000
*Matec Corp. DE ......................................... 76,300 305,200
*Mathsoft, Inc. ......................................... 25,000 73,438
Matlack Systems, Inc. .................................. 65,850 658,500
*Matrix Pharmaceutical, Inc. ............................ 2,500 31,875
*Matrix Service Co. ..................................... 79,000 325,875
*Matthews Studio Equipment Group ........................ 1,000 1,688
*Maverick Tube Corp. .................................... 42,700 378,963
Max & Ermas Restaurants, Inc. .......................... 1,557 12,164
*Maxco, Inc. ............................................ 3,200 26,000
*Maxicare Health Plans, Inc. ............................ 27,000 415,125
*Maxim Group, Inc. ...................................... 200 2,188
25
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Maxwell Laboratories, Inc. ............................. 29,246 $ 208,378
*Maxxim Medical, Inc. ................................... 87,400 1,212,675
Mayflower Co-Operative Bank Middleboro ................. 200 1,950
*Maynard Oil Co. ........................................ 103,200 638,550
*Mays (J.W.), Inc. ...................................... 2,100 13,125
McClain Industries, Inc. ............................... 91,066 694,378
McDonald & Co. Investment, Inc. ........................ 2,600 41,925
*McFarland Energy, Inc. ................................. 52,000 377,000
McGrath Rent Corp. ..................................... 8,400 139,650
*Mechanical Technology, Inc. ............................ 36,700 54,867
*Medalist Industries, Inc. .............................. 36,400 247,975
*Medalliance, Inc. ...................................... 25,000 81,250
*Medar, Inc. ............................................ 105,500 936,313
*Medarex, Inc. .......................................... 4,600 20,700
*Medco Research, Inc. ................................... 6,900 92,288
Medex, Inc. ............................................ 26,000 281,125
Medford Savings Bank MA ................................ 31,800 552,525
*Media Logic, Inc. ...................................... 2,000 3,750
*Medical Action Industries, Inc. ........................ 33,300 33,300
*Medical Diagnostics, Inc. .............................. 3,900 24,619
*Medical Graphics Corp. ................................. 12,700 73,819
*Medical Technology System, Inc. ........................ 1,000 7,250
*Medicore, Inc. ......................................... 19,200 58,800
Medicus Systems Corp. .................................. 42,000 451,500
*Medimmune, Inc. ........................................ 80,000 705,000
Mediq, Inc. ............................................ 58,200 309,188
*Medquist Inc. .......................................... 1,300 9,425
*Medquist, Inc. ......................................... 56,000 476,000
*Medrad, Inc. ........................................... 200 3,300
Megacards, Inc. ........................................ 333 676
*Megatest Corp. ......................................... 200 2,475
*Melamine Chemicals, Inc. ............................... 103,100 915,013
*Mem Co., Inc. .......................................... 53,300 193,213
*Members Service Corp. .................................. 1 1
*Mental Health Management, Inc. ......................... 7,275 19,097
*Mercer International, Inc. ............................. 8,000 137,000
*Merchants Bancshares, Inc. ............................. 200 2,200
Merchants Group, Inc. .................................. 3,800 61,750
Merchants New York Bancorp, Inc. ....................... 200 10,400
Mercury Air Group, Inc. ................................ 3,630 32,216
*Meridian Data, Inc. .................................... 61,600 223,300
Meridian Diagnostics, Inc. ............................. 57,236 547,319
Meridian Insurance Group, Inc. ......................... 8,800 100,100
*Merisel, Inc. .......................................... 30,000 193,125
*Merit Medical Systems, Inc. ............................ 3,100 27,706
Merrill Corp. .......................................... 7,800 138,450
Merrimac Industries, Inc. .............................. 12,332 114,071
*Mestek, Inc. ........................................... 118,750 1,202,344
*Met-Coil Systems Corp. ................................. 27,500 75,625
Met-Pro Corp. .......................................... 101,110 1,402,901
*Metalclad Corp. ........................................ 34,500 66,844
*Metatec Corp. Class A .................................. 1,200 13,875
Metrobank .............................................. 6,490 152,515
*Metrocall, Inc. ........................................ 40,000 695,000
*Miami Subs Corp. ....................................... 7,500 15,000
*Michael Anthony Jewelers, Inc. ......................... 74,300 241,475
Mickelberry Communications, Inc. ....................... 103,100 386,625
*Micro Bio-Medics, Inc. ................................. 1,000 12,438
*Micro Healthsystems, Inc. .............................. 11,600 39,875
*Microage, Inc. ......................................... 15,600 183,300
*Microcom, Inc. ......................................... 124,600 1,323,875
*Microdyne Corp. ........................................ 10,000 187,500
*Microfluidics International Corp. ...................... 1,300 5,200
*Micrografx, Inc. ....................................... 62,000 399,125
26
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Microlog Corp. ......................................... 26,000 $ 49,563
*Micron Electronics, Inc. ............................... 9,600 139,200
*Micronics Computers, Inc. .............................. 14,600 65,700
*Micropolis Corp. ....................................... 85,000 510,000
*Microsemi Corp. ........................................ 135,875 764,297
*Microtek Medical, Inc. ................................. 2,900 14,138
*Microtel International, Inc. ........................... 107,508 134,385
*Microtest, Inc. ........................................ 5,900 112,100
Microwave Filter Co., Inc. ............................. 5,614 8,070
Mid America Banccorp ................................... 7,700 130,419
Mid-Atlantic Realty Trust .............................. 3,366 30,925
*MidAmerican Waste System, Inc. ......................... 27,200 142,800
MidSouth Insurance Co. ................................. 53,235 558,968
Midconn Bank Kensington, CT ............................ 45,200 624,325
*Middleby Corp. ......................................... 65,200 529,750
Middlesex Water Co. .................................... 7,000 110,250
Midland Co. ............................................ 10,700 508,919
*Miles Homes, Inc. ...................................... 75,000 140,625
*Miller Building Systems, Inc. .......................... 72,800 227,500
*Miltope Group, Inc. .................................... 91,000 301,438
*Milwaukee Insurance Group, Inc. ........................ 9,200 125,350
Minntech Corp. ......................................... 7,031 94,912
*Mission West Properties, Inc. .......................... 22,000 118,250
Mobile Gas Service Corp. ............................... 34,100 677,738
*Mobley Environmental Services, Inc. Class A ............ 1,000 1,406
Modern Controls, Inc. .................................. 56,650 442,578
*Molecular Biosystems, Inc. ............................. 28,800 185,400
*Molecular Dynamics, Inc. ............................... 18,100 138,013
Monarch Machine Tool Co. ............................... 53,900 525,525
Monro Muffler Brake, Inc. .............................. 4,100 71,238
*Moog, Inc. Class A ..................................... 3,600 43,650
*Moog, Inc. Class B ..................................... 1,000 14,438
Moorco International, Inc. ............................. 11,300 258,488
*Moore Medical Corp. .................................... 44,600 507,325
*Moore Products Co. ..................................... 19,900 323,375
*Morgan Products, Ltd. .................................. 65,300 432,613
*Morgan's Foods, Inc. ................................... 13,000 14,625
*Morningstar Group, Inc. ................................ 14,500 101,500
Moscom Corp. ........................................... 14,400 128,700
*Mother's Work, Inc. .................................... 200 2,825
*Moto Photo, Inc. ....................................... 6,100 13,153
*Motor Club of America .................................. 20,500 93,531
*Motts Holdings, Inc. ................................... 38,775 167,217
*Mountasia Entertainment International, Inc. ............ 200 1,500
*Movie Star, Inc. ....................................... 405,417 253,386
Mueller (Paul) Co. ..................................... 26,700 861,075
*Multi Color Corp. ...................................... 5,300 23,850
*Munsingwear, Inc. ...................................... 2,145 16,892
Myers (L.E.) Co. Group ................................. 29,400 393,225
*Mylex Corp. ............................................ 11,600 116,000
*NAI Technologies, Inc. ................................. 82,813 248,439
*NBI, Inc. .............................................. 3,085 530
NBT Bancorp ............................................ 2,600 40,950
*NBTY, Inc. ............................................. 15,800 93,813
*NCI Building Systems, Inc. ............................. 1,000 16,375
NFS Financial Corp. .................................... 4,100 131,969
*NMR of America, Inc. ................................... 27,200 125,800
*NN Ball & Roller, Inc. ................................. 200 3,250
*NPC International, Inc. Class A ........................ 6,200 39,525
*NS Group, Inc. ......................................... 15,200 62,700
*NSA International, Inc. ................................ 200 838
NSC Corp. .............................................. 79,800 219,450
27
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CONTINUED
Shares Value+
------------------ ------------------
*NTN Communications, Inc. (Private Placement) ........... 161,500 $ 708,581
NUI Corp. .............................................. 5,500 83,188
*Nantucket Industries, Inc. ............................. 58,535 237,798
*Napco Security Systems, Inc. ........................... 70,000 179,375
Nashua Corp. ........................................... 3,800 73,150
*Natec Resources, Inc. .................................. 35,400 11,063
*Nathans Famous, Inc. ................................... 2,800 12,775
National Beverage Corp. ................................ 200 1,200
National City Bancorp .................................. 220 3,438
*National Convenience Stores, Inc. ...................... 49,800 510,450
*National Dentex Corp. .................................. 200 2,650
*National Education Corp. ............................... 32,500 125,938
*National Enterprises, Inc. ............................. 168,000 8,400
National Gas & Oil Co. ................................. 127,057 1,461,156
*National Home Centers, Inc. ............................ 60,000 225,000
*National Home Health Care Corp. ........................ 13,700 42,813
*National Insurance Group ............................... 200 1,313
*National Media Corp. ................................... 12,800 112,000
*National Mercantile Bancorp. ........................... 2,300 8,769
*National Patent Development Corp. ...................... 3,800 8,075
*National Picture and Frame Co. ......................... 19,500 186,469
National Sanitary Supply Co. ........................... 200 2,550
National Security Group, Inc. .......................... 10,500 175,875
*National Standard Co. .................................. 109,500 1,519,313
National Technical Systems, Inc. ....................... 47,184 76,674
*National Techteam, Inc. ................................ 68,100 374,550
*National Vision Association, Ltd. ...................... 22,500 98,438
*National Western Life Insurance Co. Class A ............ 200 8,300
*Nationwide Cellular Service, Inc. ...................... 175,000 4,189,008
*Natural Alternatives International, Inc. ............... 47,000 252,625
*Natural Wonders, Inc. .................................. 3,000 10,500
Natures Sunshine Products, Inc. ........................ 7,836 110,684
*Navigators Group, Inc. ................................. 17,220 230,318
Nelson (Thomas), Inc. Class B .......................... 3,993 86,848
*Neoprobe Corp. ......................................... 83,000 472,063
*Neorx Corp. ............................................ 111,700 631,803
*Nestor, Inc. ........................................... 21,400 31,993
*Netframe Systems, Inc. ................................. 14,700 78,094
*Netrix Corp. ........................................... 30,200 217,063
*Network Computing Devices, Inc. ........................ 111,000 804,750
*Network Imaging Corp. .................................. 14,900 52,150
*Network Six, Inc. ...................................... 1,700 16,363
*Networth, Inc. ......................................... 200 1,663
*Neurogen Corp. ......................................... 11,100 157,481
New Brunswick Scientific Co., Inc. ..................... 32,500 253,906
New Hampsire Thrift BancShares, Inc. ................... 200 1,850
New Horizons Savings & Loan Association ................ 200 1,675
*New Image Industries, Inc. ............................. 43,763 158,641
*New Jersey Steel Corp. ................................. 8,000 97,000
New Mexico & Arizona Land Co. .......................... 27,311 273,110
*New World Power Corp. .................................. 60,000 352,500
Newcor, Inc. ........................................... 82,025 533,163
Newmil Bancorp, Inc. ................................... 44,200 243,100
*Newpark Resources, Inc. ................................ 21,796 482,237
Newport Corp. .......................................... 60,700 474,219
*Nexstar Pharmaceuticals, Inc. .......................... 4,400 30,525
*Nichols Research Corp. ................................. 42,467 668,850
*Nobility Homes ......................................... 200 1,900
Noel Group, Inc. ....................................... 20,400 140,250
28
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Noland Co. ............................................. 500 $ 10,188
*Nord Resources Corp. ................................... 125,700 439,950
*Norstan, Inc. .......................................... 45,200 1,045,250
*Nortek, Inc. ........................................... 28,600 275,275
*North American Biologicals, Inc. ....................... 6,000 57,375
*North American Recycling System, Inc. .................. 31,000 28,055
North American Watch Corp. ............................. 5,400 72,225
North Carolina Natural Gas Corp. ....................... 3,300 73,425
North Side Savings Bank NY ............................. 15,638 371,403
*North Star Universal, Inc. ............................. 15,000 77,813
Northbay Financial Corp. ............................... 200 2,900
*Northcorp Realty Advisors, Inc. ........................ 104,700 47,115
*Northeast Federal Corp. ................................ 30,215 358,803
Northern Technologies Interna-
tional ............................................... 2,500 12,188
Northland Cranberries, Inc. Class A .................... 1,500 22,313
*Northstar Health Services, Inc. ........................ 20,000 143,750
*Northwest Teleproductions, Inc. ........................ 15,800 42,463
Norwich Financial Corp. ................................ 23,800 269,238
*Norwood Promotional Products,
Inc. ................................................. 200 2,800
*Novametrix Medical Systems, Inc. ....................... 79,700 448,313
*Noven Pharmaceuticals, Inc. ............................ 20,300 173,819
*Novitron Internarional, Inc. ........................... 1,950 9,872
*Nu Horizons Electronics Corp. .......................... 65,054 536,696
*Nuclear Metals, Inc. ................................... 71,300 953,638
*Nuclear Support Services, Inc. ......................... 8,600 18,275
*Nutramax Products, Inc. ................................ 36,000 279,000
*Nuvision, Inc. ......................................... 43,700 327,750
*Nview Corp. ............................................ 3,500 23,625
*Nycor, Inc. ............................................ 43,885 117,941
*Nycor, Inc. Class A .................................... 57,625 147,664
*Nycor, Inc. Class B .................................... 29,140 78,314
*O Charleys, Inc. ....................................... 5,650 66,388
*O.I. Corp. ............................................. 13,800 50,025
*OCG Technology, Inc. ................................... 7,000 2,734
*OEC Medical Systems, Inc. .............................. 9,900 69,300
*OESI Power Corp. ....................................... 1,000 125
*OHM Corp. .............................................. 14,100 169,200
*OTR Express, Inc. ...................................... 1,100 8,113
Oak Hill Sportswear Corp. .............................. 21,600 44,550
Oglebay Norton Co. ..................................... 25,000 815,625
Ohio Art Co. ........................................... 500 17,000
Oil-Dri Corp. of America ............................... 24,900 385,950
*Old America Stores, Inc. ............................... 13,400 165,825
*Old Dominion Freight Lines, Inc. ....................... 8,600 115,025
*Omega Environmental, Inc. .............................. 29,500 108,781
*On Assignment, Inc. .................................... 200 3,625
*Oncogene Science, Inc. ................................. 17,800 73,425
*Oncor, Inc. ............................................ 176,200 781,888
*One Price Clothing Stores, Inc. ........................ 37,600 180,950
Oneida, Ltd. ........................................... 3,900 58,500
*Oneita Industries, Inc. ................................ 70,420 757,015
*Opta Food Ingredients, Inc. ............................ 8,100 89,100
*Opti, Inc. ............................................. 200 3,775
Optical Coating Laboratory, Inc. ....................... 35,826 344,825
*Option Care, Inc. ...................................... 3,400 11,900
*Opto Mechanik, Inc. .................................... 43,800 5,256
*Orange Co., Inc. ....................................... 91,747 607,824
*Orbit International Corp. .............................. 52,600 98,625
*Orchard Supply Hardware Stores Corp. ................... 55,000 625,625
*Oregon Metallurgical Corp. ............................. 1,000 8,625
29
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Organogenesis, Inc. .................................... 10,300 $ 128,750
Oriole Homes Corp. Class B ............................. 1,000 7,313
Oriole Homes Corp. Convertible Class A ................. 66,500 490,438
*Oroamerica, Inc. ....................................... 200 813
*Orthopedic Technology, Inc. ............................ 2,000 9,438
Osborn Communications Corp. ............................ 79,800 538,650
Oshkosh Truck Corp. Class B ............................ 900 11,194
*Oshman's Sporting Goods, Inc. .......................... 129,500 857,938
*Osmonics, Inc. ......................................... 135,711 2,391,906
*Osteotech, Inc. ........................................ 27,100 128,725
*Outlook Group Corp. .................................... 1,000 9,250
*Oxis International, Inc. ............................... 89,800 230,113
*PAM Transportation Services, Inc. ...................... 5,100 29,006
PCA International, Inc. ................................ 4,900 54,819
*PCI Services, Inc. ..................................... 35,000 249,375
*PHP Healthcare Corp. ................................... 11,800 231,575
*PLM International, Inc. ................................ 22,900 72,994
*PMR Corp. .............................................. 2,000 7,375
*PSC, Inc. .............................................. 7,300 97,638
PXRE Corp. ............................................. 25,200 546,525
*Pacific Rim Holding Corp. .............................. 3,700 9,944
*Pacific Sunwear of California, Inc. .................... 45,000 337,500
*Page America Group, Inc. ............................... 4,300 6,988
*Pages, Inc. ............................................ 31,000 98,813
*Palfed, Inc. ........................................... 16,650 174,825
*Pamida Holdings Corp. .................................. 3,000 14,063
Pamrapo Bancorp, Inc. .................................. 200 4,150
*Panaco, Inc. ........................................... 6,900 32,775
Panatech Research and Development Corp. ................ 200 913
Pancho's Mexican Buffet, Inc. .......................... 47,600 211,225
*Par Technology Corp. ................................... 86,200 808,125
*Parallel Petroleum Corp. ............................... 74,200 125,213
*Parcplace Systems, Inc. ................................ 200 2,550
*Paris Business Forms, Inc. ............................. 200 1,038
Park Electrochemical Corp. ............................. 25,050 870,488
*Park-Ohio Industries, Inc. ............................. 141,225 1,615,261
Parkvale Financial Corp. ............................... 28,343 694,404
*Parlex Corp. ........................................... 19,900 228,850
Patrick Industries, Inc. ............................... 49,050 502,763
*Patrick Petroleum Co. .................................. 258,200 209,788
Patten Corp. ........................................... 70,333 254,957
*Paul Harris Stores, Inc. ............................... 55,675 106,130
*Pay-Fone Systems, Inc. ................................. 500 3,063
*Payco American Corp. ................................... 6,000 43,125
*Peak Technologies Group, Inc. .......................... 200 4,550
*Peer Review Analysis, Inc. ............................. 1,000 3,031
Peerless Manufacturing Co. ............................. 9,250 95,391
*Peerless Tube Co. ...................................... 60,202 33,713
Penn Engineering & Manufacturing Corp. ................. 33,600 2,217,600
Penn Treaty American Corp. ............................. 44,400 521,700
Penn Virginia Corp. .................................... 200 6,550
Pennfirst Bancorp, Inc. ................................ 200 2,675
Pennsylvania Enterprises, Inc. ......................... 700 22,181
Penobscot Shoe Co. ..................................... 32,000 142,000
*Penril Datacomm Networks, Inc. ......................... 89,033 345,003
*Pentech International, Inc. ............................ 1,000 2,875
Penwest, Ltd. .......................................... 2,200 48,675
Peoples Bancorp ........................................ 200 3,675
*Peoples Savings Bank of Brockton, MA ................... 3,945 22,437
Peoples Savings Financial Corp. ........................ 6,000 109,500
*Peoples Telephone Co., Inc. ............................ 31,200 138,450
30
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Perceptron, Inc. ....................................... 200 $ 3,925
*Perceptronics, Inc. .................................... 36,600 7,686
*Performance Food Group Co. ............................. 10,000 188,750
*Perfumania, Inc. ....................................... 43,700 152,950
*Perini Corp. ........................................... 40,600 426,300
*Perseptive Biosystems, Inc. ............................ 2,500 21,094
*Petco Animal Supplies, Inc. ............................ 200 4,025
*Peters (J.M.) Co., Inc. ................................ 25,000 62,500
*Petrocorp, Inc. ........................................ 30,000 262,500
Petroleum Heat & Power Co., Inc. Class A ............... 11,400 88,350
*Petstuff, Inc. ......................................... 200 2,150
*Pharmaceutical Marketing Services, Inc. ................ 10,500 87,281
*Pharmaceutical Resources, Inc. ......................... 16,120 169,260
*Pharmacy Management Services, Inc. ..................... 9,500 138,938
*Pharmchem Laboratories, Inc. ........................... 37,600 166,850
*Pharmos Corp. (Private Placement) ...................... 120,000 136,688
*Phoenix Laser Systems, Inc. ............................ 1,000 250
*Phoenix Network, Inc. .................................. 7,700 19,731
Phoenix Resource Companies, Inc. ....................... 6,800 218,450
*Phoenix Technologies, Ltd. ............................. 12,000 108,750
*Photo Control Corp. .................................... 1,000 4,938
Photronics, Inc. ....................................... 25,400 596,900
*Physician Computer Network, Inc. ....................... 29,800 139,688
*Physicians Clinical Laboratory, Inc. ................... 200 1,250
*Physicians Insurance Co. of Ohio Class A ............... 1,000 8,438
Piccadilly Cafeterias, Inc. ............................ 33,000 297,000
*Pico Products, Inc. .................................... 68,500 141,281
Piedmont Bankgroup, Inc. ............................... 1,250 31,563
*Pillowtex Corp. ........................................ 10,000 102,500
*Pinkertons, Inc. ....................................... 5,000 77,500
Pinnacle Financial Services, Inc. ...................... 200 3,275
*Pinnacle Micro, Inc. ................................... 200 2,125
Pioneer Financial Services, Inc. ....................... 42,100 547,300
Pitt-Des Moines, Inc. .................................. 29,600 1,006,400
*Pittencrieff Communications, Inc. ...................... 200 1,050
*Plains Resources, Inc. ................................. 28,100 256,413
Plains Spirit Financial Corp. .......................... 200 6,000
*Platinum Software Corp. ................................ 200 2,325
Plenum Publishing Corp. ................................ 200 6,375
*Plexus Corp. ........................................... 1,200 15,000
Plymouth Rubber, Inc. Class A .......................... 100 813
*Polk Audio, Inc. ....................................... 5,000 50,000
*Pollo Tropical, Inc. ................................... 200 1,613
*Polymedica Industries, Inc. ............................ 16,050 94,294
Pomeroy Computer Resource, Inc. ........................ 1,430 18,233
*Pool Energy Services Co. ............................... 14,900 123,856
*Porta Systems Corp. .................................... 59,500 208,250
*Portage Industries Corp. DE ............................ 1,000 2,906
Portec, Inc. ........................................... 99,037 1,176,064
Portsmouth Bank Shares, Inc. ........................... 11,727 138,525
*Positron Corp. ......................................... 200 825
*Possis Medical, Inc. ................................... 97,800 1,008,563
Poughkeepsie Savings Bank FSB NY ....................... 9,900 48,572
*Powell Industries, Inc. ................................ 28,800 178,200
Pratt & Lambert United, Inc. ........................... 133,400 3,018,175
*Pratt Hotel Corp. ...................................... 1,500 6,516
Pre-Paid Legal Services, Inc. .......................... 180,075 1,125,469
31
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Precision Standard, Inc. ............................... 1,000 $ 2,344
*Preferred Entertainment, Inc. .......................... 200 3,050
Premier Financial Services, Inc. ....................... 1,300 10,075
*Premiere Radio Networks, Inc. .......................... 1,800 18,675
*Presidio Oil Co. Class A ............................... 95,500 23,875
*Presley Companies Class A .............................. 8,900 20,025
Price Communications Corp. ............................. 26,257 160,824
*Pride Petroleum Services, Inc. ......................... 138,800 1,093,050
*Prima Energy Corp. ..................................... 2,300 33,350
Prime Bancorp, Inc. .................................... 12,375 218,109
*Prime Medical Services, Inc. ........................... 77,200 357,050
Primesource Corp. ...................................... 21,843 185,666
Printronix, Inc. ....................................... 44,700 1,022,513
*Procyte Corp. .......................................... 26,500 60,867
Professional Bancorp, Inc. ............................. 200 2,163
*Progress Financial Corp. ............................... 2,000 12,000
Progressive Bank, Inc. ................................. 29,100 763,875
*Progroup, Inc. ......................................... 33,700 189,563
*Proler International Corp. ............................. 44,900 353,588
*Pronet, Inc. ........................................... 36,800 664,700
*Proteon, Inc. .......................................... 15,900 96,394
*Protocol Systems, Inc. ................................. 61,800 579,375
Provena Foods, Inc. .................................... 200 506
Providence & Worcester Railroad Co. .................... 200 1,725
Providence Energy Corp. ................................ 61,950 1,006,688
Provident Bankshares Corp. ............................. 56,385 1,409,625
*Psicor, Inc. ........................................... 44,400 474,525
*Publicker Industries, Inc. ............................. 210,200 394,125
*Publisher Equipment Corp. .............................. 4,700 870
Pulaski Furniture Corp. ................................ 13,000 240,500
Pulse Bancorp, Inc. .................................... 200 2,975
*Pulse Engineering, Inc. ................................ 5,000 38,750
*Pure Tech International, Inc. (Private Placement) ...... 140,000 700,875
*Purepac, Inc. .......................................... 10,000 95,000
Putnam Trust Co. Greenwich, CT ......................... 1,000 51,500
*Q Logic Corp. .......................................... 53,800 245,463
*Q-Med, Inc. ............................................ 48,300 132,825
*QMS, Inc. .............................................. 67,000 376,875
Quaker Chemical Corp. .................................. 9,000 144,000
*Quaker Fabric Corp. .................................... 32,300 288,681
*Quality Dining, Inc. ................................... 57,000 716,063
Quality Products, Inc. ................................. 200 638
*Quality Systems, Inc. .................................. 20,500 92,250
*Quantum Restaurant Group, Inc. ......................... 54,900 603,900
*Quarterdeck Office Systems, Inc. ....................... 22,100 160,916
*Quest Medical, Inc. .................................... 104,799 1,021,790
*Quickresponse Services, Inc. ........................... 10,000 195,000
*Quidel Corp. ........................................... 75,500 302,000
*Quiksilver, Inc. ....................................... 35,400 798,713
*Quipp, Inc. ............................................ 200 2,625
Quixote Corp. .......................................... 43,900 532,288
*R & B, Inc. ............................................ 54,200 379,400
RLI Corp. .............................................. 6,200 159,650
*RPC Energy Services, Inc. .............................. 73,100 630,488
RS Financial Corp. ..................................... 18,000 682,875
RTI, Inc. .............................................. 47,125 13,254
*Racotek, Inc. .......................................... 21,200 115,275
*Radius, Inc. ........................................... 4,350 45,403
*Rag Shops, Inc. ........................................ 2,000 6,500
*Ragan (Brad), Inc. ..................................... 40,900 1,380,375
*Railroad Financial Corp. ............................... 858 15,015
*Rainbow Technologies, Inc. ............................. 1,500 27,750
*Rally's Hamburgers, Inc. ............................... 16,300 53,994
32
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Ramapo Financial Corp. ................................. 8,900 $ 34,488
Ramsay Health Care, Inc. ............................... 6,166 25,049
*Ramsay Managed Care, Inc. .............................. 1,608 4,012
*Ramtron International Corp. ............................ 19,600 73,500
*Random Access, Inc. .................................... 7,400 22,663
Raritan Bancorp, Inc. DE ............................... 750 16,031
*Rasterops .............................................. 8,200 34,338
Rational Software Corp. ................................ 27,533 318,354
Rauch Industries, Inc. ................................. 1,100 9,866
Raven Industries, Inc. ................................. 99,150 1,982,995
Raymond Corp. .......................................... 92,384 1,916,973
*Raytech Corp. DE ....................................... 80,300 200,750
*Readicare, Inc. ........................................ 182,800 411,300
*Reading Co. Class A .................................... 11,000 119,625
*Recognition International, Inc. ........................ 16,800 144,900
Recoton Corp. .......................................... 95,316 1,572,714
*Recovery Engineering, Inc. ............................. 200 3,225
*Redman Industries, Inc. ................................ 200 4,000
Redwood Empire Bancorp ................................. 1,600 13,400
Reeds Jewelers, Inc. ................................... 11,495 110,639
Refac Technology Development Corp. ..................... 76,350 486,731
*Reflectone, Inc. ....................................... 2,500 25,313
*Regeneron Pharmaceuticals, Inc. ........................ 14,600 87,600
Regional Acceptance Corp. .............................. 200 3,175
*Rehabcare Corp. ........................................ 1,300 17,631
*Rehabilicare, Inc. ..................................... 1,000 2,375
*Rehability Corp. ....................................... 6,000 67,875
*Reliability, Inc. ...................................... 85,000 371,875
Reliance Steel and Aluminum Co. ........................ 7,700 102,988
*Reno Air, Inc. ......................................... 8,800 41,250
*Rentrak Corp. .......................................... 7,300 38,781
*Repligen Corp. ......................................... 54,000 121,500
Republic Automotive Parts, Inc. ........................ 39,200 588,000
Republic Bancorp, Inc. ................................. 29,978 344,747
*Republic Environmental Systems, Inc. ................... 3,720 11,625
Republic Gypsum Co. .................................... 101,640 1,016,400
Republic Savings Financial Corp. ....................... 132 611
Republic Waste Industries, Inc. ........................ 18,600 244,125
*Res-Care, Inc. ......................................... 200 3,475
*Research Industries Corp. .............................. 10,100 180,538
Research, Inc. ......................................... 20,200 126,250
*Resound Corp. .......................................... 200 1,613
*Resource America, Inc. ................................. 200 2,875
*Response Technologies, Inc. ............................ 1,000 2,313
*Retix, Inc. ............................................ 40,300 156,163
*Rex Stores Corp. ....................................... 59,600 834,400
*Rexel, Inc. ............................................ 26,500 221,938
*Rexhall Industries, Inc. ............................... 10,000 61,250
*Rexon, Inc. ............................................ 96,600 404,513
*Rexworks, Inc. ......................................... 6,000 23,625
*Rheometrics, Inc. ...................................... 110 179
*Rhodes, Inc. ........................................... 37,900 326,888
*Ribi Immunochem Research, Inc. ......................... 45,200 206,225
Richardson Electronics, Ltd. ........................... 200 1,550
*Richton International Corp. ............................ 1,500 4,406
*Riddell Sports, Inc. ................................... 6,982 14,837
*Right Management Consultants, Inc. ..................... 3,000 63,750
*Right Start, Inc. ...................................... 6,900 15,956
*Rimage Corp. ........................................... 200 1,125
*Ringer Corp. ........................................... 76,600 129,263
*Riser Foods, Inc. Class A .............................. 107,400 1,087,425
Rival Co. .............................................. 9,200 144,900
33
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*River Oaks Furniture, Inc. ............................. 34,000 $ 433,500
*Riverside Group, Inc. .................................. 1,300 7,800
Riverside National Bank CA ............................. 19,300 200,238
*Roadmaster Industries, Inc. ............................ 301,000 978,250
Roanoke Electric Steel Corp. ........................... 16,950 205,519
Robbins & Myers, Inc. .................................. 32,100 826,575
*Robec, Inc. ............................................ 99,200 158,100
*Robertson-Ceco Corp. ................................... 14,657 43,971
Robinson Nugent, Inc. .................................. 53,900 424,463
*Robotic Vision Systems, Inc. ........................... 12,800 119,200
*Rocky Shoes & Boots, Inc. .............................. 12,000 101,250
*Rodman & Renshaw Capital Group, Inc. ................... 2,500 11,250
Rogers Corp. ........................................... 64,400 3,493,700
*Ross Systems, Inc. ..................................... 20,000 82,500
Roto-Rooter, Inc. ...................................... 200 5,225
*Rottlund, Inc. ......................................... 2,200 15,400
Rowe Furniture Corp. ................................... 45,562 216,420
*Royal Appliance Manufacturing Co. ...................... 140,000 402,500
Royal Bank of Pennsylvania Class A ..................... 212 1,749
*Royal Gold, Inc. ....................................... 114,700 845,913
Royal International Optical, Inc. ...................... 14,098 12,336
*Rule Industries, Inc. .................................. 28,100 224,800
Ryan Beck & Co. ........................................ 200 1,300
*Rymer Foods, Inc. ...................................... 65,133 118,054
*S&K Famous Brands, Inc. ................................ 25,200 214,200
*SBE, Inc. .............................................. 1,000 10,750
*SBM Industries, Inc. ................................... 500 2,781
*SBS Engineering, Inc. .................................. 200 988
*SC Bancorp ............................................. 200 975
SCOR U.S. Corp. ........................................ 25,900 233,100
*SCS/COMPUTE, Inc. ...................................... 47,300 103,469
SFFED Corp. ............................................ 8,000 160,000
SGI International ...................................... 525 1,247
SI Handling, Inc. ...................................... 18,500 175,750
SJW Corp. .............................................. 16,600 572,700
SKI, Ltd. .............................................. 125 1,906
SL Industries, Inc. .................................... 176,685 861,339
*SLM International, Inc. ................................ 19,100 19,100
SPS Technologies, Inc. ................................. 100 3,375
*STV Engineers, Inc. .................................... 17,500 94,063
*Safeguard Health Enterprises, Inc. ..................... 84,600 888,300
Safeguard Scientifics, Inc. ............................ 142,700 4,851,700
*Safety 1st, Inc. ....................................... 10,200 192,525
*Safetytek Corp. ........................................ 1,000 11,250
*Saga Communications, Inc. Class A ...................... 34,600 657,400
*Sahara Gaming Corp. .................................... 9,250 63,594
Saint Ives Laboratories Corp. .......................... 41,800 326,563
Saint Joseph Light & Power Co. ......................... 26,250 771,094
Saint Mary Land & Exploration Co. ...................... 200 2,588
*Salant Corp. DE ........................................ 77,500 232,500
Salem Corp. ............................................ 40,442 1,011,050
*Salick Health Care, Inc. Redeemable Shares ............. 5,400 190,688
*Salton/Maxim Housewares, Inc. .......................... 3,000 7,688
*Sam & Libby, Inc. ...................................... 6,100 14,869
San Filippo (John B.) & Son, Inc. ...................... 51,000 471,750
*San Francisco Co. Class A .............................. 1,090 4,905
Sands Regent Casino Hotel .............................. 26,410 145,255
Sandwich Co-Operative Bank MA .......................... 7,900 120,969
Sandy Corp. ............................................ 4,000 38,250
34
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Santa Monica Bank CA ................................... 3,000 $ 25,500
*Satcon Technology Corp. ................................ 2,800 36,750
*Satellite Technology Management, Inc. .................. 3,700 46,713
*Savoy Pictures Entertainment, Inc. ..................... 50,000 418,750
*Sayett Group, Inc. ..................................... 2,400 3,900
*Scan-Optics, Inc. ...................................... 158,000 671,500
*Scanforms, Inc. ........................................ 100 253
Schawk, Inc. Class A ................................... 4,800 40,500
*Scherer Healthcare, Inc. ............................... 200 1,175
*Schieb (Earl), Inc. .................................... 94,400 590,000
Schult Homes Corp. ..................................... 35,800 402,750
Schultz Sav-O Stores, Inc. ............................. 19,800 435,600
Schwitzer, Inc. ........................................ 96,100 1,093,138
*Sciclone Pharmaceuticals, Inc. ......................... 25,800 161,250
*Science Dynamics Corp. ................................. 28,300 29,184
*Scientific Software-Intercomp, Inc. .................... 80,000 275,000
Scientific Technologies, Inc. .......................... 2,900 51,475
Scope Industries, Inc. ................................. 34,800 828,675
*Score Board, Inc. ...................................... 92,900 452,888
Scotsman Industries, Inc. .............................. 6,100 119,713
Scott's Liquid Gold, Inc. .............................. 5,800 27,550
Seacoast Banking Corp. Class A ......................... 1,500 27,563
*Seacor Holdings, Inc. .................................. 5,000 115,625
Seattle Filmworks, Inc. ................................ 44,700 695,644
Seaway Food Town, Inc. ................................. 8,000 120,000
Second Bancorp, Inc. ................................... 300 6,375
*Security Capital Corp. ................................. 45 8
*Security Capital Corp. Class A ......................... 90,155 19,721
*Seeq Technology, Inc. DE ............................... 168,600 389,888
*Seibels (Bruce) Group, Inc. ............................ 1,000 938
*Seitel, Inc. ........................................... 32,762 925,527
Selas Corp. of America ................................. 12,600 113,400
*Selfix, Inc. ........................................... 24,400 115,900
*Semtech Corp. .......................................... 6,000 100,500
*Seneca Foods Corp. ..................................... 200 6,950
*Sepracor, Inc. ......................................... 32,000 384,000
*Sequoia Systems, Inc. .................................. 10,800 41,175
*Seragen, Inc. .......................................... 20,000 131,250
*Serv-Tech, Inc. ........................................ 43,600 337,900
*Servotronics, Inc. ..................................... 21,667 98,856
*Seven Oaks International, Inc. ......................... 135,950 88,368
Sevenson Environmental Services, Inc. .................. 1,900 36,100
*Shaman Pharmaceuticals ................................. 23,200 85,550
*Shared Technologies, Inc. .............................. 50,000 212,500
*Sharper Image Corp. .................................... 63,300 407,494
*Shaw Group, Inc. ....................................... 200 1,634
Shelby Williams Industries, Inc. ....................... 35,100 351,000
*Sheldahl, Inc. ......................................... 84,650 1,036,963
Shelter Components, Inc. ............................... 42,087 447,174
Shelton Bancorp, Inc. .................................. 200 3,425
*Sherwood Group, Inc. ................................... 7,800 53,625
*Shiloh Industries, Inc. ................................ 14,300 123,338
*Shoe Carnival, Inc. .................................... 60,000 408,750
Shoreline Financial Corp. .............................. 210 3,741
*Show Biz Pizza Time, Inc. .............................. 83,700 925,931
*Showscan Corp. ......................................... 44,100 259,088
Shuffle Master, Inc. ................................... 3,600 68,850
*Sierra Semiconductor Corp. ............................. 1,000 29,000
Sierra Tahoe Bancorp ................................... 200 1,750
*Sierra Tucson Companies, Inc. .......................... 9,000 39,094
*Sifco Industries, Inc. ................................. 49,475 222,638
*Sigma Designs, Inc. .................................... 53,400 253,650
*Signal Apparel Co., Inc. Class A ....................... 62,100 403,650
35
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Signal Technology Corp. ................................ 62,000 $ 220,875
*Silicon Valley Bancshares .............................. 42,500 717,188
*Siliconix, Inc. ........................................ 28,200 414,188
*Simula, Inc. ........................................... 11,500 261,625
*Skolniks, Inc. ......................................... 23 14
Skywest, Inc. .......................................... 10,500 163,406
Sloane's Supermarkets, Inc. ............................ 51,139 242,910
*Smith Environmental Technologies Corp. ................. 89,700 487,744
*Sodak Gaming, Inc. ..................................... 42,000 588,000
*Softech, Inc. .......................................... 86,700 341,381
*Softnet Systems, Inc. .................................. 13,700 106,175
*Softnet Systems, Inc. (Private Placement) .............. 20,000 139,500
*Software Publishing Corp. .............................. 104,200 377,725
*Software Spectrum, Inc. ................................ 15,700 278,675
*Solitron Devices, Inc. DE .............................. 7,400 4,625
*Somanetics Corp. ....................................... 1,000 1,297
*Somatix Therapies Corp. ................................ 76,775 235,123
*Somatogen, Inc. ........................................ 10,200 119,850
Somerset Group, Inc. ................................... 200 2,800
*Somerset Savings Bank .................................. 440 481
Sonesta International Hotels Corp. Class A ............. 200 1,625
*Sonic Solutions ........................................ 200 2,225
*Sound Advice, Inc. ..................................... 65,100 215,644
Southern California Water Co. .......................... 2,700 49,781
*Southern Electronics Corp. ............................. 4,200 22,575
*Southern Energy Homes, Inc. ............................ 52,600 703,525
Southern Union Co. ..................................... 134,015 2,546,185
*Southwall Technologies, Inc. ........................... 74,600 233,125
Southwest National Corp. ............................... 6,000 162,750
Southwest Securities Group, Inc ........................ 8,400 70,875
Southwest Water Co. .................................... 3,500 29,531
*Spaghetti Warehouse, Inc. .............................. 49,700 285,775
Span-American Medical System, Inc. ..................... 50,500 239,875
Spartan Motors, Inc. ................................... 124,800 1,138,800
Spartech Corp. ......................................... 16,505 96,967
*Sparton Corp. .......................................... 90,400 384,200
*Spec's Music, Inc. ..................................... 89,566 313,481
*Special Devices, Inc. .................................. 13,000 273,000
*Specialty Chemical Resources, Inc. ..................... 37,800 158,288
*Spectran Corp. ......................................... 51,000 293,250
*Spectranetics Corp. .................................... 11,002 25,786
*Spectrum Control, Inc. ................................. 68,800 163,400
*Speizman Industries, Inc. .............................. 27,600 134,550
*Spire Corp. ............................................ 56,200 122,938
*Sport Chalet, Inc. ..................................... 55,000 158,125
Sport Supply Group, Inc. ............................... 4,050 52,144
*Sportmart, Inc. ........................................ 200 1,700
*Sportstown, Inc. ....................................... 3,900 609
*Square Industries, Inc. ................................ 100 550
*Staar Surgical Co. ..................................... 13,875 133,547
*Stac Electronics ....................................... 27,700 164,469
*Stacey's Buffet, Inc. .................................. 142,600 227,269
*Staff Builders, Inc. ................................... 118,100 461,328
Stage II Apparel Corp. ................................. 8,000 24,000
Standard Brands Paint Co. .............................. 2,310 7,508
Standard Commercial Corp. .............................. 9,595 137,928
*Stanford Telecommunications, Inc. ...................... 48,950 746,488
*Stanley Furniture, Inc. ................................ 10,000 75,000
*Staodyn, Inc. .......................................... 3,200 5,800
*Star Technologies, Inc. ................................ 433,400 128,666
36
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CONTINUED
Shares Value+
------------------ ------------------
*Starcraft Corp. ........................................ 200 $ 1,325
Starret Housing Corp. .................................. 125,800 1,195,100
Starrett (L.S.) Co. Class A ............................ 1,800 41,400
*Starsight Telecast, Inc. ............................... 1,100 5,569
*State of the Art, Inc. ................................. 21,000 221,813
Steel Technologies, Inc. ............................... 13,400 159,125
*Steel of West Virginia, Inc. ........................... 43,800 492,750
Stepan Co. ............................................. 27,000 504,563
*Stephan Co. ............................................ 10,000 172,500
Sterling Bancorp ....................................... 150,400 1,278,400
Sterling Bancshares .................................... 200 2,550
*Sterling Electronics Corp. ............................. 50,300 697,913
Sterling Financial Corp. WA ............................ 3,500 47,250
*Stevens Graphics Corp. Class A ......................... 47,800 322,650
Stewart Information Services Corp. ..................... 21,750 402,375
Stifel Financial Corp. ................................. 2,500 15,938
*Stimsonite Corp. ....................................... 200 2,475
*Stokely USA, Inc. ...................................... 92,200 501,338
*Storage Computer Corp. ................................. 15,892 108,264
*Strober Organization, Inc. ............................. 29,100 118,219
*Stuart Entertainment, Inc. ............................. 1,000 3,875
*Stuarts Department Stores, Inc. ........................ 21,300 998
*Styles On Video, Inc. .................................. 1,500 4,500
*Suave Shoe Corp. ....................................... 37,200 90,582
*Submicron Systems Corp. ................................ 12,700 132,556
*Sudbury, Inc. .......................................... 5,964 38,766
Suffolk Bancorp ........................................ 400 11,750
*Sulcus Computer Corp. .................................. 15,300 50,681
*Sullivan Dental Products, Inc. ......................... 75,500 943,750
*Summa Industries, Inc. ................................. 200 1,000
*Summagraphics Corp. .................................... 19,600 58,800
*Summit Care Corp. ...................................... 1,700 33,044
Summit Family Restaurants, Inc. ........................ 81,300 325,200
*Sun City Industries, Inc. .............................. 150 619
*Sun Coast Plastics, Inc. ............................... 24,000 231,000
*Sun Sportswear, Inc. ................................... 55,700 222,800
Sun Television and Appliances, Inc. .................... 19,000 149,625
*Sunair Electronics, Inc. ............................... 49,200 98,400
*Sunbelt Company, Inc. .................................. 200 1,350
*Sunbelt Nursery Group, Inc. ............................ 6,800 11,050
*Suncoast Savings & Loan Association FSA ................ 15,200 85,263
*Sundance Homes, Inc. ................................... 50,000 121,875
*Sunrise Bancorp CA ..................................... 5,341 14,020
*Sunrise Technologies, Inc. ............................. 10,000 9,688
*Sunshine-Junior Stores, Inc. ........................... 34,900 331,550
*Sunstates Corp. DE ..................................... 18,399 89,695
Super Food Services, Inc. .............................. 26,500 281,563
*Super Rite Corp. ....................................... 1,000 15,750
*Superconductor Technologies, Inc. ...................... 200 1,222
*Supercuts, Inc. ........................................ 34,300 265,825
Superior Surgical Manufacturing Co., Inc. .............. 90,100 1,103,725
*Supertex, Inc. ......................................... 177,300 1,340,831
*Suprema Specialties, Inc. .............................. 1,000 3,000
*Supreme Industries, Inc. ............................... 54,609 409,568
*Supreme International Corp. ............................ 200 2,425
*Surgical Laser Technologies, Inc. ...................... 12,500 18,359
*Surgical Technologies, Inc. ............................ 1,000 2,438
*Survival Technology, Inc. .............................. 17,900 145,438
Susquehanna Bancshares, Inc. ........................... 4,010 94,235
*Swank, Inc. ............................................ 18,100 22,059
Swift Energy Corp. ..................................... 58,320 554,040
37
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Swing-n-Slide Corp. .................................... 60,000 $ 270,000
*Swisher International, Inc. ............................ 200 738
*Sybron Chemicals, Inc. ................................. 4,800 72,000
*Sylvan Foods Holdings, Inc. ............................ 4,400 48,675
*Sylvan Learning Systems, Inc. .......................... 200 3,625
*Symix Systems, Inc. .................................... 1,000 8,000
Syms Corp. ............................................. 29,500 210,188
Synalloy Corp. DE ...................................... 59,439 1,389,387
*Synbiotics Corp. ....................................... 18,500 53,188
*Syncor International Corp. DE .......................... 6,300 55,913
*Syntellect, Inc. ....................................... 84,100 425,756
*Syntro Corp. ........................................... 9,400 19,681
*Syquest Technology, Inc. ............................... 81,600 902,700
*Systemed, Inc. ......................................... 142,364 1,005,446
*Systemix, Inc. ......................................... 10,000 130,000
*T Cell Sciences, Inc. .................................. 68,800 275,200
TCBY Enterprises, Inc. ................................. 28,200 141,000
*TCC Industries, Inc. ................................... 72,000 144,000
*TCI International, Inc. ................................ 32,060 182,341
*TCSI Corp. ............................................. 12,400 161,200
*TFC Enterprises, Inc. .................................. 68,000 867,000
*TIE/Communications, Inc. ............................... 200 950
*TII Industries, Inc. ................................... 16,020 86,108
TII Industries, Inc. Class B ........................... 13,440 72,240
*TMBR/Sharp Drilling, Inc. .............................. 21,900 145,088
*TPI Enterprises, Inc. .................................. 22,400 102,200
*TRC Companies, Inc. .................................... 75,700 567,750
*TRM Copy Centers Corp. ................................. 61,000 427,000
*TRO Learning, Inc. ..................................... 3,300 22,275
*TSF Communications Corp. ............................... 500 3,938
TSI, Inc. MN ........................................... 37,800 330,750
*TSR, Inc. .............................................. 25,500 133,875
TSX Corp. .............................................. 5,400 105,300
Tab Products Co. DE .................................... 71,350 457,086
*Taco Cabana Inc. ....................................... 13,200 71,775
*Talley Industries, Inc. ................................ 89,700 863,363
*Tandy Brand Accessories, Inc. .......................... 55,977 461,810
*Tandy Crafts, Inc. ..................................... 143,300 1,146,400
*Tanknology Environmental, Inc. ......................... 1,000 2,000
*Tapistron International, Inc. .......................... 7,000 10,500
Tasty Baking Co. ....................................... 31,700 404,175
*Team, Inc. ............................................. 61,100 106,925
*Tech-Sym Corp. ......................................... 67,300 1,732,975
Tech/Ops Sevcon, Inc. .................................. 30,700 851,925
Technalysis Corp. ...................................... 13,500 158,625
*Techne Corp. ........................................... 5,600 74,900
*Technical Communications Corp. ......................... 7,300 53,838
Technitrol, Inc. ....................................... 150,300 2,160,563
*Technology Solutions Corp. ............................. 23,700 225,150
*Tejas Power Corp. ...................................... 54,500 490,500
Tejon Ranch Co. ........................................ 5,100 68,850
Tekelec ................................................ 124,400 2,550,200
*Telco Systems, Inc. .................................... 47,100 456,281
*Telebit Corp. .......................................... 111,200 781,875
Telephone USA Communications, Inc. ..................... 550 10,450
*Televideo Systems, Inc. ................................ 349,000 305,375
*Temtex Industries, Inc. ................................ 34,100 223,781
Terex Corp. ............................................ 11,300 69,213
*Tetra Technologies, Inc. ............................... 107,500 1,276,563
*Texas Meridian Resources Corp. ......................... 11,400 115,425
Texas Regional Banchshares, Inc. Class A ............... 200 2,750
*Texfi Industries, Inc. ................................. 142,400 427,200
*Thackeray Corp. ........................................ 123,700 494,800
38
<PAGE>
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CONTINUED
Shares Value+
------------------ ------------------
*Theragenics Corp. ...................................... 44,400 $ 252,525
*Theratech, Inc. UT ..................................... 55,000 680,625
*Thermo Power Corp. ..................................... 105,100 1,418,850
*Thermo Process Systems, Inc. ........................... 3,200 37,600
Thermo Remediation, Inc. ............................... 300 4,800
*Thermo Voltek Corp. .................................... 80,300 1,184,425
Thomas Industries, Inc. ................................ 50,000 806,250
Thomaston Mills, Inc. .................................. 700 9,188
*Thor Energy Resources, Inc. ............................ 45,400 17,025
Thorn Apple Valley, Inc. ............................... 62,100 1,273,050
Three D Department Stores, Inc. Class A ................ 32,500 56,875
Three D Department Stores, Inc. Class B ................ 17,300 30,275
*Tiger Direct, Inc. ..................................... 22,600 21,894
*Tigera Group, Inc. ..................................... 56,000 41,125
Timberline Software Corp. .............................. 14,550 110,944
*Tipperary Corp. ........................................ 8,900 60,075
*Titan Corp. ............................................ 234,600 1,759,500
Titan Holdings, Inc. ................................... 4,410 47,408
Toastmaster, Inc. ...................................... 4,600 25,300
*Todays Man, Inc. ....................................... 33,600 417,900
*Todd Shipyards Corp. ................................... 24,300 142,763
Todd-AO Corp. Class A .................................. 11,000 59,125
*Todhunter International, Inc. (Private Placement) ...... 48,000 429,300
*Tofutti Brands, Inc. ................................... 45,600 34,200
*Tokheim Corp. .......................................... 50,000 443,750
*Tokos Medical Corp. .................................... 86,000 489,125
*Tolland Bank ........................................... 200 1,575
Tompkins County Trust Co. .............................. 200 6,850
*Tops Appliance City, Inc. .............................. 27,900 134,269
*Toreador Royalty Corp. ................................. 29,700 87,244
*Torotel, Inc. .......................................... 55,335 70,898
Tower Air, Inc. ........................................ 121,000 877,250
*Town & Country Corp. Class A ........................... 96,800 60,500
*Tracor, Inc. ........................................... 38,600 513,863
*Trak Auto Corp. ........................................ 92,000 1,575,500
*Trans World Entertainment Corp. ........................ 45,000 171,563
*TransNet Corp. ......................................... 29,200 72,088
*Transamerica Waste Industries, Inc. .................... 12,000 10,875
*Transmation, Inc. ...................................... 1,000 6,000
Transmedia Network, Inc. ............................... 33,000 363,000
Transport Financial Bancorp, Inc. ...................... 4,900 71,050
*Transport Industries, Inc. ............................. 1,000 1,750
Transport Leasing International, Inc. .................. 4,100 13,709
Transport Lux Corp. .................................... 15,491 129,737
Transtechnology Corp. .................................. 99,100 1,139,650
Tranzonic Companies Class A ............................ 54,800 808,300
Tranzonic Companies Class B ............................ 30,350 445,766
*Travel Ports of America, Inc. .......................... 11,000 24,750
Treadco, Inc. .......................................... 41,900 576,125
*Tremont Corp. DE ....................................... 24,100 349,450
*Tri-Lite, Inc. ......................................... 109 177
*Triad Guaranty, Inc. ................................... 200 3,625
*Triad Systems Corp. .................................... 111,100 770,756
*Tricare, Inc. .......................................... 8,600 23,919
*Tricord Systems, Inc. .................................. 31,700 140,669
*Trident Microsystems, Inc. ............................. 11,800 207,975
*Tridex Corp. ........................................... 39,300 225,975
*Trimark Holdings, Inc. ................................. 6,400 48,000
*Trimedyne, Inc. ........................................ 34,200 65,194
*Trinzic Corp. .......................................... 171,350 942,425
39
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CONTINUED
Shares Value+
------------------ ------------------
Trion, Inc. ............................................ 67,550 $ 392,634
*Triple S Plastics, Inc. ................................ 200 1,925
*Triquint Semiconductor, Inc. ........................... 200 2,788
*Tristar Corp. .......................................... 3,300 16,913
*Triton Group, Ltd. ..................................... 1,568 2,940
Tseng Laboratories, Inc. ............................... 19,200 128,400
*Tuboscope Vetco International, Inc. .................... 115,500 700,219
*Tucker Drilling Co., Inc. .............................. 30,000 226,875
*Tuesday Morning Corp. .................................. 36,000 225,000
*Tultex Corp. ........................................... 26,500 145,750
*Turn Technology, Inc. .................................. 22 1
*Turner Corp. ........................................... 86,400 853,200
Tuscarora Plastics, Inc. ............................... 1,000 19,125
Twin Disc, Inc. ........................................ 65,600 1,541,600
*Tyler Corp. ............................................ 21,700 78,663
U.S. Bancorp, Inc. ..................................... 2,525 55,872
*UDC Homes, Inc. ........................................ 1,000 1,125
*UNC, Inc. .............................................. 30,300 155,288
*URS Corp. .............................................. 92,751 533,318
*US 1 Industries, Inc. .................................. 164,200 133,413
*USA Truck, Inc. ........................................ 4,900 77,175
*USMX, Inc. ............................................. 5,800 14,319
*UTI Energy Corp. ....................................... 200 913
*Ultimate Electronics, Inc. ............................. 20,200 185,588
*Ultra Pacific, Inc. .................................... 10,000 65,625
*Ultrak, Inc. ........................................... 5,900 54,206
*Ultralife Batteries, Inc. .............................. 8,300 136,950
*Underwriters Financial Group, Inc. ..................... 3,600 6,300
Uni-Marts, Inc. ........................................ 3,000 16,875
Unico American Corp. ................................... 121,200 590,850
*Uniflex, Inc. .......................................... 1,300 7,313
Uniforce Temporary Personnel, Inc. ..................... 92,200 829,800
*Unigene Laboratories, Inc. ............................. 9,400 12,338
*Unilab Corp. ........................................... 34,800 176,175
*Unimed, Inc. ........................................... 26,300 105,200
*Union Corp. DE ......................................... 20,000 280,000
*Union Switch & Signal, Inc. ............................ 37,000 582,750
*Unionfed Financial Corp. ............................... 7,085 332
*Uniphase Corp. ......................................... 42,000 824,250
*Unique Mobility, Inc. .................................. 10,900 43,600
*Uniroyal Technology Corp. .............................. 14,200 48,369
*Unit Corp. ............................................. 141,700 478,238
*United American Healthcare Corp. ....................... 52,350 909,581
*United Capital Corp. ................................... 50,754 488,507
United Financial Corp. ................................. 2,000 39,875
*United Foods, Inc. Class A ............................. 27,900 73,238
*United Foods, Inc. Class B ............................. 141,900 354,750
*United Guardian, Inc. .................................. 47,720 86,493
United Industrial Corp. ................................ 100,800 667,800
United National Bancorp ................................ 200 6,350
*United Retail Group, Inc. .............................. 15,200 110,200
United Savings Bank F.A. Great Falls, MT ............... 200 3,375
*United States Alcohol Testing America, Inc. ............ 31,400 62,800
*United States Banknote Corp. ........................... 8,000 17,000
*United States Bioscience, Inc. ......................... 44,800 114,800
*United States Capital Group, Inc. ...................... 15,775 47,325
*United States Energy Corp. ............................. 9,870 50,584
United States Facilities Corp. ......................... 54,100 808,119
*United States Gold Trust Corp. ......................... 100 67
*United States Homecare Corp. ........................... 9,100 21,897
*United States Intec, Inc. .............................. 41,500 313,844
</TABLE>
40
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C> <C>
United States Lime & Minerals, Inc. ...................... 14,300 $ 91,163
*United Video Satellite Group, Inc. Class A ............... 200 5,125
*Unitel Video, Inc. ....................................... 51,200 326,400
Unitil Corp. ............................................. 39,552 667,440
Unitog Co. ............................................... 2,550 53,869
*Univax Biologics, Inc. ................................... 15,000 77,813
Universal Forest Products, Inc. .......................... 120,200 833,888
*Universal Holding Corp. .................................. 500 1,688
*Universal Hospital Services, Inc. ........................ 1,600 13,700
*Universal International, Inc. ............................ 1,000 3,125
*Universal Security Instruments, Inc. ..................... 44,000 52,250
*Universal Seismic Association, Inc. ...................... 1,300 4,063
*Universal Standard Medical Labs, Inc. .................... 2,300 13,656
*University Genetics Co. Class A .......................... 76,100 0
Uno Restaurant Corp. ..................................... 231,491 2,546,401
Upper Peninsula Energy Corp. ............................. 20,400 344,250
*Uranuim Resources, Inc. .................................. 40,300 151,125
*Uromed Corp. ............................................. 38,000 230,375
*Utah Medical, Inc. ....................................... 11,100 117,938
*Utilx Corp. .............................................. 144,800 506,800
*V Band Systems, Inc. ..................................... 2,100 4,200
*V Mark Software, Inc. .................................... 7,000 109,375
*VTEL Corp. ............................................... 11,000 101,750
VWR Corp. ................................................ 9,100 109,200
*Valence Technology, Inc. ................................. 160,000 390,000
*Vallen Corp. ............................................. 61,400 1,043,800
Valley Forge Corp. ....................................... 500 8,625
Valley Resources, Inc. ................................... 34,887 377,216
Vallicorp Holdings, Inc. ................................. 3,500 57,750
*Value-Added Communications, Inc. ......................... 1,000 438
*Valuevision International, Inc. Class A .................. 30,000 141,563
*Vans, Inc. ............................................... 78,400 357,700
*Varitronic Systems, Inc. ................................. 24,100 274,138
Varlen Corp. ............................................. 7,462 195,878
Varsity Spirit Corp. ..................................... 200 2,775
*Vaughn Communications, Inc. .............................. 1,700 9,988
*Vectra Technologies, Inc. ................................ 34,500 97,031
*Ventura County National Bancorp .......................... 7,000 17,500
*Venturian Corp. .......................................... 21,900 147,825
Vermont Financial Services Corp. ......................... 15,013 364,065
Versa Technologies, Inc. ................................. 60,550 855,269
*Versar, Inc. ............................................. 46,100 152,706
*Vertex Communications Corp. .............................. 43,300 606,200
*Veterinary Centers of America, Inc. ...................... 2,100 23,100
*Viagene, Inc. ............................................ 52,100 416,800
*Vical, Inc. .............................................. 80,000 645,000
*Vicon Industries, Inc. ................................... 54,250 103,414
*Vicorp Restaurants, Inc. ................................. 60,500 839,438
*Video Display Corp. ...................................... 41,750 96,547
*Video Lottery Technologies, Inc. ......................... 8,100 65,306
*Vie de France Corp. ...................................... 211,800 661,875
*Viral Testing Systems Corp. .............................. 114,750 1,148
Virco Manufacturing Corp. ................................ 57,296 479,854
Virginia Beach Federal Financial Corp. ................... 87,950 709,097
Virginia First Financial Corp. ........................... 4,935 84,512
*Vision Sciences, Inc. .................................... 200 913
41
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THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
</TABLE>
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C> <C>
*Vista Resources, Inc. .................................... 40,500 $ 820,125
*Visx, Inc. DE ............................................ 43,000 532,125
Vital Signs, Inc. ........................................ 20,000 316,250
*Vitesse Semiconductor, Inc. .............................. 101,000 694,375
*Vitronics Corp. .......................................... 64,800 105,300
*Volt Information Sciences, Inc. .......................... 500 15,625
*Volunteer Capital Corp. .................................. 122,700 996,938
Vulcan International Corp. ............................... 10,951 218,336
*WSFS Financial Corp. ..................................... 12,200 64,050
WSMP, Inc. ............................................... 2,375 11,281
*WTD Industries, Inc. ..................................... 93,640 155,091
Wackenhut Corp. Class A .................................. 39,897 653,313
Wackenhut Corp. Class B Non-Voting ....................... 56,095 757,283
*Wahlco Environmental System, Inc. ........................ 13,000 22,750
*Wainoco Oil Corp. ........................................ 57,300 243,525
*Wainwright Bank & Trust Co. .............................. 200 938
*Walker Interactive Systems, Inc. ......................... 81,000 475,875
*Wall Street Deli, Inc. ................................... 11,400 104,025
Walshire Assurance Co. ................................... 2,203 30,704
Warner Insurance Services, Inc. .......................... 88,445 88,445
*Warrantech Corp. ......................................... 13,000 65,813
Warren Bancorp, Inc. ..................................... 101,400 830,213
Washington Homes, Inc. ................................... 11,000 52,250
Washington Savings Bank FSB Waldorf, MD .................. 28,912 101,192
*Washington Scientific Industries, Inc. ................... 61,100 255,856
Waterhouse Investor Services, Inc. ....................... 5,500 96,594
Waters Instruments, Inc. ................................. 500 1,188
Watsco, Inc. Class A ..................................... 300 4,006
Watsco, Inc. Class B ..................................... 22,883 297,473
Waverly, Inc. ............................................ 31,100 1,123,488
*Waxman Industries, Inc. .................................. 30,950 34,819
*Waxman Industries, Inc. Class B .......................... 9,750 10,969
Webster Financial Corp. .................................. 9,570 231,474
Wedco Technology, Inc. ................................... 36,246 369,256
*Wegener Corp. ............................................ 5,500 32,656
*Weitek Corp. ............................................. 87,200 419,650
*Weldotron Corp. .......................................... 23,000 17,250
Wellco Enterprises, Inc. ................................. 4,100 61,500
*Wells-Gardner Electronics Corp. .......................... 79,500 288,188
*Wellstead Industries, Inc. ............................... 1,100 2,750
Wendt-Bristol Health Services Corp. ...................... 63,900 39,938
*Westbridge Capital Corp. ................................. 10,800 64,800
*Westerbeke Corp. ......................................... 20,000 48,750
Western Bank Coos Bay, OR ................................ 3,289 39,262
*Western Beef, Inc. ....................................... 42,386 256,965
*Western Micro Technology, Inc. ........................... 37,500 103,125
*Western Water Co. ........................................ 1,000 23,500
*Westmoreland Coal Co. .................................... 47,800 227,050
*Weston (Roy F.), Inc. Class A ............................ 5,000 25,313
Westport Bancorp, Inc. ................................... 2,250 10,688
*Wet Seal, Inc. Class A ................................... 10,000 39,375
*Whitehall Corp. .......................................... 68,100 1,889,775
*Whittaker Corp. .......................................... 30,000 663,750
*Whole Foods Market, Inc. ................................. 90,000 1,282,500
*Wholesome & Hearty Foods, Inc. ........................... 8,200 98,400
*Wichita River Holding Corp. .............................. 7,095 3,104
*Williams Clayton Energy, Inc. ............................ 4,300 14,244
*Williams Controls, Inc. .................................. 16,700 53,231
Wilshire Oil Co. of Texas ................................ 233,511 1,459,444
42
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
</TABLE>
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C> <C>
*Wind River Systems, Inc. ................................. 200 $ 2,463
Windmere Corp. ........................................... 18,500 159,563
*Winston Resources, Inc. .................................. 1,000 2,000
Wireless Telecom Group, Inc. ............................. 3,200 59,200
*Wisconsin Pharmacal Co. .................................. 3,200 9,800
Wiser Oil Co. ............................................ 45,000 618,750
Wolf (Howard B.), Inc. ................................... 500 2,938
Wolohan Lumber Co. ....................................... 47,700 661,838
Woodhead Industries, Inc. ................................ 176,550 2,471,700
Workingmens Capital Holdings, Inc. ....................... 200 3,700
*World Acceptance Corp. ................................... 58,000 1,783,500
*Worldcorp, Inc. .......................................... 116,000 1,464,500
*Worldtex, Inc. ........................................... 141,800 815,350
Worthington Foods, Inc. .................................. 5,200 85,800
Wynns International, Inc. ................................ 92,175 2,120,025
*Xicor, Inc. .............................................. 22,000 119,625
*Xoma Corp. ............................................... 12,000 27,000
*Xpedite Systems, Inc. .................................... 200 4,150
Xscribe Corp. ............................................ 4,200 5,381
Xylogics, Inc. ........................................... 110,800 2,548,400
*Xytronyx, Inc. ........................................... 28,200 40,538
*Yes Clothing Co. ......................................... 22,600 113,000
York Financial Corp. ..................................... 14,500 264,625
*York Research Corp. ...................................... 20,100 106,781
*Younkers, Inc. ........................................... 25,000 462,500
*Youth Services International, Inc. ....................... 5,300 57,306
*Zaring Homes, Inc. ....................................... 10,000 73,750
Zemex Corp. .............................................. 35,953 337,059
Ziegler Co., Inc. ........................................ 500 7,563
*Zing Technologies, Inc. .................................. 100 975
*Zitel Corp. .............................................. 63,100 658,606
*Zoll Medical Corp. ....................................... 2,400 27,600
*Zoltek Companies, Inc. ................................... 1,900 35,269
*Zycad Corp. .............................................. 211,600 462,875
*Zygo Corp. ............................................... 9,500 232,156
*Zynaxis, Inc. ............................................ 51,000 60,563
*Zytec Corp. .............................................. 1,200 9,150
---------------
TOTAL COMMON STOCKS
(Cost $651,734,888) ...................................... 772,879,358
---------------
PREFERRED STOCKS - (0.0%)
*Alfin, Inc. Cumulative Redeemable ........................ 24 $ 0
Pharmaceutical Resources, Inc.
Convertible Class A ...................................... 32 364
---------------
TOTAL PREFERRED STOCKS
(Cost $288) .............................................. 364
---------------
RIGHTS/WARRANTS - (0.0%)
*Buell Industries, Inc. Contingent
Payment Rights ........................................... 59,800 0
*Jamesway Corp. Warrants
01/28/10 ................................................. 3,296 4,223
*Krug International Corp. Warrants 01/31/98 ............... 4,293 872
*Ventura County National Bancorp Rights 06/21/95 .......... 2,208 552
TOTAL RIGHTS/WARRANTS -----
(Cost $2,060) ............................................ 5,647
-----
Face
Amount
------
(000)
TEMPORARY CASH INVESTMENTS -- (2.6%)
Repurchase Agreement, PNC Securities Corp. 5.85%, 06/01/95
(Collateralized by U.S. Treasury Note 7.50%, 12/31/96)
(Cost $20,664,000) ....................................... $ 20,664 20,664,000
---------------
TOTAL INVESTMENTS - (100.0%) (Cost $672,401,236) .......... $793,549,369
===============
</TABLE>
- - ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
43
<PAGE>
SCHEDULES OF INVESTMENTS
THE U.S. 6-10 SMALL COMPANY PORTFOLIO
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------ ---------------
<S> <C> <C>
Investment in The U.S. 6-10 Small Company Series of The DFA Investment
Trust Company ............................................................ 15,365,598 $155,991,350
---------------
Total Investments (100%) (Cost $129,298,038) ......................... $155,991,350
===============
</TABLE>
THE U.S. LARGE COMPANY PORTFOLIO
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
----------- --------------
<S> <C> <C>
Investment in The U.S. Large Company Series of The DFA Investment
Trust Company ........................................................... 6,528,120 $77,817,568
--------------
Total Investments (100%) (Cost $61,107,056) ..................... $77,817,568
==============
</TABLE>
THE U.S. SMALL CAP VALUE PORTFOLIO
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
---------- ---------------
<S> <C> <C>
Investment in The U.S. Small Cap Value Series of The DFA Investment
Trust Company ......................................................... 38,501,400 $486,843,902
---------------
Total Investments (100%) (Cost $436,732,969) ...................... $486,843,902
===============
</TABLE>
THE U.S. LARGE CAP VALUE PORTFOLIO
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------ ---------------
<S> <C> <C>
Investment in The U.S. Large Cap Value Series of The DFA Investment
Trust Company ......................................................... 17,705,532 $211,098,918
---------------
Total Investments (100%) (Cost $183,328,547) ...................... $211,098,918
===============
</TABLE>
- - ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
44
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA/AEW REAL ESTATE SECURITIES PORTFOLIO
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
COMMON STOCKS -- (96.4%)
AMLI Residential Properties Trust ...................... 11,200 $ 214,200
Agree Realty Corp. ..................................... 2,400 36,900
America First Real Estate Investment Trust, Inc. ....... 2,200 46,475
*American Industrial Properties ......................... 8,100 10,125
*American Realty Trust, Inc. ............................ 2,800 37,450
Apartment Investment & Management Co. Class A .......... 9,300 170,888
Arbor Property Trust ................................... 11,700 86,287
Associated Estates Realty Corp. ........................ 13,500 276,750
Avalon Properties, Inc. ................................ 27,600 545,100
BRE Properties, Inc. Class A ........................... 10,600 319,325
Bay Apartment Communities, Inc. ........................ 10,600 193,450
Beacon Properties Corp. ................................ 16,500 327,937
Bedford Property Investors, Inc. ....................... 5,400 29,700
Berkshire Realty Co. ................................... 24,700 240,825
Boddie-Noell Properties, Inc. .......................... 2,600 32,175
Bradley Real Estate, Inc. .............................. 7,750 122,062
Burnham Pacific Properties, Inc. ....................... 16,100 199,237
CBL & Associates Properties, Inc. ...................... 18,400 356,500
Cali Realty Corp. ...................................... 12,900 228,975
California Real Estate Investment Trust ................ 8,200 13,325
Camden Property Trust .................................. 13,300 304,237
Carr Realty Corp. ...................................... 12,900 235,425
Centerpoint Properties Corp. ........................... 4,800 95,400
Chateau Properties, Inc. ............................... 5,600 124,600
Chelsea GCA Realty, Inc. ............................... 10,600 279,575
Chicago Dock & Canal Trust III ......................... 6,500 76,375
Clevetrust Realty Investors ............................ 2,800 9,800
Colonial Properties Trust .............................. 10,000 226,250
Columbus Realty Trust .................................. 10,600 193,450
Commercial Net Lease Realty, Inc. ...................... 10,700 137,762
Copley Properties, Inc. ................................ 3,200 36,800
Cousins Properties, Inc. ............................... 26,600 455,525
Crescent Real Estate Equities, Inc. .................... 19,800 586,575
Crown American Realty Trust ............................ 26,400 313,500
Debartolo Realty Corp. ................................. 46,600 669,875
Developers Diversified Realty Corp. .................... 18,100 511,325
Duke Realty Investments, Inc. .......................... 19,500 546,000
*EQK Realty Investors -1- ............................... 8,500 15,937
Eastgroup Properties ................................... 4,000 75,500
Equity Residential Properties Corp. .................... 30,300 867,337
Essex Property Trust ................................... 7,300 130,488
Excel Realty Trust, Inc. ............................... 10,600 205,375
Factory Stores America, Inc. ........................... 11,500 222,812
Federal Realty Investment Trust ........................ 48,300 1,026,375
First Industrial Realty Trust, Inc. .................... 18,400 338,100
First Union Real Estate Equity & Mortgage Investments .. 16,800 128,100
Gables Residential Trust ............................... 10,100 198,212
General Growth Properties .............................. 21,000 425,250
Glimcher Realty Trust .................................. 17,900 371,425
*HMG Courtland Properties, Inc. ......................... 1,000 8,250
HRE Properties, Inc. ................................... 4,900 66,150
45
<PAGE>
THE DFA/AEW REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Haagen (Alexander) Properties, Inc. .................... 10,500 $ 115,500
Highwood Properties, Inc. .............................. 8,700 209,887
Home Properties of New York, Inc. ...................... 4,800 81,600
Horizon Outlet Centers, Inc. ........................... 9,800 222,950
IRT Property Co. ....................................... 37,800 368,550
Irvine Apartment Communities, Inc. ..................... 29,400 514,500
JDN Realty Corp. ....................................... 7,300 146,912
JP Realty, Inc. ........................................ 12,200 248,575
Kimco Realty Corp. ..................................... 21,500 830,438
*Koger Equity, Inc. ..................................... 15,800 140,225
Kranzco Realty Trust, Inc. ............................. 9,800 171,500
*Landsing Pacific Fund .................................. 4,000 13,500
Lexington Corp. Properties, Inc. ....................... 8,900 93,450
Liberty Property Trust ................................. 19,500 377,813
MGI Properties ......................................... 11,100 167,887
Macerich Co. ........................................... 14,000 276,500
Manufactured Home Communities, Inc. .................... 23,800 374,850
Mark Centers Trust ..................................... 15,000 206,250
McArthur/Glen Realty Corp. ............................. 18,700 271,150
Merry Land & Investment Co., Inc. ...................... 29,900 631,638
Mid-America Apartment Communities, Inc. ................ 9,500 238,687
Mid-America Realty Investments, Inc. ................... 7,600 60,800
Mid-Atlantic Realty Trust .............................. 5,600 51,450
Mills Corp. ............................................ 16,200 319,950
Monmouth Real Estate Investment Corp. Class A .......... 2,400 13,200
National Golf Properties, Inc. ......................... 10,300 221,450
National Income Realty Trust ........................... 2,299 27,588
New Plan Realty Trust .................................. 65,100 1,448,475
Oasis Residential, Inc. ................................ 14,900 329,662
One Liberty Properties, Inc. ........................... 1,200 12,675
PS Business Parks, Inc. Class A ........................ 400 6,950
*Pacific Gateway Properties, Inc. ....................... 3,400 11,475
Pacific Gulf Properties, Inc. .......................... 5,000 77,500
Paragon Group, Inc. .................................... 15,600 273,000
Parkway Co. ............................................ 1,500 23,250
Partners Preferred Yield, Inc. Class A ................. 3,200 47,200
Partners Preferred Yield II, Inc. Class A .............. 2,900 39,875
Partners Preferred Yield III, Inc. Class A ............. 1,300 20,475
Pennsylvania Real Estate Investment Trust .............. 8,400 183,750
Post Properties, Inc. .................................. 16,400 506,350
Presidential Realty Corp. Class B ...................... 2,700 18,900
Price Real Estate Investment Trust, Inc. Class B ....... 7,300 217,175
Prime Retail, Inc. ..................................... 10,500 129,938
Property Capital Trust ................................. 8,100 54,675
*Prudential Realty Trust ................................ 700 175
Public Storage Properties VII, Inc. Class A ............ 3,400 62,900
46
<PAGE>
THE DFA/AEW REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Public Storage Properties IX, Inc. Class A ............. 1,700 $ 28,475
Public Storage Properties X, Inc. Class A .............. 1,700 29,963
Public Storage Properties XI, Inc. Class A ............. 1,700 27,838
Public Storage Properties XII, Inc. Class A ............ 1,700 29,325
Public Storage Properties XIV, Inc. Class A ............ 2,100 35,438
Public Storage Properties XV, Inc. Class A ............. 2,100 35,175
Public Storage Properties XVI, Inc. Class A ............ 3,000 41,250
Public Storage Properties XVII, Inc. Class A ........... 3,000 50,250
Public Storage Properties XVIII, Inc. Class A .......... 3,100 49,988
Public Storage Properties XIX, Inc. Class A ............ 2,900 36,975
Public Storage Properties XX, Inc. Class A ............. 900 13,050
ROC Communities, Inc. .................................. 12,000 262,500
Real Estate Investment Trust (CA) ...................... 8,500 139,188
Realty Income Corp. .................................... 18,600 367,350
Regency Realty Corp. ................................... 6,100 105,225
Saul Centers, Inc. ..................................... 10,900 166,225
Security Capital Industrial Trust ...................... 57,500 905,625
Security Capital Pacific Trust ......................... 68,200 1,219,075
Shurgard Storage Centers, Inc. Class A ................. 16,500 377,438
Simon Property Group, Inc. ............................. 52,195 1,298,351
Sizeler Property Investors, Inc. ....................... 8,600 88,150
Smith (Charles E.) Residential Realty, Inc. ............ 8,300 192,975
South West Property Trust, Inc. ........................ 14,600 180,675
Spieker Properties, Inc. ............................... 19,900 430,338
Storage USA, Inc. ...................................... 12,200 346,175
Storage Trust Realty ................................... 5,900 118,738
Storage Equities, Inc. ................................. 27,600 438,150
Summit Properties, Inc. ................................ 11,900 203,788
Sun Communities, Inc. .................................. 9,500 226,812
Tanger Factory Outlet Centers, Inc. .................... 7,000 175,000
Town & Country Trust ................................... 14,300 203,775
Trinet Corporate Realty Trust, Inc. .................... 10,000 276,250
Tucker Properties Corp. ................................ 10,000 121,250
United Dominion Realty Trust, Inc. ..................... 73,100 1,023,400
United Mobile Homes, Inc. .............................. 5,000 41,875
Urban Shopping Centers, Inc. ........................... 13,100 284,925
Vornado Realty Trust ................................... 20,000 680,000
Walden Residential Properties, Inc. .................... 9,600 177,600
Washington Real Estate Investment Trust ................ 40,400 646,400
Weeks Corp. ............................................ 8,600 199,950
Weingarten Realty Investors ............................ 25,700 925,200
Wellsford Residential Property Trust ................... 16,425 353,138
Western Investment Real Estate Trust ................... 16,200 196,425
------------------
TOTAL COMMON STOCKS (Cost $36,034,367) .................... 34,980,364
------------------
Face
Amount
------------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.6%)
Repurchase Agreement, PNC Securities Corp. 5.85%, 06/01/95
(Collateralized by U.S. Treasury Notes 7.50%, 12/31/96)
(Cost $1,318,000) ....................................... $ 1,318 1,318,000
------------------
TOTAL INVESTMENTS -- (100.0%) (Cost $37,352,367) .......... $36,298,364
==================
</TABLE>
- - ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
47
<PAGE>
SCHEDULE OF INVESTMENTS
THE JAPANESE SMALL COMPANY PORTFOLIO
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
COMMON STOCKS -- (95.2%)
*#ASK Corp., Yokohama ................................... 54,000 $ 224,416
Achilles Corp. ........................................ 181,000 722,290
Aica Kogyo Co., Ltd. .................................. 85,000 582,054
Aichi Corp. ........................................... 44,000 444,675
Aichi Machine Industry Co., Ltd. ...................... 105,000 658,264
Aichi Tokei Denki Co., Ltd. ........................... 53,000 307,237
Aida Engineering, Ltd. ................................ 104,000 736,718
*#Akai Electric Co., Ltd. ............................... 86,000 348,264
#Akebono Brake Industry Co., Ltd. ...................... 100,000 518,300
#Alpine Electronics, Inc. .............................. 53,000 657,025
Amada Metrecs Co., Ltd. ............................... 13,000 182,645
Amada Sonoike Co., Ltd. ............................... 101,000 643,920
*Amada Wasino Co., Ltd. ................................ 97,000 343,566
Ando Corp. ............................................ 102,000 520,236
Aomori Bank, Ltd. ..................................... 85,000 552,952
Arai-Gumi, Ltd. ....................................... 38,600 606,116
Araya Industrial Co., Ltd. ............................ 55,000 194,156
#Asahi Denka Kogyo KK .................................. 87,000 736,470
Asahi Kogyosha Co., Ltd. .............................. 40,000 255,018
*#Asahi Optical Co., Ltd. ............................... 142,000 551,570
Asahi Organic Chemicals Industry Co., Ltd. ........... 115,000 1,002,007
Asahi Tec Corp. ....................................... 67,000 495,183
#Asanuma Corp. ......................................... 96,000 521,370
#Ashimori Industry Co., Ltd. ........................... 72,000 424,179
Asics Corp. ........................................... 246,000 798,701
Bando Chemical Industries, Ltd. ....................... 141,000 669,209
Bank of Ikeda, Ltd. ................................... 7,100 570,012
Bank of Iwate, Ltd. ................................... 14,900 949,941
Bank of Okinawa, Ltd. ................................. 11,900 533,884
*Bank of Osaka, Ltd. ................................... 183,000 648,170
Bank of Saga, Ltd. .................................... 100,650 723,682
Bank of the Ryukyus, Ltd. ............................. 12,600 581,653
Bunka Shutter Co., Ltd. ............................... 89,000 495,962
#CKD Corp. ............................................. 68,000 594,097
CMK Corp. ............................................. 59,000 759,268
Cabin Co., Ltd. ....................................... 53,000 331,641
Calpis Food Industry Co., Ltd. ........................ 94,000 754,664
#Calsonic Corp. ........................................ 135,000 827,214
*#Central Finance Co., Ltd. ............................. 141,000 594,298
*Central Glass Co., Ltd. ............................... 255,000 921,251
*Chichibu Onoda Cement Corp. ........................... 115,500 576,818
#Chino Corp. ........................................... 54,000 258,843
*Chisan Tokan Co., Ltd. ................................ 56,000 185,785
*#Chori Co., Ltd. ....................................... 109,000 369,339
*#Chuetsu Pulp and Paper Co., Ltd. ..................... 139,000 772,952
Chugai Ro Co., Ltd. ................................... 60,000 259,268
Chugoku Marine Paints, Ltd. ........................... 95,000 431,818
Chugokukogyo Co., Ltd. ................................ 38,000 145,809
Chukyo Coca-Cola Bottling Co., Ltd. .................. 56,000 597,686
Chukyo Sogo Bank, Ltd. ................................ 159,000 1,032,468
Chuo Paperboard Co., Ltd. ............................. 48,000 172,845
Chuo Spring Co., Ltd., Nagoya ......................... 72,000 430,130
*#Clarion Co., Ltd. ..................................... 178,000 710,319
Cleanup Corp. ......................................... 56,000 879,339
*Co-Op Chemical Co., Ltd. .............................. 64,000 219,126
*Copal Co., Ltd. ....................................... 60,000 258,560
48
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*D'urban, Inc. ......................................... 89,000 $ 253,235
Dai Nippon Construction ............................... 63,000 446,281
#Dai Nippon Toryo, Ltd. ................................ 154,000 585,455
Dai-Ichi Hotel, Ltd., Tokyo ........................... 41,000 309,799
*Dai-Ichi Katei Denki Co., Ltd. ........................ 73,000 318,028
Dai-Ichi Kogyo Seiyaku Co., Ltd. ...................... 39,000 207,202
*Dai-Ichi Securities Co., Ltd. ......................... 179,000 593,849
Daido Concrete Co., Ltd. .............................. 24,000 117,591
#Daido Hoxan, Inc. ..................................... 70,000 471,901
#Daido Kogyo Co., Ltd. ................................. 51,000 276,978
#Daido Steel Sheet Corp. ............................... 53,000 434,888
Daidoh, Ltd. .......................................... 46,000 392,656
Daiei OMC, Inc. ....................................... 125,000 690,673
Daihen Corp. .......................................... 159,000 799,693
#Daiho Corp. ........................................... 80,000 534,593
Daiichi Cement Co., Ltd. .............................. 25,000 135,773
*#Daiichi Chuo Kisen Kaisha ............................. 208,000 586,919
Daiichi Jitsugyo Co., Ltd. ............................ 64,000 309,799
Daimei Telecom Engineering Corp. ..................... 39,000 360,071
Dainichiseika Colour & Chemicals Manufacturing Co.,
Ltd. ................................................. 107,000 804,711
#Daio Paper Corp. ...................................... 82,000 1,210,153
Daisan Bank, Ltd. ..................................... 166,000 1,175,915
Daiso Co., Ltd. ....................................... 46,000 189,540
#Daisue Construction Co., Ltd. ......................... 140,000 677,686
Daito Kogyo Co., Ltd. ................................. 59,000 293,955
*#Daito Woolen Spinning & Weaving Co., Ltd., Tokyo ..... 33,000 148,831
*Daiwa Danchi Co., Ltd. ................................ 134,000 680,283
Daiwa Seiko, Inc. ..................................... 111,000 571,381
*Daiwabo Co., Ltd. ..................................... 181,000 497,910
Dantani Corp. ......................................... 55,000 259,740
Danto Corp. ........................................... 28,000 360,331
#Denki Kogyo Co., Ltd. ................................. 80,000 753,719
Descente, Ltd. ........................................ 88,000 503,896
*Dijet Industrial Co., Ltd. ............................ 27,000 102,007
Dynic Corp. ........................................... 43,000 217,792
Ehime Bank, Ltd. ...................................... 170,000 915,230
*Enshu, Ltd. ........................................... 53,000 140,791
*#FDK Corp. ............................................. 76,000 524,014
#First Baking Co., Ltd. ................................ 55,000 363,636
France Bed Co., Ltd. .................................. 126,000 803,306
#Fudo Construction Co., Ltd. ........................... 120,000 932,231
Fuji Car Manufacturing Co., Ltd. ...................... 30,000 108,028
Fuji Denki Reiki Co., Ltd. ............................ 53,550 602,517
*#Fuji Kosan Co., Ltd. .................................. 97,000 356,163
#Fuji Kyuko Co., Ltd. .................................. 135,000 749,115
Fuji Oil Co., Ltd. .................................... 108,000 856,860
Fuji Spinning Co., Ltd., Tokyo ........................ 129,000 572,656
*Fujii & Co., Ltd. ..................................... 32,000 106,163
Fujiko Co., Ltd. ...................................... 48,000 190,980
Fujirebio, Inc. ....................................... 49,000 404,959
#Fujitec Co., Ltd. ..................................... 75,900 657,740
*#Fujitsu General, Ltd. ................................. 115,000 700,590
#Fujiya Co., Ltd. ...................................... 151,000 647,143
Fukuda Corp. .......................................... 55,000 574,675
Fukutoku Bank, Ltd. ................................... 177,000 466,009
*#Furukawa Battery Co., Ltd. ............................ 37,000 187,839
#Futaba Industrial Co., Ltd. ........................... 21,000 332,231
49
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*#Ga-jo-en Kanko K.K. ................................... 37,000 $ 62,031
*Gakken Co., Ltd. ...................................... 117,000 856,434
#Gastec Service, Inc. .................................. 34,000 257,308
Godo Shusei Co., Ltd. ................................. 61,000 277,273
Graphtec Corp. ........................................ 33,000 229,870
Gun-Ei Chemical Industry Co., Ltd. .................... 131,000 646,494
Gunze Sangyo, Inc., Tokyo ............................. 72,000 311,972
#Hakone Tozan Railway Co., Ltd. ........................ 46,000 244,392
Hakuyosha Co., Ltd. ................................... 44,000 293,506
Hanshin Sogo Bank, Ltd. ............................... 67,000 266,576
Harima Chemicals, Inc. ................................ 29,000 270,484
*Hayashikane Sangyo Co., Ltd. .......................... 106,000 260,307
Higashi-Nippon Bank, Ltd. ............................. 19,000 168,241
Hisaka Works, Ltd. .................................... 38,000 453,129
Hisamitsu Pharmaceutical Co., Inc. .................... 56,000 469,421
#Hitachi Electronics, Ltd. ............................. 65,000 767,414
Hitachi Plant Engineering & Construction Co., Ltd. .... 135,000 985,006
*#Hitachi Seiki Co., Ltd. ............................... 113,000 436,257
*Hitachi, Ltd. Issue 95 ................................ 94,500 901,488
Hochiki Corp. ......................................... 32,000 241,795
*Hodogaya Chemical Co., Ltd. ........................... 74,000 207,060
*Hohsui Corp. .......................................... 48,000 136,009
#Hokkai Can Co., Ltd., Tokyo ........................... 76,000 648,737
#Hokkaido Gas Co., Ltd. ................................ 67,050 364,936
Hokko Chemical Industry Co., Ltd. ..................... 34,000 209,941
*#Hoko Fishing Co., Ltd. ................................ 72,000 238,017
#Hokuetsu Paper Mills, Ltd. ............................ 77,000 685,455
*#Hokuriku Electric Industry Co., Ltd. .................. 89,000 363,566
#Hokuriku Seiyaku Co., Ltd. ............................ 58,000 739,551
Honen Corp. ........................................... 102,000 579,244
Horiba, Ltd. .......................................... 35,000 421,488
Howa Machinery, Ltd. .................................. 140,000 439,669
Ibiden Co., Ltd. ...................................... 129,000 801,110
Ichida and Co., Ltd. .................................. 61,000 320,484
Ichikawa Co., Ltd. .................................... 39,000 193,388
Ichiken Co., Ltd. ..................................... 42,000 447,769
#Ichikoh Industries, Ltd. .............................. 109,000 437,544
#Ihara Chemical Industry Co., Ltd. ..................... 60,000 396,694
*Iino Kaiun Kaisha, Ltd. ............................... 127,000 724,215
*Ikegai Corp. .......................................... 69,000 203,660
Ikegami Tsushinki Co., Ltd. ........................... 67,000 494,392
Inabata and Co., Ltd., Osaka .......................... 63,000 405,372
*Inageya Co., Ltd. ..................................... 13,000 197,993
*Ines Corp. ............................................ 59,000 626,919
Intec, Inc. ........................................... 42,000 619,835
*Inui Steamship Co., Ltd. .............................. 25,000 73,790
*#Iseki & Co., Ltd. ..................................... 210,000 785,950
Ishii Iron Works Co., Ltd. ............................ 43,000 208,654
Ishikawa Seisakusho, Ltd. ............................. 55,000 194,805
Ishizuka Glass Co., Ltd. .............................. 42,000 286,116
Itochu Fuel Corp. ..................................... 66,000 600,000
Itoki Crebio Corp. .................................... 46,000 439,906
Iwasaki Electric Co., Ltd. ............................ 90,000 419,717
Iwata Air Compressor Manufacturing Co., Ltd. .......... 59,000 245,891
*#Iwatsu Electric Co., Ltd. ............................. 116,000 530,012
Izutsuya Co., Ltd. .................................... 95,000 358,914
#JDC Corp. ............................................. 203,000 874,793
*Janome Sewing Machine Co., Ltd. ....................... 170,000 381,346
50
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Japan Aircraft Manufacturing Co., Ltd. ............... 56,000 $ 317,355
*#Japan Aviation Electronics Industry, Ltd. ............ 106,000 663,282
*Japan Carlit Co., Ltd. ................................ 22,000 130,130
*#Japan Coated Paper Manufacturing Co., Ltd. ........... 100,000 458,087
*#Japan Metals & Chemicals Co., Ltd. ................... 156,000 709,091
Japan Oil Transportation Co., Ltd. ................... 34,000 190,673
Japan Paper Industry Co., Ltd. ........................ 76,000 363,400
#Japan Pulp and Paper Co., Ltd. ........................ 161,000 1,022,645
#Japan Transcity Corp. ................................. 67,000 466,706
Japan Vilene Co., Ltd. ................................ 81,000 521,192
Japan Wool Textile Co., Ltd. .......................... 54,000 555,301
*#Jeol, Ltd. ............................................ 74,000 497,119
Joban Kosan Co., Ltd. ................................. 81,000 371,051
Joshin Denki Co., Ltd. ................................ 64,000 754,097
*#Jujiya Co., Ltd. ...................................... 89,000 278,453
Juken Sangyo Co., Ltd. ................................ 58,000 780,638
Juki Corp. ............................................ 116,000 332,798
Kagawa Bank, Ltd. ..................................... 61,000 680,579
Kagome Co., Ltd. ...................................... 82,000 987,485
Kakuei (L.) Corp. ..................................... 77,000 238,182
Kamei Corp. ........................................... 43,000 553,365
Kanaden Corp. ......................................... 39,000 285,939
Kanagawa Chuo Kotsu Co., Ltd. ......................... 65,000 414,404
*#Kanematsu-NNK Corp. ................................... 48,000 344,557
*#Kansai Kisen Kaisha ................................... 153,000 381,145
#Kansei Corp. .......................................... 57,000 469,728
Kanto Auto Works, Ltd., Yokosuka ..................... 81,000 573,790
Kanto Bank, Ltd. ...................................... 10,200 374,522
*#Kanto Denka Kogyo Co., Ltd. ........................... 63,000 256,612
Kanto Natural Gas Development Co., Ltd. .............. 72,000 607,792
*#Kanto Special Steel Works, Ltd. ....................... 58,000 184,888
Kasho Co., Ltd., Tokyo ................................ 38,000 339,174
#Kasumi Co., Ltd. ...................................... 62,000 576,080
#Katakura Industries Co., Ltd. ......................... 42,000 381,818
Kato Works Co., Ltd. .................................. 68,000 425,502
#Katsumura Construction Co., Ltd. ...................... 29,600 167,745
Kawada Industries, Inc. ............................... 60,000 553,955
Kawai Musical Instruments Manufacturing Co., Ltd. ..... 79,000 302,196
Kawashima Textile Manufacturers, Ltd. ................ 104,000 368,359
*Kawasho Corp. ......................................... 138,000 612,609
#Keihin Co., Ltd. ...................................... 78,000 360,071
Keiyo Co., Ltd. ....................................... 68,000 694,451
#Kimmon Manufacturing Co., Ltd. ........................ 36,000 191,263
Kimura Chemical Plants Co., Ltd. ...................... 21,000 74,380
#Kinki Nippon Tourist Co., Ltd. ........................ 77,000 636,364
Kinki Sharyo Co., Ltd., Nagaokakyo .................... 70,000 308,264
Kinseki, Ltd. ......................................... 36,000 518,536
*#Kinsho-Mataichi Corp. ................................. 36,000 150,885
*Kinugawa Rubber Industrial Co., Ltd. ................. 68,000 229,610
*Kioritz Corp. ......................................... 68,000 208,737
Kita-Nippon Bank, Ltd. ................................ 6,900 427,686
Kitagawa Iron Works Co., Ltd. ......................... 98,000 430,413
#Kitano Construction Corp. ............................. 94,000 689,185
Kitz Corp. ............................................ 155,000 728,335
51
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Koa Corp. ............................................. 47,000 $ 638,135
Koa Oil Co., Ltd. ..................................... 65,000 488,076
Koatsu Gas Kogyo Co., Ltd. ............................ 63,000 324,298
*#Kobe Kiito Co., Ltd. .................................. 45,000 130,165
Kokusai Kogyo Co., Ltd. ............................... 45,000 472,845
Komai Tekko, Inc. ..................................... 36,000 267,769
Komatsu Construction Co., Ltd. ........................ 25,000 138,725
Komatsu Forklift Co., Ltd. ............................ 101,000 649,882
Komatsu Seiren Co., Ltd. .............................. 27,000 350,649
#Komatsu Zenoah Co. .................................... 59,000 292,562
#Konami Co., Ltd. ...................................... 38,200 676,505
Kosei Securities Co., Ltd. ............................ 107,000 495,207
*Krosaki Corp. ......................................... 67,000 264,203
Kumiai Chemical Industry Co., Ltd., Tokyo ............ 104,000 586,919
Kurabo Industries, Ltd. ............................... 66,000 250,909
Kyodo Printing Co., Ltd. .............................. 67,000 720,626
Kyodo Shiryo Co., Ltd. ................................ 119,000 442,562
Kyoei Tanker Co., Ltd. ................................ 40,000 141,677
*#Kyokuyo Co., Ltd. ..................................... 135,000 510,035
#Kyosan Electric Manufacturing Co., Ltd. .............. 70,000 451,240
*#Kyotaru Co., Ltd. ..................................... 56,000 398,017
#Kyowa Exeo Corp. ...................................... 55,200 572,203
#Kyowa Leather Cloth Co., Ltd. ......................... 27,000 286,895
Kyushu Bank, Ltd. ..................................... 108,000 511,311
Life Corp. ............................................ 61,000 534,380
#Lintec Corp. .......................................... 45,000 664,109
#Magara Construction Co., Ltd. ......................... 53,000 311,617
*Makino Milling Machine Co., Ltd. ...................... 108,000 701,299
Maruei Department Store Co., Ltd. .................... 55,000 389,610
*Maruman Securities Co., Ltd. .......................... 80,000 358,914
Marusan Securities Co., Ltd. .......................... 88,000 619,221
#Maruyama Manufacturing Co., Inc. ..................... 58,000 311,570
#Maruzen Co., Ltd. ..................................... 116,000 780,638
#Maruzen Showa Unyu Co., Ltd. .......................... 116,000 646,423
Matsui Construction Co., Ltd. ......................... 32,000 292,420
Matsuo Bridge Co., Ltd. ............................... 30,000 170,012
#Matsuya Co., Ltd. ..................................... 61,000 382,420
*#Meiji Shipping Co., Ltd. .............................. 41,000 167,001
#Meisei Industrial Co., Ltd. ........................... 29,000 187,627
Meito Sangyo Co., Ltd. ................................ 30,840 487,906
*#Meiwa Trading Co., Ltd. ............................... 48,000 162,645
Mercian Corp. ......................................... 65,000 464,286
#Michinoku Bank, Ltd. .................................. 77,000 690,909
Mikuni Coca-Cola Bottling Co., Ltd. .................. 70,000 909,091
#Misawa Resort Co., Ltd. ............................... 23,000 190,083
#Mitsuba Electric Manufacturing Co., Ltd. ............. 42,000 406,612
Mitsubishi Kakoki Kaisha, Ltd. ........................ 91,000 698,347
Mitsubishi Pencil Co., Ltd. ........................... 39,000 367,898
Mitsubishi Plastics, Inc. ............................. 39,000 168,524
*Mitsubishi Shindoh Co., Ltd. .......................... 60,000 297,521
*Mitsubishi Steel Manufacturing Co., Ltd. ............. 165,000 851,299
Mitsuboshi Belting, Ltd. .............................. 119,000 620,992
#Mitsui Construction Co., Ltd. ......................... 239,000 945,277
Mitsui High-Tec, Inc. ................................. 36,000 718,300
#Mitsui Matsushima Co., Ltd. ........................... 74,000 272,586
*#Mitsui Mining Co., Ltd. ............................... 182,000 805,785
#Mitsui Sugar Co., Ltd. ................................ 100,000 389,610
Mitsumi Electric Co., Ltd. ............................ 59,000 968,241
52
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Mitsuuroko Co., Ltd. .................................. 81,000 $ 612,043
#Miyaji Iron Works Co. Ltd. ............................ 75,000 380,756
*Miyakoshi Corp. ....................................... 18,000 39,315
Miyazaki Bank, Ltd. ................................... 127,000 869,658
Miyoshi Oil & Fat Co., Ltd. ........................... 96,000 389,894
Miyuki Keori Co., Ltd. ................................ 33,000 237,662
Morita Fire Pump Manufacturing Co., Ltd. ............. 35,000 239,669
Morozoff, Ltd., Osaka ................................. 44,000 181,818
Mory Industries, Inc. ................................. 49,000 314,132
*Mutoh Industries, Ltd. ................................ 49,000 335,537
Mutow Co., Ltd. ....................................... 31,000 283,648
Nabco, Ltd. ........................................... 95,000 369,008
*Nachi-Fujikoshi Corp. ................................. 202,000 751,240
*Nagasakiya Co., Ltd. (Tokyo) .......................... 32,000 170,390
Nagatanien Co., Ltd. .................................. 44,000 413,506
Naigai Co., Ltd. ...................................... 90,000 461,157
Nakabayashi Co., Ltd. ................................. 35,000 243,802
Nakamuraya Co., Ltd. .................................. 70,000 455,372
Nakano Corp. .......................................... 56,000 271,074
Nakayama Steel Works, Ltd. ............................ 134,000 791,027
#Neturen Co., Ltd., Tokyo .............................. 45,000 369,244
Nichia Steel Works, Ltd. .............................. 29,000 261,924
#Nichias Corp. ......................................... 152,000 692,704
Nichiban Co., Ltd. .................................... 46,000 285,124
*Nichiboshin, Ltd. ..................................... 93,000 147,131
Nichicon Corp. ........................................ 30,000 361,275
Nichiei Co., Ltd. Yokohama ............................ 108,000 478,158
#Nichiei Construction Co., Ltd. ........................ 73,000 642,090
*Nichimo Co., Ltd. ..................................... 43,000 190,378
*Nichimo Corp. ......................................... 69,000 293,270
#Nichireki Co., Ltd. ................................... 35,000 338,843
*Nichiro Corp. ......................................... 197,000 721,015
Nifco, Inc. ........................................... 62,000 841,795
*Nihon Kentetsu Co., Ltd. .............................. 23,000 153,424
#Nihon Kohden Corp. .................................... 50,000 475,207
#Nihon Matai Co., Ltd. ................................. 40,000 263,046
Nihon Nohyaku Co., Ltd. ............................... 74,000 541,677
#Nihon Nosan Kogyo K.K. ................................ 161,000 629,174
Nihon Parkerizing Co., Ltd. ........................... 79,000 483,140
Nihon Spindle Manufacturing Co., Ltd. ................ 43,000 148,241
Niigata Chuo Bank, Ltd. ............................... 107,000 409,303
*Nikkatsu Corp. ........................................ 191,000 18,040
#Nikken Chemicals Co., Ltd. ............................ 89,000 672,491
Nikkiso Co., Ltd. ..................................... 84,000 588,099
Nikko Co., Ltd., Akashi ............................... 54,000 433,530
Nippon Beet Sugar Manufacturing Co., Ltd. ............ 183,000 771,322
*Nippon Carbide Industries Co., Inc., Tokyo ........... 80,000 387,249
*#Nippon Carbon Co., Ltd. ............................... 132,000 453,506
*Nippon Chemi-Con Corp. ................................ 142,000 759,457
Nippon Chemical Industrial Co., Ltd. ................. 90,000 668,359
Nippon Chemiphar Co., Ltd. ............................ 42,000 289,587
*#Nippon Columbia Co., Ltd. ............................. 81,000 482,940
#Nippon Concrete Industries Co., Ltd. ................. 50,000 233,176
Nippon Conlux Co., Ltd. ............................... 49,000 323,967
Nippon Conveyor Co., Ltd. ............................. 33,000 158,961
Nippon Denko Co., Ltd. ................................ 130,000 468,123
*#Nippon Densetsu Kogyo Co., Ltd. ...................... 49,000 552,479
*#Nippon Electric Industry Co., Ltd. .................... 44,000 176,623
53
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Nippon Felt Co., Ltd. ................................. 24,000 $ 127,509
#Nippon Flour Mills Co., Ltd. .......................... 131,000 666,600
#Nippon Formula Feed Manufacturing Co., Ltd. .......... 86,000 355,372
#Nippon Gas Co., Ltd. .................................. 52,000 389,847
*Nippon Housing Loan Co., Ltd. ......................... 62,000 110,531
Nippon Hume Pipe Co., Ltd. ............................ 33,000 168,701
*#Nippon Kasei Chemical Co., Ltd. ....................... 96,000 306,021
Nippon Kinzoku Co., Ltd. .............................. 75,000 345,336
Nippon Koei Co., Ltd., Tokyo .......................... 100,350 1,066,293
*Nippon Koshuha Steel Co., Ltd. ........................ 97,000 300,047
*Nippon Lace Co., Ltd. ................................. 20,000 59,504
#Nippon Metal Industry Co., Ltd. ....................... 187,000 713,117
Nippon Pipe Manufacturing Co., Ltd. .................. 29,000 154,073
#Nippon Piston Ring Co., Ltd. .......................... 88,000 430,130
*#Nippon Road Co., Ltd. ................................. 20,000 198,347
#Nippon Shinyaku Co., Ltd. ............................. 49,800 537,981
Nippon Signal Co., Ltd. ............................... 71,000 565,821
*#Nippon Soda Co., Ltd. ................................. 102,000 561,181
*Nippon Steel Chemical Co., Ltd. ....................... 220,000 828,571
#Nippon Synthetic Chemical Industry Co., Ltd. ......... 105,000 566,529
Nippon Thompson Co., Ltd. ............................. 86,000 538,135
Nippon Trust Bank, Ltd. ............................... 70,000 294,215
Nippon Valqua Industries, Ltd. ........................ 98,000 404,959
*Nippon Yakin Kogyo Co., Ltd. .......................... 158,000 774,144
*Nippon Yusoki Co., Ltd. ............................... 39,000 143,200
#Nissan Construction Co., Ltd. ......................... 102,000 587,674
Nissan Shatai Co., Ltd. ............................... 124,000 783,235
Nissha Printing Co., Ltd. ............................. 25,000 354,191
Nissin Corp. .......................................... 117,000 559,445
Nissin Electric Co., Ltd. ............................. 124,000 783,235
Nittetsu Mining Co., Ltd. ............................. 96,000 890,862
*Nitto Boseki Co., Ltd. ................................ 297,000 774,935
#Nitto Chemical Industry Co., Ltd. ..................... 88,000 386,494
#Nitto Flour Milling Co., Ltd. ......................... 43,000 275,667
*Nitto Seiko Co., Ltd. ................................. 25,000 98,288
*Nitto Seimo Co., Ltd. ................................. 25,000 88,548
#Nittoc Construction Co., Ltd. ......................... 51,000 529,870
Noritz Corp. .......................................... 43,000 888,430
North Pacific Bank, Ltd. .............................. 160,000 887,839
*Nozaki and Co., Ltd. .................................. 48,000 159,811
O-M, Ltd. ............................................. 28,000 76,364
*OKK Corp. ............................................. 78,000 230,224
OSG Manufacturing Co., Ltd. ........................... 119,000 709,504
#Obayashi Road Corp. ................................... 54,000 464,132
Odakyu Construction Co., Ltd. ......................... 23,000 179,221
#Odakyu Real Estate Co., Ltd. .......................... 49,000 289,256
*#Ohkura Electric Co., Ltd. ............................. 28,000 208,264
Oita Bank, Ltd. ....................................... 119,000 1,025,620
Okabe Co., Ltd. ....................................... 32,000 277,686
Okamura Corp. ......................................... 47,000 388,985
Oki Electric Cable Co., Ltd. .......................... 45,000 208,796
*Okuma Corp. ........................................... 78,000 563,589
*Okuma and Howa Machinery, Ltd. ....................... 55,000 188,961
Okura Industrial Co., Ltd. ............................ 79,000 587,603
*Okura and Co., Ltd. ................................... 112,000 416,529
*Ono Sokki Co., Ltd. ................................... 34,000 208,737
Optec Dai-Ichi Denko Co., Ltd. ........................ 115,000 503,719
#Organo Corp. .......................................... 66,000 638,961
Origin Electric Co., Ltd. ............................. 38,000 172,727
Osaka Oxygen Industries, Ltd. ......................... 56,000 195,041
#Osaki Electric Co., Ltd. .............................. 42,000 277,686
54
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Pacific Industrial Co., Ltd. .......................... 61,000 $ 302,479
*#Pacific Metals Co., Ltd. .............................. 205,000 854,368
Parco Co., Ltd. ....................................... 53,000 563,164
Pasco Corp. ........................................... 114,000 522,220
Pilot Corp. ........................................... 27,000 181,700
#Pokka Corp. ........................................... 36,000 395,277
*#Press Kogyo Co., Ltd. ................................. 114,000 410,508
Prima Meat Packers, Ltd. .............................. 186,000 779,575
#Rasa Industries, Ltd. ................................. 71,000 436,730
Renown Look, Inc. ..................................... 39,000 276,269
Rheon Automatic Machinery Co., Ltd. .................. 32,000 360,047
#Rhythm Watch Co., Ltd. ................................ 166,000 601,677
#Riken Corp. ........................................... 115,000 583,825
#Riken Vinyl Industry Co., Ltd. ........................ 83,000 715,348
Rohto Pharmaceutical Co., Ltd. ........................ 50,000 460,449
Royal Co., Ltd. ....................................... 47,000 710,272
#Ryobi, Ltd. ........................................... 147,000 824,380
Ryoden Trading Co., Ltd. .............................. 58,000 465,643
Ryoyo Electro Corp. ................................... 37,000 725,148
#SMK Corp. ............................................. 95,000 555,195
SS Pharmaceutical Co., Ltd., Tokyo ................... 68,000 457,615
#SXL Corp. ............................................. 95,000 1,012,810
#Saeki Kensetsu Kogyo Co., Ltd. ........................ 58,000 291,712
Sagami Co., Ltd. ...................................... 47,000 344,038
Sakai Chemical Industry Co., Ltd. .................... 125,000 724,616
Sakai Heavy Industries, Ltd. .......................... 49,000 329,752
#Sakai Ovex Co., Ltd. .................................. 73,000 375,773
Sakata Inx Corp. ...................................... 68,000 464,841
Sakurada Co., Ltd. .................................... 32,000 190,791
#San-Ai Oil Co., Ltd. .................................. 92,000 629,988
Sanden Corp. .......................................... 165,000 942,857
Sankei Building Co., Ltd. ............................. 63,000 450,000
#Sanken Electric Co., Ltd. ............................. 100,000 761,511
Sanko Metal Industrial Co., Ltd., Tokyo .............. 44,000 225,974
*Sankyo Seiki Manufacturing Co., Ltd. ................. 99,000 464,026
Sankyo Seiko Co., Ltd. ................................ 67,000 495,183
*#Sansui Electric Co., Ltd. ............................. 23,000 52,952
Sanyo Industries, Ltd., Tokyo ......................... 39,000 238,512
Sanyo Shokai, Ltd. .................................... 156,000 869,327
Sanyo Special Steel Co., Ltd. ......................... 204,000 867,060
Sasaki Glass Co., Ltd. ................................ 49,000 196,694
Sasebo Heavy Industries Co., Ltd., Tokyo ............. 193,000 442,054
Sata Construction Co., Ltd., Gumma ................... 48,000 270,319
Sato Shoji Corp. ...................................... 24,000 170,012
*Sawafugji Electric Co., Ltd. .......................... 22,000 106,494
#Seika Corp. ........................................... 111,000 589,728
Seikitokyu Industries Co., Ltd. ....................... 71,000 339,492
*Seiko Corp. ........................................... 16,000 131,287
Seiren Co., Ltd. ...................................... 69,000 541,736
Seiyo Food Systems, Inc. .............................. 86,000 919,906
#Sekisui Jushi Co., Ltd. ............................... 56,000 694,215
Sekisui Plastics Co., Ltd. ............................ 122,000 727,391
Senko Co., Ltd. ....................................... 61,000 401,865
*Settsu Corp. .......................................... 251,000 986,812
#Shibaura Engineering Works Co., Ltd. ................. 37,000 196,576
#Shibusawa Warehouse Co., Ltd. ......................... 91,000 544,711
Shibuya Kogyo Co., Ltd. ............................... 35,000 334,711
55
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Shikibo, Ltd. ......................................... 121,000 $ 298,571
Shikoku Chemicals Corp. ............................... 76,000 369,681
Shimizu Bank, Ltd. .................................... 10,700 884,298
#Shimura Kako Co., Ltd. ................................ 46,000 234,073
Shin-Etsu Polymer Co., Ltd. ........................... 94,000 478,323
#Shin-Kobe Electric Machinery Co., Ltd. ............... 58,000 301,299
#Shinagawa Fuel Co., Ltd. .............................. 95,000 787,367
Shinagawa Refractories Co., Ltd. ...................... 75,000 609,209
#Shindengen Electric Manufacturing Co., Ltd. ........... 85,000 569,008
*#Shinko Electric Co., Ltd. ............................. 168,000 531,570
#Shinko Shoji Co., Ltd. ................................ 27,000 318,772
#Shinsho Corp. ......................................... 88,000 303,377
*Shintom Co., Ltd. ..................................... 43,000 212,208
Shinwa Bank, Ltd. ..................................... 187,005 1,291,593
*Shinwa Kaiun Kaisha, Ltd. ............................. 187,000 516,623
#Shinyei Kaisha ........................................ 44,000 179,740
Shiroki Co., Ltd. ..................................... 99,000 444,156
#Sho-Bond Corp. ........................................ 32,600 1,054,593
#Shochiku Co., Ltd. .................................... 92,000 1,040,567
#Shoko Co., Ltd. ....................................... 125,000 457,497
*#Shokusan Jutaku Sogo Co., Ltd. ........................ 172,000 647,792
#Showa Aluminum Corp. .................................. 101,000 429,280
Showa Highpolymer Co., Ltd. ........................... 60,000 478,158
*Showa Line, Ltd. ...................................... 357,000 665,950
Showa Manufacturing Co., Ltd. ......................... 73,000 517,119
#Showa Sangyo Co., Ltd. ................................ 153,000 644,876
*#Silver Seiko, Ltd. .................................... 64,000 143,566
#Sintokogio, Ltd., Nagoya .............................. 71,000 567,497
Sogo Co., Ltd. ........................................ 152,000 590,413
#Sokkisha Co., Ltd. .................................... 31,000 360,508
Sotetsu Rosen Co., Ltd. ............................... 30,000 260,331
Star Micronics Co., Ltd. .............................. 36,000 276,269
Subaru Enterprise Co., Ltd. ........................... 30,000 228,453
Sumikin Bussan Kaisha, Ltd. ........................... 17,600 81,039
Sumisho Computer Systems Corp. ....................... 40,000 500,590
*Sumitomo Coal Mining Co., Ltd. ........................ 88,000 443,636
#Sumitomo Construction Co., Ltd. ....................... 210,000 1,239,669
Sumitomo Corporation's Leasing, Ltd. ................. 29,000 210,567
*Sumitomo Osaka Cement Co., Ltd. ...................... 110,500 459,221
Sumitomo Precision Products Co., Ltd., Amagasaki City 61,000 383,140
Sumitomo Sieka Chemicals Co., Ltd. ................... 76,000 394,805
#Sumitomo Sitix Corp. .................................. 28,000 274,380
*#Sumitomo Special Metals Co., Ltd., Osaka ............. 48,000 725,384
Sumitomo Warehouse Co., Ltd. .......................... 90,000 537,662
Sun Telephone Co., Ltd. ............................... 52,000 356,080
Sun Wave Corp. ........................................ 58,000 828,571
Suzutan Co., Ltd. ..................................... 52,000 420,543
#TOC Co., Ltd. ......................................... 78,000 759,740
TYK Corp. ............................................. 55,000 225,974
Tabai Espec Corp. ..................................... 11,000 103,506
#Tada Construction Co., Ltd. ........................... 23,000 102,102
#Taihei Dengyo Kaisha, Ltd. ............................ 48,700 804,959
#Taihei Kogyo Co., Ltd. ................................ 86,000 472,137
*Taiheiyo Bank, Ltd. ................................... 76,000 331,995
*#Taiheiyo Kaiun Co., Ltd. .............................. 61,000 138,996
Taiheiyo Kouhatsu, Inc. ............................... 71,000 243,093
*Taiheiyo Securities Co., Ltd. ......................... 127,000 412,338
56
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Taikisha, Ltd. ........................................ 45,000 $ 674,734
Taisei Fire & Marine Insurance Co., Ltd. ............. 89,000 491,759
Taisei Rotec Corp. .................................... 106,000 762,149
Taito Co., Ltd. ....................................... 57,000 235,537
#Taiyo Toyo Sanso Co., Ltd. ............................ 121,000 511,429
*Taiyo Toyo Sanso Co., Ltd. Issue 95 .................. 37,400 153,221
*Taka-Q Co., Ltd. ...................................... 63,000 184,463
#Takaoka Electric Manufacturing Co., Ltd., Tokyo ...... 120,000 566,706
Takara Co., Ltd. ...................................... 32,000 357,025
Takasago International Corp. .......................... 120,000 831,641
*#Takasaki Paper Manufacturing Co., Ltd. ............... 119,000 358,264
#Takashima & Co., Ltd. ................................. 52,000 206,895
#Takiron Co., Ltd. ..................................... 94,000 579,315
#Tamura Corp. .......................................... 76,000 450,437
*#Tamura Electric Works, Ltd. ........................... 58,000 628,619
Tatsuta Electric Wire & Cable Co., Ltd. .............. 84,000 371,901
*Tayca Corp. ........................................... 59,000 219,421
*#Teac Corp. ............................................ 82,000 396,930
*Tec Corp. ............................................. 55,000 221,429
#Teijin Seiki Co., Ltd. ................................ 44,000 193,766
*#Teikoku Sen-I Co., Ltd. ............................... 32,000 147,344
#Teikoku Tsushin Kogyo Co., Ltd. ....................... 57,000 309,563
Teisan Co., Ltd. ...................................... 149,000 823,282
Tenma Corp. ........................................... 24,000 569,540
#Tesac Corp. ........................................... 68,000 258,512
Titan Kogyo Kabushiki Kaisha .......................... 30,000 155,844
Toa Doro Kogyo Co., Ltd. .............................. 73,000 463,684
*Toa Wool Spinning & Weaving Co., Ltd. ................ 61,000 216,777
#Tobu Store Co., Ltd. .................................. 58,000 465,643
Tochigi Fuji Industrial Co., Ltd. ..................... 41,000 382,893
Tochigi Sogo Bank, Ltd. ............................... 83,000 916,234
#Toda Kogyo Corp. ...................................... 60,000 434,947
#Todentu Corp. ......................................... 48,000 452,798
#Toei Co., Ltd. ........................................ 84,000 582,149
*Toenec Corp. .......................................... 19,000 194,038
*#Toho Rayon Co., Ltd. .................................. 110,000 427,273
Toho Real Estate Co., Ltd. ............................ 61,000 432,113
#Toho Zinc Co., Ltd. ................................... 123,000 471,960
Tohto Suisan Co., Ltd. ................................ 45,000 220,484
#Tokai Carbon Co., Ltd. ................................ 236,000 952,916
Tokai Corp. ........................................... 83,000 529,162
*Tokai Kanko Co., Ltd. ................................. 114,000 181,700
*#Tokai Kogyo Co., Ltd. ................................. 89,000 261,641
#Tokai Pulp Co., Ltd. .................................. 72,000 534,687
Tokai Rika Co., Ltd. .................................. 83,000 815,301
Tokai Senko K.K. Nagoya ............................... 41,000 159,740
Tokico, Ltd. .......................................... 147,000 652,562
*Tokimec, Inc. ......................................... 66,000 300,000
#Tokin Corp. ........................................... 70,000 884,298
Toko Electric Corp. ................................... 33,000 225,974
#Toko, Inc. ............................................ 112,000 782,810
Tokushu Paper Manufacturing Co., Ltd. ................ 59,000 550,295
Tokuyo City Bank, Ltd. ................................ 89,000 274,250
Tokyo Denki Komusho Co., Ltd. ......................... 40,000 457,615
#Tokyo Machinery Works Co., Ltd. ....................... 80,000 495,868
Tokyo Nissan Auto Sales Co., Ltd. .................... 49,000 393,388
Tokyo Rakutenchi Co., Ltd. ............................ 74,000 358,205
57
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Tokyo Rope Manufacturing Co., Ltd. ................... 113,000 $ 561,665
Tokyo Securities Co., Ltd. ............................ 74,000 345,100
Tokyo Seimitsu Co., Ltd. .............................. 37,000 406,257
Tokyo Tanabe Co., Ltd., Tokyo ......................... 81,000 627,344
#Tokyo Tekko Co., Ltd. ................................. 52,000 302,668
Tokyo Theatres Co., Inc., Tokyo ....................... 84,000 231,074
*Tokyu Car Corp. ....................................... 138,000 710,366
Tokyu Store Chain Corp. ............................... 80,000 588,430
*Tokyu Tourist Corp. ................................... 31,000 110,897
#Toli Corp. ............................................ 76,000 643,353
Tomoe Corp. ........................................... 46,000 339,976
*Tomoegawa Paper Co., Ltd. ............................. 31,000 135,785
Tomoku Co., Ltd. ...................................... 127,000 688,229
#Tonami Transportation Co., Ltd. ....................... 112,000 838,347
*#Topcon Corp. .......................................... 52,000 438,961
#Tophe Corp. ........................................... 26,000 122,479
Topre Corp. ........................................... 65,000 496,517
Topy Industries, Ltd. ................................. 75,000 324,085
Torishima Pump Manufacturing Co., Ltd., Osaka ........ 18,000 163,636
*Toshiba Ceramics Co., Ltd. ............................ 110,000 774,026
Toshiba Engineering & Construction Co., Ltd. .......... 87,000 821,724
Toshiba Machine Co., Ltd. ............................. 115,000 556,671
*Toshibo Tungaloy Co.,Ltd. ............................. 91,000 430,826
#Tosho Printing Co., Ltd. .............................. 58,000 295,821
Tostem Viva Corp. ..................................... 58,000 376,623
Totenko Co., Ltd. ..................................... 26,000 131,074
Totetsu Kogyo Co., Ltd. ............................... 44,000 308,571
Totoku Electric Co., Ltd., Tokyo ...................... 50,000 301,063
*#Towa Real Estate Development Co., Ltd. ............... 130,000 469,658
Toyama Chemicals Co., Ltd. ............................ 179,000 862,243
Toyo Aluminium K.K. ................................... 63,000 375,620
#Toyo Chemical Co., Ltd. ............................... 37,000 283,589
Toyo Construction Co., Ltd. ........................... 199,000 1,017,320
Toyo Corp. ............................................ 31,000 256,930
*Toyo Electric Co., Ltd. ............................... 53,000 178,335
#Toyo Kanetsu K.K. ..................................... 160,000 834,947
#Toyo Kohan Co., Ltd. .................................. 115,000 836,364
Toyo Radiator Co., Ltd. ............................... 83,000 364,534
*Toyo Securities Co., Ltd. ............................. 90,000 302,834
Toyo Shutter Co., Ltd. ................................ 20,000 133,648
#Toyo Sugar Refining Co., Ltd. ......................... 52,000 174,970
*#Toyo Tire & Rubber Co., Ltd. .......................... 196,000 865,455
*Toyo Umpanki Co., Ltd. ................................ 106,000 454,286
Toyo Wharf & Warehouse Co., Ltd. ..................... 94,000 419,504
Toyoda Gosei Co., Ltd. ................................ 61,000 471,724
#Toyoda Machine Works, Ltd. ............................ 116,000 898,418
Toyota Auto Body Co., Ltd. ............................ 96,000 855,726
Tsubakimoto Chain Co. ................................. 48,000 227,816
Tsubakimoto Machinery & Engineering Co., Ltd. ........ 36,000 184,038
#Tsubakimoto Precision Products Co., Ltd. ............. 53,000 650,767
Tsudakoma Corp. ....................................... 49,000 358,678
58
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Tsugami Corp. ......................................... 99,000 $ 404,416
Tsukamoto Co., Ltd. ................................... 32,000 151,122
#Tsukishima Kikai Co., Ltd. ............................ 50,900 757,190
#Tsumura & Co., Inc. ................................... 80,000 1,350,649
#Tsurumi Manufacturing Co., Ltd. ....................... 31,000 376,978
Tsutsunaka Plastic Industry Co., Ltd. ................ 59,000 602,538
Uchida Yoko Co., Ltd. ................................. 60,000 327,981
Ueki Corp. ............................................ 37,000 210,992
#Unisia Jecs Corp. ..................................... 139,000 787,721
#Utoc Corp. ............................................ 33,000 152,338
Wakachiku Construction Co., Ltd. ...................... 148,000 838,725
Wakamoto Pharmaceutical Co., Ltd. .................... 36,000 235,891
*Yahagi Iron Co., Ltd. ................................. 33,000 93,506
Yamagata Bank, Ltd. ................................... 185,000 1,214,404
Yamamura Glass Co., Ltd. .............................. 139,000 951,830
#Yamatane Corp. ........................................ 92,000 716,883
*Yamatane Securities Co., Ltd. ......................... 159,000 598,831
#Yamato Kogyo Co., Ltd. ................................ 44,000 392,208
*#Yamazen Co., Ltd. ..................................... 105,000 371,901
Yokogawa Bridge Corp. ................................. 48,000 600,708
*Yokohama Matsuzakaya, Ltd. ............................ 21,000 79,339
Yokohama Reito Co., Ltd. .............................. 53,000 638,253
Yomeishu Seizo Co., Ltd. .............................. 37,000 331,995
#Yomiuri Land Co., Ltd. ................................ 100,000 809,917
Yondenko Corp. ........................................ 46,000 472,491
Yoshihara Oil Mill, Ltd. .............................. 27,000 117,946
#Yoshimoto Kogyo Co., Ltd. ............................. 16,000 228,571
#Yuasa Trading Co., Ltd. ............................... 124,000 670,508
*Yuken Kogyo Co., Ltd. ................................. 50,000 180,047
#Zenchiku Co., Ltd. .................................... 98,000 379,504
------------------
(Cost $307,715,474) ................................... 303,404,083
------------------
INVESTMENT IN CURRENCY -- (0.9%)
*Japanese Yen (Cost $2,890,250) .......................... 2,833,719
------------------
Face
Amount
------------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.9%)
Repurchase Agreement, PNC Securities Corp. 5.85%,
06/01/95 (Collateralized by U.S. Treasury Notes 7.50%,
12/31/96) (Cost $12,359,000) ............................ $ 12,359 12,359,000
------------------
TOTAL INVESTMENTS -- (100.0%) (Cost $322,964,724) ......... $318,596,802
==================
</TABLE>
- - ------
+See Note B to Financial Statements.
*Non-Income Producing Securities.
#Securities on loan.
See accompanying Notes to Financial Statements
59
<PAGE>
SCHEDULE OF INVESTMENTS
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
MALAYSIA -- (25.9%)
COMMON STOCKS -- (25.7%)
Acidchem (Malaysia) Berhad .............................. 75,850 $234,143
Actacorp Holdings Berhad ................................ 39,000 71,917
*Advance Synergy Berhad .................................. 260,400 473,839
Ajinimoto (Malaysia) Berhad ............................. 44,000 108,123
Aluminum Co. of Malaysia ................................ 139,000 214,541
Amalgamated Industrial Steel Berhad .................... 125,000 319,862
*Anakku Corp. Berhad ..................................... 10,000 27,011
*Anson Perdana Berhad .................................... 77,000 131,357
Antah Holding Berhad .................................... 280,000 209,261
Arab Malaysia Corp. Berhad .............................. 261,000 895,796
Arab Malaysia Development Berhad ....................... 710,000 487,368
Arensi Holdings (Malaysia) Berhad ...................... 22,000 49,147
Asia Pacific Land Berhad ................................ 602,100 379,064
*Austral Amalgamated Tin Berhad .......................... 94,000 163,412
Austral Enterprises Berhad .............................. 96,000 267,100
Autoways Holdings Berhad ................................ 10,000 28,432
Ayer Hitam Planting Syndicate Berhad ................... 50,000 229,488
*Ayer Hitam Tin Dredging Malaysia Berhad ................ 48,000 63,948
Ayer Molek Rubber Co. Berhad ............................ 1,000 40,414
Ban Hin Lee Bank Berhad ................................. 47,000 138,404
Bandar Raya Developments Berhad ........................ 354,000 733,306
Batu Kawan Berhad ....................................... 236,000 584,728
Benta Plantations Berhad ................................ 100,100 94,733
Berjaya Group Berhad .................................... 928,500 814,606
Berjaya Industrial Berhad ............................... 614,000 411,495
Berjaya Leisure Berhad .................................. 500,000 426,483
*Berjuntai Tin Dredging Berhad ........................... 36,000 156,458
Binaan Setegap Berhad ................................... 32,000 49,911
Bolton Properties Berhad ................................ 150,000 196,182
Bukit Katil Rubber Estates Berhad ....................... 7,000 75,345
CI Holdings Berhad ...................................... 64,000 246,954
Carlsberg Brewery Malaysia Berhad ...................... 124,250 605,605
Cement Industries of Malaysia Berhad ................... 160,000 519,903
Cement Manufacturers Sarawak Berhad .................... 73,500 414,968
Chemical Co. of Malaysia Berhad ......................... 106,000 439,155
Chew Piau Berhad ........................................ 28,000 92,120
Chin Teck Plantations Berhad ............................ 66,000 202,396
Chocolate Products (Malaysia) Berhad ................... 136,000 103,851
Cold Storage (Malaysia) Berhad .......................... 90,000 142,567
Computer Forms Malaysia Berhad .......................... 16,000 34,119
Concrete Engineering Products Berhad ................... 24,000 36,263
Cycle & Carriage Bintang Berhad ......................... 117,000 498,985
DNP Holdings Berhad ..................................... 185,000 199,127
Daibochi Plastic & Packaging Industry Berhad ........... 32,200 77,165
Dataprep Holdings Berhad ................................ 31,000 52,380
*Denko Industrial Corp. Berhad ........................... 16,000 25,215
60
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Dutch Baby Milk Industry (Malaysia) Berhad ............. 19,000 $109,586
East Asiatic Co. (Malaysia) Berhad ...................... 377,000 673,761
*Eastern & Oriental Berhad ............................... 27,000 53,956
*FA Peninsular Berhad .................................... 84,000 80,861
*FACB Berhad ............................................. 696,000 356,198
FCW Holdings Berhad ..................................... 70,000 420,796
Far East Holdings Berhad ................................ 66,000 108,302
Federal Flour Mills Berhad .............................. 217,000 634,606
Fima Corp. Berhad ....................................... 34,000 82,859
Gadek (Malaysia) Berhad ................................. 63,000 368,481
*General Corp. Berhad .................................... 386,000 296,320
George Kent (Malaysia) Berhad ........................... 102,500 195,674
George Town Holdings Berhad ............................. 49,000 119,415
Glenealy Plantations (Malaysia) Berhad ................. 76,000 277,823
Goh Ban Huat Berhad ..................................... 67,000 151,036
Gold Coin (Malaysia) Berhad ............................. 46,000 113,038
Golden Frontier Berhad .................................. 29,000 38,164
Golden Plus Holdings Berhad ............................. 160,000 389,927
Gopeng Berhad ........................................... 94,500 118,989
Guinness Anchor Berhad .................................. 368,000 675,613
*Gula Perak Berhad ....................................... 60,000 71,405
Guthrie Ropel Berhad .................................... 142,000 235,321
Hexza Corp. Berhad ...................................... 163,000 133,075
Hil Industries Berhad ................................... 11,000 20,106
Ho Hup Construction Co. Berhad .......................... 71,000 265,313
Hock Hua Bank Berhad .................................... 148,000 510,967
Hospital Pantai Berhad .................................. 28,500 70,035
IGB Corp. Berhad ........................................ 561,000 455,727
IOI Properties Berhad ................................... 52,700 184,086
Inchcape Timuran Berhad ................................. 50,000 120,837
*Innovest Berhad ......................................... 220,000 91,145
*Insas Berhad ............................................ 376,000 342,096
Island & Peninsular Berhad .............................. 139,000 386,738
Jaya Netting Industries Berhad .......................... 18,000 24,858
Jaya Tiasa Holdings Berhad .............................. 78,000 316,816
Johan Holdings Berhad ................................... 374,000 356,986
*Kampong Lanjut Tin Dredging Berhad ..................... 28,000 82,453
Kanzen Berhad ........................................... 93,000 119,366
Keck Seng (Malaysia) Berhad ............................. 193,000 387,254
Kedah Cement Holdings Berhad ............................ 355,000 487,368
Kelang Container Terminal Berhad ........................ 152,000 388,952
Kemayan Corp. Berhad .................................... 301,000 498,814
Kentucky Fried Chicken Holding (Malaysia) Berhad ....... 114,000 597,319
Khong Guan Holdings (Malaysia) Berhad .................. 21,000 127,092
Kian Joo Can Factory Berhad ............................. 141,000 584,159
*Kluang Rubber Co. (Malaysia) Berhad .................... 2,000 91,795
Kretam Holdings Berhad .................................. 97,500 265,333
Kuala Sidim Berhad ...................................... 109,000 230,219
*Kuantan Flour Mills Berhad .............................. 19,000 29,634
Kulim Malaysia Berhad ................................... 220,200 304,094
Kumpulan Belton Berhad .................................. 21,000 31,389
Kumpulan Emas Berhad .................................... 134,000 116,474
Kwong Onn Industries Berhad ............................. 62,000 78,067
Larut Consolidated Berhad ............................... 181,250 288,587
61
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Leisure Management Berhad ............................... 80,000 $167,344
Lien Hoe Corp. Berhad ................................... 215,000 254,123
Lim Kim Hai Holdings Berhad ............................. 43,000 118,765
Lingui Development Berhad ............................... 300,000 725,020
Lion Corp. Berhad ....................................... 94,000 109,959
Lion Land Berhad ........................................ 246,375 291,207
Long Huat Group Berhad .................................. 33,000 38,201
MBF Holdings Berhad ..................................... 738,500 464,937
MCB Holdings Berhad ..................................... 177,000 130,845
MMC Engineering Group Berhad ............................ 38,000 115,760
MWE Holdings Berhad ..................................... 115,000 130,788
*MWE Holdings Berhad 'A' ................................. 49,000 50,154
Malakoff Berhad ......................................... 257,000 709,829
Malaya Glass Berhad ..................................... 27,000 84,992
Malayan Cement Berhad ................................... 393,000 619,350
Malayan Flour Mills Berhad .............................. 77,000 100,707
Malayan United Manufacturing Berhad .................... 161,000 215,800
Malayawata Steel Berhad ................................. 163,000 323,087
Malaysia Aica Berhad .................................... 70,000 96,669
*Malaysia Assurance Alliance Berhad ..................... 93,000 330,524
Malaysia British Assurance Berhad ....................... 47,000 81,706
Malaysian Mosaics Berhad ................................ 331,000 486,686
Malaysian Oxygen Berhad ................................. 168,000 607,311
Malaysian Pacific Industries ............................ 237,666 608,162
Malaysian Packaging Industry ............................ 14,000 17,059
Malaysian Tobacco Co. Berhad ............................ 247,000 397,287
Malex Industries Berhad ................................. 13,000 63,891
Mancon Berhad ........................................... 15,000 65,800
*Mancon Berhad 'A' ....................................... 18,000 73,842
Matsushita Electric Co. (Malaysia) Berhad .............. 39,000 291,470
Mechmar Corp. ........................................... 84,000 113,956
Mega First Corp. Berhad ................................. 236,000 222,388
*Menang Corp. ............................................ 248,000 192,396
Mentiga Corp. Berhad .................................... 41,000 104,082
Metacorp Berhad ......................................... 176,000 607,636
Metrojaya Berhad ........................................ 34,000 73,883
Metroplex Berhad ........................................ 366,000 352,323
Muda Holdings Berhad .................................... 152,500 240,333
Mun Loong Berhad ........................................ 35,000 71,791
Nam Fatt Berhad ......................................... 100,000 292,445
Nanyang Press (Malaysia) Berhad ......................... 67,200 147,392
Negara Properties (Malaysia) Berhad .................... 74,000 287,043
Negri Sembilan Oil Palms Berhad ......................... 34,000 98,050
New Straits Times Press (Malaysia) Berhad .............. 199,000 606,214
Nylex (Malaysia) Berhad ................................. 182,000 521,162
Oriental Holdings Berhad ................................ 50,000 261,982
PJ Development Holdings Berhad .......................... 222,000 216,409
PSC Industries Berhad ................................... 46,666 174,381
PWE Industries Berhad ................................... 14,000 61,982
Palmco Holdings Berhad .................................. 179,000 222,478
Pan Malaysia Cement Works Berhad ....................... 213,000 687,794
Paramount Corp. Berhad .................................. 73,000 77,981
Parit Perak Holdings Berhad ............................. 17,000 317,628
Park May Berhad ......................................... 48,000 107,230
Pelangi Berhad .......................................... 393,500 479,488
*Pengkalen Industrial Holdings Berhad ................... 39,000 97,421
Pernas International Hotels & Properties Berhad ........ 454,500 313,830
62
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Petaling Garden Berhad .................................. 232,000 $ 290,236
Petaling Tin Berhad ..................................... 20,000 69,456
*Phileo Allied Berhad .................................... 50,000 215,272
Pilecon Engineering Berhad .............................. 261,500 348,383
Poly Glass Fibre (Malaysia) Berhad ...................... 40,000 48,741
*Promet Berhad ........................................... 648,000 658,002
Public Finance Berhad (Foreign) ......................... 6,000 15,353
Putera Capital Berhad ................................... 73,000 120,975
RJ Reynolds Berhad ...................................... 319,000 614,159
Rahman Hydraulic Tin Berhad ............................. 33,000 98,517
Rashid Hussain Berhad ................................... 321,000 997,421
*SPK Sentosa Corp. Berhad ................................ 51,000 74,159
*Samanda Holdings Berhad ................................. 73,000 238,688
*Sanda Plastics Industries Berhad ........................ 11,000 18,497
Sanyo Industries (Malaysia) Berhad ...................... 33,600 97,579
Sapura Telecommunications Berhad ....................... 84,000 279,773
Sarawak Oil Palms Berhad ................................ 87,000 206,722
*Sateras Resources (Malaysia) Berhad .................... 167,000 172,969
Scientex, Inc. Berhad ................................... 66,000 102,405
Selangor Coconuts Berhad ................................ 240,500 386,832
Selangor Dredging Berhad ................................ 324,000 253,989
Selangor Properties Berhad .............................. 419,000 491,840
*Setron (Malaysia) Berhad ................................ 54,666 126,562
Shanghai Chong Kee Berhad ............................... 19,000 64,054
Shapadu Kontena Berhad .................................. 38,000 125,792
Siah Brothers Corp. Berhad .............................. 55,000 91,592
Sin Heng Chan Berhad .................................... 17,000 75,955
Sitt Tatt Berhad ........................................ 76,000 158,976
*South East Asia Lumber, Inc. Berhad .................... 58,000 100,357
South Johore Amalgamated Holding Berhad ................ 27,000 60,865
South Malaysia Industries Berhad ........................ 126,000 121,292
Southern Acids (Malaysia) Berhad ........................ 60,000 110,154
Southern Bank Berhad (Foreign) .......................... 101,250 205,626
*Sri Hartamas Corp. Berhad ............................... 156,000 116,588
Sriwani Holdings Berhad ................................. 127,400 194,567
*Sungei Bagan Rubber Co. (Malaysia) Berhad .............. 2,000 95,045
Sungei Way Holdings Berhad .............................. 175,250 783,002
*Tai Wah Garments Manufacturing Berhad (Foreign) ........ 30,000 43,623
Taiping Consolidated Berhad ............................. 103,000 204,996
Tajo Bricks Berhad ...................................... 16,000 30,674
Tasek Cement Berhad ..................................... 182,000 395,491
Timah Langat Berhad ..................................... 22,000 120,634
Time Engineering Berhad ................................. 243,000 745,187
Tiong Nam Transport Holdings Berhad .................... 8,500 18,989
*Trengganu Development & Management Berhad .............. 66,000 98,115
Tronoh Mines Malaysia Berhad ............................ 36,000 127,214
UAC Berhad .............................................. 61,000 115,955
UMW Holdings Berhad ..................................... 318,466 860,195
*Union Paper Holdings Berhad ............................. 17,000 46,608
Uniphoenix Corp. Berhad ................................. 228,000 220,406
Uniphone Telecommunications Berhad ..................... 170,000 255,483
United Chemical Industries Berhad ....................... 18,000 25,004
United Malacca Rubber Estates Berhad ................... 86,000 506,499
United Malayan Flour Mills Berhad ....................... 22,000 71,933
United Plantations Berhad ............................... 185,000 409,525
63
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Westmont Berhad ......................................... 28,800 $ 133,355
*Westmont Land (Asia) Berhad ............................. 129,000 254,647
Wing Tiek Holdings Berhad ............................... 85,800 235,236
*Worldwide Holdings Berhad ............................... 192,000 226,158
------------------
TOTAL COMMON STOCKS (Cost $36,263,674) .................... 53,423,227
------------------
INVESTMENT IN CURRENCY -- (0.2%)
*Malaysian Ringetts (Cost $348,302) ...................... 351,629
RIGHTS/WARRANTS -- (0.0%)
*Sri Hartamas Corp. Berhad Rights 07/14/99 (Cost $0) .... 78,000 0
------------------
TOTAL -- MALAYSIA (Cost $36,611,976) ...................... 53,774,856
------------------
HONG KONG -- (19.3%)
COMMON STOCKS -- (19.3%)
ABC Communications (Holdings), Ltd. .................... 338,000 111,501
ALCO Holdings, Ltd. ..................................... 314,000 58,494
ASM Pacific Technology, Ltd. ............................ 310,000 244,631
AWT World Transport Holdings, Ltd. ..................... 152,000 20,647
Allied Group, Ltd. ...................................... 4,928,000 318,758
Allied Industries International, Ltd. ................... 1,698,000 76,882
Anex International Holdings, Ltd. ....................... 152,000 11,208
Applied International Holdings, Ltd. .................... 1,110,000 93,338
Asia Commercial Holdings, Ltd. .......................... 3,640,000 124,787
Asia Financial Holdings, Ltd. ........................... 1,000,000 349,288
Associated International Hotels, Ltd. .................. 828,000 484,696
Beauforte Investors Corp., Ltd. ......................... 66,000 105,873
Beijing Development (Hong Kong), Ltd. .................. 164,000 42,432
Benelux International, Ltd. ............................. 30,000 1,940
*Berjaya Holdings (Hong Kong), Ltd. ...................... 1,420,000 26,636
Burwill Holdings, Ltd. .................................. 1,332,000 153,361
CDL Hotels International, Ltd. .......................... 1,366,562 667,370
*CDW International, Ltd. ................................. 178,000 21,646
*CIL Holdings, Ltd. ...................................... 122,000 6,313
CNT Group, Ltd. ......................................... 980,000 55,149
Cafe de Coral Holdings, Ltd. ............................ 384,000 91,405
Capital Asia, Ltd. ...................................... 897,000 187,987
Century City International Holdings, Ltd. .............. 2,703,000 812,998
Champion Technology Holdings, Ltd. ..................... 1,237,319 104,044
#Chen Hsong Holdings, Ltd. ............................... 1,156,000 721,565
Cheuk Nang Properties (Holdings), Ltd. ................. 708,400 153,960
Cheung Wah Development Co., Ltd. ....................... 1,286,000 48,246
*Chevalier (OA) International, Ltd. ...................... 1,604,000 118,277
Chevalier International Holdings, Ltd. ................. 1,372,000 209,439
*China Aerospace International Holdings, Ltd. ........... 1,620,000 192,807
China Foods Holdings, Ltd. .............................. 1,128,000 175,110
China Merchants Hai Hong Holdings Co., Ltd. ............ 574,000 87,622
China Motor Bus Co., Ltd. ............................... 105,000 991,591
China Travel International Investment Hong Kong, Ltd. .. 1,360,000 235,757
64
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*China Treasure Telecom Holdings, Ltd. .................. 230,000 $ 12,050
Chow Sang Sang Holdings International, Ltd. ............ 1,012,000 340,388
*Chuang's China Investments, Inc. ........................ 820,000 23,868
Chun Wo Holdings, Ltd. .................................. 154,000 19,524
Climax International Co., Ltd. .......................... 296,000 31,783
#Companion Building Material (Holdings), Ltd. ........... 292,800 61,363
*Continental Holdings, Ltd. .............................. 54,000 2,829
Continental Mariner Investment Co., Ltd. ............... 395,000 47,012
Cosmos Machinery Enterprises, Ltd. ..................... 500,000 48,512
Crocodile Garments, Ltd. ................................ 1,419,000 110,142
Cross Harbour Tunnel Co., Ltd. .......................... 328,103 645,170
Culturecom Holdings, Ltd. ............................... 1,950,000 93,338
Dah Sing Financial Holdings, Ltd. ....................... 215,200 496,937
Daido Concrete (Hong Kong), Ltd. ........................ 194,000 21,082
Dickson Concepts (International), Ltd. ................. 616,000 348,642
Dransfield Holdings, Ltd. ............................... 190,000 17,206
Dynamic Holdings, Ltd. .................................. 158,000 28,411
East Asiatic Co. (Hong Kong), Ltd. ...................... 919,000 123,643
Egana International Holdings, Ltd. ...................... 718,000 94,743
Elec & Eltek International Holdings, Ltd. .............. 2,371,159 282,208
Emporer International Holdings, Ltd. ................... 124,800 39,555
*Englong International, Ltd. ............................. 130,000 28,926
FPB Bank Holding Co., Ltd. .............................. 1,399,520 224,503
Fairwood Holdings, Ltd. ................................. 284,000 27,922
Far East Consortium International, Ltd. ................ 1,316,626 183,953
*Far East Holdings International, Ltd. .................. 70,000 6,611
Far East Hotels & Entertainment, Ltd. .................. 1,762,000 403,459
First Asia International Holdings, Ltd. ................ 115,000 15,026
*Fong's Industries Co., Ltd. ............................. 174,000 13,956
Fortei Holdings, Ltd. ................................... 242,000 14,401
Fountain Set Holdings, Ltd. ............................. 1,774,000 305,229
Four Seas Mercantile Holdings, Ltd. .................... 242,000 58,543
*Frankie Dominion International, Ltd. .................... 452,000 19,881
*Fu Hui Jewelry Co. (Hong Kong), Ltd. ................... 232,000 11,705
Furama Hotel Enterprises, Ltd. .......................... 428,000 531,539
*General Electronics, Ltd. ............................... 1,562,000 70,724
Giordano International, Ltd. ............................ 536,000 398,706
Gold Peak Industries (Holdings), Ltd. .................. 950,000 405,563
Golden Resources Development International, Ltd. ....... 878,000 79,508
Goldlion Holdings, Ltd. ................................. 620,000 190,492
Grand Hotel Holdings, Ltd. Series A .................... 1,212,000 435,097
#Grand Hotel Holdings, Ltd. Series B .................... 960,000 31,669
Grande Holdings, Ltd. ................................... 370,000 258,473
#Great Wall Electronic International, Ltd. .............. 2,038,000 152,916
#Guangzhou Investment Co., Ltd. .......................... 1,026,000 185,821
HKCB Bank Holding Co., Ltd. ............................. 450,000 114,101
65
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Hanny Magnetics (Holdings), Ltd. ........................ 548,000 $ 28,003
Harbour Centre Development, Ltd. ........................ 314,000 371,682
Harbour Ring International Holdings, Ltd. .............. 1,456,000 161,987
*High Fashion International, Ltd. ........................ 178,000 16,810
*Hoi Sing Holdings, Ltd. ................................. 198,000 12,423
#Hon Kwok Land Investment Co., Ltd. ..................... 1,720,620 478,568
Hong Kong Ferry (Holdings) Co., Ltd. ................... 757,500 872,154
Hong Kong Parkview Group, Ltd. .......................... 1,026,000 265,459
Hong Kong Toy Centre International, Ltd. ............... 508,000 26,287
Hop Hing Holdings, Ltd. ................................. 581,645 95,561
Hsin Chong Construction Group, Ltd. .................... 426,000 46,292
Hung Hing Printing Group, Ltd. .......................... 390,000 69,120
Hwa Kay Thai Holdings, Ltd. ............................. 2,062,914 229,509
IDT International, Ltd. ................................. 358,397 48,683
IMC Holdings, Ltd. ...................................... 531,000 381,248
Innovative International (Holdings), Ltd. .............. 438,000 109,358
International Pipe, Ltd. ................................ 108,000 8,103
*Island Dyeing & Printing Co., Ltd. ...................... 135,000 101,294
JCG Holdings, Ltd. ...................................... 430,000 314,295
Jinhui Holdings Co., Ltd. ............................... 370,000 50,737
Joyce Boutique Holdings, Ltd. ........................... 628,000 141,361
K Wah International Holdings, Ltd. ...................... 1,730,798 275,405
KPI Co., Ltd. ........................................... 220,000 15,653
Ka Wah Bank, Ltd. ....................................... 1,566,720 415,495
*Kader Holdings Co., Ltd. ................................ 402,000 28,603
Keck Seng Investments (Hong Kong), Ltd. ................ 434,000 140,362
Kee-Shing Holdings Co., Ltd. ............................ 886,000 67,625
King Fook Holdings, Ltd. ................................ 1,000,000 90,556
*Kosonic International Holdings, Ltd. .................... 198,000 6,532
Kumagai Gumi Hong Kong, Ltd. ............................ 647,000 531,494
Kwong Sang Hong International, Ltd. .................... 544,000 144,269
Lafe International Holdings, Ltd. ....................... 347,000 102,125
Lai Sun Garment (International), Ltd. .................. 440,000 472,445
Lam Soon (Hong Kong), Ltd. .............................. 1,013,400 275,309
Lam Soon Food Industries, Ltd. .......................... 311,000 62,763
Lamex Holdings, Ltd. .................................... 202,000 34,494
Lap Heng Co., Ltd. ...................................... 128,000 248,383
Laws International Holdings, Ltd. ....................... 410,000 71,074
Le Saunda Holdings, Ltd. ................................ 236,000 16,486
Leefung-Asco Printers Holdings, Ltd. ................... 144,000 23,100
Li & Fung, Ltd. ......................................... 466,000 367,736
Lippo, Ltd. ............................................. 591,800 501,461
Liu Chong Hing Bank, Ltd. ............................... 324,600 342,237
Liu Chong Hing Investment, Ltd. ......................... 572,000 492,083
Luks Industrial Co., Ltd. ............................... 1,636,000 171,431
M.C. Packaging (Hong Kong), Ltd. ........................ 524,000 213,532
Magnum International Holdings, Ltd. .................... 300,000 16,300
*Mandarin Dragon Holdings, Ltd. .......................... 880,000 33,014
*Mansion Holdings, Ltd. .................................. 138,000 14,996
Mansion House Group, Ltd. ............................... 640,200 34,370
Megga (S.) International Holdings, Ltd. ................ 970,000 55,213
Melbourne Enterprises, Ltd. ............................. 38,000 227,115
66
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Melco International Development, Ltd. .................. 180,000 $ 40,750
Min Xin Holdings, Ltd. .................................. 558,000 135,710
Ming Pao Enterprise Corp., Ltd. ......................... 616,000 358,603
Mingly Corp., Ltd. ...................................... 3,298,000 580,243
Morning Star Holdings, Ltd. ............................. 410,000 45,614
*Nanyang Holdings, Ltd. .................................. 115,000 115,298
National Electronics Holdings, Ltd. ..................... 1,082,000 67,887
*New Island Printing Holdings, Ltd. ...................... 160,000 15,524
#Ngai Lik Industrial Holdings, Ltd. ...................... 280,000 115,912
*Ocean Information Holdings, Ltd. ........................ 122,000 10,890
Ocean-Land Development, Ltd. ............................ 182,000 157,749
Oxford Properties & Finance, Ltd. ....................... 110,000 264,683
*Pacific Concord Holding, Ltd. ........................... 1,554,000 303,563
*Paramount Publishing Group, Ltd. ........................ 574,000 33,415
Paul Y. ITC Construction Holdings, Ltd. ................ 684,000 121,226
Peace Hill Enterprise Group, Ltd. ....................... 96,000 23,224
Perfectech International Holdings, Ltd. ................ 150,000 14,166
Playmate Toys Holdings, Ltd. ............................ 837,000 232,801
Playmates Properties Holdings, Ltd. .................... 837,000 128,853
Pokfulam Development Co., Ltd. .......................... 212,000 109,702
*Poly Investments Holdings, Ltd. ......................... 2,432,000 68,587
*Prod-Art Technology (Holdings), Ltd. ................... 322,000 15,413
QPL International Holdings, Ltd. ........................ 318,000 95,647
*RJP Electronics, Ltd. ................................... 1,000,000 16,818
Raymond Industrial, Ltd. ................................ 558,000 83,736
*Regal Hotels International Holdings, Ltd. .............. 2,086,000 437,169
*Rhine Holdings, Ltd. .................................... 160,000 14,903
*Rivera Holdings, Ltd. ................................... 2,916,000 87,518
Safety Godown Co., Ltd. ................................. 310,000 306,792
San Miguel Brewery Hong Kong, Ltd. ..................... 858,000 588,279
Seapower International Holdings, Ltd. .................. 260,000 89,133
Seapower Resources International, Ltd. ................. 2,290,000 174,787
Semi-Tech (Global) Co., Ltd. ............................ 284,591 456,524
Shanghai International (Hong Kong), Ltd. ............... 215,000 17,523
Shaw Brothers Hong Kong, Ltd. ........................... 100,000 179,819
Shell Electric Manufacturing (Holdings) Co., Ltd. ...... 756,000 239,612
*Shenzhen International Holdings, Ltd. .................. 1,865,000 66,349
Shougang Concord Century Holdings, Ltd. ................ 302,000 24,613
Shougang Concord Grand (Group), Ltd. ................... 1,416,000 124,564
Shougang Concord International Enterprises Co., Ltd. ... 1,320,000 192,962
Shougang Concord Technology Holdings, Ltd. ............. 867,000 44,864
*Shun Ho Construction (Holdings), Ltd. .................. 846,000 42,683
*Shun Ho Resources Holdings, Ltd. ........................ 460,000 21,721
Shun Shing Holdings, Ltd. ............................... 408,000 13,459
Silver Grant International Industries, Ltd. ............ 255,000 63,008
Sime Darby Hong Kong, Ltd. .............................. 418,000 546,158
Sincere Co., Ltd. ....................................... 394,000 73,397
67
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Sing Tao Holdings, Ltd. ................................. 693,000 $452,736
*Singamas Container Holdings, Ltd. ....................... 246,000 58,875
South China Brokerage Co., Ltd. ......................... 112,000 11,591
South China Industries, Ltd. ............................ 1,020,000 88,409
*South Sea Development Co., Ltd. ......................... 466,400 22,928
Southeast Asia Properties & Finance, Ltd. .............. 145,200 46,960
Star Paging (International Holding), Ltd. .............. 388,000 79,809
Starlight International Holdings, Ltd ................... 645,356 102,689
Stelux Holdings International, Ltd. ..................... 735,702 202,247
*Styland Holdings, Ltd. .................................. 404,000 18,554
Sum Cheong International, Ltd. .......................... 230,000 121,992
Sun Fook Kong Holdings, Ltd. ............................ 1,372,000 80,758
Sun Hung Kai & Co., Ltd. ................................ 1,170,000 484,347
*Suwa International Holdings, Ltd. ....................... 1,062,000 37,094
Swank International Manufacturing Co., Ltd. ............ 568,000 69,071
TVE (Holdings), Ltd. .................................... 680,000 263,907
Tack Hsin Holdings, Ltd. ................................ 148,000 22,401
Tai Sang Land Development, Ltd. ......................... 417,259 215,917
Tak Sing Alliance Holdings, Ltd. ........................ 563,200 231,327
Tak Wing Investment Holdings, Ltd. ...................... 388,000 69,770
Techtronic Industries Co., Ltd. ......................... 856,000 68,657
Tem Fat Hing Fung (Holdings), Ltd. ...................... 1,868,000 202,991
Termbray Industries International (Holdings), Ltd. ..... 74,750 73,493
Texwinca Holdings, Ltd. ................................. 278,000 45,674
Tian An China Investments Co., Ltd. .................... 2,007,000 316,758
Tian Teck Land, Ltd. .................................... 1,006,000 218,639
Tomei International (Holdings), Ltd. .................... 1,712,000 108,523
Tristate Holdings, Ltd. ................................. 113,000 92,096
Truly International Holdings, Ltd. ...................... 214,000 26,023
Tse Sui Luen Jewellry (International), Ltd. ............ 1,449,600 358,181
Tung Fong Hung (Holdings), Ltd. ......................... 270,000 22,005
Tungtex (Holdings) Co., Ltd. ............................ 904,000 157,878
Tysan Holdings, Ltd. .................................... 336,000 47,379
UDL Holdings, Ltd. ...................................... 474,000 45,376
USI Holdings, Ltd. ...................................... 1,112,000 79,120
*Ultronics International Holdings, Ltd. ................. 112,000 5,651
Union Bank of Hong Kong, Ltd. ........................... 543,600 481,715
Uniworld Holdings, Ltd. ................................. 14,880,000 48,124
Varitronix International, Ltd. .......................... 442,000 731,902
Wah Ha Realty Co., Ltd. ................................. 240,000 43,777
Wah Kwong Shipping Holdings, Ltd. ...................... 113,000 198,079
*Wah Nam Group, Ltd. ..................................... 1,700,000 30,569
Wai Kee Holdings, Ltd. .................................. 450,000 79,754
Wing Hang Bank, Ltd. .................................... 183,500 484,269
Wing On Co. International, Ltd. ......................... 507,000 537,827
Wing On International Holdings, Ltd. ................... 50,000 91,850
Wing Shan International, Ltd. ........................... 406,000 53,048
Winsor Industrial Corp., Ltd. ........................... 447,000 601,399
Winton Holdings (Bermuda), Ltd. ......................... 174,000 42,318
Wo Kee Hong (Holdings), Ltd. ............................ 1,430,000 325,589
Wong's International (Holdings), Ltd. .................. 1,012,000 108,662
Wong's Kong King International (Holdings), Ltd. ........ 717,000 34,320
World Houseware (Holdings), Ltd. ........................ 337,752 72,968
YGM Trading, Ltd. ....................................... 70,000 35,770
68
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Yangtzekiang Garment Manufacturing Co., Ltd. ........... 323,000 $ 75,213
Yaohan Food Processing & Trading Co., Ltd. ............. 124,000 14,437
Yaohan Hong Kong Corp., Ltd. ............................ 690,000 67,840
Yaohan International Caterers, Ltd. ..................... 452,000 134,489
Yaohan International Holdings, Ltd. ..................... 888,000 141,299
*Yau Lee Holdings, Ltd. .................................. 360,000 14,204
Yeebo (International Holdings), Ltd. .................... 408,000 74,422
Yiu Wing International Holdings, Ltd. .................. 188,000 32,833
*Yoshiya International Corp., Ltd. ....................... 370,000 34,463
#Yue Yuen Industrial (Holdings), Ltd. .................... 1,982,000 471,783
------------------
TOTAL COMMON STOCKS (Cost $51,751,639) ..................... 40,058,083
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $73,459) ........................ 73,433
------------------
RIGHTS/WARRANTS -- (0.0%)
*Applied International Holdings, Ltd. Warrants 12/30/99 . 2,000 50
*Century City International Holdings, Ltd. Warrants
12/31/95 ................................................ 2,300 27
*Chevalier International Holdings, Ltd. Warrants 09/30/97 2,400 39
*Far East Hotels & Entertainment, Ltd. Warrants 03/31/96 10,400 350
*First Asia International Holdings, Ltd. Warrants
09/30/95 ................................................ 23,000 48
*Frankie Dominion International, Ltd. Warrants 06/07/97 . 90,400 316
*Hong Kong Parkview Group, Ltd. Warrants 12/31/96 ....... 205,200 2,283
*Hop Hing Holdings, Ltd. Warrants 12/31/97 .............. 116,329 2,556
*Mandarin Dragon Holdings, Ltd. Warrants 12/31/96 ....... 6,000 8
*Prod-Art Technology (Holdings), Ltd. Warrants 09/30/96 . 64,400 467
*Uniworld Holdings, Ltd. Warrants 10/31/95 .............. 1,102,222 1,426
*Yiu Wing International Holdings, Ltd. Warrants 03/31/97 . 18,800 146
------------------
TOTAL RIGHTS/WARRANTS (Cost $0) ............................ 7,716
------------------
TOTAL -- HONG KONG (Cost $51,825,098) ..................... 40,139,232
------------------
AUSTRALIA -- (19.2%)
COMMON STOCKS -- (19.2%)
AAPC, Ltd. .............................................. 649,028 350,379
Aberfoyle, Ltd. ......................................... 168,750 346,180
#Adelaide Brighton, Ltd. ................................. 206,032 206,140
Advance Bank Australia, Ltd. ............................ 148,118 1,091,745
*Agen, Ltd. .............................................. 71,000 6,899
*Airboss, Ltd. ........................................... 246,250 30,133
*Alcan Australia, Ltd. ................................... 321,400 629,257
Allgas Energy, Ltd. ..................................... 18,800 129,233
Amalgamated Holdings, Ltd. .............................. 47,400 370,870
Ashton Mining, Ltd. ..................................... 475,500 787,212
Atkins Carlyle, Ltd. .................................... 52,111 118,155
Atlas Steels, Ltd. ...................................... 129,000 130,925
*Auridiam Consolidated NL ................................ 60,093 28,981
Australian Agricultural Co. ............................. 20,900 167,739
69
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Australian Chemical Holdings, Ltd. ...................... 56,200 $173,947
Australian Industry Development Corp. .................. 289,553 327,221
*Australian Medical Enterprises, Ltd. .................... 321,300 166,516
Australian Oil & Gas Corp., Ltd. ........................ 76,500 57,267
Australian Provincial Newspaper Holdings, Ltd. ......... 271,572 349,906
Awa, Ltd. ............................................... 335,000 115,744
Ballarat Brewing Co. Ltd. ............................... 51,392 68,435
Bank of Melbourne, Ltd. ................................. 201,949 805,313
Bank of Queensland, Ltd. ................................ 98,077 288,032
*Beach Petroleum NL ...................................... 165,200 8,918
*Biota Holdings, Ltd. .................................... 82,600 104,047
Blackmores, Ltd. ........................................ 23,747 39,314
*Boulder Group NL ........................................ 66,500 16,753
*Brash Holdings, Ltd. .................................... 51,810 84,282
Bridgestone Australia, Ltd. ............................. 47,600 82,230
Buderim Ginger, Ltd. .................................... 7,234 5,259
Burmine, Ltd. ........................................... 59,274 115,197
Caltex Australia, Ltd. .................................. 215,500 663,903
Campbell Brothers, Ltd. ................................. 24,183 64,406
*Cape Range, Ltd. ........................................ 217,000 54,669
*Carrington Cotton Corp., Ltd. ........................... 19,300 27,784
Central Equity, Ltd. .................................... 109,635 59,187
Central Norseman Gold Corp., Ltd. ....................... 374,000 247,670
Centro Properties, Ltd. ................................. 132,997 220,183
Centro Properties, Ltd. (Partly Paid) .................. 57,724 53,184
#Challenge Bank, Ltd. .................................... 163,151 420,423
*Climax Mining, Ltd. ..................................... 134,600 96,885
*Cluthia, Ltd. ........................................... 82,000 8,263
Clyde Industries, Ltd. .................................. 178,893 212,467
Coal & Allied Industries, Ltd. .......................... 22,250 214,609
*Command Petroleum, Ltd. ................................. 411,300 109,540
*Computer Power Group, Ltd. .............................. 47,260 59,531
Consolidated Rutile, Ltd. ............................... 83,300 119,919
*Coolgardie Gold NL ...................................... 173,200 29,921
*Coplex Resources NL ..................................... 203,500 35,155
*Cortecs International, Ltd. ............................. 173,400 116,077
Country Road, Ltd. ...................................... 87,996 74,107
Coventry Group, Ltd. .................................... 57,738 184,942
Crane (G.E) Holdings, Ltd. .............................. 45,669 238,656
Croesus Mining NL ....................................... 97,100 25,161
*Crusader, Ltd. .......................................... 141,700 140,754
Cudgen RZ, Ltd. ......................................... 30,300 40,349
Danks Holdings, Ltd. .................................... 6,150 53,121
Datacraft, Ltd. ......................................... 124,257 62,608
*David Jones, Ltd. ....................................... 277,900 44,007
Defiance Mills, Ltd. .................................... 69,200 60,769
*Delta Gold NL ........................................... 338,100 574,342
*Denehurst, Ltd. ......................................... 82,700 27,383
*Devex, Ltd. ............................................. 229,000 79,121
*Discovery Petroleum NL .................................. 103,000 29,656
*Dominion Mining, Ltd. ................................... 765,378 143,239
ERG, Ltd. ............................................... 207,550 204,671
Eltin, Ltd. ............................................. 89,012 153,771
*Emporer Mines, Ltd. ..................................... 109,000 133,379
*Energy Resources of Australia, Ltd. Series A ........... 482,700 573,290
*Equatorial Mining NL .................................... 864,290 124,424
Evans Deakin Industries, Ltd. ........................... 90,000 174,912
*Exicom, Ltd. ............................................ 171,700 18,539
FAI Insurances, Ltd. .................................... 522,238 236,822
Fai Life, Ltd. .......................................... 164,433 81,668
Faulding (F.H.) & Co., Ltd. ............................. 164,486 724,594
70
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THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Finemore Holdings, Ltd. ................................. 53,500 $ 81,640
Foodland Associated, Ltd. ............................... 78,477 251,371
Forrestania Gold NL ..................................... 69,440 114,961
Futuris Corp., Ltd. ..................................... 479,021 375,833
GUD Holdings, Ltd. ...................................... 57,436 128,162
Galore Group, Ltd. ...................................... 83,500 17,430
Gibson Chemical Industries, Ltd. ........................ 32,500 148,315
*Gold Mines of Australia, Ltd. ........................... 494,022 106,679
Gold Mines of Kalgoorlie, Ltd. .......................... 712,200 620,298
*#Golden Shamrock Mines, Ltd. ............................. 320,900 205,576
*Great Central Mines NL .................................. 255,900 506,543
Gunns, Ltd. ............................................. 39,400 76,573
Gwalia Consolidated, Ltd. ............................... 90,900 127,589
HMA, Ltd. ............................................... 18,000 22,026
Hardie (James) Industries, Ltd. ......................... 555,513 855,700
Harvey Norman Holdings, Ltd. ............................ 103,400 424,237
*Helix Resources NL ...................................... 25,000 12,057
Henry Walker Group, Ltd. ................................ 142,135 126,863
Herald Resources, Ltd. .................................. 62,628 44,629
Hills Industries, Ltd. .................................. 31,500 125,839
*Homestake Gold of Australia, Ltd. ....................... 174,200 185,577
*Hunter Resources, Ltd. .................................. 197,200 85,167
*ISR Group, Ltd. ......................................... 85,500 72,621
Incitec, Ltd. ........................................... 176,432 584,182
Ipoh, Ltd. .............................................. 107,500 73,510
*Jennings Group, Ltd. .................................... 1,010,500 21,821
*Johnson's Well Mining NL ................................ 10,000 38,150
*Joyce Corp., Ltd. ....................................... 10,384 6,652
Jupiters, Ltd. .......................................... 159,200 366,696
Kalamazoo Holdings, Ltd. ................................ 90,300 131,296
Kidston Gold Mines, Ltd. ................................ 224,800 334,950
Kurts (Peter) Properties, Ltd. .......................... 122,036 130,006
Lanes, Ltd. ............................................. 20,615 32,645
Leighton Holdings, Ltd. ................................. 406,199 701,719
Lemarne Corp., Ltd. ..................................... 16,300 36,606
*Loscam, Ltd. ............................................ 214,000 43,131
*MacMahon Holdings, Ltd. ................................. 182,100 55,052
Magellan Petroleum Australia, Ltd. ...................... 31,200 47,161
*Matrix Telecommunications, Ltd. ......................... 82,300 109,594
McIntosh Securities, Ltd. ............................... 118,300 60,033
*McPherson's, Ltd. ....................................... 219,000 20,493
*Meekatharra Minerals, Ltd. .............................. 35,000 6,802
Memtec, Ltd. ............................................ 136,426 209,166
Metal Manufactures, Ltd. ................................ 272,200 552,523
Metway Bank, Ltd. ....................................... 230,942 531,944
Mildara Blass, Ltd. ..................................... 76,760 331,512
*Minora Resources NL ..................................... 300,000 8,638
Mirvac, Ltd. ............................................ 251,593 150,311
Mount Edon Gold Mines (Australia), Ltd. ................ 99,938 216,526
*Mount Kersey Mining NL .................................. 65,900 21,346
Mount Leyshon Gold Mines, Ltd. .......................... 123,900 347,816
National Can Industries, Ltd. ........................... 75,960 142,158
National Consolidated, Ltd. ............................. 361,789 221,354
National Foods, Ltd. .................................... 458,249 474,982
OPSM Protector, Ltd. .................................... 265,450 399,340
Oil Company of Australia, Ltd. .......................... 51,800 59,657
Oil Search, Ltd. ........................................ 408,000 302,490
*Orbital Engine Corp., Ltd. .............................. 509,358 476,628
Oresearch NL ............................................ 17,300 61,018
Oroton International, Ltd. .............................. 31,400 27,122
Pacific BBA, Ltd. ....................................... 238,227 462,986
Pacific Magazines and Printing, Ltd. ................... 343,451 704,568
Pacific Mutual Australia, Ltd. .......................... 61,000 79,034
71
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CONTINUED
Shares Value+
------------------ ------------------
*Pan Pacific Petroleum NL ................................ 298,000 $ 28,958
*Pancontinental Mining, Ltd. ............................. 398,800 551,150
Parbury, Ltd. ........................................... 116,966 50,515
*Payce Consolidated, Ltd. ................................ 18,000 6,090
Penfold (W.C.), Ltd. .................................... 14,100 21,313
*Peptide Technology, Ltd. ................................ 158,000 59,139
*Perilya Mines NL ........................................ 123,500 63,116
Permanent Trustee Co., Ltd. ............................. 14,000 40,813
*Petroleum Securities Australia, Ltd. .................... 86,300 105,602
*Petroz NL ............................................... 205,940 108,212
*Portman Mining, Ltd. .................................... 68,400 37,418
*Power Pacific, Ltd. ..................................... 264,900 22,881
Prime Television, Ltd. .................................. 117,133 122,253
#QCT Resources, Ltd. ..................................... 953,238 933,155
QDL, Ltd. ............................................... 38,500 37,689
*QNI, Ltd. ............................................... 578,800 774,916
QUF Industries, Ltd. .................................... 130,105 269,712
*Queensland Metals Corp., Ltd. ........................... 176,000 114,017
Reece Australia, Ltd. ................................... 28,600 137,929
Ridley Corp., Ltd. ...................................... 506,603 415,706
Rothmans Holdings, Ltd. ................................. 191,300 654,067
Rural Press, Ltd. ....................................... 180,300 590,501
*SBS Iama, Ltd. .......................................... 33,600 45,952
Samantha Gold NL ........................................ 291,257 572,338
*Savage Resources, Ltd. .................................. 725,200 428,041
*Schaffer Corp., Ltd. .................................... 11,800 20,385
Scott Corp., Ltd. ....................................... 43,000 66,546
Siddons Ramset, Ltd. .................................... 78,724 158,664
Simsmetal, Ltd. ......................................... 121,343 574,717
*Sipa Resources International NL ......................... 81,000 10,495
Sons of Gwalia, Ltd. .................................... 120,200 519,122
*Southern Pacific Petroleum NL ........................... 389,400 117,722
Spicers Paper, Ltd. ..................................... 224,700 460,958
Spotless Group, Ltd. .................................... 184,000 169,528
Spotless Services, Ltd. ................................. 271,100 271,242
St. Barbara Mines, Ltd. ................................. 339,400 263,845
Stanilite Pacific, Ltd. ................................. 101,390 116,039
Steamships Trading Co., Ltd. ............................ 7,400 17,045
Sunraysia Television, Ltd. .............................. 13,000 50,624
Sunshine Broadcasting Network, Ltd. .................... 73,100 84,188
Tassal, Ltd. ............................................ 320,526 41,529
*Ticor, Ltd. ............................................. 222,300 16,801
*Titan Resources NL ...................................... 50,000 9,357
*Tooth & Co., Ltd. ....................................... 153,000 48,457
*Transcom International, Ltd. ............................ 223,200 16,066
*Union Gold Mining Co. NL ................................ 127,600 50,516
VA Holdings, Ltd. ....................................... 189,000 27,209
Villa World, Ltd. ....................................... 121,500 88,331
#Village Roadshow, Ltd. .................................. 328,190 921,305
*Waco International, Ltd. ................................ 193,000 23,617
Wattyl, Ltd. ............................................ 127,762 469,013
Webster, Ltd. ........................................... 29,100 19,899
Weston (George) Foods, Ltd. ............................. 20,100 85,361
Westralian Forest Industries, Ltd. ...................... 30,000 86,376
Westralian Sands, Ltd. .................................. 100,102 223,366
*Westralian Sands, Ltd. Issue 95 ......................... 39,230 86,125
White (Joe) Maltings, Ltd. .............................. 15,000 39,949
Wills (W.D. & H.O.) Holdings, Ltd. ...................... 237,000 395,778
*Wiluna Mines, Ltd. ...................................... 240,000 257,401
*Zapopan NL .............................................. 273,600 380,090
------------------
TOTAL COMMON STOCKS (Cost $39,628,216) .................. 39,896,743
------------------
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Shares Value+
------------------ ------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $36,787) ........................ $ 38,213
------------------
RIGHTS/WARRANTS -- (0.0%)
*Stanilite Pacific, Ltd. Rights 06/02/95 (Cost $0) ....... 20,278 73
------------------
TOTAL -- AUSTRALIA (Cost $39,665,003) ..................... 39,935,029
------------------
KOREA -- (17.6%)
COMMON STOCKS -- (17.6%)
*Aluminum of Korea ....................................... 7,257 78,527
*Anam Electronics Co. .................................... 6,000 100,554
Asia Cement Co., Ltd. ................................... 5,226 226,198
*Asia Motors Co., Inc. ................................... 23,220 298,447
*BIF Co., Ltd. ........................................... 5,000 19,860
*Bank of Pusan ........................................... 15,700 169,887
Bing Grae Co., Ltd. ..................................... 3,100 85,497
*Bing Grae Co., Ltd. Issue 95 ............................ 1,240 29,617
*Boo Kook Securities Co., Ltd. ........................... 4,500 65,321
*Boo Kook Securities Co., Ltd. Issue 95 ................. 135 1,933
Boram Bank Co., Ltd. .................................... 22,649 250,460
Boryung Pharmaceutical Co., Ltd. ........................ 3,549 88,046
Byuck San Corp. ......................................... 6,580 118,089
Cheil Industrial, Inc. .................................. 14,808 334,147
*Cheil Industrial, Inc. Issue 95 ......................... 5,923 116,459
*Cho Kwang Leather Co., Ltd. ............................. 2,120 51,755
*Cho Kwang Leather Co., Ltd. Issue 95 ................... 104 2,031
Chon Bang Co., Ltd. ..................................... 3,255 252,995
Chong Kun Dang .......................................... 3,277 128,001
Choongnam Spinning Co., Ltd. ............................ 15,800 333,597
Chosun Brewery Co., Ltd. ................................ 9,879 391,093
*Chosun Refractories Co., Ltd. ........................... 1,100 46,595
Crown Confectionery Co., Ltd. ........................... 1,500 53,840
*Dae Chang Industrial Co. ................................ 1,600 30,826
Dae Dong Industrial Co., Ltd. ........................... 6,233 119,264
*Dae Han Fire and Marine Insurance Co., Ltd. ............ 6,735 200,859
Dae Han Jung Suok Co., Ltd. ............................. 11,227 386,678
*Dae Han Jung Suok Co., Ltd. First Issue 95 ............. 334 10,314
*Dae Han Jung Suok Co., Ltd. Second Issue 95 ............ 3,592 123,241
*Dae Han Jung Suok Co., Ltd. Third Issue 95 ............. 3,050 91,752
Dae Han Pulp Co., Ltd. .................................. 1,000 28,767
*Dae Ryung Industries, Inc. .............................. 2,000 115,334
*Dae Ryung Industries, Inc. Issue 95 .................... 60 3,420
Dae Sung Electric Wire Co., Ltd. ........................ 940 23,196
*Dae Sung Electric Wire Co., Ltd. Issue 95 .............. 224 4,789
Dae Won Kang Up Co., Ltd. ............................... 5,297 137,002
Daelim Industrial Co., Ltd. ............................. 8,374 182,332
Daesung Industries Co., Ltd. ............................ 4,000 212,721
Daewoo Electronic Components Co., Ltd. ................. 10,660 136,028
*Daewoo Telecom Co., Ltd. ................................ 19,348 236,935
*Daewoo Telecom Co., Ltd. Issue 95 ...................... 522 5,704
*Dai Han Wool Textile Corp. .............................. 1,100 21,193
Dong Bang Corp. ......................................... 3,717 144,697
73
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Shares Value+
------------------ ------------------
Dong Shin Paper Manufacturing Co., Ltd. ................ 6,900 $ 114,727
*Dong Shin Pharmaceutical Co., Ltd. ..................... 1,300 57,641
Dong Wha Pharmaceutical Industries Co., Ltd. ........... 3,663 137,278
*Dong Wha Pharmaceutical Industries Co., Ltd. Issue 95 .. 412 10,982
Dong Yang Tin Plate Industrial Co., Ltd. ............... 3,079 97,108
Dong-A Pharmaceutical Co., Ltd. ......................... 16,334 383,670
Dong-Il Corp. ........................................... 2,266 152,502
*Dongbu Chemical Co., Ltd. ............................... 12,600 314,252
*Dongbu Construction Co., Ltd. ........................... 1,450 29,276
Dongbu Industrial Co., Ltd. ............................. 4,700 74,426
Dongbu Steel Co., Ltd. .................................. 11,000 384,666
*Donghae Pulp ............................................ 19,400 593,930
Dongkuk Steel Mill Co., Ltd. ............................ 13,220 348,905
Dongsung Chemical Industries ............................ 5,000 142,518
Dongwon Industries Co., Ltd. ............................ 15,100 366,640
*Doosan Foods Co., Ltd. .................................. 2,600 31,565
Doosan Glass Co., Ltd. .................................. 6,000 98,971
Doosan Industrial Co., Ltd. ............................. 9,246 96,389
*Doosan Industrial Co., Ltd. Issue 95 ................... 2,142 20,889
*Doosan Manufacturing Co., Ltd. .......................... 4,551 67,262
*Haedong Fire and Marine Insurance Co., Ltd. ............ 3,677 75,209
Hai Tai Electronics Co., Ltd. ........................... 7,300 187,846
Haitai Confectionery Co., Ltd. .......................... 13,270 227,646
*Han Jin Shipping Co., Ltd. .............................. 16,320 1,130,641
*Han-Il Synthetic Fiber Industrial Co., Ltd. ............ 29,000 277,448
*Hanbo Steel & General Construction Co., Ltd. ........... 7,300 96,331
*Hanjin Engineering and Construction Co., Ltd. .......... 23,870 510,285
Hankook Caprolactam Corp. ............................... 3,400 113,961
*Hankook Core Co., Ltd. .................................. 1,200 23,595
Hankook Cosmetics Co., Ltd. ............................. 3,000 105,701
*Hankuk Paper Manufacturing Co., Ltd. ................... 1,800 64,846
Hanmi Pharmaceutical Co., Ltd. .......................... 2,518 61,803
Hannong Corp. ........................................... 1,000 79,309
Hanwha Corp. ............................................ 25,800 401,742
*Hanwha Energy Co., Ltd. ................................. 26,000 300,211
*Hanwha Machinery Co., Ltd. .............................. 16,000 276,590
Heung Ah Tire & Rubber .................................. 5,000 118,765
*Hyosung Corp. ........................................... 19,600 162,945
Hyundai Cement Co., Ltd. ................................ 5,600 241,647
Hyundai Corp. ........................................... 12,675 312,777
Hyundai Mipo Dockyard Co., Ltd. ......................... 14,000 338,084
Hyundai Pharmaceutical Co., Ltd. ........................ 3,427 95,873
*Hyundai Pipe Co., Ltd. .................................. 4,500 68,290
*Hyundai Precision Industry Co., Ltd. ................... 7,100 177,078
*Hyundai Wood Industry ................................... 12,472 144,338
*Il Jin Electronics & Machinery Co., Ltd. ............... 1,000 31,407
Il Shin Spinning ........................................ 3,021 310,950
Il Yang Pharmaceutical Co., Ltd. ........................ 4,371 147,084
Inkel Corp. ............................................. 6,900 107,443
*Isu Chemical Co., Ltd. .................................. 16,924 254,597
Jindo Corp. ............................................. 9,455 199,631
Jinro, Ltd. ............................................. 7,000 191,211
74
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Shares Value+
------------------ ------------------
Kang Won Industrial, Ltd. ............................... 19,500 $367,973
Kangwon Bank Co., Ltd. .................................. 42,412 430,388
*Keun Wha Pharmaceutical Co., Ltd. ...................... 2,000 6,651
*Kia Steel Co., Ltd. ..................................... 25,125 235,402
*Kohap Co., Ltd. ......................................... 36,812 616,934
*Kolon General Construction .............................. 3,400 62,365
Kolon International Corp. ............................... 8,732 156,710
*Kolon International Corp. Issue 95 ...................... 2,063 32,668
*Kony Precision Co., Ltd. ................................ 2,000 52,520
*Korea Computer Co., Ltd. ................................ 1,400 49,881
Korea Electronics Co., Ltd. ............................. 7,220 266,772
Korea Iron & Steel Co., Ltd. ............................ 23,133 421,266
Korea Kumho Petrochemical ............................... 31,600 377,382
*Korea Steel Pipe Co., Ltd. .............................. 14,995 56,197
Koryo Cement Manufacturing Co., Ltd. ................... 2,000 16,152
*Kuk Dong Construction Co., Ltd. ......................... 5,100 89,509
*Kuk Dong Construction Co., Ltd. Issue 95 ............... 417 4,897
Kukje Electric Wire Co., Ltd. ........................... 29,448 749,995
*Kum Ho & Co., Inc. ...................................... 26,420 283,794
Kum Yang Co., Ltd. ...................................... 1,700 60,570
Kumho Construction & Engineering Co., Ltd .............. 57,137 806,764
Kunsul Chemical Industrial Co., Ltd. ................... 620 29,945
*Kwangju Bank ............................................ 13,100 136,566
*Kwangju Bank Issue 95 ................................... 2,738 25,725
Kyungnam Wool Textile Co., Ltd. ......................... 4,172 97,446
LG Construction, Ltd. ................................... 23,618 455,031
*LG Electronics, Inc. .................................... 2,000 75,746
LG International Corp. .................................. 32,946 478,234
LG Metals Corp. ......................................... 24,400 412,140
Midopa Department Store ................................. 16,536 218,211
Miwon Petrochemical Corp. ............................... 13,777 227,253
*Namhan Paper Manufacturing Co., Ltd. ................... 6,500 41,172
Nasan Industries Co., Ltd. .............................. 5,666 162,997
Nong Shim Co., Ltd. ..................................... 4,028 139,795
*On Yang Pulp ............................................ 2,100 34,086
*On Yang Pulp Issue 95 ................................... 521 7,288
Oriental Chemical Industries Co., Ltd. ................. 14,175 381,591
*Oriental Chemical Industries Co., Ltd. Issue 95 ........ 561 13,029
Orion Electric Co., Ltd. ................................ 329 8,249
Pacific Chemical Co., Ltd. .............................. 14,000 376,880
Pang Rim Spinning ....................................... 5,000 317,366
Poong San Corp. ......................................... 32,000 548,958
Posco Chemical Co., Ltd. ................................ 13,000 293,349
Pusan Steel Pipe Corp. .................................. 307 10,087
Pyung Wha Industrial Co., Ltd. .......................... 2,000 79,177
STC Corp. ............................................... 12,400 319,082
Saehan Media Corp. ...................................... 11,800 311,428
Sam Ick Construction Co., Ltd. .......................... 15,443 158,954
*Sam Ick Construction Co., Ltd. Issue 95 ................ 3,529 31,667
*Sam Jin Chemical Co., Ltd. .............................. 1,000 3,853
Sam Yang Co., Ltd. ...................................... 12,200 457,218
*Sambu Construction Co., Ltd. ............................ 2,400 102,613
*Sambu Construction Co., Ltd. Issue 95 .................. 489 18,584
Samchully Co., Ltd. ..................................... 700 38,797
75
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CONTINUED
Shares Value+
------------------ ------------------
*Samick Musical Instruments Manufacturing Co., Ltd. ..... 8,100 $ 148,575
Samlip Foods Industries Co., Ltd. ....................... 2,900 95,672
*Sammi Corp. ............................................. 29,600 214,832
*Sammi Steel Co., Ltd. ................................... 49,800 570,420
Samsung Aerospace Industrial Co., Ltd. ................. 12,733 320,929
*Samsung Aerospace Industrial Co., Ltd. Issue 95 ........ 5,142 112,638
Samsung Electro-Mechanics Co., Ltd. .................... 8,565 410,279
*Samsung Electro-Mechanics Co., Ltd. Second Issue 94 .... 3,349 147,165
Samsung Fine Chemicals .................................. 90 7,660
*Samsung Fine Chemicals Issue 95 ......................... 41 3,457
Samwhan Corp. Co., Ltd. ................................. 17,164 387,311
Samyang Foods Co., Ltd. ................................. 2,000 92,373
Samyoung Chemical Co., Ltd. ............................. 4,000 67,036
*Se Poong Corp. .......................................... 8,500 143,574
Seyang Shipping Co., Ltd. ............................... 2,360 56,680
Shin Dong-Ah Fire & Marine Insurance Co. ............... 5,670 144,406
*Shin Han Investment & Finance Co., Ltd. ................ 2,700 55,226
Shin Han Securities Co., Ltd. ........................... 5,870 77,461
*Shin Heung Securities Co., Ltd. ......................... 4,100 53,184
Shin Sung Corp. ......................................... 10,820 167,055
Shin Wha Engineering & Construction Co., Ltd. .......... 12,231 267,926
*Shin-A Chemical Manufacturing Co., Ltd. ................ 4,700 45,586
*Shinsung Tongsang Co., Ltd. ............................. 9,321 121,894
*Soosan Heavy Industries Co., Ltd. ....................... 1,200 22,644
Ssang Bang Wool Co., Ltd. ............................... 5,589 266,248
Ssangyong Corp. ......................................... 9,023 144,073
*Ssangyong Motor Co. ..................................... 32,600 399,219
*Sung Chang Enterprise Co., Ltd. ......................... 1,300 79,084
Sung Shin Cement Co., Ltd. .............................. 6,515 214,931
*Sunkyong Securities Co., Ltd. ........................... 6,700 100,792
Sunkyong, Ltd. .......................................... 19,655 402,022
Tae Il Media Co., Ltd. .................................. 3,598 107,779
Tae Kwang Industrial Co., Ltd. .......................... 800 585,904
*Taejon Leather Industrial Co., Ltd. ..................... 6,500 61,758
Tai Han Electric Wire Co., Ltd. ......................... 4,503 142,019
Taihan Sugar Industrial Co., Ltd. ....................... 3,080 125,183
Tong Yang Cement Corp. .................................. 16,890 537,146
Tong Yang Mool San Co., Ltd. ............................ 6,145 103,795
Tong Yang Nylon Co., Ltd. ............................... 14,930 571,351
*Tongil Heavy Industries Co., Ltd. ....................... 65,180 692,398
Tongkook Corp. .......................................... 7,400 76,266
Tongyang Confectionery Co. .............................. 1,537 50,706
Trigem Computer, Inc. ................................... 8,000 248,087
Union Steel Manufacturing Co., Ltd. .................... 3,000 277,118
Youngchang Akki Co., Ltd. ............................... 3,200 156,664
Youngpoong Corp. ........................................ 2,000 195,302
Yuhan Corp. ............................................. 3,417 216,437
------------------
TOTAL COMMON STOCKS (Cost $32,884,944) ................... 36,462,454
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Korean Won (Cost $12,573) ............................... 12,657
------------------
76
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THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
RIGHTS/WARRANTS -- (0.0%)
*Daelim Industrial Co., Ltd. Rights 06/29/95 ............ 2,009 $ 0
*Kia Steel Co., Ltd. Rights 06/13/95 ..................... 7,552 18,935
------------------
TOTAL RIGHTS/WARRANTS (Cost $0) .......................... 18,935
------------------
TOTAL -- KOREA (Cost $32,897,517) ......................... 36,494,046
------------------
SINGAPORE -- (14.2%)
COMMON STOCKS -- (14.2%)
Acma, Ltd. .............................................. 178,000 558,130
*Alliance Technology & Development, Ltd. ................ 48,000 26,235
Amtek Engineering, Ltd. ................................. 113,000 158,468
*Ana Hotels Singapore, Ltd. .............................. 81,000 113,592
Apollo Enterprises, Ltd. ................................ 162,000 150,291
Avimo Singapore, Ltd. ................................... 174,625 155,725
Bonvests Holdings, Ltd. ................................. 359,000 304,653
British-American Tobacco Co. (Singapore), Ltd. ......... 101,000 453,973
Bukit Sembawang Estates, Ltd. ........................... 44,000 870,191
CK Tang, Ltd. ........................................... 76,000 95,102
CSA Holdings, Ltd. ...................................... 153,000 121,036
#CWT Distribution, Ltd. .................................. 180,000 203,236
Carnaudmetalbox Asia, Ltd. .............................. 95,000 334,772
*Causeway Investment, Ltd. ............................... 122,000 96,512
Central Properties, Ltd. ................................ 37,000 452,355
Chemical Industries (Far East), Ltd. .................... 48,000 171,909
Chuan Hup Holdings, Ltd. ................................ 361,000 308,946
*Cosco Investment (Singapore), Ltd. ...................... 62,400 74,943
*Cosco Investment (Singapore), Ltd. Issue 95 ............ 72,000 83,366
*Far East Levingston Shipbuilding, Ltd. ................. 26,000 125,279
Focal Finance, Ltd. ..................................... 88,200 175,702
Fuji Offset Plates Manufacturing, Ltd. ................. 33,750 14,563
GB Holdings, Ltd. ....................................... 90,000 50,809
#GK Goh Holdings ......................................... 429,000 546,084
GP Batteries International, Ltd. ........................ 12,000 18,986
General Magnetics, Ltd. ................................. 94,000 45,293
Goldtron, Ltd. .......................................... 424,000 359,813
*Goodman Fielder Asia Holdings, Ltd. .................... 149,000 261,460
Guthrie GTS, Ltd. ....................................... 452,000 222,668
HTP Holdings, Ltd. ...................................... 297,000 232,816
Hai Sun Hup Group, Ltd. ................................. 278,000 157,943
Haw Par Brothers International, Ltd. ................... 331,100 697,679
Hind Hotels International, Ltd. ......................... 102,000 115,901
Hitachi Zosen (Singapore), Ltd. ......................... 455,000 323,948
Hong Kok Corp., Ltd. .................................... 231,000 327,271
Hotel Grand Central, Ltd. ............................... 238,000 308,091
Hotel Plaza, Ltd. ....................................... 520,000 359,008
*Hotel Properties, Ltd. .................................. 509,000 981,028
Hotel Royal, Ltd. ....................................... 54,000 108,350
Hour Glass, Ltd. ........................................ 122,000 105,286
Hwa Hong Corp., Ltd. .................................... 189,000 260,971
Industrial & Commercial Bank, Ltd. ...................... 160,000 586,839
*Inno-Pacific Holdings, Ltd. ............................. 265,500 105,016
Insurance Corp. of Singapore, Ltd. ...................... 85,000 239,626
Intraco, Ltd. ........................................... 160,000 240,489
77
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Shares Value+
------------------ ------------------
Isetan (Singapore), Ltd. ................................ 56,000 $118,806
Jack Chia-MPH, Ltd. ..................................... 308,000 259,159
Jaya Holdings, Ltd. ..................................... 122,400 108,272
Jurong Cement, Ltd. ..................................... 73,750 228,065
*Jurong Engineering, Ltd. ................................ 80,000 460,266
*Keppel Finance, Ltd. .................................... 233,000 309,996
Khong Guan Flour Milling, Ltd. .......................... 7,000 28,191
Kim Eng Holdings, Ltd. .................................. 580,200 634,235
L & M Group Investments, Ltd. ........................... 209,100 136,092
LC Development, Ltd. .................................... 81,000 44,563
Lee Kim Tah Holdings, Ltd. .............................. 147,000 99,374
Lim Kah Ngam, Ltd. ...................................... 249,333 283,313
Long Homes, Ltd. ........................................ 30,800 9,303
Low Keng Huat Singapore, Ltd. ........................... 144,000 69,903
Lum Chang Holdings, Ltd. ................................ 456,000 396,807
Marco Polo Developments, Ltd. ........................... 733,000 975,225
Metal Containers, Ltd. .................................. 105,000 117,799
Metalock (Singapore), Ltd. .............................. 20,000 18,986
Metro Holdings, Ltd. .................................... 160,800 705,415
*Natsteel, Ltd. .......................................... 57,000 121,748
Orchard Parade Holdings, Ltd. ........................... 140,000 443,006
Overseas Union Trust .................................... 63,000 156,764
PCI, Ltd. ............................................... 206,000 74,074
*Pacific Can Investment Holdings, Ltd. .................. 90,000 58,252
Pacific Carriers, Ltd. .................................. 390,000 384,250
Pan Malayan Holdings, Ltd. .............................. 15,000 59,871
Pan Pacific Public Co., Ltd. ............................ 46,500 16,052
Pentex-Schweizer Circuits, Ltd. ......................... 66,000 74,520
Pertama Holdings, Ltd. .................................. 68,750 22,002
Prima, Ltd. ............................................. 69,000 253,074
Provisions Suppliers Corp. .............................. 158,000 127,264
#QAF, Ltd. ............................................... 567,000 623,883
Republic Hotels and Resorts, Ltd. ....................... 371,000 549,630
Resources Development Corp., Ltd. ...................... 30,000 125,135
Robinson & Co., Ltd. .................................... 109,000 509,529
SNP Corp., Ltd. ......................................... 68,000 70,910
*SPP, Ltd. ............................................... 83,000 27,458
ST Capital, Ltd. ........................................ 171,200 123,121
San Teh, Ltd. ........................................... 227,500 179,971
Scotts Holdings, Ltd. ................................... 284,000 177,691
Sea View Hotel, Ltd. .................................... 40,000 293,420
*Sembawang Maritime, Ltd. ................................ 119,450 545,493
Shangri-La Hotel, Ltd. .................................. 195,000 771,305
Sime Singapore, Ltd. .................................... 706,000 492,499
Sing Investments & Finance, Ltd. (Foreign) ............. 81,900 106,019
#Singapore Finance, Ltd. ................................. 313,600 498,422
Singapore Reinsurance Corp., Ltd. ....................... 93,500 123,725
Singapore Technologies Automotive, Ltd. ................ 114,000 188,565
*Singapore Technologies Automotive, Ltd. (Foreign) ...... 59,000 108,198
Singapura Building Society, Ltd. ........................ 57,500 62,855
Singatronics, Ltd. ...................................... 200,000 104,998
78
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THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Singmarine Industries, Ltd. ............................. 188,500 $ 498,871
Ssangyong Cement (Singapore), Ltd. ..................... 122,500 359,439
Stamford Tyres Corp., Ltd. .............................. 62,000 25,415
Steamers Maritime Holding, Ltd. ......................... 283,750 224,470
*Sunshine Allied Investments, Ltd. ....................... 24,000 38,145
Superior Metal Printing, Ltd. ........................... 157,000 104,441
Tibs Holdings, Ltd. ..................................... 54,000 156,117
Tiger Medicals, Ltd. .................................... 90,000 111,974
Times Publishing, Ltd. .................................. 191,000 499,996
*Tuan Sing Holdings, Ltd. ................................ 2,084,000 689,421
United Engineers, Ltd. .................................. 283,000 510,845
*United Overseas Finance, Ltd. ........................... 123,750 205,583
*United Overseas Insurance, Ltd. ......................... 69,000 125,049
United Pulp & Paper Co., Ltd. ........................... 105,000 48,328
#Van Der Horst, Ltd. ..................................... 151,800 578,598
Van der Horst, Ltd. 3.5% Unsecured Loan Stock 08/31/98 . 23,400 15,650
WBL Corp., Ltd. ......................................... 209,000 480,978
*Wearnes International (1994), Ltd. ...................... 33,000 30,852
Yeo Hiap Seng, Ltd. ..................................... 220,000 639,195
------------------
TOTAL COMMON STOCKS (Cost $23,781,691) ................... 29,525,195
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost $14,697) ........................ 15,731
------------------
RIGHTS/WARRANTS -- (0.0%)
*Hai Sun Hup Group, Ltd. Rights 06/08/95 ................ 278,000 47,983
*Sing Investments & Finance, Ltd. Warrants 12/29/98 ..... 19,500 8,765
------------------
TOTAL RIGHTS/WARRANTS (Cost $0) ......................... 56,748
------------------
TOTAL -- SINGAPORE (Cost $23,796,388) ..................... 29,597,674
------------------
Face
Amount
------------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.8%)
Repurchase Agreement, PNC Securities Corp. 5.85%, 06/01/95
(Collateralized by U.S. Treasury Bills 5.57%, 08/03/95)
(Cost $7,794,000) ....................................... $ 7,794 7,794,000
------------------
TOTAL INVESTMENTS -- (100.0%) (Cost $192,589,982) ......... $207,734,837
==================
</TABLE>
- - ------
+See Note B to Financial Statements.
*Non-Income Producing Securities.
#Securities on loan.
See accompanying Notes to Financial Statements
79
<PAGE>
SCHEDULE OF INVESTMENTS
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
COMMON STOCKS -- (98.0%)
600 Group P.L.C. ....................................... 135,000 $ 173,593
*AAF Industries P.L.C. .................................. 53,256 24,518
ABI Leisure Group P.L.C. ............................... 91,000 167,577
AIM Group P.L.C. ....................................... 35,794 118,192
API Group P.L.C. ....................................... 51,500 367,086
ASDA Property Holdings P.L.C. .......................... 94,000 183,547
ASW Holdings P.L.C. .................................... 165,900 642,614
Abbeycrest P.L.C. ...................................... 58,000 71,819
Abbott Mead Vickers P.L.C. ............................. 63,000 365,046
Aberdeen Trust P.L.C. .................................. 38,500 56,229
Acatos & Hutcheson P.L.C. .............................. 79,000 298,482
Adam & Harvey Group P.L.C. ............................. 10,500 90,011
Admiral P.L.C. ......................................... 27,000 285,036
Adscene Group P.L.C. ................................... 72,000 337,185
Adwest Group P.L.C. .................................... 204,250 564,190
*Aegis Group P.L.C. ..................................... 1,610,801 741,573
Aerospace Engineering P.L.C. ........................... 79,904 20,930
African Lakes Corp. P.L.C. ............................. 6,208 6,603
Airflow Streamlines P.L.C. ............................. 20,500 77,780
Airsprung Furniture Group P.L.C. ....................... 58,000 205,327
Alba P.L.C. ............................................ 115,625 412,998
Alexanders Holdings P.L.C. ............................. 259,000 78,121
Alexandra Workwear P.L.C. .............................. 163,243 383,539
*Alexon Group P.L.C. .................................... 248,500 102,568
*Allied Leisure P.L.C. .................................. 159,100 63,143
*Allied London Properties P.L.C. ........................ 400,000 495,300
*Allied Radio P.L.C. .................................... 10,330 328
Allied Textile Companies P.L.C. ........................ 198,238 777,316
*Alphameric P.L.C. ...................................... 1,637 884
Alumasc Group P.L.C. ................................... 105,000 563,404
Alvis P.L.C. ........................................... 252,000 408,051
Amber Day Holdings P.L.C. .............................. 609,530 299,965
Amber Industrial Holdings P.L.C. ....................... 10,500 130,516
Amec P.L.C. ............................................ 71,200 75,730
Amstrad P.L.C. ......................................... 232,900 815,252
*Andrews Sykes Group P.L.C. ............................. 55,727 170,741
*Anglesey Mining P.L.C. ................................. 55,000 6,112
Anglian Group P.L.C. ................................... 157,850 431,009
Anglo Eastern Plantations P.L.C. ....................... 57,166 104,817
*Anglo United P.L.C. .................................... 826,666 19,685
Antofagasta Holdings P.L.C. ............................ 112,500 523,280
*Apollo P.L.C. .......................................... 110,000 0
Appleyard Group P.L.C. ................................. 269,627 462,275
Arcadian International P.L.C. .......................... 234,669 160,191
Archer Group Holding P.L.C. ............................ 130,000 117,634
Arcolectric Holdings P.L.C. Class A Non-Voting ........ 10,000 14,288
Arlen P.L.C. ........................................... 255,728 158,328
Armitage Brothers P.L.C. ............................... 4,000 12,446
Armour Trust P.L.C. .................................... 163,500 121,991
Ash & Lacy P.L.C. ...................................... 63,000 149,019
Ashley (Laura) Holdings P.L.C. ......................... 549,000 662,369
Ashtead Group P.L.C. ................................... 58,666 433,065
Associated British Engineering P.L.C. ................. 534,500 31,819
Astec (BSR) P.L.C. ..................................... 766,000 1,203,865
Atkins Group P.L.C. .................................... 7,000 9,446
*Aukett Associates P.L.C. ............................... 33,500 9,307
Austin Reed Group P.L.C. ............................... 77,000 259,144
80
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Automated Security Holdings P.L.C. .................... 258,537 $ 225,735
*Avesco P.L.C. .......................................... 186,666 38,523
Avon Rubber P.L.C. ..................................... 80,874 653,492
Avonside Group P.L.C. .................................. 50,000 62,706
Ayrshire Metal Products P.L.C. ......................... 25,000 53,578
*BM Group P.L.C. ........................................ 276,000 190,595
BNB Resources P.L.C. ................................... 59,000 152,670
BPP Holdings P.L.C. .................................... 62,450 270,650
BSG International P.L.C. ............................... 684,597 733,588
BTP P.L.C. ............................................. 49,779 218,107
*Babcock International Group P.L.C. .................... 2,112,785 1,048,139
Baggeridge Brick P.L.C. ................................ 110,000 227,013
Bailey (Ben) Construction P.L.C. ....................... 26,000 12,795
*Bailey (C.H.) P.L.C. ................................... 109,500 10,864
*Bailey (C.H.) P.L.C. Class B ........................... 10,000 4,286
Baldwin P.L.C. ......................................... 81,000 210,884
Baltic P.L.C. .......................................... 176,984 370,870
Bank Leumi (U.K.), Ltd. ................................ 5,767 39,367
Banks (Sidney C.) P.L.C. ............................... 13,507 41,813
Barbour Index P.L.C. ................................... 93,000 314,468
Bardon Group P.L.C. .................................... 907,150 410,429
*Barlows P.L.C. ......................................... 50,000 40,481
Barr & Wallace Arnold Trust P.L.C. ..................... 16,000 54,102
Barr Transport P.L.C. .................................. 57,000 337,518
Barton Transport P.L.C. (Deferred) ..................... 1,250 5,457
Baynes (Charles) P.L.C. ................................ 341,378 498,583
Beales Hunter P.L.C. ................................... 22,254 80,548
Bearing Power International P.L.C. ..................... 81,757 24,660
*Beattie (James) P.L.C. Class A ......................... 223,247 499,711
Beauford P.L.C. ........................................ 1,312 604
Beckman (A.) P.L.C. .................................... 30,000 19,526
Bellway P.L.C. ......................................... 239,142 876,964
Bellwinch P.L.C. ....................................... 163,266 75,164
Bemrose Corp. P.L.C. ................................... 78,750 525,066
*Benchmark Group P.L.C. ................................. 11,480 4,556
Benson Group P.L.C. .................................... 324,400 47,636
Bentalls P.L.C. ........................................ 153,500 272,923
Beradin Holdings P.L.C. ................................ 37,000 34,068
Berisford P.L.C. ....................................... 187,014 730,336
*Berkeley Business Group P.L.C. ......................... 25,000 17,463
Berkeley Group P.L.C. .................................. 114,640 691,566
Bertam Holdings P.L.C. ................................. 51,162 249,344
Bespak P.L.C. .......................................... 60,718 266,036
*Betacom P.L.C. ......................................... 195,000 32,504
Bett Brothers P.L.C. ................................... 55,000 157,163
Betterware P.L.C. ...................................... 226,000 143,510
*Beverley Group P.L.C. .................................. 86,820 2,757
Bibby (J.) & Sons P.L.C. ............................... 262,300 387,253
Bilton P.L.C. .......................................... 30,000 119,063
*Bimec Industries P.L.C. ................................ 32,677 0
Birkby P.L.C. .......................................... 119,513 335,817
*Birkdale Group P.L.C. .................................. 33,600 2,534
*Birse Group P.L.C. ..................................... 716,900 199,164
Black (A & C) P.L.C. ................................... 2,250 11,716
Black (Peter) Holdings P.L.C. .......................... 235,495 1,013,129
Black Arrow Group P.L.C. ............................... 56,500 47,538
Blacks Leisure Group P.L.C. ............................ 69,959 41,092
*Blagden Industries P.L.C. .............................. 226,875 479,018
81
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Blenheim Group P.L.C. .................................. 50,000 $ 203,200
Blick P.L.C. ........................................... 74,555 574,027
Blockleys P.L.C. ....................................... 118,678 141,301
Boddington Group P.L.C. ................................ 149,000 659,940
Bodycote International P.L.C. .......................... 303,000 1,582,531
*Bolton Group P.L.C. .................................... 23,000 7,668
Boosey & Hawkes P.L.C. ................................. 47,500 279,003
Boot (Henry) & Sons P.L.C. ............................. 65,000 219,789
*Booth Industries Group P.L.C. .......................... 5,000 5,556
Borthwicks P.L.C. ...................................... 235,500 138,327
Bostrom P.L.C. ......................................... 67,000 347,805
Bourne End Properties P.L.C. ........................... 110,454 94,687
Bradstock Group P.L.C. ................................. 130,000 169,228
Brake Brothers P.L.C. .................................. 111,500 1,019,556
Brammer (H.) P.L.C. .................................... 111,000 697,802
Brasway P.L.C. ......................................... 189,541 48,143
Breedon P.L.C. ......................................... 75,428 106,570
Brent International P.L.C. ............................. 414,531 769,940
*Brent Walker Group P.L.C. .............................. 128,571 5,103
Bridgend Group P.L.C. .................................. 93,000 26,575
Bridon P.L.C. .......................................... 140,000 282,258
Bridport-Gundry P.L.C. ................................. 22,000 40,164
Bristol Evening Post P.L.C. ............................ 40,500 226,314
Bristol Scotts P.L.C. .................................. 7,000 16,669
Bristol Water Holdings P.L.C. .......................... 12,000 211,455
Britannia Group P.L.C. ................................. 50,000 31,750
British Borneo Petroleum Syndicate P.L.C. ............. 95,498 419,941
British Building and Engineering Appliances, Ltd. ...... 52,000 99,060
British Data Management P.L.C. ......................... 25,000 52,784
British Dredging P.L.C. ................................ 87,600 166,878
British Fittings Group P.L.C. .......................... 138,658 187,102
British Mohair Holdings P.L.C. ......................... 31,500 106,013
British Polythene Industries P.L.C. .................... 72,736 667,407
British Steam Specialties Group P.L.C. ................ 108,505 1,023,175
British Thornton Holdings .............................. 35,000 19,447
Britton Group P.L.C. ................................... 721,200 1,694,459
Brockhampton Holdings P.L.C. ........................... 21,000 149,352
Bromsgrove Industries P.L.C. ........................... 196,885 271,923
Brooke Tool Engineering Holdings P.L.C. ............... 77,875 14,835
Brooks Service Group P.L.C. ............................ 25,500 31,171
*Brown & Jackson P.L.C. ................................. 22,019 47,889
*Brown & Tawse Group P.L.C. ............................. 115,000 76,676
Brown (N.) Group P.L.C. ................................ 339,750 1,235,119
Budgens P.L.C. ......................................... 399,285 190,159
Bulgin (A.F.) & Co. P.L.C. ............................. 4,000 3,874
Bulgin (A.F.) & Co. P.L.C. Class A Non-Voting ......... 52,000 18,987
*Bullers P.L.C. ......................................... 97 17
Bullough P.L.C. ........................................ 393,000 1,185,386
Bulmer (H.P.) Holdings P.L.C. .......................... 110,500 794,647
Burford Holdings P.L.C. ................................ 150,000 261,938
Burn Stewart Distillers P.L.C. ......................... 291,500 485,894
Burndene Investments P.L.C. ............................ 335,500 202,390
Burnfield P.L.C. ....................................... 85,475 128,907
Burtonwood Brewery P.L.C. .............................. 52,000 113,919
CI Group P.L.C. ........................................ 413,897 144,554
CRT Group P.L.C. ....................................... 149,251 232,197
Caffyns P.L.C. ......................................... 6,000 23,622
*Cairn Energy P.L.C. .................................... 142,500 217,170
Cala P.L.C. ............................................ 98,400 187,452
Calderburn P.L.C. ...................................... 57,636 170,185
82
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Camellia P.L.C. ........................................ 2,950 $ 106,775
*Campari International P.L.C. ........................... 25,000 9,922
Canning (W.) P.L.C. .................................... 68,354 235,471
Cantors P.L.C. ......................................... 40,750 64,044
Cape P.L.C. ............................................ 132,000 412,814
Capita Group P.L.C. .................................... 121,000 357,283
Capital Industries P.L.C. .............................. 67,500 158,591
Capital Radio P.L.C. ................................... 176,000 1,237,742
Carclo Engineering Group P.L.C. ........................ 164,777 732,434
Carlisle Group P.L.C. .................................. 100,000 27,781
Carr's Milling Industries P.L.C. ....................... 30,000 117,634
Casket P.L.C. .......................................... 398,731 85,453
Castings P.L.C. ........................................ 102,000 302,800
*Castle Mill International P.L.C. ....................... 31,500 1,500
Cater Allen Holdings P.L.C. ............................ 146,833 1,207,444
*Cathay International P.L.C. ............................ 439,600 143,062
Cattle's Holdings P.L.C. ............................... 352,280 1,012,233
Caverdale Group P.L.C. ................................. 1,262,244 220,419
Chamberlin & Hill P.L.C. ............................... 18,000 42,863
Channel Holdings P.L.C. ................................ 90,000 50,006
Cheam Group P.L.C. Class A ............................. 15,000 129,302
Chemring Group P.L.C. .................................. 49,000 272,256
Chesterfield Properties P.L.C. ......................... 25,000 177,006
Chiltern Radio P.L.C. .................................. 15,000 75,248
Chloride Group P.L.C. .................................. 571,500 179,183
*Christie Group P.L.C. .................................. 50,000 16,669
Christies International P.L.C. ......................... 25,000 65,088
*Chrysalis Group P.L.C. ................................. 125,036 518,071
Church & Co. P.L.C. .................................... 50,500 364,768
City Centre Restaurants P.L.C. ......................... 465,500 650,304
*City Site Estates P.L.C. ............................... 20,000 15,240
Claremont Garments (Holdings) P.L.C. .................. 135,700 693,664
Clark (Matthew) P.L.C. ................................. 116,480 1,150,153
Clarkson (Horace) P.L.C. ............................... 142,489 248,821
Clayhithe P.L.C. ....................................... 41,500 42,823
Clayhithe P.L.C. 9.5% Unsecured Loan Stock 12/31/01 ... 20,750 29,811
Clinton Cards P.L.C. ................................... 77,000 101,457
*Cliveden P.L.C. ........................................ 27,140 0
Close Brothers Group P.L.C. ............................ 272,714 1,199,181
*Cluff Resources P.L.C. ................................. 181,100 149,498
Clyde Blowers P.L.C. ................................... 11,781 28,054
Clyde Petroleum P.L.C. ................................. 997,500 728,424
*Coal Investments P.L.C. ................................ 1,102 1,907
*Cohen (A.) & Co. P.L.C. ................................ 2,100 16,935
*Cohen (A.) & Co. P.L.C. Class A Non-Voting ............ 1,500 11,311
Colefax & Fowler Group P.L.C. .......................... 60,000 62,865
Colorvision P.L.C. ..................................... 50,000 22,225
Community Hospitals Group P.L.C. ...................... 191,333 741,128
Computer People Group P.L.C. ........................... 50,999 219,404
Concentric P.L.C. ...................................... 133,026 416,022
*Conrad P.L.C. .......................................... 30,000 2,143
Conrad Ritblat Sinclair Goldsmith P.L.C. .............. 268,000 102,108
Cook (William) P.L.C. .................................. 53,750 186,869
Cooper (Frederick) P.L.C. .............................. 86,954 84,204
Cornwell Parker P.L.C. ................................. 16,000 20,066
Cornwell Parker P.L.C. Class A Non-Voting ............. 90,000 85,011
Cosalt P.L.C. .......................................... 72,500 176,093
*Costain Group P.L.C. ................................... 1,120,600 195,685
Country Casuals Holdings P.L.C. ........................ 5,040 8,561
83
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Countryside Property P.L.C. ............................ 209,454 $ 272,657
Courts P.L.C. .......................................... 60,542 747,739
Coutts Consulting Group P.L.C. ......................... 92,000 87,630
Cradley Group Holdings P.L.C. .......................... 80,000 36,830
Crest Nicholson P.L.C. ................................. 231,250 267,990
Crestacare P.L.C. ...................................... 381,864 200,049
*Creston Land & Estates P.L.C. .......................... 50,000 8,334
Cropper (James) P.L.C. ................................. 36,000 136,589
*Cullen's Holdings P.L.C. ............................... 38,645 9,202
Culver Holdings P.L.C. ................................. 8,471 740
Cussins Property Group P.L.C. .......................... 43,750 59,035
Daejan Holdings P.L.C. ................................. 23,000 436,324
Dagenham Motors Group P.L.C. ........................... 81,000 195,453
Dalepak Foods P.L.C. ................................... 57,500 100,409
Dart Group P.L.C. ...................................... 37,000 98,679
Davis Service Group P.L.C. ............................. 249,360 973,813
Dawson Group P.L.C. .................................... 100,674 468,273
Dawson International P.L.C. ............................ 294,000 555,403
Debenham Tewson & Chinnocks Holdings P.L.C. ........... 89,500 88,090
*Delaney Group P.L.C. ................................... 270,000 32,147
Delyn Group P.L.C. . ................................... 40,500 41,148
*Dencora P.L.C. ......................................... 23,000 52,578
Densitron International P.L.C. ......................... 42,386 25,569
Derwent Valley Holdings P.L.C. ......................... 65,000 286,861
*Development Securities P.L.C. .......................... 62,000 148,622
Dewhirst Group P.L.C. .................................. 378,760 1,016,166
Dewhurst P.L.C. ........................................ 9,000 16,145
Dewhurst P.L.C. Class A Non-Voting .................... 15,500 26,329
Diploma P.L.C. ......................................... 139,000 1,094,486
Dixon Motors P.L.C. .................................... 1,167 2,946
Dobson Park Industries P.L.C. .......................... 354,537 455,890
Doeflex P.L.C. ......................................... 25,762 80,158
Dolphin Packaging P.L.C. ............................... 84,110 141,536
Domino Printing Sciences P.L.C. ........................ 147,187 1,299,146
*Donelon Tyson P.L.C. ................................... 322,588 33,287
Dorling Kindersley Holdings P.L.C. ..................... 20,000 121,920
Dowding & Mills P.L.C. ................................. 451,875 498,559
*Drummond Group P.L.C. .................................. 26,250 15,002
*Dunkeld Group P.L.C. (In Receivership) ................ 13,400 0
Dyson (J.& J.) P.L.C. Class A Non-Voting ............... 28,500 29,408
EBC Group P.L.C. ....................................... 30,000 20,003
EIS Group P.L.C. ....................................... 204,066 1,231,028
*ERA Group P.L.C. ....................................... 400,000 47,625
ERF Holdings P.L.C. .................................... 24,000 131,826
Eadie Holdings P.L.C. .................................. 118,000 41,212
*Eclipse Blinds P.L.C. .................................. 553,564 162,575
Edinburgh Fund Managers ................................ 42,500 501,293
*Elbief P.L.C. .......................................... 23,500 6,342
*Eleco Holdings P.L.C. .................................. 133,527 57,233
Electron House P.L.C. .................................. 56,000 160,020
Electronic Data Processing P.L.C. ...................... 55,200 120,929
Elliott (B.) & Co. P.L.C. .............................. 6,087 9,953
Ellis & Everard P.L.C. ................................. 212,131 926,084
Emess P.L.C. ........................................... 483,250 249,327
English & Overseas Properties P.L.C. .................. 190,000 81,439
Epwin Group P.L.C. ..................................... 72,000 358,902
Erith P.L.C. ........................................... 96,000 85,344
Etam P.L.C. ............................................ 159,500 541,861
Eurocamp P.L.C. ........................................ 70,000 311,150
Eurocopy P.L.C. ........................................ 210,000 240,030
84
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Euromoney Publications P.L.C. .......................... 50,000 $1,109,663
European Colour P.L.C. ................................. 82,090 113,377
European Motor Holdings P.L.C. ......................... 175,000 300,038
Eurotherm P.L.C. ....................................... 208,000 1,489,202
Evans Halshaw Holdings P.L.C. .......................... 133,454 877,093
Evans of Leeds P.L.C. .................................. 80,000 135,890
Everest Foods P.L.C. ................................... 60,000 74,295
Ewart P.L.C. ........................................... 30,000 26,670
Ex-Lands P.L.C. ........................................ 208,000 66,040
Excalibur Group P.L.C. ................................. 228,630 110,700
Expamet International P.L.C. ........................... 398,749 468,430
FII Group P.L.C. ....................................... 60,166 394,471
FR Group P.L.C. ........................................ 184,000 1,060,323
Faber Prest P.L.C. ..................................... 52,500 515,898
Fairey Group P.L.C. .................................... 140,000 995,680
Fairline Boats P.L.C. .................................. 8,500 56,674
Falcon Holdings P.L.C. ................................. 5,500 9,081
*Farringford P.L.C. ..................................... 30,000 3,572
Fenner P.L.C. .......................................... 161,457 389,596
Ferguson International Holdings P.L.C. ................ 126,000 660,083
Ferry Pickering Group P.L.C. ........................... 33,500 65,413
Fife Indmar P.L.C. ..................................... 24,000 19,431
Finlay (James) P.L.C. .................................. 644,500 613,886
First Choice Holidays .................................. 481,500 940,189
First National Finance Corp. P.L.C. ................... 413,813 558,389
First Technology P.L.C. ................................ 36,750 253,198
*Firth (G.M.) Holdings P.L.C. ........................... 151,000 55,134
*Fitch P.L.C. ........................................... 15,500 4,060
Five Oaks Investments P.L.C. ........................... 150,000 55,959
Fletcher King P.L.C. ................................... 17,500 5,834
Folkes Group P.L.C. .................................... 28,000 22,225
Folkes Group P.L.C. Non-Voting ......................... 65,500 50,951
Forminster P.L.C. ...................................... 32,500 77,907
Forth Ports P.L.C. ..................................... 51,000 425,863
Fortnum & Mason P.L.C. ................................. 1,000 111,125
Forward Technology Industries P.L.C. .................. 84,260 76,245
*Foster (John) & Son P.L.C. ............................. 27,500 8,076
French (Thomas) & Sons P.L.C. .......................... 49,000 64,564
Friendly Hotels P.L.C. ................................. 48,666 110,478
Frogmore Estates P.L.C. ................................ 51,000 374,856
Frost Group P.L.C. ..................................... 175,080 722,643
*Futura Holdings P.L.C. ................................. 9,000 2,143
GBE International P.L.C. ............................... 134,666 123,994
GEI International P.L.C. ............................... 87,000 138,113
Galliford P.L.C. ....................................... 466,500 125,897
Gardiner Group P.L.C. .................................. 310,500 110,907
Garton Engineering P.L.C. .............................. 10,248 23,915
Gaskell P.L.C. ......................................... 9,000 19,288
Gates (Frank G.) P.L.C. ................................ 86,250 68,461
Geest P.L.C. ........................................... 85,000 226,695
Gent (S.R.) P.L.C. ..................................... 125,000 192,484
Gerrard & National Holdings P.L.C. .................... 97,000 712,962
*Gestetner Holdings P.L.C. .............................. 100,000 105,569
Gibbs & Dandy P.L.C. ................................... 4,500 6,287
Gibbs & Dandy P.L.C. Class A Non-Voting ............... 11,000 12,398
Gieves Group P.L.C. .................................... 84,000 77,343
Gleeson (M.J.) Group P.L.C. ............................ 25,000 328,613
Goal Petroleum P.L.C. .................................. 333,000 377,976
Gold Greenlees Trott P.L.C. ............................ 78,432 207,933
Goldsmiths Group P.L.C. ................................ 50,000 116,681
85
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Goode Durrant P.L.C. ................................... 122,500 $ 474,504
Goodhead Group P.L.C. .................................. 36,000 10,287
*Graham Wood P.L.C. ..................................... 9,000 0
Grainger Trust, Ltd. ................................... 22,000 92,901
Grampian Holdings P.L.C. ............................... 166,937 331,266
Grampian Television P.L.C. Class A Non-Voting ......... 35,000 172,799
Graseby P.L.C. ......................................... 208,480 456,728
Graystone P.L.C. ....................................... 602,750 114,824
Greene King P.L.C. ..................................... 78,000 657,511
Greenway Holdings P.L.C. ............................... 60,197 132,832
*Greenwich Resources P.L.C. ............................. 219,332 49,617
Greggs P.L.C. .......................................... 26,000 473,837
*Greycoat P.L.C. ........................................ 100,000 223,838
*Guiness Peat Group P.L.C. .............................. 121,000 58,587
HTV Group P.L.C. ....................................... 391,000 1,058,315
Haden Maclellan Holdings P.L.C. ........................ 543,914 526,713
Haggas (John) P.L.C. ................................... 98,000 157,131
Hall Engineering (Holdings) P.L.C. ..................... 148,528 436,208
Halstead (James) Group P.L.C. .......................... 74,955 403,380
Hambro Countrywide P.L.C. .............................. 1,089,000 449,485
Hampson Industries P.L.C. .............................. 144,536 97,517
Hardy Oil & Gas P.L.C. ................................. 281,750 769,318
Hardys & Hansons P.L.C. ................................ 48,000 195,072
Harris (Philip) P.L.C. ................................. 25,866 67,753
*Hartons Group P.L.C. ................................... 179,900 24,275
*Hartstone Group P.L.C. ................................. 1,774,626 394,411
Havelock Europa P.L.C. ................................. 64,250 220,313
*Hawtal Whiting Holdings P.L.C. ......................... 22,588 62,035
Hawtin P.L.C. .......................................... 146,500 84,888
*Hay (Norman) P.L.C. .................................... 48,000 23,622
Haynes Publishing Group P.L.C. ......................... 38,635 179,706
Headlam Group P.L.C. ................................... 99,696 275,385
*Healthcare Holdings P.L.C. ............................. 2,820 78
Heath (C.E.) P.L.C. .................................... 75,000 291,703
Heath (Samuel) & Sons P.L.C. ........................... 7,500 11,311
Helene P.L.C. .......................................... 416,326 152,011
Helical Bar P.L.C. ..................................... 35,000 177,800
Hemingway Properties P.L.C. ............................ 200,000 86,519
Henderson Administration Group P.L.C. ................. 52,000 920,433
Henlys Group P.L.C. .................................... 105,931 706,295
Herring Baker Harris Group P.L.C. ...................... 35,916 10,263
Hewden-Stuart P.L.C. ................................... 577,933 1,660,618
Hewetson P.L.C. ........................................ 20,000 25,718
*Hewitt Group P.L.C. .................................... 16,000 19,304
Hi-Tech Sports P.L.C. .................................. 193,446 93,664
Hicking Pentecost P.L.C. ............................... 49,096 178,482
Higgs & Hill P.L.C. .................................... 109,500 146,018
High-Point P.L.C. ...................................... 13,500 8,144
Hill & Smith Holdings P.L.C. ........................... 136,533 279,603
Hodder Headline P.L.C. ................................. 61,000 360,236
Hogg Robinson P.L.C. ................................... 444,000 1,268,730
Hollas Group P.L.C. .................................... 354,000 137,684
*Holmes & Marchant Group P.L.C. ......................... 54,000 14,573
Holt (Joseph) P.L.C. ................................... 6,000 302,228
Home Counties Newspapers Holdings P.L.C. .............. 25,000 55,563
Hopkinsons Group P.L.C. ................................ 247,557 184,708
*Horace Small Apparel P.L.C. ............................ 82,500 142,756
How Group P.L.C. ....................................... 88,000 40,513
Howard Holdings P.L.C. ................................. 57,730 14,663
Howden Group P.L.C. .................................... 700,168 939,232
Hunting P.L.C. ......................................... 211,154 606,725
86
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Huntingdon International Holdings P.L.C. .............. 138,000 $ 124,873
ISA International P.L.C. ............................... 95,214 158,710
Ibstock P.L.C. ......................................... 625,200 769,191
Industrial Control Services Group P.L.C. .............. 20,000 37,148
Ingham P.L.C. .......................................... 38,000 29,559
Intereurope Technology Services P.L.C. ................ 23,500 40,664
International Business Communications Holdings P.L.C. .. 96,470 431,872
Ipeco Holdings P.L.C. .................................. 130,931 162,125
Isle of Man Steam Packet Co., Ltd. .................... 72,000 117,729
Isotron P.L.C. ......................................... 30,500 125,889
Ivory & Sime P.L.C. .................................... 78,125 262,930
JIB Group P.L.C. ....................................... 298,500 611,291
JLI Group P.L.C. ....................................... 266,000 295,593
Jackson Group P.L.C. ................................... 78,000 66,866
Jacobs (John I.) P.L.C. ................................ 46,000 41,624
*Jarvis P.L.C. .......................................... 89,788 24,232
Jarvis Porter Group P.L.C. ............................. 99,894 436,100
Jerome (S.) & Sons Holdings P.L.C. .................... 18,375 20,128
*Johnson & Firth Brown P.L.C. ........................... 414,666 319,267
Johnson Group Cleaners P.L.C. .......................... 170,535 736,370
Johnston Group P.L.C. .................................. 50,000 261,938
Johnston Press P.L.C. .................................. 135,176 300,429
*Jones & Shipman P.L.C. ................................. 29,500 13,113
Jones Stroud Holdings P.L.C. ........................... 58,500 356,616
Joseph (Leopold) Holdings P.L.C. ....................... 28,000 161,354
Jourdan (Thomas) P.L.C. ................................ 40,000 22,860
Kalamazoo Computer Group P.L.C. ....................... 46,000 72,295
Kalon Group P.L.C. ..................................... 502,500 1,108,829
Kelsey Industries P.L.C. ............................... 7,500 54,173
Kelt Energy P.L.C. ..................................... 120,584 95,714
Kenwood Appliances P.L.C. .............................. 80,000 364,490
King & Shaxson Holdings P.L.C. ......................... 39,500 73,366
Kleeneze Holdings P.L.C. ............................... 32,757 71,762
*Kode International P.L.C. .............................. 43,100 49,948
Kunick P.L.C. .......................................... 600,000 180,975
Kwik-Fit Holdings P.L.C. ............................... 215,000 542,687
*LEP Group P.L.C. ....................................... 2,115,000 100,727
Laing (John) P.L.C. .................................... 102,870 339,677
Lambert Howarth Group P.L.C. ........................... 48,000 100,584
Lamont Holdings P.L.C. ................................. 72,231 397,893
Leeds Group P.L.C. ..................................... 71,850 303,405
Leigh Interests P.L.C. ................................. 156,499 352,788
Leslie Wise Group P.L.C. ............................... 107,000 115,507
Liberty P.L.C. ......................................... 51,875 200,114
Life Sciences International P.L.C. ..................... 381,662 890,656
Lilleshall P.L.C. ...................................... 80,564 118,943
Linton Park P.L.C. ..................................... 53,000 285,226
Linx Printing Technologies P.L.C. ...................... 36,000 47,435
Lionheart P.L.C. ....................................... 419,949 25,000
Lister & Co. P.L.C. .................................... 41,000 29,940
Lloyd Thompson Group P.L.C. ............................ 154,000 435,166
Locker (Thomas) Holdings P.L.C. ........................ 22,500 6,429
Locker (Thomas) Holdings P.L.C. Class A Non-Voting ..... 66,000 16,240
Logica P.L.C. .......................................... 211,000 1,282,906
London Scottish Bank P.L.C. ............................ 140,500 297,763
Lookers P.L.C. ......................................... 80,160 218,877
Lopex P.L.C. ........................................... 154,948 54,116
87
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Lovell (Y.J.) Holdings P.L.C. .......................... 70,932 $ 40,538
*Lowe (Robert H.) & Co. P.L.C. .......................... 1,551 283
Lowndes Lambert Group Holdings P.L.C. ................. 367,000 964,224
Lyles (S.) P.L.C. ...................................... 16,000 16,002
M & W P.L.C. ........................................... 7,200 14,630
M.R. Data Management Group P.L.C. ..................... 136,158 118,883
ML Holdings P.L.C. ..................................... 431,132 253,236
MS International P.L.C. ................................ 120,500 40,172
MTM P.L.C. ............................................. 228,250 289,878
MacAllan-Glenlivet P.L.C. .............................. 155,000 452,755
MacDonald Martin Distillies P.L.C. Class A ............ 20,000 214,313
MacFarlane Group Clansman P.L.C. ...................... 370,688 1,088,663
Macro 4 P.L.C. ......................................... 54,000 388,334
Magnolia Group P.L.C. .................................. 11,000 8,207
Mallett P.L.C. ......................................... 90,437 100,498
Manchester United P.L.C. ............................... 62,500 148,828
Manders P.L.C. ......................................... 79,000 443,960
Manganese Bronze Holdings P.L.C. ...................... 52,184 115,979
Mansfield Brewery P.L.C. ............................... 276,500 1,163,201
Marling Industries P.L.C. .............................. 922,398 358,755
Marshalls P.L.C. ....................................... 428,178 985,612
Marston Thompson & Evershed P.L.C. .................... 45,000 218,599
Martin Internationl Holdings P.L.C. .................... 159,000 90,869
Matthews (Bernard) P.L.C. .............................. 342,000 651,510
Maunders (John) Group P.L.C. ........................... 123,000 380,762
Mayflower Corp. P.L.C. ................................. 621,272 675,594
McAlpine (Alfred) P.L.C. ............................... 171,111 459,069
*McCarthy & Stone P.L.C. ................................ 227,968 206,283
McKay Securities P.L.C. ................................ 70,000 146,685
McLeod Russel Holdings P.L.C. .......................... 149,524 325,196
Meggitt P.L.C. ......................................... 572,190 758,474
*Melville Group P.L.C. .................................. 90,000 6,429
*Merchant Retail Group P.L.C. ........................... 416,766 115,783
Metal Bulletin P.L.C. .................................. 24,000 210,312
Metalrax Group P.L.C. .................................. 363,405 686,517
*Micro Focus Group P.L.C. ............................... 34,500 402,550
Microgen Holdings P.L.C. ............................... 205,000 413,306
Misys P.L.C. ........................................... 253,354 1,484,116
Mitie Group P.L.C. ..................................... 50,000 181,769
Molins P.L.C. .......................................... 76,500 807,601
More O'Ferrall P.L.C. .................................. 79,193 553,163
Morland & Co. P.L.C. ................................... 137,500 1,091,406
Mosaic Investments P.L.C. .............................. 33,000 14,407
Moss Brothers Group P.L.C. ............................. 40,500 294,465
*Mowlem (John) & Co. P.L.C. ............................. 569,990 624,353
Mucklow (A & J) Group P.L.C. ........................... 175,000 375,047
*NSM P.L.C. ............................................. 58,474 93,756
Narborough Plantations P.L.C. .......................... 63,829 42,558
Neepsend P.L.C. ........................................ 109,250 71,108
Neotronics Technology P.L.C. ........................... 151,000 148,622
Nestor -- BNA P.L.C. ................................... 260,200 256,102
*New London P.L.C. ...................................... 141,500 10,670
Newman Tonks Group P.L.C. .............................. 300,834 797,549
*Newmarket Venture Capital P.L.C. ....................... 80,000 22,860
Nichols (JN) (Vimto) P.L.C. ............................ 98,750 358,993
Nobo Group P.L.C. ...................................... 41,107 81,572
Norcros P.L.C. ......................................... 292,857 399,823
Northamber P.L.C. ...................................... 44,444 91,721
Novo Group P.L.C. ...................................... 113,000 39,465
88
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Nurdin & Peacock, Ltd. ................................. 84,000 $ 248,031
*OEM P.L.C. ............................................. 12,000 10,287
OMI International P.L.C. ............................... 173,158 52,229
Ocean Wilson Holdings, Ltd. ............................ 99,250 129,199
Oceana Consolidated Co. P.L.C. ......................... 16,000 28,702
*Oceonics Group P.L.C. .................................. 527,600 27,221
Ockham Holdings P.L.C. ................................. 224,000 138,684
*Oliver Group P.L.C. .................................... 111,000 162,116
*Olives Property P.L.C. ................................. 126,208 50,089
Osborne & Little P.L.C. ................................ 17,500 122,238
Osprey Communications P.L.C. ........................... 23,524 7,095
*Owen & Robinson P.L.C. ................................. 9,485 2,259
Oxford Instruments P.L.C. .............................. 122,000 708,851
P & P P.L.C. ........................................... 129,250 207,236
PSIT P.L.C. ............................................ 180,000 368,618
PWS Holdings P.L.C. .................................... 134,428 38,413
Page (Michael) Group P.L.C. ............................ 153,975 315,322
Park Food Group P.L.C. ................................. 382,500 686,157
Parkland Group P.L.C. .................................. 30,000 80,963
Partridge Fine Arts P.L.C. ............................. 75,000 86,916
Paterson Zochonis P.L.C. ............................... 22,000 145,987
Paterson Zochonis P.L.C. Non-Voting .................... 27,000 162,449
Peek P.L.C. ............................................ 291,608 407,376
Peel Holdings P.L.C. ................................... 75,000 317,897
*Peel Holdings P.L.C. 0% Loan Stock 10/08/98 ........... 94,500 124,516
Pendragon P.L.C. ....................................... 158,750 662,801
*Pentos P.L.C. (In Receivership) ........................ 839,262 66,616
Perkins Foods P.L.C. ................................... 365,000 394,018
Perpetual P.L.C. ....................................... 64,000 1,379,728
Perry Group P.L.C. ..................................... 120,666 283,505
Persimmon P.L.C. ....................................... 263,800 887,819
*Pex P.L.C. ............................................. 47,500 7,541
*Phoenix Timber Group P.L.C. ............................ 31,000 7,874
Photo-Me International P.L.C. .......................... 145,000 522,526
Pifco Holdings P.L.C. .................................. 20,000 92,393
Pifco Holdings P.L.C. Class A .......................... 20,000 86,678
Pittards P.L.C. ........................................ 99,985 90,474
Pittencrieff Resources P.L.C. .......................... 74,000 102,203
Pizza Express P.L.C. ................................... 84,508 205,259
Plantation & General Investment P.L.C. ................ 96,224 87,071
Platignum P.L.C. ....................................... 160,600 16,572
Plysu P.L.C. ........................................... 117,800 385,235
Polypipe P.L.C. ........................................ 814,670 2,133,926
*Porter Chadburn P.L.C. ................................. 410,000 240,824
Portmeirion Potteries (Holdings) P.L.C. ............... 64,000 436,880
Portsmouth & Sunderland Newspapers P.L.C. .............. 30,000 282,416
Porvair P.L.C. ......................................... 35,000 191,691
Powerscreen International P.L.C. ....................... 209,666 991,877
*Premier Consolidated Oilfields P.L.C. ................. 2,352,135 1,017,519
Pressac Holdings P.L.C. ................................ 94,000 186,531
*Prestwick Holdings P.L.C. .............................. 90,000 44,291
Property Partnerships P.L.C. ........................... 10,000 38,894
Prospect Industries P.L.C. ............................. 372,477 70,957
Protean P.L.C. ......................................... 71,076 267,415
Proudfoot P.L.C. ....................................... 202,646 157,633
Prowting P.L.C. ........................................ 171,000 336,614
QS Holdings P.L.C. ..................................... 197,775 423,857
*Quadrant Group P.L.C. .................................. 231,253 102,792
Quality Care Homes P.L.C. .............................. 20,000 90,488
89
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Quick Group P.L.C. ..................................... 151,198 $ 324,036
RCO Holdings P.L.C. .................................... 27,000 115,729
REA Holdings P.L.C. .................................... 14,658 37,929
Radamec Group P.L.C. ................................... 35,000 36,116
Raine P.L.C. ........................................... 467,965 222,868
Ransom (William) & Son P.L.C. .......................... 30,000 23,813
*Ransomes P.L.C. ........................................ 192,000 161,544
Rea Brothers Group P.L.C. .............................. 106,562 86,275
Readicut International P.L.C. .......................... 499,263 511,214
Record Holdings P.L.C. ................................. 158,727 183,945
*Reece P.L.C. ........................................... 283,750 12,387
Reed Executive P.L.C. .................................. 116,500 229,330
Reg Vardy P.L.C. ....................................... 206,645 741,391
*Regent Corp. P.L.C. .................................... 2,488 987
Relyon Group P.L.C. .................................... 45,777 206,386
Renishaw P.L.C. ........................................ 130,968 677,792
Renold P.L.C. .......................................... 322,000 1,111,806
*Resort Hotels P.L.C. ................................... 255,283 0
Rexmore P.L.C. ......................................... 32,500 32,504
Ricardo Group P.L.C. ................................... 287,709 657,703
Richards Group P.L.C. .................................. 16,000 12,446
Richards P.L.C. ........................................ 123,500 105,870
Richardsons Westgarth P.L.C. ........................... 187,928 247,619
*Richmond Oil & Gas P.L.C. .............................. 220,000 15,716
*Rodime P.L.C. .......................................... 261,000 33,147
Rolfe & Nolan P.L.C. ................................... 24,000 62,865
Ropner P.L.C. .......................................... 84,300 190,033
Ross Group P.L.C. ...................................... 13,200 1,257
Rotork P.L.C. .......................................... 283,500 747,093
Rowe Evans Investments P.L.C. .......................... 114,417 227,046
*Roxspur P.L.C. ......................................... 585,225 116,131
Rubicon Group P.L.C. ................................... 47,890 117,839
Russell (Alexander) P.L.C. ............................. 47,500 76,160
Rutland Trust P.L.C. ................................... 843,000 347,948
S & U P.L.C. ........................................... 29,040 140,608
*Saatchi & Saatchi Co. P.L.C. ........................... 51,760 86,277
Sage Group P.L.C. ...................................... 86,000 1,310,640
Sanderson Bramall Motor Group P.L.C. .................. 79,166 240,041
Sanderson Electrons P.L.C. ............................. 90,000 141,446
Saville (J.) Gordon Group P.L.C. ....................... 247,761 216,326
Savills P.L.C. ......................................... 145,000 128,905
*Scantronic Holdings P.L.C. ............................. 178,038 25,437
Scholl P.L.C. .......................................... 166,250 451,306
*Scottish Heritable Trust P.L.C. ........................ 96,000 0
*Scottish Ice Rink Co. (1928) P.L.C. ................... 13,000 0
Scottish Metropolitan Property P.L.C. ................. 771,666 931,015
Scottish Television P.L.C. ............................. 108,000 754,380
Secure Trust Group P.L.C. .............................. 60,000 471,488
*Seet P.L.C. ............................................ 7,000 7,779
Senior Engineering Group P.L.C. ........................ 100,000 139,700
Sennah Rubber Co., Ltd. (Guernsey) .................... 1,214 27,463
Serco Group P.L.C. ..................................... 130,000 608,806
Servomex P.L.C. ........................................ 30,000 126,206
Seton Healthcare Group P.L.C. .......................... 88,366 555,513
Shaftesbury P.L.C. ..................................... 75,000 108,347
Shandwick P.L.C. ....................................... 302,640 182,568
Shanks & McEwan Group P.L.C. ........................... 192,000 280,416
Sharpe & Fisher P.L.C. ................................. 43,734 115,250
Sheffield Insulations Group P.L.C. ..................... 143,500 571,794
Sherwood Group P.L.C. .................................. 513,000 838,819
Shiloh P.L.C. .......................................... 14,500 30,845
90
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
ShopRite Group P.L.C. .................................. 350,780 $ 43,157
Sidlaw Group P.L.C. .................................... 176,071 412,281
*Signet Group P.L.C. .................................... 736,900 155,002
Silentnight Holdings P.L.C. ............................ 202,500 659,011
*Simon Engineering P.L.C. ............................... 474,333 594,873
Sims Food Group P.L.C. ................................. 99,000 119,444
Sinclair (William) Holdings P.L.C. ..................... 53,000 164,068
Sindall (William) P.L.C. ............................... 50,500 45,696
Singapore Para Rubber Estates P.L.C. .................. 26,000 61,500
Singer & Friedlander Group P.L.C. ...................... 558,000 841,534
Sirdar P.L.C. .......................................... 181,266 296,393
Sketchley P.L.C. ....................................... 141,800 247,618
Smart (J.) & Co. (Contractors) P.L.C. ................. 22,500 73,223
Smith New Court P.L.C. ................................. 40,000 267,970
South Staffordshire Water Holdings P.L.C. ............. 11,600 406,972
Southend Property Holdings P.L.C. ..................... 250,000 158,750
Southern Business Group P.L.C. ......................... 230,900 300,574
Spirax-Sarco Engineering P.L.C. ........................ 76,393 641,539
Spring Ram Corp. P.L.C. ................................ 616,000 400,939
St. Modwen Properties P.L.C. ........................... 50,000 39,291
Stakis P.L.C. .......................................... 70,033 97,836
Stanley Leisure Organisation P.L.C. ................... 125,129 731,004
*Starmin P.L.C. ......................................... 248,445 5,916
Stat-Plus Group P.L.C. ................................. 104,000 312,039
Staveley Industries P.L.C. ............................. 276,000 819,341
Steel Burrill Jones Group P.L.C. ....................... 201,682 313,767
Sterling Industries P.L.C. ............................. 88,000 382,778
Stirling Group P.L.C. .................................. 432,000 384,048
Stoddard Sekers International P.L.C. .................. 277,100 136,368
Stratagem Group P.L.C. ................................. 38,354 107,161
Stylo P.L.C. ........................................... 108,000 324,041
Sumit P.L.C. ........................................... 16,500 58,936
Sutcliffe Speakman P.L.C. .............................. 186,162 53,196
Suter P.L.C. ........................................... 411,376 1,182,038
Swallowfield P.L.C. .................................... 15,000 43,458
Swan (John) and Sons P.L.C. ............................ 1,000 6,795
*Sycamore Holdings P.L.C. ............................... 4,316 754
Syltone P.L.C. ......................................... 36,000 93,155
T & S Stores P.L.C. .................................... 359,340 981,178
TGI P.L.C. ............................................. 59,560 87,933
TT Group P.L.C. ........................................ 326,206 1,273,916
Takare P.L.C. .......................................... 217,000 723,424
*Talbex Group P.L.C. (In Receivership) ................. 385,000 0
*Tamaris P.L.C. ......................................... 206,460 7,374
*Taunton Cider P.L.C. ................................... 30,000 79,534
Tay Homes P.L.C. ....................................... 192,666 495,489
Taylor Nelson AGB P.L.C. ............................... 546,475 303,635
Telemetrix P.L.C. ...................................... 294,826 416,552
*Tex Holdings P.L.C. .................................... 14,000 10,446
Thorntons P.L.C. ....................................... 407,000 1,066,086
Thorpe (F.W.) P.L.C. ................................... 24,000 93,345
Tibbett & Britten Group P.L.C. ......................... 98,400 835,724
Tie Rack P.L.C. ........................................ 209,000 411,417
Tilbury Douglas P.L.C. ................................. 132,183 923,298
Time Products P.L.C. ................................... 124,000 521,653
Tinsley Robor P.L.C. ................................... 60,000 63,818
Tomkinsons P.L.C. ...................................... 14,800 37,827
Tops Estates P.L.C. .................................... 10,000 25,241
91
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Torday & Carlisle P.L.C. ............................... 65,000 $ 28,893
Town Centre Securities P.L.C. .......................... 150,000 233,363
*Toye & Co. P.L.C. ...................................... 2,000 3,651
Trace Computers P.L.C. ................................. 33,552 21,306
Trade Indemnity Group P.L.C. ........................... 718,404 821,136
Trafford Park Estates P.L.C. ........................... 50,000 73,025
Transtec P.L.C. ........................................ 221,525 270,787
Travis Perkins P.L.C. .................................. 202,200 988,657
Trinity Holdings P.L.C. ................................ 54,000 306,896
Trinity International Holdings P.L.C. ................. 168,600 979,608
Triplex Lloyd P.L.C. ................................... 158,110 373,989
Try Group P.L.C. ....................................... 243,407 69,554
Tunstall Group P.L.C. .................................. 102,000 401,574
UDO Holdings P.L.C. .................................... 71,000 255,857
UK Estates P.L.C. ...................................... 50,000 17,463
UK Safety P.L.C. ....................................... 135,833 86,254
Ugland International P.L.C. ............................ 109,850 184,850
Ulster Television, Ltd. ................................ 25,000 322,659
*Unigroup P.L.C. ........................................ 77,163 53,898
Union P.L.C. ........................................... 47,000 73,120
Unitech P.L.C. ......................................... 169,100 1,017,411
United Industries P.L.C. ............................... 611,460 174,725
*Usborne P.L.C. ......................................... 111,066 31,737
VSEL P.L.C. ............................................ 93,607 2,648,072
Vardon P.L.C. .......................................... 88,000 209,550
*Verson International Group P.L.C. ...................... 401,163 89,158
Vert (Jacques) P.L.C. .................................. 20,000 68,898
Vibroplant P.L.C. ...................................... 113,500 180,181
Victaulic P.L.C. ....................................... 204,000 871,157
Victoria Carpet Holdings P.L.C. ........................ 12,000 19,812
*Videologic Group P.L.C. ................................ 186,666 120,015
Vinten Group P.L.C. .................................... 199,175 1,862,361
Volex Group P.L.C. ..................................... 131,206 801,915
Vosper Thornycroft Holdings P.L.C. .................... 76,000 1,003,808
WMGO P.L.C. ............................................ 176,000 34,925
WSP Group P.L.C. ....................................... 50,000 40,481
Wace Group P.L.C. ...................................... 195,000 730,568
Waddington (John) P.L.C. ............................... 253,285 759,950
Wagon Industrial Holdings P.L.C. ....................... 121,138 934,610
*Wakebourne P.L.C. ...................................... 27,850 22,548
Walker Greenbank P.L.C. ................................ 549,000 836,676
Ward Holdings P.L.C. ................................... 130,000 94,933
Wardle Storeys P.L.C. .................................. 58,000 313,055
Warner Estate Holdings P.L.C. .......................... 70,000 222,250
Warner Howard P.L.C. ................................... 99,817 446,856
Waterman Partnership Holdings P.L.C. .................. 45,000 36,433
*Wates City of London Properties P.L.C. ................ 230,000 262,890
Watmoughs Holdings P.L.C. .............................. 151,800 992,848
Watson & Philip P.L.C. ................................. 182,400 1,192,987
Watts, Blake, Bearne & Co. P.L.C. ...................... 50,500 400,844
*Waverly Mining Finance P.L.C. .......................... 42,500 79,613
Wehmiller (Barry) International P.L.C. ................ 112,322 237,154
Wellman P.L.C. ......................................... 204,833 149,579
*Wembley P.L.C. ......................................... 605,300 26,425
*West Industries P.L.C. ................................. 84,000 0
West Trust P.L.C. ...................................... 233,627 131,663
Westbury P.L.C. ........................................ 165,333 417,321
Western Selection P.L.C. ............................... 35,525 11,843
92
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Wetherspoon (JD) P.L.C. ................................ 25,000 $ 208,359
Whatman P.L.C. ......................................... 114,500 847,042
Whessoe P.L.C. ......................................... 71,875 140,345
Whitecroft P.L.C. ...................................... 105,000 278,368
Wholesale Fittings P.L.C. .............................. 75,500 323,612
Widney P.L.C. .......................................... 494,108 76,479
*Wiggins Group P.L.C. ................................... 1,076,500 59,813
Williamson Tea Holdings P.L.C. ......................... 5,500 109,141
Willoughby's Consolidated P.L.C. ....................... 9,000 15,431
Wilshaw P.L.C. ......................................... 340,409 378,280
Windsor P.L.C. ......................................... 71,521 22,708
Wintrust P.L.C. ........................................ 46,500 151,328
Wolstenholme Rink P.L.C. ............................... 15,500 206,200
Worthington Group P.L.C. ............................... 50,666 51,477
Wyko Group P.L.C. ...................................... 246,000 273,368
Wyndeham Press Group P.L.C. ............................ 56,760 136,061
*YRM P.L.C. ............................................. 33,000 4,977
York Waterworks P.L.C. ................................. 23,000 132,540
Yorklyde P.L.C. ........................................ 25,555 111,564
Yorkshire Chemicals P.L.C. ............................. 110,400 650,215
Yorkshire Tyne Tees Television Hold ings P.L.C. ........ 169,500 1,256,609
Young & Co's Brewery P.L.C. ............................ 10,000 63,976
Young & Co's Brewery P.L.C. Class A ................... 20,034 147,252
Young (H.) Holdings P.L.C. ............................. 100,419 135,503
Yule Catto & Co. P.L.C. ................................ 259,897 1,221,256
Zetters Group P.L.C. ................................... 14,500 26,241
------------------
TOTAL COMMON STOCKS (Cost $207,889,605) .................. 229,187,436
------------------
RIGHTS/WARRANTS -- (0.0%)
*Anglo United P.L.C. Warrants 1999 ...................... 282,138 1,120
*Brent Walker Group P.L.C. War rants 12/31/07 ........... 64,285 765
*Hewitt Group P.L.C. Warrants 03/02/02 ................. 2,400 0
*Pentos P.L.C. (In Receivership) Warrants 12/31/96 ..... 10,891 0
*Select Industries P.L.C. Warrants 05/20/99 ............ 1,717 0
*Suter P.L.C. Warrants 12/31/98 ......................... 28,260 17,945
*Suter P.L.C. Warrants 12/31/04 ......................... 41,137 17,632
------------------
TOTAL RIGHTS/WARRANTS (Cost $0) .......................... 37,462
------------------
INVESTMENT IN CURRENCY -- (0.1%)
*British Pound Sterling (Cost $220,836) .................... 210,883
------------------
Face
Amount
------------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.9%)
Repurchase Agreement, PNC Securities Corp. 5.85%,
06/01/95 (Collateralized by U.S. Treasury Bills 5.57%,
08/03/95) (Cost $4,329,000) .......................... $ 4,329 4,329,000
------------------
TOTAL INVESTMENTS -- (100.0%) (Cost $212,439,441) ....... $233,764,781
==================
</TABLE>
- - ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
93
<PAGE>
SCHEDULE OF INVESTMENTS
THE EMERGING MARKETS PORTFOLIO
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Value+
--------------
<S> <C>
Investment in The Emerging Markets Series of The DFA Investment Trust
Company ................................................................... $30,072,470
--------------
Total Investments (100%) (Cost $29,096,441) ........................... $30,072,470
==============
</TABLE>
- - ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
94
<PAGE>
SCHEDULE OF INVESTMENTS
THE CONTINENTAL SMALL COMPANY PORTFOLIO
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
FRANCE -- (25.8%)
COMMON STOCKS -- (25.7%)
ALSPI (Societe Alsacienne de Participations
Industrielles) ........................................ 10,850 $ 770,092
*Agricole & Industrielle de Madagascar SA ............... 1,242 32,541
Agricole de la Crau ..................................... 400 38,475
Agricole de la Pointe-a-Pitre ........................... 450 49,057
Application des Gaz SA ADG .............................. 3,992 261,678
Arbel SA ................................................ 1,980 165,732
*Aurea ................................................... 600 12,465
Bains de Mer et du Cercle des Etrangers a Monaco ....... 4,615 632,957
*Banque Colbert .......................................... 7,139 111,736
*Banque Nationale de Paris Intercontinentale ............. 12,465 691,383
*Banque Transatlantique .................................. 3,030 122,227
Bazar de l'Hotel de Ville SA ............................ 9,450 1,120,734
Berger Levrault SA ...................................... 476 66,244
*Bis SA .................................................. 19,800 1,577,451
*Bollore Technologies SA ................................. 20,216 1,993,466
Brosse et Dupont ........................................ 3,170 207,795
*CAMAT (Cie d'Assurances Mari times Aeriennes et
Terrestres) .............................................. 3,675 125,415
*CDE (Comptoir des Entrepeneurs SA) ..................... 8,713 32,511
*CEGID ................................................... 4,500 409,338
CFC (Cie Financiere des Cardans) ........................ 296 64,179
*CLAL (Comptoir Lyon-Alemand Loyot SA) ................... 8,367 691,906
CPR (Cie Parisienne de Reescompte) ..................... 15,255 1,049,820
Cambodge ................................................ 1,605 249,264
Caoutchoucs de Padang ................................... 1,294 180,085
*#Carbone Lorraine ........................................ 4,938 597,580
Carbonique .............................................. 763 1,555,855
*Caves & Producteurs Reunis de Roquefort ................ 192 73,384
Centenaire-Blanzy ....................................... 2,207 135,767
*Centrest (Societe Developpement Regional du Centre-Est) 1,705 550
*Ceragen Holding (Cie Generale de la Ceramique SA) ...... 2,780 17,102
Chambon Societe Generale Remorquage et de Travaux
Maritimes ............................................... 405 78,419
*Christian Dior SA ....................................... 810 76,295
#Cofigeo (Cie Financiere Geo) ............................ 400 158,532
Compagnie Financiere de CIC et de l'Union Europeene SA
Series D ................................................. 10,650 700,262
*Concorde Cie d'Assurances Contre les Risques de Toute
Nature SA ................................................ 2,992 416,394
*Continentale d'Assurances SA ............................ 810 47,051
*Continentale d'Entreprises SA ........................... 6,569 190,790
Costimex SA ............................................. 700 18,354
Courtois SA ............................................. 100 6,053
Credit Foncier et Communal d'Alsace et de Lorraine ..... 800 101,654
*Credit General Industriel ............................... 1,160 5,288
Cristalleries de Baccarat ............................... 1,567 158,027
95
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
DMC (Dollfus Mieg et Cie) ............................... 25,400 $1,508,733
Damart SA ............................................... 2,040 1,929,730
*Darblay SA .............................................. 305 25,591
*Dassault Electronique SA ................................ 16,900 1,111,214
*Degremont ............................................... 6,100 490,904
Didot-Bottin ............................................ 810 101,127
Dietrich et Cie ......................................... 2,351 1,228,134
Docks Lyonnais .......................................... 1,110 30,000
*Docks de France ......................................... 5,637 892,506
Docks des Petroles d'Ambes .............................. 100 11,698
*Dynaction SA ............................................ 2,960 83,582
EBF SA .................................................. 55,640 2,356,676
ECIA (Equipements et Composants pour l'Industrie
Automobile) .............................................. 17,571 2,661,521
EMI France SA ........................................... 300 43,566
Electricite de Strasbourg ............................... 6,796 760,746
*Emprunt Conjoint de Banque du Batiment et des Travaux
Publics et de Financiere de Gestion et d'Investissement
SA ....................................................... 29,814 84,186
Euro RSCG Worldwide SA .................................. 19,401 1,995,666
*#Europe 1 Communication .................................. 4,042 1,051,670
Explosifs et de Produits Chimiques ...................... 524 106,216
*Fichet-Bauche ........................................... 3,515 205,597
Financiere Moncey SA .................................... 631 166,850
*Financiere et Immobiliere de l'Etang de Berre et de la
Mediterranee SA .......................................... 400 8,955
Fives-Lille ............................................. 8,400 848,810
Fonciere (Cie) .......................................... 2,823 308,036
Fonciere Lyonnaise SA ................................... 1,916 232,641
Fonciere du Chateau d'Eau de Paris ...................... 11,438 507,535
Fonderies Franco Belge .................................. 410 59,954
Francaise des Ferrailles ................................ 4,888 578,712
*Francaise des Magasins Uniprix .......................... 2,886 90,282
*France IARD (Incendie Accidents & Risques Divers) ...... 3,164 350,988
France SA ............................................... 9,420 1,426,870
*France-Africaine de Recherches Petrolieres Francarep ... 3,864 179,250
*GCI (Groupe Chatellier Industrie SA) ................... 8,721 74,756
*GTM Entrepose ........................................... 5,500 493,647
Galeries Lafayette SA ................................... 5,664 2,204,825
Gantois Series .......................................... 647 189,350
Gascogne SA ............................................. 6,055 647,267
Gaumont ................................................. 14,155 785,120
Generale d'Entreprises Automobiles SA .................. 6,463 967,234
*Generale de Geophysique SA .............................. 14,976 1,071,397
Generale de Transport et d'Industrie ................... 12,443 1,146,924
Generale des Papeteries du Limousin SA ................. 3,250 321,133
Gevelot ................................................. 696 191,056
Gifrer Barbezat SA ...................................... 550 66,781
*Grand Bazar de Lyon ..................................... 650 27,498
Grands Moulins de Strasbourg ............................ 110 39,026
Groupement pour le Financement de la Construction SA ... 15,585 1,225,928
96
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Guitel-Etienne-Mobilor SA ............................... 160 $ 8,487
Guyenne et Gascogne SA .................................. 5,200 1,551,190
Hoteliere Lutetia Concorde .............................. 501 145,510
*Hotels et Casinos de Deauville .......................... 2,055 207,655
*Immeubles de France ..................................... 23,859 1,698,715
Immeubles de Lyon ....................................... 3,562 287,446
Immobiliere Marseillaise ................................ 656 684,050
*Immobiliere Phenix SA ................................... 99,400 1,323,195
Industrie des Transports ................................ 300 59,903
Industrielle et Financiere d'Entreprise SA ............. 300 15,139
Industrielle et Financiere d'Ingenierie SA ............. 15,675 268,732
*Intertechnique SA ....................................... 4,150 517,285
*LVMH (Louis Vuitton Moet Hennessy) ..................... 810 154,060
Labinal SA .............................................. 15,925 2,704,488
Laurent Bouillet ........................................ 480 43,082
#Lefebvre (Enterprise Jean) .............................. 25,322 1,848,843
*Legris Industries SA .................................... 31,450 2,473,881
Locamion ................................................ 1,803 134,552
*Lucia ................................................... 254 3,689
*MRM ..................................................... 1,424 21,541
*#Matussiere et Forest SA ................................. 13,600 222,186
Metal Deploye ........................................... 238 21,649
*#Metaleurop SA ........................................... 58,400 787,422
*Metrologie International ................................ 990 6,100
Montupet SA ............................................. 2,120 335,660
*Mors .................................................... 32,445 102,740
*Moulinex SA ............................................. 103,411 2,596,747
*Musee Grevin SA ......................................... 822 19,481
*Nationale de Navigation ................................. 8,880 132,537
*Nodet-Gougis SA ......................................... 3,500 9,565
Nord-Est ................................................ 3,240 94,102
Nordon & Cie ............................................ 800 58,895
*Olipar .................................................. 25,000 55,970
PSB Industries SA ....................................... 1,240 101,666
Papeteries de Clairefontaine ............................ 1,600 298,830
Papiers Peints (Societe Francaise des) ................. 200 37,112
Parisienne de Chauffage Urbain .......................... 200 15,127
*Piper-Heidsieck ......................................... 1,282 245,643
Pithiviers-le-Vieil (Sucriere de) ....................... 1,825 747,227
Plastic Omnium .......................................... 12,036 1,310,900
*Porcher Paris ........................................... 948 33,365
Publicis SA ............................................. 14,882 1,257,676
Radar SA ................................................ 2,246 190,670
Radiotechnique .......................................... 9,900 1,038,322
Reassurances SA (Francaise de) .......................... 13,919 1,965,167
*Renard (Fromagerie F. Paul) ............................. 200 82,695
Reunion (Banque de la) .................................. 987 193,498
*Rhin & Moselle Assurances Cie Generale d'Assurances et
de Reassurances SA .................................... 1,922 356,644
*Rocamat ................................................. 5,579 20,311
Rochefortaise Communication SA .......................... 10,820 381,908
*#Rochette ................................................ 98,470 1,018,861
Rougier SA .............................................. 1,855 291,831
Rue Imperiale de Lyon ................................... 200 152,077
SAGA (Societe Anonyme de Gerance et d'Armement) ........ 407 24,627
SAMSE SA ................................................ 1,100 188,584
SAT SA (SA des Telecommunications) ...................... 1,200 498,588
*SDV SA (Scac Delmas Vieljeux) ........................... 2,506 356,339
97
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*SEUPAR (Societe Europeene de Participations
Industrielles et Financieres) .......................... 35 $ 401
SFIM (Societe de Fabrication d'Instruments de Mesure) ... 2,777 522,578
SGCA (Societe Generale de Courtage d'Assurances) ....... 554 90,508
SITA .................................................... 11,776 1,717,234
SOCIM (Societe Immobiliere d'Investissement) ........... 3,829 200,795
SUDAC SA (Societe Urbaine d'Air Comprime) .............. 100 116,579
Sabeton ................................................. 1,350 510,539
Sagem (Societe d'Applications Generales d'Electricite et
de Mechanique) ......................................... 325 180,920
Saint-Raphael ........................................... 1,051 127,188
Salins du Midi & des Salines de l'Est .................. 9,282 672,093
*Sambre et Meuse ......................................... 12,365 6,734
Sarreguemines Digoin et Vitry-le-Francois SA ............ 330 40,668
Saupiquet ............................................... 2,250 553,197
*Savoisienne ............................................. 3,600 108,915
Scor SA ................................................. 16,443 394,659
Sechilienne ............................................. 200 43,122
*Segic (Societe d'Exploitation et de Gestion Industrielle
et Commerciale) ........................................ 3,330 157,836
Signaux et d'Equipements Electroniques SA .............. 23,983 1,651,915
Silec (Societe Industrielle de Liaisons Electriques) ... 14,044 934,756
Silic (Societe Immobiliere de Location pour l'Industrie
et le Commerce) ........................................ 889 129,459
*Silic (Societe Immobiliere de Location pour l'Industrie
et le Commerce) Em 94 .................................. 38 5,212
*Simmonds ................................................ 575 26,094
Skis Rossignol SA ....................................... 3,241 807,308
Sodero (Societe de Developpement Regional de l'Ouest) .. 4,181 21,166
*Sofal ................................................... 5,231 263,766
Soffo SA ................................................ 615 46,640
*Sofitam SA .............................................. 1,889 130,683
Soie SA ................................................. 390 31,779
*Solitaire Produits d'Entretien Francais Prodef ......... 300 55,728
Sommer-Allibert SA ...................................... 1,170 448,366
*#Strafor Facom SA ........................................ 16,484 2,144,449
Taittinger SA ........................................... 2,540 1,139,875
Tanneries de France ..................................... 158 8,764
*Teleflex Lionel-Dupont .................................. 7,625 252,219
Thermal de Bagnoles de l'Orne ........................... 245 29,995
Touax SA ................................................ 2,403 49,436
*Transports en Commun de Nice ............................ 100 2,562
UGC Droits Audiovisuels SA .............................. 22,909 809,531
Union Generale du Nord SA ............................... 994 33,681
*Union Industrielle de Credit SA, Paris ................. 13,820 262,017
*Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies) ..................................... 31,700 1,554,950
Vermandoise de Sucreries ................................ 323 229,318
Via Banque .............................................. 19,910 1,209,539
98
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Virax ................................................... 954 $ 24,629
Zodiac SA ............................................... 17,640 2,134,732
*Zuber-Laederich SA ...................................... 1,800 21,783
------------------
TOTAL COMMON STOCKS (Cost $80,086,515) .................. 95,190,279
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs (Cost $7,923) ............................. 9,379
------------------
RIGHTS/WARRANTS -- (0.1%)
*Lefebvre (Enterprise Jean) Warrants 07/01/96 ............ 689 9,311
*Scoa Warrants 06/30/95 .................................. 8,190 496
*Skis Rossignol SA Rights 06/20/95 ....................... 3,241 161,396
*Touax SA Rights 06/01/95 ................................ 2,403 23,749
------------------
TOTAL RIGHTS/WARRANTS (Cost $116,450) ................... 194,952
------------------
Face
Amount @
------------------
BONDS -- (0.0%) (000)
*IBM France 5.75%, 01/01/98 Convertible Bonds ........... 3 3,028
*Rocamat 8.0%, 01/01/99 Convertible Bonds ............... 1 10,040
*Scoa 9.0%, 04/01/98 Convertible Bonds .................. 3 42,215
------------------
TOTAL BONDS (Cost $206,762) ............................. 55,283
------------------
TOTAL -- FRANCE (Cost $80,417,650) ....................... 95,449,893
------------------
GERMANY -- (22.5%)
COMMON STOCKS -- (22.5%) Shares
------------------
Aachener Reuckvericherungs-Gesellschaft AG .............. 1,630 935,719
Aachener Strassenbahn und Energie versorguns AG ........ 188 65,287
Ackermann Vermoegensverwaltungs AG ...................... 1,350 258,327
Aesculap AG ............................................. 1,326 722,675
Agrippina Rueckversicherung AG, Koeln .................. 177 190,673
Agrob AG ................................................ 290 86,322
Aigner (Etienne) AG ..................................... 600 242,381
*Alexanderwerk AG ........................................ 230 19,561
Allweiler AG ............................................ 289 56,325
Alte Leipziger Versicherungs AG Series C ............... 1,043 347,420
*Amira Verwaltungs AG .................................... 200 165,840
#Andreae-Noris Zahn AG, Anzag ............................ 2,464 562,302
Augsburger Kammgarn Spinnerei AG ....................... 660 20,815
BDAG Balcke-Duerr AG .................................... 3,291 816,336
Bayerische Handelsbank AG ............................... 2,120 638,554
Bayerischer Lloyd AG, Regensburg ........................ 247 56,892
Berliner Kindl-Brauerei AG .............................. 1,000 418,143
Binding-Brauerei AG ..................................... 2,925 1,202,339
Biotest AG .............................................. 700 176,116
*Biotest AG Em 94 ........................................ 106 25,918
Blaue Quellen Mineral und Heilbrunnen AG ............... 300 457,123
*Bochum-Gelsenkirchener Strassenbahnen AG ................ 228 69,483
Boss (Hugo) AG .......................................... 870 727,569
Braunschweig-Hannoversche Hypotekenbank AG ............. 2,776 1,180,439
99
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Breitenburger Portland-Cement-Fabrik AG ................. 25 $ 14,883
Bremer Strassenbahn AG .................................. 307 47,867
*Bremer Woll-Kaemmerei AG ................................ 1,996 234,824
*Brillant AG ............................................. 750 83,398
Buckau (Walther) AG ..................................... 900 126,293
Cassella AG ............................................. 850 1,566,265
*Ceag Industrie-Aktien und Anlagen AG ................... 2,067 199,229
Concordia Bau und Boden AG .............................. 24,761 1,667,112
DLW AG .................................................. 3,940 938,228
*DSL Holding AG .......................................... 5,850 700,673
Deutsche Bank Luebeck AG ................................ 1,200 1,488,306
Deutsche Hypotheken Bank AG, Hannover/Berlin ........... 2,500 788,448
*Deutsche Kontinentale Rueckversicherungs AG ............. 1,872 240,136
Deutsche Spezialglas AG ................................. 1,600 258,540
Deutsche Steinzeug Cremer & Breuer AG .................. 2,780 1,004,819
Deutsche Verkehrs-Bank AG ............................... 4,750 621,102
Dibag Doblinger Industriebau- Glasmanufactur AG ........ 1,185 524,894
*Didier-Werke AG ......................................... 6,800 526,265
*Dierig Holding AG ....................................... 1,500 132,884
Doag-Holding AG ......................................... 750 166,903
*Doerries Scharmann AG ................................... 3,298 331,904
*Dortmunder Actien-Brauerei AG ........................... 1,650 190,609
#Duerr Beteiligungs AG ................................... 3,175 1,035,082
*Duerrkopp Adler AG ...................................... 2,219 261,059
Dyckerhoff & Widmann AG ................................. 4,919 1,049,340
Dyckerhoff AG ........................................... 2,285 1,085,011
*Dyckerhoff AG Em 94 II .................................. 114 51,708
Eichbaum-Brauereien AG, Mannheim ....................... 672 166,690
Erlus Baustoffwerke AG .................................. 297 176,811
Erste Kulmbacher Actien Brauerei AG .................... 432 499,050
Escada AG ............................................... 2,052 435,559
*Escom AG ................................................ 3,500 66,726
*Fag Kugelfischer Georg Schaeffer AG .................... 8,550 1,121,013
Felten & Guilleaume Energietechnik AG .................. 3,250 714,033
Forst Ebnath AG ......................................... 24 15,717
Fraenkisches Ueberlandwerk AG, Nuernberg ............... 849 252,113
*Fraenkisches Ueberlandwerk AG, Nuernberg Em 94 ......... 47 13,157
Frankfurter Bankgesellschaft Gegr. 1899 AG ............. 2,173 631,417
Fuchs Petrolub AG Oel & Chemie .......................... 2,231 308,324
Fuchs Petrolub AG Oel & Chemie (Stimmrechtslos) ........ 55 6,315
Geestemuender Bank AG ................................... 750 93,019
Gestra AG Bremen ........................................ 1,203 196,948
Gilde Brauerei AG ....................................... 400 297,661
*Gildemeister AG ......................................... 1,120 91,680
Goldschmidt AG .......................................... 3,200 1,791,637
Grosskraftwerk Franken AG ............................... 789 267,846
*Gutbrod AG .............................................. 290 18,498
*Gutbrod AG Em 90 ........................................ 75 4,678
Hagen Batterie AG ....................................... 1,000 145,287
Hamborner AG ............................................ 2,100 520,907
Hamburger Hochbahn AG Series A .......................... 4,257 301,701
100
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Harpener AG ............................................. 7,100 $1,585,046
Hasen-Braeu AG .......................................... 100 140,326
Heilit & Woerner Bau AG ................................. 425 96,084
Heilit & Woerner Bau AG ................................. 1,701 427,360
Hein Lehmann AG, Duesseldorf ............................ 120 40,397
Heinrich Industrie & Handels AG ......................... 350 186,038
#Herlitz AG .............................................. 3,462 685,775
Hermes Kreditversicherungs AG, Hamburg und Berlin ...... 400 92,133
Hermes Kreditversicherungs AG, Hamburg und Berlin ...... 1,166 223,118
*Hindrichs-Auffermann AG ................................. 358 67,236
Holsten-Brauerei AG, Hamburg ............................ 3,077 720,729
Hutschenreuther AG ...................................... 1,050 165,202
Hypothekenbank In Hamburg AG ............................ 1,198 747,158
ICN (Immobilien Consult Nuernberg AG) .................. 737 240,269
Ikon AG Praezisionstechnik .............................. 626 79,858
Iwka AG ................................................. 6,224 1,288,028
Jacobsen (W.) AG, Kiel .................................. 37 83,912
Jute-Spinnerei und Weberei Bremen AG ................... 378 119,213
KM-Kabelmetal AG ........................................ 7,550 957,796
KSB AG .................................................. 2,387 521,046
KWS Kleinwanzlebener Saatzucht AG ...................... 1,650 713,324
*Kali und Salz Beteiligungs AG ........................... 13,950 1,829,022
Kaufhalle AG ............................................ 7,800 901,063
Kempinski AG, Berlin .................................... 686 340,326
Keramag Keramische Werke AG ............................. 1,300 589,653
*Kloeckner Humboldt-Deutz AG ............................. 3,350 103,990
*Kloeckner-Werke AG ...................................... 23,800 1,745,783
*Koeln-Duesseldorfer Deutsche Rheinschiffahrt AG ........ 300 31,892
Kolb und Schuele AG ..................................... 875 298,281
*Kolb und Schuele AG Em 94 ............................... 125 43,055
*Kolbenschmidt AG, Neckarsulm ............................ 7,500 983,345
Kraftuebertragungswerke Rheinfelden AG ................. 4,684 1,676,414
Kraftwerk Altwuerttemberg AG ............................ 314 185,819
Krauss-Maffei AG ........................................ 1,267 938,352
Kromschroder (G.) AG .................................... 765 260,241
*Kueppersbusch AG ........................................ 525 81,857
Kupferberg (Christian Adalbert) & Cie KG A.A. .......... 151 106,481
Leffers AG, Bielefeld ................................... 1,225 236,145
Leifheit AG ............................................. 1,350 662,084
*Leonische Drahtwerke AG ................................. 2,000 554,217
*Linotype-Hell AG ........................................ 4,300 959,957
Loewenbraue Holding AG .................................. 50 125,797
MG Vermoegensverwaltungs AG ............................. 4,040 372,218
*MLF Holding fuer Umwelttechnologie AG ................... 165 17,190
*MLF Holding fuer Umwelttechnologie AG Em 95 ............. 33 3,438
Magda Media Verlaf AG ................................... 738 109,837
*Maihak (H.) AG .......................................... 275 42,877
Main Kraftwerke AG ...................................... 1,189 509,812
Mainzer Aktien-Bierbrauerei AG .......................... 563 171,573
Mannheimer Versicherung AG .............................. 2,257 977,340
Markt und Kuehlhallen AG ................................ 1,400 236,641
*Mauser Waldeck AG ....................................... 1,667 186,666
Mittelschwaebische Ueberlandzentrale AG ................. 355 179,890
*Moenus AG ............................................... 1,575 49,114
101
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Muehle Rueningen AG ..................................... 160 $ 36,853
Mueller-Weingarten AG ................................... 579 149,777
*Nak Stoffe AG ........................................... 1,046 155,677
*Neue Baumwoll-Spinnerei und Weberei Hof AG ............. 1,217 91,426
*Niedermayr Papierwarenfabrik AG ......................... 60 13,395
Nordcement AG ........................................... 2,000 867,470
Norddeutsche Steingutfabrik AG .......................... 497 169,072
*Norddeutsche Steingutfabrik AG Em 95 ................... 99 32,977
Nuernberger Hypothekenbank AG ........................... 2,387 747,735
*Orenstein & Koppel AG ................................... 3,778 374,855
Otavi Minen AG .......................................... 600 74,415
*PWA (Papierwerke Waldhof-Aschaffenburg AG) .............. 1,290 224,904
Pag Pharma-Holding AG ................................... 800 172,927
Parkbrauerei AG ......................................... 300 62,296
*Patrizier-Braeu AG ...................................... 737 65,291
Paulaner-Salvator Beteiligungs AG ....................... 100 133,948
*Pfaff (G.M.) AG ......................................... 3,200 272,147
Pfersee-Kolbermoor AG ................................... 1,550 581,662
*Pfersee-Kolbermoor AG Em 94 ............................. 50 17,222
*Phoenix AG, Hamburg ..................................... 4,750 743,976
*Pittler Maschinenfabrik AG .............................. 3,350 154,323
Plettac AG .............................................. 2,777 1,657,147
*Progress-Werk Oberkirch AG .............................. 500 56,697
Rathgeber AG ............................................ 8 4,422
Reckitt und Colman Deutschland AG ...................... 540 108,689
Reichelbraeu AG, Kulmbach ............................... 550 175,797
*Reichelt (F.) AG ........................................ 1,290 70,397
Reiter Ingolstadt Spinnereim aschinen AG ................ 1,200 140,326
*Renk AG ................................................. 1,940 127,867
Rheinboden Hypothekenbank AG ............................ 2,650 514,600
Rheinmetall Berlin AG ................................... 5,000 926,648
Rhoen Klinikum AG ....................................... 1,270 1,296,102
Riedel de Haen AG ....................................... 573 582,746
Rosenthal AG ............................................ 1,650 198,795
Rothenberger AG ......................................... 300 37,208
Sabo-Maschinenfabrik AG ................................. 750 257,796
Salamander AG, Kornwesteim .............................. 5,172 1,092,315
Schlenk (Carl) AG ....................................... 65 16,676
Schwaebische Zellstoff AG ............................... 1,925 787,190
*Sektkellerei Schloss Wachenheim AG ..................... 84 21,432
Sinalco AG .............................................. 110 52,232
Sinn AG ................................................. 1,973 468,430
Sinner AG, Karlsruhe .................................... 416 137,094
*Sloman Neptun Schiffahrts AG ............................ 35 3,225
*Stern-Brauerei Carl Funke AG ............................ 1,100 91,212
Stoehr & Co. AG ......................................... 1,400 230,687
*Stoehr & Co. AG Em 94 ................................... 200 30,631
*Stolberger Zink AG ...................................... 64 30,617
Stollwerck AG ........................................... 1,358 412,886
*Stumpf (Otto) AG ........................................ 550 30,404
Stuttgarter Hofbraeu AG ................................. 1,800 570,234
Sued-Chemie AG .......................................... 2,186 850,541
Sueddeutsche Bodencreditbank AG ......................... 3,040 1,131,113
Tempelhofer Feld AG ..................................... 25 41,371
*Terrex Handels AG ....................................... 1,250 425,230
*Traub AG ................................................ 2,538 359,745
Triton-Belco AG, Hamburg ................................ 1,186 151,297
Tucher Braeu AG ......................................... 750 87,704
Ueberlandwerk Unterfranken AG ........................... 40 8,221
102
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
VGT AG .................................................. 293 $ 85,138
VK Muehlen AG ........................................... 1,312 297,548
*Varta AG ................................................ 5,500 1,011,517
*Vereinigte Deutsche Nickel-Werke AG .................... 1,380 227,881
Vereinte Versicherung AG ................................ 398 293,562
Verseidag AG ............................................ 2,753 265,349
Voegele (Joseph) AG ..................................... 750 163,182
*Vogtlaendische Baumwollspinnerei AG .................... 559 58,634
WCM Beteiligungs und Grundbesitz AG .................... 1,000 6,981
WMF (Wuerttembergische Metallwarenfabrik AG) ........... 3,033 739,442
*Walter AG ............................................... 1,350 243,976
Wanderer-Werke AG ....................................... 1,437 185,354
*Weil der Stadt AG, Weil der Stadt ....................... 80 13,607
Weinig (Michael) AG ..................................... 2,500 1,018,781
Westag & Getalit ........................................ 700 238,129
Wickrather Bauelemente AG ............................... 465 79,093
Wuerttembergische & Badische Versicherungs AG Series A/B 112 206,378
Wuerttembergische Hypothekenbank AG .................... 1,613 794,608
Wuerzburger Hofbraeu AG ................................. 133 77,293
*Zanders Feinpapiere AG .................................. 4,450 662,296
Zeag Zementwerk Lauffen-Elektrizitaetswerk Heilbronn AG .. 1,942 507,865
------------------
TOTAL COMMON STOCKS (Cost $61,229,161) .................. 83,110,232
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $67,353) ............................. 69,420
------------------
PREFERRED STOCK -- (0.0%)
Dyckerhoff AG ........................................... 157 56,191
Westag & Getalit ........................................ 260 70,390
------------------
TOTAL PREFERRED STOCK (Cost $67,166) .................... 126,581
------------------
RIGHTS/WARRANTS -- (0.0%)
*Kloeckner Humboldt-Deutz AG Rights 06/13/95 (Cost $0) .. 3,350 0
------------------
TOTAL -- GERMANY (Cost $61,363,680) ...................... 83,306,233
------------------
NETHERLANDS -- (10.7%)
COMMON STOCKS -- (10.7%)
*ACF Holding NV (Certificate) ............................ 15,757 335,764
Aalberts Industries NV .................................. 4,707 249,413
Ahrend Groep NV ......................................... 4,481 541,177
Atag Holding NV ......................................... 4,162 310,275
Athlon Groep NV ......................................... 5,350 236,801
Athlon Groep NV (Certificate) ........................... 3,500 148,720
Automobiel-Industrie Rotterdam .......................... 260 20,353
Bam Groep NV ............................................ 4,774 319,977
Batenburg Beheer NV ..................................... 1,000 103,067
Beers NV ................................................ 3,325 418,384
*#Begemann Groep NV ....................................... 13,451 276,420
Bijenkorf Beheer KBB NV, Amsterdam ..................... 16,550 1,224,376
Boer Winkelbedrijven NV ................................. 12,000 581,220
Borsumij Wehry NV ....................................... 47,984 967,872
Boskalis Westminster NV ................................. 44,342 569,170
Braat Beheer NV ......................................... 3,676 46,488
103
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Cap Volmac Group NV ..................................... 67,650 $1,065,119
Cindu International NV .................................. 1,750 98,704
Content Beheer .......................................... 14,750 335,757
Crown Van Gelder NV ..................................... 2,400 247,360
*Delft Instruments NV .................................... 12,808 244,579
Econosto NV ............................................. 15,384 212,059
Eriks Holdings NV ....................................... 9,000 682,896
Flexovit International NV ............................... 3,500 203,162
*Frans Maas Groep NV ..................................... 13,906 367,544
GTI Holding NV .......................................... 4,507 423,199
Gamma Holding NV ........................................ 18,338 971,688
Getronics NV ............................................ 33,413 1,445,115
Geveke NV ............................................... 8,451 188,631
Goudsmit NV Voorheen Eduard ............................. 2,000 58,805
*Grand Hotel Krasnapopski NV ............................. 294 27,141
Grolsche NV ............................................. 43,100 1,485,267
Hoek's (W.A.) Machine & Zuurstoffafabriek NV ........... 12,600 641,353
Holdingsmij de Telegraaf NV ............................. 7,850 957,983
*Holland Sea Search Holding NV ........................... 286,987 58,069
Hollandia Industriele Maatschappij NV .................. 500 18,305
Hollandsche Beton Groep NV .............................. 4,728 786,256
*IHC Caland NV ........................................... 64,700 1,730,515
Internatio-Mueller NV ................................... 15,682 1,024,313
Kas-Associatie NV ....................................... 7,830 259,927
Kempen & Co. NV ......................................... 22,200 197,926
Kondor Wessels Groep NV ................................. 1,000 29,845
Koppelpoort Holding NV .................................. 250 67,657
Landre & Glinderman NV .................................. 1,936 59,371
MacIntosh NV ............................................ 19,733 577,703
*Multihouse NV ........................................... 20,000 49,320
NBM-Amstelland NV ....................................... 46,197 581,296
NKF Holding NV .......................................... 3,595 480,773
Nagron Nationaal Grondbezit NV .......................... 3,791 218,135
Nationaal Bezit van Aandeelen Vereenigde Glasfabrieken
NV, Schiedam ........................................... 2,150 870,060
Nationale Investeringsbank NV Series A ................. 15,463 1,143,959
Nederlandsche Apparatenfabriek Nedap ................... 4,250 167,958
*#Nederlandsche Vliegtuigenfabriek Fokker NV .............. 53,650 373,158
Nedlloyd Groep NV, Rotterdam ............................ 29,900 1,073,867
Nijverdal-Ten Cate NV, Amels ............................ 11,647 578,115
Norit NV ................................................ 30,129 388,638
Oce Van der Grinten NV, Venlo ........................... 24,750 1,327,095
Orco Bank NV ............................................ 11,289 592,467
Otra NV ................................................. 6,275 1,245,874
Pakhoed NV .............................................. 28,384 856,097
*Polynorm NV ............................................. 3,294 366,579
Randstad Holding NV ..................................... 6,200 384,976
Reesink NV .............................................. 2,050 174,992
Roto Smeets de Boer NV .................................. 1,000 20,866
Rubber Cultuur Maatschappij Amsterdam NV ............... 40,800 63,206
Samas-Groep NV, Zaandam ................................. 10,937 456,429
Schuitema NV, Amersfoort ................................ 300 378,438
Schuttersveld Holding ................................... 11,039 335,044
Smit Internationale NV .................................. 10,790 300,196
*Sphinx NV ............................................... 22,678 801,581
Stad Rotterdam .......................................... 12,279 312,119
Stork NV ................................................ 43,914 1,218,985
*Textielgroep Twenthe NV ................................. 1,000 40,468
104
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Tulip Computers NV ...................................... 11,188 $ 120,261
Twentsche Kabel Holding NV .............................. 3,618 557,055
Ubbink NV ............................................... 1,500 56,813
Van Dorp Groep NV ....................................... 3,261 73,200
Van der Giessen de Noord ................................ 4,200 174,745
Van der Moolen Holding NV ............................... 6,560 201,176
Volker Stevin NV ........................................ 13,250 812,678
Vredestein NV ........................................... 19,725 197,063
Wegener NV .............................................. 19,676 1,644,747
*Wyers Beheer NV, Amsterdam .............................. 250 158
------------------
TOTAL COMMON STOCKS (Cost $23,814,165) .................. 39,454,313
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $59,856) ...................... 61,658
------------------
RIGHTS/WARRANTS -- (0.0%)
*Aalberts Industries NV Rights 07/12/95 ................. 4,707 0
*Ahrend Groep NV Rights 06/30/95 ......................... 4,481 0
*Automobiel-Industrie Rotterdam Rights 06/30/95 ......... 260 0
*Braat Beheer NV Rights 07/03/95 ......................... 3,676 0
*Econosto NV Rights 06/09/95 ............................. 15,384 0
*Goudsmit NV Voorheen Eduard Rights 06/19/95 ............ 2,000 0
*Hollandsche Beton Groep NV Rights 06/16/95 ............. 4,728 0
*Internatio-Mueller NV Rights 06/02/95 .................. 15,682 0
*NBM-Amstelland NV Rights 06/26/95 ...................... 22 0
*NKF Holding NV Rights 08/01/95 .......................... 3,595 0
*Stad Rotterdam Rights 08/31/95 .......................... 12,279 0
*Tulip Computers NV Rights 08/15/95 ..................... 10,916 0
*Van der Giessen de Noord Rights 06/30/95 ............... 4,200 0
*Wegener NV Rights 07/01/95 .............................. 19,676 0
*Wyers Beheer NV, Amsterdam Warrants 10/03/97 ........... 250 6
------------------
TOTAL RIGHTS/WARRANTS (Cost $0) ......................... 6
------------------
TOTAL -- NETHERLANDS (Cost $23,874,021) ................. 39,515,977
------------------
SWITZERLAND -- (10.1%)
COMMON STOCKS -- (10.1%)
AFG Arbonia Foster Holding AG, Arbon ................... 522 627,027
*Accumulatoren-Fabrik Oerlikon, Zuerich ................. 30 18,147
Afipa SA, Vevey ......................................... 20 3,003
Afipa SA, Vevey Series A ................................ 80 15,101
Aletsch AG, Moerel ...................................... 50 120,120
Allgemeine Finanzgesellschaft, Zuerich ................. 741 209,807
*Ascom Holding AG, Bern .................................. 907 1,089,489
Attisholz Holding AG, Attisholz ......................... 1,079 763,771
BHB Beteiligungs und Finanzgesellschaft ................. 150 54,054
Banque Cantonale de Geneve .............................. 840 219,099
Banque Cantonale du Jura ................................ 400 138,996
Banque Privee Edmond de Rothschild SA, Geneve .......... 120 464,350
105
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Basellandschaftliche Kantonalbank ....................... 500 $ 111,540
Basler Kantonalbank (Participating) ..................... 500 104,676
Bernische Kraftwerke AG, Bern ........................... 600 514,801
Bossard Holding AG ...................................... 127 212,484
Brauerei Eichhof ........................................ 42 67,387
Bucher Holding AG, Niederweningen ...................... 650 407,121
Bucherer AG, Luzern (Participating) ..................... 300 133,848
CKW (Centralschweizerische Kraftwerke), Luzern ......... 670 546,118
CKW (Centralschweizerische Kraftwerke), Luzern
(Participating) ......................................... 1,500 115,830
CS Holding, Zuerich ..................................... 540 252,510
CS Holding, Zuerich (Namen) ............................. 540 50,734
Calida Holding AG, Oberkirch ............................ 99 80,695
*Carlo Gavazzi Holding AG, Baar Series B ................ 83 83,320
Chemin de Fer Brigue-Viege-Zermatt, Zermatt ............. 370 93,651
Chemin de Fer du Gornergrat, Sion ....................... 70 156,156
Chocoladefabriken Lindt & Spruengli AG, Kilchberg ...... 24 364,479
Chocoladefabriken Lindt & Spruengli AG, Kilchberg
(Participating) ........................................ 74 97,143
Credit Foncier Vaudois, Lausanne ........................ 875 664,414
Crossair AG fuer Europaeischen Regionalluftverkehr,
Basel ................................................... 141 70,772
Crossair AG fuer Europaeischen Regionalluftverkehr,
Basel (Genusschen) ..................................... 330 24,916
Daetwyler Holding AG, Atldorf ........................... 388 642,505
Danzas Holding AG, Basel (Participating) ............... 1,502 274,497
Dipling Fust AG, Oberbueren ............................. 1,680 533,333
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG,
Laufenberg .............................................. 8,400 1,657,658
*Edipresse SA, Lausanne .................................. 262 60,695
*Edipresse SA, Lausanne (Nominal) ........................ 1,310 58,447
Elco Looser Holding AG, Zuerich ......................... 720 278,610
Energie Electrique du Simplon SA Simplon Village ....... 70 54,054
*Escor AG, Duedingen ..................................... 1,240 11,703
*Financiere Michelin, Granges- Paccot ................... 637 260,703
Financiere Tradition, Lausanne .......................... 50 52,338
Fischer (Georg) AG, Schaffhausen ........................ 1,372 1,701,021
*Forbo Holding AG, Eglisau ............................... 1,100 561,562
Fortuna Holding, Adliswil ............................... 140 150,150
Fortuna Holding, Adliswil (Participating) .............. 650 125,483
Fotolabo SA, Ropraz ..................................... 120 344,916
Fuchs Petrolub AG, Frauenfeld ........................... 2,001 755,418
GZB Genossenschaftliche Zentralbank AG, Basel ........... 941 670,124
Galenica Holding AG, Bern Series B ..................... 120 41,184
*Golay-Buchel Holding SA, Lausanne ...................... 40 35,006
Grands Magasins Jelmoli SA, Zuerich .................... 931 487,267
Grands Magasins Jelmoli SA, Zuerich (Namen) ............ 2,835 296,757
Gurit-Heberlein AG, Wattwil SG .......................... 310 667,610
*HPI Holding SA, Yverdon-les-Bains ....................... 200 32,776
106
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Hilti AG, Schaan (Participating) ........................ 600 $ 486,486
Holvis AG, Basel ........................................ 2,499 1,080,649
Huerlimann Holding AG, Zuerich .......................... 33 147,233
Huerlimann Holding AG, Zuerich (Participating) ......... 100 39,897
Immuno International AG, Zuerich ........................ 1,545 735,714
Industrieholding Cham AG, Cham .......................... 216 140,849
Interdiscount Holding SA, Fribourg ...................... 439 444,462
Interdiscount Holding SA, Fribourg (Participating) ..... 450 44,402
Kardex AG, Zuerich ...................................... 630 175,676
Kardex AG, Zuerich (Participating) ...................... 610 167,482
Keramik Holding AG Laufen, Laufen ...................... 600 450,450
Konsumverein Zuerich, Zuerich ........................... 1,788 483,243
Konsumverein Zuerich, Zuerich (Participating) .......... 420 82,883
Kraftwerk Laufenburg, Laufenburg ........................ 8,475 1,490,669
Loeb Holding AG, Bern (Participating) .................. 620 106,392
Logitech International SA, Apples ....................... 4,805 338,061
*Maag Holding AG, Zuerich ................................ 820 140,712
Magazine Zum Globus, Zuerich ............................ 400 269,412
Magazine Zum Globus, Zuerich (Participating) ........... 396 259,923
*Mikron Holding AG, Biel ................................. 624 53,539
Moevenpick-Holding, Zuerich ............................. 1,320 634,234
Moevenpick-Holding, Zuerich (Participating) ............ 443 216,654
*Monteforno Acciaierie & Laminatoi SA, Giornico ......... 600 3,604
*Motor-Columbus AG, Baden ................................ 1,499 2,585,148
*Netstal-Maschinen AG, Nafaels ........................... 2 412
*Omnium Geneve SA, Geneve ................................ 110 38,696
*Orell Fuessli Graphische Betriebe AG, Zuerich .......... 240 100,901
Phoenix Mecano AG, Stein am Rhein ....................... 2,749 1,143,943
Pick Pay AG, Ruemlang ................................... 110 130,245
Porst Holding AG, Jegenstorf ............................ 1,844 355,985
Prodega AG, Moosseedoff (Participating) ................ 400 102,960
*Publicitas Holding SA, Lausanne (Participating) ........ 125 123,874
Rentsch (Walter) Holding AG, Dietlikon ................. 1,853 341,823
*Riviera Participations Holding SA, Vevey ............... 50 7,079
SIG (Schweizerische Industrie Gesellschaft Holding AG),
Neuhausen am Rheinfall ................................. 167 375,410
Sarna Kunststoff Holding AG, Sarnen .................... 74 93,968
Schweizerische National Versicherungs Gesellschaft,
Basel ................................................... 22 40,017
*Sece Cortaillod Holding SA, Cortaillod ................. 100 35,178
*Sibra Holding SA, Fribourg Series B .................... 1,000 171,600
Siegfried AG, Zofingen .................................. 1,066 749,996
Sopracenerina (Sta Elettrica), Locarno ................. 459 212,664
Suedelektra Holding AG, Zug ............................. 1,500 1,473,616
*Suter & Suter AG, Basel Class A ......................... 635 14,302
107
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Swissair Schweizerische Luftverkehr AG, Zuerich ........ 78 $ 50,193
Swisslog Holding AG, Aarau .............................. 500 150,150
UMS Schweizerische Metallwerke Holding AG, Bern ........ 2,560 237,220
Unigestion Holding, Geneve .............................. 2,891 347,267
Usego-Trimerco Holding AG, Volketswil .................. 1,160 268,726
Villars Holding SA, Fribourg ............................ 150 19,305
*Von Moos Holding AG, Luzern ............................. 1,400 152,553
*Von Roll AG, Gerlafingen ................................ 2,424 53,555
WMH Walter Meier Holding AG, Staefa .................... 50 45,903
*Zellweger Luwa AG, Uster ................................ 804 669,138
*Zschokke Holding SA, Geneve ............................. 80 37,066
*Zueblin Holding AG, Zuerich ............................. 700 72,072
Zuercher Ziegeleien Holding, Zuerich ................... 1,415 1,075,667
Zuger Kantonalbank ...................................... 500 570,571
------------------
TOTAL COMMON STOCKS (Cost $27,775,031) .................. 37,469,205
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $9,763) .............................. 10,583
------------------
RIGHTS/WARRANTS -- (0.0%)
*Bucher Holding AG, Niederweningen Warrants 10/27/95 ..... 650 1,004
*Forbo Holding AG, Eglisau Warrants 11/01/95 ............ 550 1,711
*Grands Magasins Jelmoli SA, Zuerich Warrants 03/29/96 .. 7,490 5,801
*Interdiscount Holding SA, Fribourg Warrants 11/15/96 ... 4,840 2,492
*Loeb Holding AG, Bern Warrants 02/29/96 ................ 620 213
------------------
TOTAL RIGHTS/WARRANTS (Cost $20,688) .................... 11,221
------------------
TOTAL -- SWITZERLAND (Cost $27,805,482) ................. 37,491,009
------------------
ITALY -- (9.5%)
COMMON STOCKS -- (9.5%)
#Acquedotto de Ferrari Galliera SpA ...................... 54,000 168,286
Aedes SpA (Sta Ligure Lombarda per Imprese &
Costruzioni) ............................................ 42,000 259,212
#Ansaldo Trasporti SpA ................................... 199,533 505,996
Attivita Immobiliari .................................... 181,400 244,970
*Auschem SpA (In Liquidation) ............................ 82,000 0
#Autostrada Torino-Milano ................................ 33,750 200,046
Avir Finanziara SpA ..................................... 114,000 759,303
*Banca Agricola Milanese ................................. 48,000 275,710
*Banca Mercantile Italiana SpA ........................... 40,800 239,340
Banco di Chiavari e della Riviera Ligure SpA, Chiavari . 175,000 374,274
#Bassetti SpA ............................................ 67,500 309,349
*Bastogi SpA ............................................. 1,683,000 100,785
Boero (Bartolomeo) SpA .................................. 8,925 49,083
Bonifica dei Terreni Ferraresi e per Imprese Agricole
Roma .................................................... 11,600 112,066
*Brioschi Finanziaria SpA, Milano ........................ 200,000 37,764
#CALP (Cristalleria Artistica la Piana SpA) ............. 48,000 170,119
CAMFIN (Cam Finanziaria) ................................ 20,500 33,196
108
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
#CEMENTIR (Cementarie del Tirreno SpA), Roma ............ 661,563 $ 545,340
*CIGA SpA (Compagnia Italiana Grandi Alberghi) ........... 76,890 45,340
CMI SpA ................................................. 36,428 73,457
#Caffaro SpA Sta per l'Industria Chimica ed
Elettrochimica .......................................... 297,550 339,278
*Calcestruzzi SpA ........................................ 51,560 204,003
#Caltagirone SpA ......................................... 343,085 280,925
*Cantoni ITC SpA ......................................... 121,000 210,724
*#Cartiere Burgo SpA ...................................... 271,200 1,859,373
*#Cartiere Sottrici Binda SpA ............................. 1,299,375 150,859
Cementeria de Barletta SpA .............................. 27,000 69,294
*Cementeria di Augusta SpA ............................... 105,000 148,213
*#Cementeria di Merone SpA ................................ 185,137 204,313
Cementerie Siciliane SpA ................................ 82,200 203,428
*Cementerie di Sardegna SpA .............................. 77,000 197,617
*Cogefar-Impresit Costruzioni Generali SpA .............. 337,000 313,833
#Comau Finanziara SpA .................................... 353,000 580,244
Condotta Acque Potabili SpA, Torino .................... 28,000 123,446
#Costa Crociere SpA ...................................... 195,000 427,773
Costa Crociere SpA (Risp) ............................... 26,000 32,331
*#Credito Lombardo SpA .................................... 170,000 440,972
*Cucirini SpA ............................................ 30,000 24,198
*Dalmine SpA ............................................. 3,001,700 687,832
Danieli & C.Officine Meccaniche SpA .................... 93,500 645,044
*Dataconsyst C.G.S. SpA, Monza ........................... 220 19,896
*Del Favero SpA .......................................... 86,000 25,645
*Editoriale SpA .......................................... 210,000 89,184
*Editoriale l'Espresso SpA ............................... 55,000 115,949
*Editoriale la Repubblica SpA ............................ 125,000 175,680
*Enichem Augusta SpA ..................................... 311,000 608,127
Ericsson SpA ............................................ 61,500 943,263
*Euromobiliare SpA ....................................... 73,500 118,121
*#Europa-Metalli LMI SpA .................................. 1,086,000 487,091
*FIAR (Fabbrica Italiana Apparecchiature Radioelettriche
SpA) .................................................... 22,990 75,158
*FMC (Fabbrica Milanese Condutorri SpA) ................. 25,000 11,916
FONSPA (Credito Fondiaro e Industriale Istituto per i
Finanziamenti a Medio e Lungo Termine SpA) ............. 269,000 859,682
*Faema SpA ............................................... 31,000 66,679
*Falck (Acciaierie & Ferriere Lombarde) ................. 218,000 343,019
*Fimpar SpA .............................................. 1,000 61
*Finarte Casa d'Aste SpA (Milano) ........................ 56,266 41,946
*Fincasa 44 SpA .......................................... 150,036 56,384
*Finrex Finanziaria Immobiliaria SpA (In Liquidation) ... 36,000 2,662
*Firs-Italiana de Assicurazioni Compagnia di
Assicurazioni Eriassicurazioni (In Liquidation) ........ 90,000 0
Fiscambi Holding SpA, Milano ............................ 46,500 90,926
*Fisia SpA (Fiatimpresit Sistemi Ambientali) ............ 188,850 108,475
*#Fochi (Filippo) SpA ..................................... 216,000 119,714
*Fornara Societa Finanziaria e di Participazioni SpA .... 310,000 13,639
Gabetti Holding SpA ..................................... 70,000 72,374
*Gerolimich SpA (In Liquidation) ......................... 297,400 0
Gewiss SpA .............................................. 103,000 911,360
109
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Gifim Iniziative Immobiliari Gifim SpA ................. 60,000 $ 19,432
*Grassetto SpA ........................................... 279,125 148,389
*ITAJOLLY (Cia Italiana del Jolly Hotels SpA) ........... 48,500 173,077
Immobiliare Metanopoli SpA .............................. 1,062,500 880,385
Industrie Zignago S. Margherita SpA .................... 61,000 323,544
*Istituto Finanziario Pro Arte SpA Finarte .............. 202,693 135,005
*Italiana di Transporti Gottardo Ruffoni SpA, Milano (In
Liquidation) ............................................ 279,832 17,681
Linificio & Canapificio Nazionale SpA .................. 118,000 64,895
Maffei SpA .............................................. 75,000 109,991
*#Magneti Marelli SpA ..................................... 396,666 968,335
Magona d'Italia SpA, Firenze ............................ 40,000 109,991
*Mandelli SpA ............................................ 41,000 52,587
Manifattura Lane Gaetano Marzotto & Figli SpA .......... 144,000 963,520
Marangoni SpA, Rovereto ................................. 50,303 135,402
#Merloni Elettrodomestici SpA ............................ 210,000 737,855
#Montefibre SpA, Milano .................................. 645,000 500,944
*NAI SpA (Navigazione Alta Italia) ....................... 139,760 27,158
*Necchi SpA .............................................. 131,400 80,293
Perlier SpA ............................................. 120,700 27,658
Pininfarina SpA ......................................... 64,570 625,380
*Poligrafici Editoriale SpA .............................. 226,000 469,539
*#Premafin Finanziaria SpA ................................ 1,025,000 556,813
Previdente Cia Italiana Assicurazione SpA .............. 149,590 1,099,644
#Ratti SpA ............................................... 155,900 296,272
#Recordati Industria Chimica E Farmaceutica SpA ......... 34,000 196,334
Rejna SpA, Milano ....................................... 19,000 104,491
Risanamento di Napoli SpA ............................... 26,700 407,883
Riva Finanziaria SpA .................................... 23,800 63,990
*Rodriquez SpA ........................................... 41,250 32,516
*SISA (Societa Imballaggi Speciali Asti SpA) ............ 65,000 63,947
*#SMI (Sta Metallurgica Italiana SpA) ..................... 761,000 269,245
*#SNIA Fibre SpA .......................................... 328,000 166,355
SOPAF (Societa Partecipazioni Finanziarie SpA) ......... 40,000 48,640
*Saffa SpA, Milano ....................................... 100,500 339,299
Safilo (Sta Azionaria Fabbrica Italiana Lavorazione
Occhiali SpA) ........................................... 50,100 344,409
*Saiag SpA (Industrie Articoli Gomma) ................... 43,000 99,847
*#Sasib SpA ............................................... 186,000 843,336
*Schiapparelli 1824 SpA .................................. 300,000 32,997
#Serfi SpA (Servizi Finanziari) .......................... 72,000 281,577
*Simint SpA .............................................. 82,488 67,946
#Sogefi SpA .............................................. 260,000 629,148
#Sondel Nordelettrica SpA ................................ 674,900 981,523
*#Sorin Biomedica SpA ..................................... 407,610 1,068,529
#Stefanel SpA ............................................ 190,800 361,430
*#Tecnost SpA ............................................. 170,000 385,396
*Teknecomp SpA ........................................... 148,643 71,574
Terme Demaniali di Acqui SpA ............................ 39,900 29,258
*Texmantova SpA .......................................... 40,000 29,331
Trenno SpA .............................................. 147,333 216,070
*Tripcovich (D.) & Co. SpA Navigazione Rimorchi e
Salvataggi Trieste ..................................... 113,898 25,751
110
<PAGE>
</TABLE>
<TABLE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
<S> <C> <C>
#UNICEM (Unione Cementi Marchini Emiliane e di
Augusta-Casale) ......................................... 114,000 $ 647,846
USA (Unione Subalpina di Assicurazioni SpA) ............ 52,500 352,887
*Unione Manifatture SpA (In Liquidation) ................ 156,000 0
*Unipar (Unione Nazionale di Participazione SpA) (In
Liquidation) ............................................ 539,000 0
Unipol SpA .............................................. 65,000 509,195
Vianini Industria SpA ................................... 126,000 66,214
#Vianini Lavori SpA ...................................... 191,000 332,631
Vittoria Assicurazioni SpA .............................. 59,500 285,411
*Wabco Westinghouse SpA, Torino .......................... 6,200 14,207
Zucchi (Vincenzo) SpA ................................... 52,000 241,490
------------------
TOTAL COMMON STOCKS (Cost $47,594,308) .................. 35,138,780
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira (Cost $1,214) .............................. 1,203
------------------
RIGHTS/WARRANTS -- (0.0%) ...............................
*Banca Nazionale del Lavoro SpA Covered Warrants --R-
01/01/97 ................................................ 50 22
*Cartiere Burgo SpA Warrants 12/31/95 ................... 45,200 5,552
*Cementeria di Augusta SpA Warrants 01/01/96 ............ 10,500 8,341
*UNICEM (Unione Cementi Marchino Emiliane e di
Augusta-Casale) Rights 06/19/95 ........................ 114,000 112,502
------------------
TOTAL RIGHTS/WARRANTS (Cost $0) ........................ 126,417
------------------
TOTAL -- ITALY (Cost $47,595,522) ......................... 35,266,400
------------------
SPAIN -- (8.7%)
COMMON STOCKS -- (8.7%)
Ahorro Familiar SA ...................................... 6,051 64,188
*Algodonera de San Antonio SA ............................ 8,800 90,477
*Amper SA ................................................ 34,400 235,789
Asland SA ............................................... 66,900 1,039,939
*Asturiana del Zinc SA ................................... 33,100 334,916
Azkoyen SA .............................................. 4,200 298,164
*BAMI SA (Inmobiliara de Construcciones y Terrenos) ...... 23,634 73,477
BANDESCO (Banco del Desarrollo Economico Espanol SA) ... 300 23,684
*BNP Espana SA ........................................... 501,700 307,038
Banco Guipuzcoano SA .................................... 4,150 119,200
Banco Herrero ........................................... 15,350 900,583
Banco Pastor SA ......................................... 18,100 881,738
*Banco Zaragozano SA ..................................... 45,598 710,667
Banco de Alicante ....................................... 6,100 231,457
Banco de Andalucia ...................................... 8,900 1,147,450
Banco de Castilla SA .................................... 2,100 906,487
Banco de Credito Balear SA .............................. 9,850 241,126
Banco de Galicia SA ..................................... 7,550 677,683
Banco de Valencia ....................................... 51,350 630,614
Banco de Vasconia SA .................................... 8,900 307,560
*Banco de Vitoria SA ..................................... 13,850 180,824
*Banco de Vitoria SA Em 95 ............................... 13,850 165,567
Bodegas y Bebidas SA .................................... 10,301 294,194
*Bodegas y Bebidas SA Em 94 .............................. 2,575 73,016
CAF (Construcciones y Auxiliar de Ferrocarriles SA) .... 9,500 458,915
</TABLE>
111
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*CAI (Corporacion Alimentaria Iberica SA) ............... 11,200 $ 0
*CARTEMAR (Cartera de Valores del Mar SA) ............... 4,016 4,260
*CINSA (Compania de Inversiones SA) ..................... 1,400 12,338
COBRA (Compania Auxiliar de la Distribucion de
Electricidad Cobra SA) ................................. 13,861 147,036
Cementos Alfa SA ........................................ 5,594 159,763
*Citroen Hispania SA ..................................... 650 28,376
Conservera Campofrio SA ................................. 8,500 392,574
Construcciones Lain SA .................................. 127,600 188,459
Coporacion Financiera Reunida SA ........................ 60,085 195,626
*Cristaleria Espanola SA ................................. 19,300 1,085,084
Cubiertas y Mzov SA ..................................... 10,395 733,715
*Dimetal SA .............................................. 3,500 11,481
ENHER SA (Empresa Nacional Hidroelectrica del Ribargozana
SA) Series B ........................................... 37,800 626,144
ENHER SA (Empresa Nacional Hidroelectrica del Ribargozana
SA) Series B Em 94 ..................................... 12,600 204,602
ERZ (Electricas Reunidas de Zaragoza) .................. 54,937 1,152,086
ESSA (Estacionamientos Subterraneos SA) ................ 8,875 150,632
Ebro Agricolas Compania de Alimentacion SA ............. 89,900 953,652
*El Aguila SA ............................................ 39,200 303,876
Elecnor SA .............................................. 8,100 173,501
*#Empresa Nacional de Celulosa SA ......................... 8,200 214,117
*Ercros SA ............................................... 33,200 39,553
*Erpo SA ................................................. 3,289 13,956
*Espanola del Zinc SA .................................... 6,500 38,560
*Estacionamientos Urbanos SA ............................. 4,200 161,077
Europistas Concesionaria Espanola SA ................... 73,750 707,109
Europistas Concesionaria Espanola SA Em 94 ............. 24,583 233,694
#Filo SA ................................................. 61,297 417,650
*Financiera y Minera Series A/C .......................... 5,200 60,041
#GESA (Gas y Electricidad SA) ............................ 17,000 817,054
General Azucarera de Espana SA .......................... 15,850 420,339
Grupo Anaya SA .......................................... 16,500 411,995
Hidro Nitro Espanola SA ................................. 7,990 48,898
*Hornos Ibericos Alba SA ................................. 46,600 581,787
Huarte SA ............................................... 42,500 443,900
Hullas del Coto Cortes .................................. 8,666 92,635
*Iberica de Autopistas SA Concesionaria de Estado
Iberpistas ............................................. 45,070 853,222
Iberica del Frio SA ..................................... 2,400 55,814
Inbesos SA .............................................. 1,610 15,174
Indo Internacional SA ................................... 5,600 210,200
*Inmobiliaria Alcazar SA ................................. 5,126 41,828
*Inmobiliaria Urbis SA ................................... 29,100 142,472
Inmobiliaria Zabalburu SA ............................... 5,800 94,892
Inmobiliaria del Sur SA ................................. 1,320 72,705
Inmobiliaria del Sur SA Em 94 ........................... 60 3,146
*Inmolevante SA .......................................... 6,957 28,384
Koipe SA ................................................ 8,400 486,659
*LSB (La Seda de Barcelona SA) Series B ................. 25,200 59,633
Lingotes Especiales SA .................................. 4,140 37,160
*Liwe Espanola SA ........................................ 4,400 20,645
112
<PAGE>
</TABLE>
<TABLE>
<CAPTION>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
<S> <C> <C>
Mapfre Inmuebles SA ..................................... 740 $ 57,666
*Max Center Leisa SA ..................................... 1,500 5,569
Metrovacesa (Inmobiliaria Metropolitana Vasco Central) .. 22,161 670,888
*Moulinex Espana SA ...................................... 3,100 99,918
*Nicolas Correa SA ....................................... 1,575 6,169
*Nueva Montana Quijano SA Series B ...................... 100,500 180,416
OCP Construcciones SA ................................... 9,600 275,741
*Papelera de Navarra SA .................................. 6,000 51,285
*Pascual Hermanos SA ..................................... 7,610 14,282
Pescanova SA ............................................ 23,252 368,086
*Pesquerias Espanolas del Bacalao SA .................... 3,500 428
Portland Valderrivas SA ................................. 8,075 637,171
*Prim SA ................................................. 3,100 22,007
*Promociones Eurobuilding SA ............................. 16,650 55,704
*Radiotronica SA ......................................... 2,137 27,639
*Santana Motor SA Series A ............................... 22,100 0
*Sarrio SA ............................................... 105,100 540,294
*Sefanitro (Sdad Espanola de Fabricaciones Nitrogenadas
SA) ..................................................... 1,600 5,679
*Sindibank (Sindicato de Banqueros de Barcelona) ........ 10,540 210,714
*Sotogrande SA ........................................... 69,786 188,488
*Tableros de Fibras SA Series B .......................... 15,626 177,872
*Tableros de Fibras SA Series B Em 95 ................... 6,250 68,339
*Transportes Ferroviarios Especiales Tranfesa ........... 24,000 201,714
*Trenzas y Cables de Acero SA ............................ 7,083 44,504
Uniland Cementera SA .................................... 5,750 274,480
*Union Resinera Espanola SA .............................. 1,100 11,444
*Union y el Fenix-Espanol Cia de Seguros Reunidos SA .... 19,550 240,885
Unipapel SA ............................................. 13,484 369,696
*#Uralita SA .............................................. 122,725 1,472,099
Vallehermoso SA ......................................... 47,637 835,737
Vidrala SA .............................................. 9,400 386,585
*Vidriera Leonesa SA Vilesa .............................. 2,983 16,309
Viscofan Industria Navarra de Envolturas Celulosicas SA 46,425 702,720
Zeltia SA ............................................... 3,664 67,271
------------------
TOTAL COMMON STOCKS (Cost $32,488,637) .................. 32,030,056
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $9,057) ............................ 9,259
------------------
RIGHTS/WARRANTS -- (0.0%)
*Sindibank (Sindicato de Banqueros de Barcelona) Rights
06/19/95 (Cost $0) ..................................... 10,540 0
------------------
TOTAL -- SPAIN (Cost $32,497,694) ......................... 32,039,315
------------------
BELGIUM -- (5.2%)
COMMON STOCKS -- (5.2%)
*Abfin SA ................................................ 2,560 11,117
Afrifina ................................................ 3,480 257,867
*Aurex SA ................................................ 2,000 4,687
Axa Belgium SA .......................................... 7,270 318,712
*BMT NV .................................................. 2,040 249,595
Banque Belgo-Zairoise Belgolaise SA .................... 1,155 320,446
Banque Indosuez Belgique SA ............................. 3,210 179,225
</TABLE>
113
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Banque Nationale de Belgique ............................ 810 $1,088,747
Barco NV ................................................ 19,115 1,844,632
*Beherman Auto Transports SA ............................. 895 83,285
Belge des Betons ........................................ 425 246,080
Belgo Katanga NPV ....................................... 408 84,370
*Belgo Katanga NPV VVPR .................................. 136 28,123
Bernheim-Comofi SA ...................................... 5,295 320,273
CFE (Compagnie Francois d'Entreprises) ................. 2,080 548,406
CMB (Cie Maritime Belge) ................................ 1,500 122,523
Carrieres Unies Porphyre ................................ 20 22,781
*Chanic SA ............................................... 175 2,298
Chimique et Metallurgique Campine, Beerse .............. 370 47,310
City Hotels SA .......................................... 1,290 133,157
Cofinimmo SA ............................................ 4,330 513,362
*Cokeries & Houilleres d'Anderlues ....................... 100 8,789
Colruyt SA Halle ........................................ 8,760 2,339,824
Commerciale de Brasserie SA COBRHA ..................... 115 40,427
Credit General SA de Banque, Bruxelles ................. 3,459 559,115
Creyf's Interim ......................................... 1,200 55,006
Deceuninck Plastics Industries SA ....................... 7,370 856,002
Desimpel Kortemark Cy NV ................................ 4,700 276,995
*Electrorail SA (Reunies d'Electricite & de Transports) . 11,416 29,115
Engrais Rosier SA ....................................... 655 66,143
Fabrique de Fer de Charleroi ............................ 77 203,016
Financiere d'Obourg ..................................... 440 472,376
*Floridienne NV .......................................... 2,033 70,768
*Ford Motor Co. SA Belgium ............................... 1,110 141,165
*Forges de Clabecq SA .................................... 3,460 119,010
Franki NV (Cie Internationale des Pieux Armes
Frankignoul SA) ......................................... 5,875 158,341
Glaces de Charleroi ..................................... 70 132,449
#Glaverbel SA ............................................ 7,512 1,086,088
*#Glaverbel SA (Precompte Reduit) ......................... 150 21,351
#Immobel (Cie Immobiliere de Belgique SA) ............... 10,600 1,022,919
*Intertropical-Comfina SA (In Liquidation) .............. 275 6,634
Mecaniver SA, Bruxelles ................................. 128 26,690
Metiers Automatiques Picanol ............................ 403 151,394
*PCB SA Bruxelles ........................................ 6,504 57,833
*Papeteries de Catala SA ................................. 315 44,837
Plantations Nord-Sumatra SA ............................. 650 32,214
*Recticel SA ............................................. 8,450 116,491
*Roton (Compagnie Industrielle et Financiere Roton) ..... 30 1,597
SABCA (Sa Belge de Constructions Aeronautiques) ........ 4,280 105,617
*SCF SA .................................................. 380 1,467
*SCF SA Em 94 ............................................ 2,470 9,790
*SIPEF (Societe Internationale de Plantations & de
Finance), Anvers ........................................ 1,175 185,878
*SIPEF (Societe Internationale de Plantations & de
Finance), Anvers (Precompte Reduit) .................... 334 52,952
SNCI (Societe Nationale de Credit a l'Industrie) ....... 2,675 722,799
Sa d'Ieteren ............................................ 11,850 951,594
*Sa d'Ieteren (Precompte Reduit) ......................... 3,150 246,441
Sait Radioholland ....................................... 6,088 184,224
114
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Sait Radioholland (Precompte Reduit) ................... 152 $ 4,505
Sapec SA ................................................ 3,560 146,253
*Sapec SA (Taux Reduit) .................................. 75 3,102
Sidro ................................................... 4,040 284,046
Spadel NPV .............................................. 325 459,245
Surongo SA .............................................. 20 2,544
*Telinfo SA .............................................. 5,790 104,166
Ter Beke NV ............................................. 2,212 232,521
Tessenderlo Chemie ...................................... 1,729 633,142
Tessenderlo Chemie (Precompte Reduit) .................. 27 9,864
UCO SA Ledeberg-Gand .................................... 531 292,814
UNIBRA .................................................. 1,600 66,173
------------------
TOTAL COMMON STOCKS (Cost $13,817,051) .................. 19,222,722
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs (Cost $32,160) ........................... 33,143
------------------
TOTAL -- BELGIUM Cost $13,849,211) ....................... 19,255,865
------------------
SWEDEN -- (3.6%)
COMMON STOCKS -- (3.6%)
Acrimo AB Series B ...................................... 2,800 23,325
*Active I Malmoe AB Series A ............................. 41,600 24,997
*Active I Malmoe AB Series B ............................. 41,600 26,133
Allgon AB Series B ...................................... 24,300 481,188
Alma Industri & Handel AB Series B ..................... 5,200 39,768
*Anders Dioes AB ......................................... 28,800 108,160
Angpannefoereningen AB Series B ......................... 3,400 48,754
*Arcona AB Series B ...................................... 130,000 94,094
*Argonaut AB Series A .................................... 60,700 74,606
*Argonaut AB Series B .................................... 128,600 166,842
Arjo AB ................................................. 41,500 425,060
B & N Bylock & Nordsjoefrakt AB Series B ............... 29,600 232,434
*BPA AB Series A ......................................... 48,200 80,964
*BPA AB Series B ......................................... 36,900 62,991
Berg (C.F.) & Co. AB Series B ........................... 6,200 18,628
*Bergman & Beving AB Series B ............................ 22,700 477,405
*Bilspedition AB Series A ................................ 62,600 205,176
*Bilspedition AB Series B ................................ 96,800 327,844
*Bongs Fabriker AB Series B .............................. 3,000 22,124
Boras Waefveri AB Series B .............................. 6,800 64,076
Catena AB Series A ...................................... 57,000 334,722
#Celsius Industrier AB Series B .......................... 33,800 496,210
*Concordia Maritime AB Series B .......................... 37,300 68,767
Eldon AB Series B ....................................... 7,700 147,217
Enea Data AB Series B ................................... 2,000 18,573
#Esselte AB Series A ..................................... 34,400 436,900
#Esselte AB Series B ..................................... 25,600 323,387
FFNS Gruppen AB Series B ................................ 13,000 86,992
*Fabege Fastich AB Birger Gustavsson Series B ........... 433,500 200,692
*Foereningsbanken AB Series A ............................ 264,200 465,439
*Forcenergy AB Series B .................................. 22,700 116,871
Forsheda AB Series B .................................... 12,700 296,579
*Frontline AB ............................................ 73,600 188,963
Garphyttan Industrier AB ................................ 7,800 309,976
Geveko AB Series B ...................................... 5,900 55,596
ICB Shipping AB Series B ................................ 46,100 346,262
JP Bank Series A ........................................ 14,000 55,446
115
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
JP Bank Series B ........................................ 8,000 $ 31,683
Jacobson and Widmark AB ................................. 9,800 80,300
*Kloevern Foervaltnings AB Series B ..................... 317,000 192,646
Linjebuss AB Series A ................................... 23,000 276,408
Marieberg Tidnings AB Series A .......................... 29,900 636,996
NCC AB Series A ......................................... 53,700 436,347
NCC AB Series B ......................................... 54,500 431,683
Nobelpharma AB .......................................... 360 4,130
Nolato AB Series B ...................................... 12,400 101,605
#Nordstroem & Thulin AB Series B ......................... 115,300 258,234
*Piren AB ................................................ 382,000 83,469
*Platzer Bygg AB Series B ................................ 36,000 78,662
Produra Capital AB ...................................... 17,000 106,794
*Rottneros Bruk AB ....................................... 259,600 389,976
*Safib Fastighets AB Series B ............................ 14,000 65,005
Sandblom & Stohne AB Series B ........................... 8,400 32,120
Scandiaconsult AB ....................................... 10,000 54,626
Scribona AB Series A .................................... 32,500 206,384
#Scribona AB Series B .................................... 25,600 167,812
*Siab AB Series A ........................................ 67,200 385,442
*Siab AB Series B ........................................ 21,100 118,143
*Skandigen AB, Series A .................................. 13,300 65,024
*Skane-Gripen AB Series A ................................ 10,800 100,294
*Skane-Gripen AB Series B ................................ 33,200 308,310
*Skrinet AB Series B ..................................... 5,100 38,307
*Solitair Kapital AB ..................................... 5,000 4,643
Stena Line AB Series B .................................. 92,100 440,219
Svedala Industri ........................................ 33,000 910,345
Swepart Mecan AB Series B ............................... 17,700 78,318
*Tivox AB Series B ....................................... 7,200 17,502
United Tankers AB Series B .............................. 20,900 81,631
*VBB Gruppen AB Series B ................................. 20,900 64,220
*Wallenstam Byggnads AB Series B ......................... 10,400 55,391
*Westergyllen AB Series B ................................ 1,400 26,958
Zetterbergs Industri AB Series B ........................ 3,600 58,013
------------------
TOTAL COMMON STOCKS (Cost $14,593,388) .................. 13,340,801
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $52,669) ............................ 52,523
------------------
RIGHTS/WARRANTS -- (0.0%)
*Wallenstam Byggnads AB Series B Rights 07/04/95 (Cost
$0) ..................................................... 10,400 0
------------------
TOTAL -- SWEDEN (Cost $14,646,057) ....................... 13,393,324
------------------
Face
Amount
------------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.9%)
Repurchase Agreement, PNC Securities Corp. 5.85%,
06/01/95 (Collateralized by U.S. Treasury Notes 7.50%,
12/31/96) (Cost $14,555,000) ............................. $ 14,555 14,555,000
------------------
TOTAL INVESTMENTS -- (100.0%) (Cost $316,604,317) ......... $370,273,016
==================
</TABLE>
- - ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on loan
@Denominated in local currency
See accompanying Notes to Financial Statements
116
<PAGE>
SCHEDULE OF INVESTMENTS
THE LARGE CAP INTERNATIONAL PORTFOLIO
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
JAPAN -- (35.8%)
COMMON STOCKS -- (35.8%)
Ajinomoto Co., Inc. ..................................... 6,000 $ 68,005
All Nippon Airways Co., Ltd. ............................ 18,000 202,739
Asahi Bank, Ltd. ........................................ 27,000 334,711
Asahi Chemical Industry Co., Ltd. ....................... 14,000 98,182
Asahi Glass Co., Ltd. ................................... 15,000 185,950
Bank of Tokyo, Ltd. ..................................... 24,000 425,030
Bank of Yokohama, Ltd. .................................. 11,000 101,948
Bridgestone Corp. ....................................... 8,000 117,119
Canon, Inc. ............................................. 8,000 124,675
Chiba Bank, Ltd. ........................................ 8,000 80,283
Chubu Electric Power Co., Ltd. .......................... 9,300 254,734
Chugoku Electric Power Co., Ltd. ........................ 3,200 83,495
Dai Nippon Printing Co., Ltd. ........................... 9,000 138,135
Dai-Ichi Kangyo Bank, Ltd. .............................. 37,000 698,937
#Daiwa Bank, Ltd. ........................................ 15,000 148,052
Daiwa House Industry Co., Ltd. .......................... 5,000 77,922
Daiwa Securities Co., Ltd. .............................. 17,000 188,264
Fanuc, Ltd. ............................................. 3,000 129,988
Fuji Bank, Ltd. ......................................... 34,000 778,749
Fuji Photo Film Co., Ltd. ............................... 5,000 119,835
Fujitsu, Ltd. ........................................... 21,000 200,826
*Hanwa Co., Ltd. ......................................... 5,000 11,924
Hitachi, Ltd. ........................................... 38,000 366,541
Hokkaido Takus Bank ..................................... 9,000 28,264
Honda Motor Co., Ltd. ................................... 12,000 177,096
Industrial Bank of Japan ................................ 28,000 813,223
Ito-Yokado Co., Ltd. .................................... 5,000 264,463
Itochu Corp. ............................................ 14,000 85,785
Kajima Corp. ............................................ 13,000 127,698
Kansai Electric Power Co., Inc. ......................... 11,900 313,306
Kao Corp. ............................................... 6,000 72,255
*Kawasaki Steel Corp. .................................... 32,000 120,519
Kinki Nippon Railway Co., Ltd. .......................... 20,000 173,554
Kirin Brewery Co., Ltd. ................................. 10,000 115,112
*Kobe Steel, Ltd. ........................................ 28,000 78,347
Komatsu, Ltd. ........................................... 10,000 77,804
Kubota Corp. ............................................ 14,000 95,868
Kyocera Corp. ........................................... 2,000 151,830
Kyushu Electric Power Co., Inc. ......................... 4,600 130,342
Long Terminal Credit Bank of Japan, Ltd. ............... 28,000 255,537
Marubeni Corp. .......................................... 15,000 79,870
Matsushita Electric Industrial Co., Ltd. ............... 26,000 402,125
#Matsushita Electric Works, Ltd. ......................... 7,000 81,322
Mitsubishi Bank, Ltd. ................................... 34,000 810,862
Mitsubishi Chemical Corp. ............................... 24,000 115,041
Mitsubishi Corp. ........................................ 18,000 205,714
Mitsubishi Electric Corp. ............................... 21,000 145,041
Mitsubishi Estate Co., Ltd. ............................. 13,000 145,655
Mitsubishi Heavy Industries, Ltd. ....................... 39,000 267,521
Mitsubishi Trust & Banking Corp. ........................ 16,000 258,796
Mitsui & Co., Ltd. ...................................... 15,000 117,946
Mitsui Trust & Banking Co., Ltd. ........................ 12,000 117,733
NEC Corp. ............................................... 15,000 159,386
*NKK Corp. ............................................... 34,000 85,502
Nikko Securities Co., Ltd. .............................. 19,000 168,241
Nintendo Co., Ltd., Kyoto ............................... 1,000 60,094
117
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
#Nippon Credit Bank, Ltd. ................................ 17,000 $ 93,731
Nippon Express Co., Ltd. ................................ 10,000 84,534
Nippon Oil Co., Ltd. .................................... 12,000 77,922
Nippon Steel Corp. ...................................... 81,000 290,720
Nippondenso Co., Ltd. ................................... 11,000 198,701
Nissan Motor Co., Ltd. .................................. 29,000 187,285
Nomura Securities Co., Ltd. ............................. 23,000 412,751
Osaka Gas Co., Ltd. ..................................... 25,000 92,975
Pioneer Electronic ...................................... 2,000 34,711
Sakura Bank, Ltd. ....................................... 39,000 465,053
Sankyo Co., Ltd. ........................................ 4,400 101,818
Sanwa Bank, Ltd. ........................................ 34,000 726,564
Sanyo Electric .......................................... 19,000 97,355
Secom Co., Ltd. ......................................... 1,000 63,046
Sega Enterprises, Ltd. .................................. 1,000 37,426
#Seibu Railway Co., Ltd. ................................. 5,000 192,444
Seksui House ............................................ 7,000 88,430
Seven-Eleven Japan Co., Ltd. ............................ 5,000 368,949
Sharp Corp. Osaka ....................................... 14,000 198,347
Shikoku Electric Power Co., Inc. ........................ 2,700 71,405
Shimizu Corp. ........................................... 8,000 81,228
Shizuoka Bank, Ltd. ..................................... 8,000 112,397
Sony Corp. .............................................. 4,700 226,399
Sumitomo Bank, Ltd. ..................................... 37,000 768,831
Sumitomo Chemical Co., Ltd. ............................. 16,000 81,795
Sumitomo Corp. .......................................... 10,000 90,673
Sumitomo Electric Industries, Ltd. ...................... 7,000 81,570
*Sumitomo Metal Industries, Ltd. Osaka .................. 31,000 91,865
Sumitomo Trust & Banking Co., Ltd. ..................... 16,000 219,126
Taisei Corp. ............................................ 10,000 64,227
Taisho Pharmaceutical Co., Ltd. ......................... 3,000 56,316
Takeda Chemical Industries, Ltd. ........................ 9,000 120,071
Tohuku Electric Power Co., Inc. ......................... 4,900 137,107
Tokai Bank, Ltd. ........................................ 24,000 300,354
Tokio Marine & Fire Insurance Co., Ltd ................. 19,000 217,591
Tokyo Electric Power Co., Ltd ........................... 15,700 496,765
Tokyo Gas Co., Ltd. ..................................... 27,000 113,164
Tokyu Corp. ............................................. 11,000 71,169
Tonen Corp. ............................................. 6,000 102,007
Toppan Printing Co., Ltd. ............................... 7,000 95,041
Toray Industries, Inc. .................................. 14,000 90,579
Toshiba Corp. ........................................... 41,000 258,005
Toyo Seikan Kaisha, Ltd ................................. 2,000 66,116
Toyo Trust & Banking Co., Ltd. .......................... 8,000 74,711
Toyota Motor Corp. ...................................... 44,000 851,948
Yamaichi Secs Co. ....................................... 12,000 72,397
Yamanouchi Pharmaceutical Co., Ltd. .................... 3,000 66,945
Yasuda Trust & Banking .................................. 11,000 81,429
------------------
TOTAL COMMON STOCKS (Cost $15,261,892) ................... 20,211,889
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $21,296) ............................. 21,506
------------------
TOTAL -- JAPAN (Cost $15,283,188) ......................... 20,233,395
------------------
118
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
UNITED KINGDOM -- (23.5%)
COMMON STOCKS -- (23.4%)
Abbey National P.L.C. ................................... 32,700 $ 247,098
Allied Domecq P.L.C. .................................... 25,087 207,890
Argyll Group P.L.C. ..................................... 24,198 127,920
BAT Industries P.L.C. ................................... 75,997 592,368
BOC Group P.L.C. ........................................ 11,493 144,866
BTR P.L.C. .............................................. 90,431 486,666
Barclays P.L.C .......................................... 39,681 424,577
Bass P.L.C. ............................................. 18,400 170,294
Boots Co., P.L.C. ....................................... 20,298 166,916
British Gas P.L.C. ...................................... 92,200 440,566
British Petroleum Co., P.L.C. ........................... 136,209 958,988
British Telecommunications P.L.C. ....................... 133,400 835,443
Cable and Wireless P.L.C. ............................... 54,816 360,264
Cadbury Schweppes P.L.C. ................................ 26,871 202,198
Fisons P.L.C. ........................................... 23,000 64,627
General Electric Co. P.L.C. ............................. 58,781 297,674
Glaxo Holdings P.L.C. ................................... 85,514 986,928
Grand Metropolitan P.L.C. ............................... 49,183 308,408
Great Universal Stores P.L.C. ........................... 21,400 208,251
Guinness P.L.C. ......................................... 43,200 327,812
Hanson P.L.C. ........................................... 127,930 485,890
Imperial Chemical Industries P.L.C. ..................... 15,800 198,403
Lloyds Bank P.L.C. ...................................... 32,310 335,450
Marks & Spencer P.L.C. .................................. 59,661 392,107
National Power P.L.C. ................................... 27,100 200,479
National Westminster Bank P.L.C. ........................ 37,904 324,030
Prudential Corp. P.L.C. ................................. 40,468 219,068
RTZ Corp. P.L.C. ........................................ 26,064 332,047
Reuters Holdings P.L.C. ................................. 41,200 308,058
Rothmans International P.L.C. Units ..................... 14,300 138,137
Sainsbury (J.) P.L.C. ................................... 45,256 322,579
Shell Transport & Trading Co., P.L.C. .................. 82,200 1,007,402
Smithkline Beecham P.L.C. Class A ....................... 27,356 220,612
Sun Alliance Group P.L.C. ............................... 20,422 113,470
Tesco P.L.C. ............................................ 51,076 237,979
Unilever P.L.C. ......................................... 20,200 391,865
Vendome Luxury Group P.L.C. Units ...................... 15,100 121,774
*Whitbread P.L.C. ........................................ 13,000 122,174
Zeneca Group P.L.C. ..................................... 15,200 225,133
------------------
TOTAL COMMON STOCKS (Cost $10,825,361) ................... 13,256,411
------------------
INVESTMENT IN CURRENCY -- (0.1%)
*British Pound Sterling (Cost $56,148) ................... 57,044
------------------
RIGHTS/WARRANTS -- (0.0%)
*BTR P.L.C. Warrants 1993-98 (Cost $0) ................... 270 139
------------------
TOTAL -- UNITED KINGDOM (Cost $10,881,509) ................ 13,313,594
------------------
FRANCE -- (9.7%)
COMMON STOCKS -- (8.8%)
Accor SA ................................................ 482 62,024
Air Liquide ............................................. 1,338 208,877
Alcatel Alsthom Cie Generale d'Electricite SA .......... 3,240 295,246
Axa SA .................................................. 3,570 189,229
*C.S.F. (Thomson-Csf) .................................... 2,250 61,718
Canal Plus SA ........................................... 468 62,299
119
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Carnaudmetalbox SA ...................................... 1,600 $ 70,157
Carrefour Supermarche SA ................................ 550 272,227
Cnm (Navigation Mixte SA) ............................... 276 54,499
Compagnie De Suez SA (Ex Compagnie Financiere De Suez) .. 3,086 156,168
Elf Aquitaine ........................................... 5,842 472,733
*Euro Disney SCA ......................................... 15,150 49,655
Financiere de Paribas SA Series A ....................... 2,339 150,115
Generale des Eaux ....................................... 2,438 268,485
Groupe Danone ........................................... 1,520 251,085
Havas SA ................................................ 936 75,665
L'Oreal ................................................. 1,350 353,157
LVMH (Louis Vuitton Moet Hennessy) ..................... 1,966 373,929
#LaFarge Coppee SA ....................................... 1,628 131,343
Lyonnais des Eaux SA .................................... 1,144 117,215
Pechiney International .................................. 1,600 40,823
Pernod-Ricard ........................................... 1,260 81,399
*Peugeot SA .............................................. 1,250 189,845
Saint-Gobain ............................................ 1,857 230,720
Sanofi SA ............................................... 1,808 103,747
Schneider SA ............................................ 1,240 95,038
Societe Generale ........................................ 1,841 214,622
Total SA (Ex Total Cie Francaise Des Petroles) ......... 5,139 320,177
------------------
TOTAL COMMON STOCKS (Cost $4,071,616) .................... 4,952,197
------------------
INVESTMENT IN CURRENCY -- (0.9%)
*French Francs (Cost $526,407) ........................... 533,126
------------------
TOTAL -- FRANCE (Cost $4,598,023) ......................... 5,485,323
------------------
GERMANY -- (9.5%)
COMMON STOCKS -- (9.4%)
Basf AG ................................................. 1,450 310,861
Bayer AG ................................................ 1,700 411,205
#Bayerische Motorenwerke AG Bmw, Muenchen ............... 481 259,590
#Commerzbank AG .......................................... 774 183,215
Daimler-Benz AG ......................................... 1,245 603,970
#Deutsche Bank AG ........................................ 1,250 613,040
Dresdner Bank ........................................... 1,078 301,015
Hochtief AG ............................................. 151 89,359
Hoechst AG .............................................. 1,300 281,283
Mannesmann AG ........................................... 793 232,561
RWE AG .................................................. 1,125 380,714
Siemens AG .............................................. 1,300 619,135
*#Thyssen ................................................. 850 160,723
Veba AG ................................................. 1,150 437,913
Viag AG ................................................. 475 180,843
Volkswagen .............................................. 850 239,458
------------------
TOTAL COMMON STOCKS (Cost $4,049,403) .................... 5,304,885
------------------
INVESTMENT IN CURRENCY -- (0.1%)
*German Marks (Cost $28,648) ............................. 29,036
------------------
TOTAL -- GERMANY (Cost $4,078,051) ........................ 5,333,921
------------------
SWITZERLAND -- (7.5%)
COMMON STOCKS -- (7.5%)
Bbc AG Brn Bov & Cie .................................... 186 190,070
CS Holding, Zuerich ..................................... 715 334,342
120
<PAGE>
</TABLE>
<TABLE>
<CAPTION>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
<S> <C> <C>
Ciba-Geigy SA, Basel (Namen) ............................ 573 $ 407,073
Financiere Richemont AG Units -A- ....................... 86 98,138
*Nestle SA, Cham et Vevey ................................ 793 801,505
Roche Holding AG, Basel ................................. 104 1,124,324
SBG (Schweizerische Bankgesellschaft) .................. 506 512,729
SBV (Schweizerischer Bankverein) ........................ 773 276,569
Sandoz AG, Basel ........................................ 765 513,282
------------------
TOTAL COMMON STOCKS (Cost $2,553,897) .................... 4,258,032
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $9,967) .............................. 10,422
------------------
TOTAL -- SWITZERLAND (Cost $2,563,864) .................... 4,268,454
------------------
NETHERLANDS -- (5.5%)
COMMON STOCKS -- (5.5%)
Internationale Nederlanden Groep NV .................... 7,946 430,587
Royal Dutch Petroleum Co., Den Haag .................... 13,500 1,688,460
Unilever NV ............................................. 7,700 968,890
------------------
TOTAL COMMON STOCKS (Cost $2,382,271) .................... 3,087,937
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $18,182) ...................... 18,836
------------------
RIGHTS/WARRANTS -- (0.0%)
*Internationale Nederlanden Groep NV Rights 06/09/95
(Cost $0) ............................................... 26 0
------------------
TOTAL -- NETHERLANDS (Cost $2,400,453) .................... 3,106,773
------------------
AUSTRALIA -- (3.5%)
COMMON STOCKS -- (3.5%)
Amcor, Ltd. ............................................. 12,538 93,317
Australia & New Zealand Banking Group Ltd .............. 26,393 94,989
BTR Nylex, Ltd. ......................................... 34,300 69,130
Boral Ltd ............................................... 30,800 77,151
Brambles Industries, Ltd. ............................... 3,950 38,952
Broken Hill Proprietary Co., Ltd. ....................... 41,948 532,627
*Broken Hill Proprietary Co., Ltd. Issue 95 ............. 3,595 46,992
CRA, Ltd. ............................................... 14,000 187,235
Coles Myer, Ltd. ........................................ 28,578 89,893
Csr Ltd. ................................................ 16,243 51,327
Fosters Brewing Group, Ltd. ............................. 56,912 50,388
Mim Holdings ............................................ 46,160 59,807
National Australia Bank ................................. 30,773 262,705
Pacific Dunlop, Ltd. .................................... 19,238 41,266
Western Mining Corp. Holdings, Ltd. .................... 29,047 154,929
Westpac Banking Corp. ................................... 38,044 139,933
------------------
TOTAL COMMON STOCKS (Cost $1,621,373) .................... 1,990,641
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $3,434) ......................... 3,402
------------------
TOTAL -- AUSTRALIA (Cost $1,624,807) ...................... 1,994,043
------------------
</TABLE>
121
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
ITALY -- (3.1%)
COMMON STOCKS -- (3.0%)
Alleanza Assicurazioni SpA .............................. 8,750 $ 89,799
Alleanza Assicurazioni SpA (Risp) ....................... 103 911
Assicurazioni Generali SpA, Trieste ..................... 15,275 369,624
Banca Commerciale Italiana SpA .......................... 34,000 78,741
*Banca Nazionale dell'Agricoltura SpA ................... 3,000 2,770
*Banca di Roma ........................................... 44,000 41,163
Banco Ambrosiano Veneto SpA ............................. 12,000 41,980
Credito Italiano ........................................ 39,000 44,755
*Ferruzzi Finanziaria SpA Ferfin ......................... 43,235 26,921
*Fiat SpA ................................................ 61,000 241,353
*Fondiaria SpA (Prima la Fondiara Cia di Assicurazionie e
Riassicurazioni SpA .................................... 3,000 15,930
Gemina SpA, Milano ...................................... 20,000 11,515
Ifil Finanziaria Partecipazioni SpA, Torino ............ 8,000 29,135
Italcementi Fabbriche Riunite Cemento SpA, Bergamo ..... 1,500 9,945
*Montedison SpA .......................................... 99,000 71,021
RAS SpA (Riunione Adriatica di Sicurta) ................ 2,787 30,731
*RAS SpA (Riunione Adriatica di Sicurta) (Risp) ......... 338 2,206
SAI SpA (Sta Assicuratrice Industriale SpA) ............ 2,000 22,450
Sip-Societa Italiana Per L'Esercizio Delle
Telecomunicazioni SpA ................................... 111,740 293,603
Sirti SpA ............................................... 4,000 30,773
Stet SpA Station Finanziaria Telefonica Torino ......... 74,000 213,657
Toro Assicurazioni Cia Anonima d'Assicurazione di Torino
SpA ..................................................... 1,000 14,635
------------------
TOTAL COMMON STOCKS (Cost $1,359,256) .................... 1,683,618
------------------
INVESTMENT IN CURRENCY -- (0.1%)
*Italian Lira (Cost $87,694) ............................. 87,774
------------------
TOTAL -- ITALY (Cost $1,446,950) .......................... 1,771,392
------------------
Face
Amount
------------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.9%)
Repurchase Agreement, PNC Securities Corp. 5.85%,
06/01/95 (Collateralized by U.S. Treasury Bills 5.57%,
08/03/95) (Cost $1,086,000) ............................ $ 1,086 1,086,000
------------------
TOTAL INVESTMENTS -- (100.0%) (Cost $43,962,845) .......... $56,592,895
==================
</TABLE>
- - ------
+See Note B to Financial Statements.
*Non-Income Producing Securities.
#Securities on Loan.
See accompanying Notes to Financial Statements
122
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------ --------------
<S> <C> <C>
Investment in The DFA International Value Series of The DFA Investment
Trust Company ............................................................ 13,361,311 $140,377,908
--------------
Total Investments (100%) (Cost $125,403,498) ............................ $140,377,908
==============
</TABLE>
- - ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
123
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
JAPAN -- (33.9%)
COMMON STOCKS -- (33.6%)
Aica Kogyo Co., Ltd. ................................... 10,000 $68,477
Aichi Corp. ............................................ 5,100 51,542
*Amada Wasino Co., Ltd. ................................. 13,000 46,045
Ando Corp. ............................................. 14,000 71,404
Asahi Kogyosha Co., Ltd. ............................... 6,000 38,253
Asanuma Corp. .......................................... 8,000 43,447
Cabin Co., Ltd. ........................................ 8,000 50,059
*Chisan Tokan Co., Ltd. ................................. 4,000 13,270
Chugoku Marine Paints, Ltd. ............................ 11,000 50,000
Chuo Spring Co., Ltd., Nagoya .......................... 11,000 65,714
*D'urban, Inc. .......................................... 12,000 34,144
Dai Nippon Construction ................................ 7,000 49,587
Dai-Ichi Hotel, Ltd., Tokyo ............................ 5,000 37,780
*Dai-Ichi Katei Denki Co., Ltd. ......................... 8,000 34,852
Dai-Ichi Kogyo Seiyaku Co., Ltd. ....................... 3,000 15,939
Daidoh, Ltd. ........................................... 7,000 59,752
Daiichi Cement Co., Ltd. ............................... 2,000 10,862
*Daiwabo Co., Ltd. ...................................... 22,000 60,519
Descente, Ltd. ......................................... 11,000 62,987
Fujirebio, Inc. ........................................ 6,000 49,587
Fukuda Corp. ........................................... 8,000 83,588
Gastec Service, Inc. ................................... 4,000 30,272
Graphtec Corp. ......................................... 5,000 34,829
Gun-Ei Chemical Industry Co., Ltd. ..................... 14,000 69,091
Gunze Sangyo, Inc., Tokyo .............................. 9,000 38,996
Harima Chemicals, Inc. ................................. 4,000 37,308
Hisaka Works, Ltd. ..................................... 6,000 71,546
Hisamitsu Pharmaceutical Co., Inc. ..................... 7,000 58,678
Hodogaya Chemical Co., Ltd. ............................ 5,000 13,991
Hokkaido Gas Co., Ltd. ................................. 8,000 43,542
*Hokko Chemical Industry Co., Ltd. ...................... 2,000 12,349
Horiba, Ltd. ........................................... 5,000 60,213
Ichikawa Co., Ltd. ..................................... 3,000 14,876
Ikegami Tsushinki Co., Ltd. ............................ 10,000 73,790
Inabata and Co., Ltd., Osaka ........................... 8,000 51,476
Intec, Inc. ............................................ 5,000 73,790
Ishikawa Seisakusho, Ltd. .............................. 9,000 31,877
Ishizuka Glass Co., Ltd. ............................... 6,000 40,874
Itoki Crebio Corp. ..................................... 6,000 57,379
Iwasaki Electric Co., Ltd. ............................. 11,000 51,299
Iwata Air Compressor Manufacturing Co., Ltd. ........... 7,000 29,174
Japan Oil Transportation Co., Ltd. ..................... 5,000 28,040
Japan Transcity Corp. .................................. 8,000 55,726
Japan Vilene Co., Ltd. ................................. 10,000 64,345
Joban Kosan Co., Ltd. .................................. 12,000 54,970
Kamei Corp. ............................................ 6,000 77,214
Kanaden Corp. .......................................... 5,000 36,659
Kansei Corp. ........................................... 7,000 57,686
Kanto Auto Works, Ltd., Yokosuka ....................... 10,000 70,837
Kanto Bank, Ltd. ....................................... 1,400 51,405
Kanto Natural Gas Development Co., Ltd. ................ 6,000 50,649
Kasumi Co., Ltd. ....................................... 5,000 46,458
Kato Works Co., Ltd. ................................... 9,000 56,316
Kawada Industries, Inc. ................................ 9,000 83,093
124
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Kawai Musical Instruments Manufacturing Co., Ltd. ...... 10,000 $38,253
Kawashima Textile Manufacturers, Ltd. .................. 13,000 46,045
Kinseki, Ltd. .......................................... 4,000 57,615
*Kinsho-Mataichi Corp. .................................. 5,000 20,956
*Kioritz Corp. .......................................... 9,000 27,627
Kita-Nippon Bank, Ltd. ................................. 1,000 61,983
Kitagawa Iron Works Co., Ltd. .......................... 12,000 52,704
Kokusai Kogyo Co., Ltd. ................................ 6,000 63,046
Komai Tekko, Inc. ...................................... 5,000 37,190
Kosei Securities Co., Ltd. ............................. 12,000 55,537
*Kyotaru Co., Ltd. ...................................... 6,000 42,645
Kyushu Bank, Ltd. ...................................... 9,000 42,609
Life Corp. ............................................. 8,000 70,083
*Maruman Securities Co., Ltd. ........................... 12,000 53,837
Matsui Construction Co., Ltd. .......................... 4,000 36,553
Meito Sangyo Co., Ltd. ................................. 4,090 64,706
Mitsuba Electric Manufacturing Co., Ltd. ............... 5,000 48,406
Morozoff, Ltd., Osaka .................................. 3,000 12,397
Mory Industries, Inc. .................................. 8,000 51,287
*Mutoh Industries, Ltd. ................................. 5,000 34,238
Mutow Co., Ltd. ........................................ 5,000 45,750
*Nabco, Ltd. ............................................ 12,000 46,612
Naigai Co., Ltd. ....................................... 11,000 56,364
Nakamuraya Co., Ltd. ................................... 8,000 52,043
Nakano Corp. ........................................... 7,000 33,884
Neturen Co., Ltd., Tokyo ............................... 6,000 49,233
*Nichiboshin, Ltd. ...................................... 12,000 18,985
*Nichimo Co., Ltd. ...................................... 3,000 13,282
*Nichimo Corp. .......................................... 9,000 38,253
Nihon Kohden Corp. ..................................... 6,000 57,025
Nihon Matai Co., Ltd. .................................. 5,000 32,881
Nihon Parkerizing Co., Ltd. ............................ 10,000 61,157
Niigata Chuo Bank, Ltd. ................................ 10,000 38,253
Nippon Chemiphar Co., Ltd. ............................. 5,000 34,475
Nippon Conlux Co., Ltd. ................................ 5,000 33,058
Nippon Conveyor Co., Ltd. .............................. 4,000 19,268
Nippon Denko Co., Ltd. ................................. 19,000 68,418
Nippon Hume Pipe Co., Ltd. ............................. 2,000 10,224
*Nippon Koshuha Steel Co., Ltd. ......................... 12,000 37,119
Nippon Synthetic Chemical Industry Co., Ltd. ........... 8,000 43,164
Nippon Thompson Co., Ltd. .............................. 10,000 62,574
Nippon Valqua Industries, Ltd. ......................... 14,000 57,851
Obayashi Road Corp. .................................... 8,000 68,760
Okabe Co., Ltd. ........................................ 5,000 43,388
*Oki Electric Cable Co., Ltd. ........................... 6,000 27,839
*Okuma and Howa Machinery, Ltd. ......................... 9,000 30,921
Okura Industrial Co., Ltd. ............................. 9,000 66,942
*Ono Sokki Co., Ltd. .................................... 5,000 30,697
Origin Electric Co., Ltd. .............................. 3,000 13,636
Pacific Industrial Co., Ltd. ........................... 8,000 39,669
Parco Co., Ltd. ........................................ 4,000 42,503
Pasco Corp. ............................................ 16,000 73,294
*Pokka Corp. ............................................ 5,150 56,547
Renown Look, Inc. ...................................... 5,000 35,419
Rheon Automatic Machinery Co., Ltd. .................... 4,000 45,006
125
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Ryoden Trading Co., Ltd. ............................... 8,000 $64,227
Sagami Co., Ltd. ....................................... 6,000 43,920
Sakai Heavy Industries, Ltd. ........................... 6,000 40,378
Sankei Building Co., Ltd. .............................. 8,000 57,143
Sanko Metal Industrial Co., Ltd., Tokyo ................ 5,000 25,679
*Sankyo Seiki Manufacturing Co., Ltd. ................... 11,000 51,558
Sanyo Industries, Ltd., Tokyo .......................... 3,000 18,347
Sata Construction Co., Ltd., Gumma ..................... 8,000 45,053
Seikitokyu Industries Co., Ltd. ........................ 7,000 33,471
Shibuya Kogyo Co., Ltd. ................................ 4,000 38,253
*Shikibo, Ltd. .......................................... 15,000 37,013
Shin-Etsu Polymer Co., Ltd. ............................ 14,000 71,240
Shinko Shoji Co., Ltd. ................................. 4,000 47,226
Shiroki Co., Ltd. ...................................... 15,000 67,296
Sumisho Computer Systems Corp. ......................... 5,000 62,574
Sumitomo Corporation's Leasing, Ltd. ................... 4,000 29,044
Sumitomo Precision Products Co., Ltd., Amagasaki City .. 9,000 56,529
Sun Telephone Co., Ltd. ................................ 6,000 41,086
Suzutan Co., Ltd. ...................................... 6,000 48,524
TYK Corp. .............................................. 8,000 32,869
*Taiheiyo Bank, Ltd. .................................... 10,000 43,684
*Taiheiyo Securities Co., Ltd. .......................... 15,000 48,701
*Taiyo Toyo Sanso Co. Ltd. .............................. 17,000 71,854
*Taka-Q Co., Ltd. ....................................... 9,000 26,352
Takara Co., Ltd. ....................................... 4,000 44,628
Tamura Corp. ........................................... 9,000 53,341
Tatsuta Electric Wire & Cable Co., Ltd. ................ 10,000 44,274
*Tayca Corp. ............................................ 10,000 37,190
*Teac Corp. ............................................. 7,000 33,884
Teikoku Tsushin Kogyo Co., Ltd. ........................ 9,000 48,878
*Toa Wool Spinning & Weaving Co., Ltd. .................. 8,000 28,430
Tobu Store Co., Ltd. ................................... 9,000 72,255
Tochigi Fuji Industrial Co., Ltd. ...................... 4,000 37,355
Toda Kogyo Corp. ....................................... 7,000 50,744
*Toho Rayon Co., Ltd. ................................... 13,000 50,496
Tohto Suisan Co., Ltd. ................................. 8,000 39,197
*Tokai Kogyo Co., Ltd. .................................. 13,000 38,217
Tokai Senko K.K. Nagoya ................................ 7,000 27,273
Tokushu Paper Manufacturing Co., Ltd. .................. 7,000 65,289
Tokuyo City Bank, Ltd. ................................. 13,000 40,059
Tokyo Denki Komusho Co., Ltd. .......................... 5,000 57,202
Tokyo Nissan Auto Sales Co., Ltd. ...................... 5,000 40,142
Tokyo Tekko Co., Ltd. .................................. 7,000 40,744
*Topcon Corp. ........................................... 7,000 59,091
Topre Corp. ............................................ 9,000 68,749
*Toshibo Tungaloy Co.,Ltd. .............................. 12,000 56,812
Totenko Co., Ltd. ...................................... 4,000 20,165
Totoku Electric Co., Ltd., Tokyo ....................... 7,000 42,149
*Towa Real Estate Development Co., Ltd. ................. 11,000 39,740
Toyo Aluminum K.K. ..................................... 6,000 35,773
Toyo Corp. ............................................. 5,000 41,440
Toyo Radiator Co., Ltd. ................................ 11,000 48,312
*Toyo Securities Co., Ltd. .............................. 9,000 30,283
Tsugami Corp. .......................................... 13,000 53,105
Uchida Yoko Co., Ltd. .................................. 9,000 49,197
*Ueki Corp. ............................................. 6,000 34,215
126
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Yokohama Reito Co., Ltd. ............................... 8,000 $ 96,340
Yomeishu Seizo Co., Ltd. ............................... 5,000 44,864
Yondenko Corp. ......................................... 4,000 41,086
*Yuken Kogyo Co., Ltd. .................................. 6,000 21,606
Zenchiku Co., Ltd. ..................................... 12,000 46,470
------------------
TOTAL COMMON STOCKS (Cost $8,132,832) ................... 7,809,783
------------------
INVESTMENT IN CURRENCY -- (0.3%)
*Japanese Yen (Cost $65,987) ............................ 66,848
------------------
TOTAL -- JAPAN (Cost $8,198,819) .......................... 7,876,631
------------------
UNITED KINGDOM -- (16.6%)
COMMON STOCKS -- (15.4%)
APV P.L.C. ............................................. 25,000 29,766
ASDA Property Holdings P.L.C. .......................... 23,000 44,910
Allied London Properties P.L.C. ........................ 15,000 18,574
Avon Rubber P.L.C. ..................................... 7,730 62,461
BSG International P.L.C. ............................... 62,500 66,973
Bardon Group P.L.C. .................................... 90,000 40,719
Barratt Developments P.L.C. ............................ 19,200 59,436
Berkeley Group P.L.C. .................................. 14,200 85,662
Bilton P.L.C. .......................................... 15,000 59,531
Boddington Group P.L.C. ................................ 21,800 96,555
Bridon P.L.C. .......................................... 10,000 20,161
British-Borneo Petroleum Syndicate P.L.C. .............. 13,010 57,210
Cater Allen Holdings P.L.C. ............................ 5,000 41,116
Chesterfield Properties P.L.C. ......................... 4,000 28,321
Clyde Petroleum P.L.C. ................................. 118,000 86,170
*Costain Group P.L.C. ................................... 150,000 26,194
Countryside Property P.L.C. ............................ 11,000 14,319
Daejan Holdings P.L.C. ................................. 5,000 94,853
EIS Group P.L.C. ....................................... 13,267 80,033
Evans of Leeds P.L.C. .................................. 24,000 40,767
Frogmore Estates P.L.C. ................................ 15,039 110,538
Gestetner Holdings P.L.C. .............................. 38,000 40,116
Gleeson (M.J.) Group P.L.C. ............................ 2,000 26,289
Goal Petroleum P.L.C. .................................. 25,000 28,377
Greene King P.L.C. ..................................... 9,000 75,867
*Greycoat P.L.C. ........................................ 20,000 44,768
Hambro Countrywide P.L.C. .............................. 61,000 25,178
Hardy Oil & Gas P.L.C. ................................. 20,000 54,610
Hazlewood Foods P.L.C. ................................. 44,500 73,470
Hickson International P.L.C. ........................... 30,000 60,960
Ibstock P.L.C. ......................................... 55,000 67,667
Kelt Energy P.L.C. ..................................... 27,000 21,431
Laing (John) P.L.C. .................................... 8,000 26,416
Leigh Interests P.L.C. ................................. 20,000 45,085
Lex Service P.L.C. ..................................... 17,100 90,668
London Merchant Securities P.L.C. ...................... 71,000 109,331
Mansfield Brewery P.L.C. ............................... 10,000 42,069
Marston Thompson & Evershed P.L.C. ..................... 16,000 77,724
McAlpine (Alfred) P.L.C. ............................... 26,000 69,755
*Micro Focus Group P.L.C. ............................... 3,000 35,004
Molins P.L.C. .......................................... 5,500 58,063
Morland & Co. P.L.C. ................................... 5,900 46,831
Mucklow (A & J) Group P.L.C. ........................... 18,000 38,576
Norcros P.L.C. ......................................... 30,000 40,958
Nurdin & Peacock, Ltd. ................................. 37,000 109,251
PSIT P.L.C. ............................................ 34,800 71,266
Peel Holdings P.L.C. ................................... 17,000 72,057
Persimmon P.L.C. ....................................... 25,000 84,138
127
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
Prowting P.L.C. ........................................ 17,000 $ 33,465
Readicut International P.L.C. .......................... 35,000 35,838
Scholl P.L.C. .......................................... 20,000 54,293
Scottish Metropolitan Property P.L.C. .................. 23,000 27,750
Sherwood Group P.L.C. .................................. 19,000 31,067
Stanley Leisure Organisation P.L.C. .................... 8,700 50,825
Tops Estates P.L.C. .................................... 10,000 25,241
Transport Development Group P.L.C. ..................... 26,600 98,812
Vaux Group P.L.C. ...................................... 41,700 162,186
Warner Estate Holdings P.L.C. .......................... 8,000 25,400
Warnford Investments P.L.C. ............................ 7,000 25,892
*Wates City of London Properties P.L.C. ................. 40,000 45,720
Watts, Blake, Bearne & Co. P.L.C. ...................... 4,000 31,750
Westbury P.L.C. ........................................ 15,000 37,862
Wilson (Connolly) Holdings P.L.C. ...................... 43,000 113,998
Wilson Bowden P.L.C. ................................... 16,900 94,974
------------------
TOTAL COMMON STOCKS (Cost $3,404,612) ................... 3,595,267
------------------
INVESTMENT IN CURRENCY -- (1.2%)
*British Pound Sterling (Cost $281,525) ................. 284,316
------------------
TOTAL -- UNITED KINGDOM (Cost $3,686,137) ................. 3,879,583
------------------
GERMANY -- (9.8%)
COMMON STOCKS -- (7.3%)
*Aachener und Muenchener Lebensversicherung AG .......... 100 48,547
Andreae-Noris Zahn AG, Anzag ........................... 200 45,641
Barmag AG .............................................. 400 82,778
*DSL Holding AG ......................................... 650 77,853
Deutsche Hypotheken Bank AG, Hannover/Berlin ........... 190 59,922
Deutsche Verkehrs-Bank AG .............................. 500 65,379
Felten & Guilleaume Energietechnik AG .................. 300 65,911
Flender (A. Friedrich) AG .............................. 375 64,050
Hypothekenbank In Hamburg AG ........................... 15 9,355
*KM-Kabelmetal AG ....................................... 664 84,235
KSB AG ................................................. 275 60,029
Kaufhalle AG ........................................... 850 98,193
Kaufring AG ............................................ 500 53,508
*Leonische Drahtwerke AG ................................ 150 41,566
*Massa AG ............................................... 380 46,322
*Moksel (A.) AG ......................................... 500 31,184
Nuernberger Hypothekenbank AG .......................... 233 72,988
*Phoenix AG, Hamburg .................................... 460 72,048
Rheinboden Hypothekenbank AG ........................... 170 33,012
Rheinmetall Berlin AG .................................. 520 96,371
Salamander AG, Kornwesteim ............................. 520 109,824
Sixt AG ................................................ 100 22,679
Stoehr & Co. AG ........................................ 88 14,500
Sueddeutsche Bodencreditbank AG ........................ 150 55,811
*Varta AG ............................................... 443 81,473
WMF (Wuerttembergische Metallwarenfabrik AG) ........... 242 58,999
Walter Bau AG .......................................... 350 107,902
128
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Zanders Feinpapiere AG ................................. 300 $ 44,649
------------------
TOTAL COMMON STOCKS (Cost $1,715,195) ................... 1,704,729
------------------
INVESTMENT IN CURRENCY -- (2.5%)
*German Marks (Cost $563,010) ........................... 566,694
------------------
TOTAL -- GERMANY (Cost $2,278,205) ........................ 2,271,423
------------------
FRANCE -- (8.2%)
COMMON STOCKS -- (6.6%)
ALSPI (Societe Alsacienne de Participations
Industrielles) ....................................... 1,100 78,074
*Bains de Mer et du Cercle des Etrangers a Monaco ....... 400 54,861
*CLAL (Comptoir Lyon-Alemand Loyot SA) .................. 842 69,629
*Compagnie Financiere pour l'Immobilier d'Enterprise
Fidei ................................................ 900 17,426
DMC (Dollfus Mieg et Cie) .............................. 2,390 141,963
France SA .............................................. 929 140,718
Gascogne SA ............................................ 420 44,897
*Genefim-Societe Immobiliere pour le Commerce et
l'Industrie SA ....................................... 1,200 41,146
*Generale de Geophysique SA ............................. 600 42,925
*Intertechnique SA ...................................... 290 36,148
Radiotechnique ......................................... 900 94,393
Reassurances SA (Francaise de) ......................... 858 121,138
Rue Imperiale de Lyon .................................. 210 159,681
SFIM (Societe de Fabrication d'Instruments de Mesure) .. 188 35,378
Salins du Midi & des Salines de l'Est .................. 900 65,167
*Societe Financiere Immobail SA ......................... 400 24,203
*Societe Financiere Interbail SA ........................ 1,000 73,618
Taittinger SA .......................................... 100 44,877
*Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies) ................................... 3,000 147,156
Via Banque ............................................. 1,740 105,706
------------------
TOTAL COMMON STOCKS (Cost $1,468,919) ................... 1,539,104
------------------
INVESTMENT IN CURRENCY -- (1.6%)
*French Francs (Cost $353,425) .......................... 364,625
------------------
TOTAL -- FRANCE (Cost $1,822,344) ......................... 1,903,729
------------------
SWITZERLAND -- (5.2%)
COMMON STOCKS -- (4.9%)
*Bucher Holding AG, Niederweningen ...................... 150 93,951
Credit Foncier Vaudois, Lausanne ....................... 150 113,900
Daetwyler Holding AG, Atldorf .......................... 80 132,475
Galenica Holding AG, Bern Class B ...................... 300 102,960
Grands Magasins Jelmoli SA, Zuerich .................... 150 78,507
Grands Magasins Jelmoli SA, Zuerich (Namen) ............ 500 52,338
Immuno International AG, Zuerich ....................... 250 119,048
Magazine Zum Globus, Zuerich (Namen) ................... 200 134,706
Rentsch (Walter) Holding AG, Dietlikon ................. 400 73,788
*Saurer AG, Arbon ....................................... 200 67,267
129
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
*Sibra Holding SA, Fribourg Class B ..................... 200 $ 34,320
Zuercher Ziegeleien Holding, Zuerich ................... 175 133,033
------------------
TOTAL COMMON STOCKS (Cost $1,121,580) ................... 1,136,293
------------------
INVESTMENT IN CURRENCY -- (0.3%)
*Swiss Francs (Cost $82,515) ............................ 85,088
------------------
TOTAL -- SWITZERLAND (Cost $1,204,095) .................... 1,221,381
------------------
HONG KONG -- (3.7%)
COMMON STOCKS -- (3.7%)
Allied Group, Ltd. ..................................... 656,000 42,432
Allied Properties (Hong Kong), Ltd. .................... 518,000 71,032
Associated International Hotels, Ltd. .................. 78,000 45,660
Century City International Holdings, Ltd. .............. 430,000 129,334
Far East Consortium International, Ltd. ................ 130,000 18,163
Harbour Centre Development, Ltd. ....................... 31,000 36,695
Hwa Kay Thai Holdings, Ltd. ............................ 144,000 16,021
Kwong Sang Hong International, Ltd. .................... 154,000 40,841
Lai Sun Development Co., Ltd. .......................... 428,000 52,047
Lai Sun Garment (International), Ltd. .................. 54,000 57,982
Liu Chong Hing Investment, Ltd. ........................ 82,000 70,543
Mingly Corp., Ltd. ..................................... 464,000 81,635
Pacific Concord Holding, Ltd. .......................... 402,000 78,528
Seapower Resources International, Ltd. ................. 195,000 14,884
Sincere Co., Ltd. ...................................... 62,000 11,550
Tai Sang Land Development, Ltd. ........................ 28,000 14,488
Wing On Co.International, Ltd. ......................... 76,000 80,621
------------------
TOTAL COMMON STOCKS (Cost $832,623) ..................... 862,456
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $2,232) ........................ 2,233
------------------
TOTAL -- HONG KONG (Cost $834,855) ........................ 864,689
------------------
NETHERLANDS -- (3.1%)
COMMON STOCKS -- (3.1%)
Gamma Holding NV ....................................... 1,100 58,286
Hollandsche Beton Groep NV ............................. 1,150 191,243
Kas-Associatie NV ...................................... 1,300 43,155
NKF Holding NV ......................................... 200 26,747
*Nederlandse Vliegtuigenfabriek Fokker NV ............... 4,500 31,299
Nijverdal-Ten Cate NV, Amels ........................... 2,697 133,869
Norit NV ............................................... 10,010 129,121
Smit Internationale NV ................................. 1,750 48,688
Volker Stevin NV ....................................... 800 49,067
------------------
TOTAL COMMON STOCKS (Cost $689,936) ..................... 711,475
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $6,488) ...................... 6,694
------------------
130
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------------------ ------------------
RIGHTS/WARRANTS -- (0.0%)
*Hollandsche Beton Groep NV Rights 06/16/95 (Cost $0) ... 1,150 $ 0
------------------
TOTAL -- NETHERLANDS (Cost $696,424) ...................... 718,169
------------------
AUSTRALIA -- (3.0%)
COMMON STOCKS -- (2.9%)
Adelaide Brighton, Ltd. ................................ 47,993 48,018
Alcan Australia, Ltd. .................................. 55,900 109,445
Awa, Ltd. .............................................. 28,500 9,847
Caltex Australia, Ltd. ................................. 26,200 80,716
Centro Properties, Ltd. ................................ 10,000 16,555
*Energy Resources of Australia, Ltd. Series A ........... 86,900 103,209
FAI Insurances, Ltd. ................................... 72,659 32,949
Memtec, Ltd. ........................................... 12,700 19,471
*Orbital Engine Corp., Ltd. ............................. 101,200 94,697
Pacific BBA, Ltd. ...................................... 16,756 32,565
*Pancontinental Mining, Ltd. ............................ 30,700 42,428
Sea World Property Trust ............................... 31,000 24,322
Wills (W.D. & H.O.) Holdings, Ltd. ..................... 41,400 69,136
------------------
TOTAL COMMON STOCKS (Cost $677,098) ..................... 683,358
------------------
INVESTMENT IN CURRENCY -- (0.1%)
*Australian Dollar (Cost $18,922) ....................... 18,931
------------------
TOTAL -- AUSTRALIA (Cost $696,020) ........................ 702,289
------------------
ITALY -- (2.5%)
COMMON STOCKS -- (2.2%)
Banco di Chiavari e della Riviera Ligure SpA, Chiavari . 10,000 21,387
*Bonifiche-Siele Finziaria SpA .......................... 2,000 43,018
Caltagirone SpA ........................................ 35,000 28,659
Ericsson SpA ........................................... 6,000 92,026
FONSPA (Credito Fondiario e Industriale Istituto per i
Finanziamenti a Medio e Lungo Termine SpA) ........... 28,000 89,484
*Falck (Acciaierie & Ferriere Lombarde) ................. 12,000 18,882
Montefibre SpA, Milano ................................. 60,000 46,599
*Premafin Finanziaria SpA ............................... 65,000 35,310
*SMI (Sta Metallurgica Italiana SpA) .................... 80,000 28,304
*Saffa SpA, Milano ...................................... 15,000 50,642
Stefanel SpA ........................................... 10,000 18,943
UNICEM (Unione Cementi Marchini Emiliane e di
Augusta-Casale) ...................................... 5,000 28,414
Zucchi (Vincenzo) SpA .................................. 3,000 13,932
------------------
TOTAL COMMON STOCKS (Cost $518,459) ..................... 515,600
------------------
INVESTMENT IN CURRENCY -- (0.3%)
*Italian Lira (Cost $54,931) ............................ 55,669
RIGHTS/WARRANTS -- (0.0%)
*UNICEM (Unione Cementi Marchini Emiliane e di Augusta
Casale) Rights 06/19/95 (Cost $0) .................... 5,000 4,595
------------------
TOTAL -- ITALY (Cost $573,390) ............................ 575,864
------------------
131
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
SWEDEN -- (2.0%)
COMMON STOCKS -- (1.8%)
*Argonaut AB Series B ................................... 14,700 $ 19,071
B & N Bylock & Nordsjoefrakt AB Series B ............... 4,600 36,122
Celsius Industrier AB Series B ......................... 6,600 96,893
*Foereningsbanken AB Series A ........................... 41,900 73,815
*Frontline AB ........................................... 7,400 18,999
ICB Shipping AB Series B ............................... 6,800 51,075
*Kloevern Foervaltnings AB Series B ..................... 27,300 16,591
Nordstroem & Thulin AB Series B ........................ 11,600 25,980
Siab AB Series A ....................................... 3,100 17,781
Stena Line AB Series B ................................. 12,200 58,313
------------------
TOTAL COMMON STOCKS (Cost $441,898) ..................... 414,640
------------------
INVESTMENT IN CURRENCY -- (0.2%)
*Swedish Krona (Cost $58,228) ........................... 57,731
------------------
TOTAL -- SWEDEN (Cost $500,126) ........................... 472,371
------------------
SPAIN -- (1.7%)
COMMON STOCKS -- (1.7%)
Banco Guipuzcoano SA ................................... 1,000 28,723
Banco Herrero .......................................... 700 41,069
Banco Pastor SA ........................................ 1,100 53,586
*Banco Zaragozano SA .................................... 2,500 38,964
Cubiertas y Mzov SA .................................... 400 28,233
Ebro Agricolas Compania de Alimentacion SA ............. 2,100 22,277
GESA (Gas y Electricidad SA) ........................... 1,400 67,287
Huarte SA .............................................. 1,900 19,845
*Inmobiliaria Urbis SA .................................. 2,900 14,198
OCP Construcciones SA .................................. 700 20,106
*Sarrio SA .............................................. 6,600 33,929
Unipapel SA ............................................ 900 24,676
------------------
TOTAL COMMON STOCKS (Cost $334,634) ..................... 392,893
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $8) ............................... 8
------------------
TOTAL -- SPAIN (Cost $334,642) ............................ 392,901
------------------
BELGIUM -- (1.3%)
COMMON STOCKS -- (1.0%)
Banque Nationale de Belgique ........................... 20 26,882
CFE (Compagnie Francois d'Entreprises) ................. 100 26,366
*Cockerill-Sambre ....................................... 24,800 160,689
Fabrique de Fer de Charleroi ........................... 10 26,366
------------------
TOTAL COMMON STOCKS (Cost $229,934) ..................... 240,303
------------------
INVESTMENT IN CURRENCY -- (0.3%)
*Belgian Francs (Cost $60,856) .......................... 62,867
------------------
TOTAL -- BELGIUM (Cost $290,790) .......................... 303,170
------------------
132
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
SINGAPORE -- (1.2%) ------------------ ------------------
COMMON STOCKS -- (1.2%)
Carnaudmetalbox Asia, Ltd. ............................. 6,000 $ 21,143
Chuan Hup Holdings, Ltd. ............................... 22,000 18,828
Hai Sun Hup Group, Ltd. ................................ 20,000 11,363
Hong Kok Corp., Ltd. ................................... 13,000 18,418
Hotel Plaza, Ltd. ...................................... 31,000 21,402
*Keppel Finance, Ltd. ................................... 16,000 21,287
Metro Holdings, Ltd. ................................... 19,000 83,351
Pacific Carriers, Ltd. ................................. 23,000 22,661
Robinson & Co., Ltd. ................................... 5,000 23,373
Times Publishing, Ltd. ................................. 14,000 36,649
------------------
TOTAL COMMON STOCKS (Cost $264,019) ..................... 278,475
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost $1,092) ....................... 1,095
------------------
TOTAL -- SINGAPORE (Cost $265,111) ........................ 279,570
------------------
Face
Amount
------------------
(000)
TEMPORARY CASH INVESTMENTS -- (7.8%)
Repurchase Agreement, PNC Securities Corp. 5.85%, 06/01/95
(Collateralized by U.S. Treasury Bills 5.57%, 08/03/95)
(Cost $1,816,000) ....................................... $ 1,816 1,816,000
------------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $23,196,958) ....................................... $23,277,770
==================
</TABLE>
- - ------
+ See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
133
<PAGE>
SCHEDULES OF INVESTMENTS
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
----------- ---------------
<S> <C> <C>
Investment in The DFA One-Year Fixed Income Series of The DFA
Investment Trust Company ............................................. 6,154,909 $614,508,095
---------------
Total Investments (100%) (Cost $610,644,650) ..................... $614,508,095
===============
</TABLE>
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Face
Amount Value+
-------- -------------
(000)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- (97.9%)
U.S. Treasury Notes
6.250%, 08/31/96 ................................................... $ 6,000 $ 6,025,313
6.625%, 03/31/97 ................................................... 63,000 63,826,775
8.500%, 04/15/97 ................................................... 27,000 28,240,313
6.875%, 04/30/97 ................................................... 40,000 40,718,750
6.500%, 05/15/97 ................................................... 60,000 60,675,000
5.500%, 09/30/97 ................................................... 37,000 36,676,250
5.750%, 10/31/97 ................................................... 7,000 6,972,656
5.125%, 04/30/98 ................................................... 19,000 18,581,406
-------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $258,402,173) ................... 261,716,463
-------------
TEMPORARY CASH INVESTMENTS -- (2.1%)
Repurchase Agreement, PNC Securities Corp. 5.85%, 06/01/95
(Collateralized by U.S. Treasury Notes 7.50%, 12/31/96)
(Cost $5,627,000) ................................................ 5,627 5,627,000
-------------
TOTAL INVESTMENTS -- (100.0%) (Cost $264,029,173) ................... $267,343,463
=============
</TABLE>
- - ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
134
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA GLOBAL FIXED INCOME PORTFOLIO
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Face
Amount @ Value+
------------------ ------------------
(000)
<S> <C> <C>
JAPAN -- (29.2%)
BONDS -- (29.2%)
Austria (Republic of)
5.000%, 01/22/01 ......................................... 300,000 $ 4,002,007
Autobahnen und Schnellstrassenfinanzierungs AG
6.000%, 03/11/00 ......................................... 600,000 8,244,864
Belgium (Kingdom of)
5.000%, 12/17/99 ......................................... 600,000 7,929,634
European Investment Bank
6.625%, 03/15/00 ......................................... 600,000 8,468,713
Inter-American Development Bank
7.250%, 05/15/00 ......................................... 400,000 5,762,456
6.750%, 02/20/01 ......................................... 200,000 2,876,033
SNCF (Societe Nationale des Chemins de Fer Francais)
6.750%, 03/01/00 ......................................... 500,000 7,078,512
World Bank (International Bank for Reconstruction and
Development)
4.500%, 06/20/00 ......................................... 600,000 7,925,384
------------------
TOTAL -- JAPAN (Cost $41,311,557) ......................... 52,287,603
------------------
GERMANY -- (24.0%)
BONDS -- (24.0%)
European Economic Community
6.500%, 03/10/00 ......................................... 9,000 6,550,035
Germany (Federal Republic of)
9.000%, 10/20/00 ......................................... 28,000 22,361,620
Germany (Federal Republic of) Series 107
6.375%, 05/20/98 ......................................... 9,000 6,558,729
KFW International Finance, Inc.
7.500%, 01/24/00 ......................................... 10,000 7,527,994
------------------
TOTAL -- GERMANY (Cost $38,602,947) ....................... 42,998,378
------------------
UNITED KINGDOM -- (23.9%)
BONDS -- (22.1%)
Abbey National Treasury Services P.L.C.
7.750%, 06/23/98 ......................................... 4,000 6,311,900
Austria (Republic of)
10.375%, 03/29/99 ........................................ 2,000 3,419,078
*British Telecommunications P.L.C.
0.00%, 02/15/00 .......................................... 6,000 6,591,300
European Investment Bank
7.000%, 12/22/98 ......................................... 3,000 4,644,390
Guaranteed Export Finance Corp. P.L.C.
7.250%, 12/15/98 ......................................... 5,000 7,783,513
135
<PAGE>
Face
Amount @ Value+
------------------ ------------------
(000)
THE DFA GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
Halifax Building Society, Ltd.
7.750%, 12/03/98 ......................................... 5,000 $ 7,889,081
Japan Development Bank
7.000%, 10/18/00 ......................................... 2,000 3,038,793
------------------
TOTAL BONDS (Cost $39,168,886) ............................ 39,678,055
------------------
INVESTMENT IN CURRENCY -- (1.8%)
*British Pound Sterling (Cost $3,194,423) ................. 3,189,382
------------------
TOTAL -- UNITED KINGDOM (Cost $42,363,309) ................ 42,867,437
------------------
U.S. TREASURY OBLIGATIONS -- (11.3%)
U.S Treasury Notes
6.625%, 03/31/97
(Cost $19,971,272) ....................................... 20,000 20,262,500
------------------
AUSTRALIA -- (8.6%)
BONDS -- (8.6%)
New South Wales Treasury Corp.
12.500%, 04/01/97 ........................................ 5,830 4,521,338
11.500%, 07/01/99 ........................................ 4,000 3,204,014
Queensland Treasury Corp.
8.000%, 05/14/97 ........................................ 6,810 4,914,320
8.000%, 07/14/99 ........................................ 4,000 2,861,287
------------------
TOTAL BONDS (Cost $15,330,524) ............................ 15,500,959
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $1,618) .......................... 1,603
------------------
TOTAL -- AUSTRALIA (Cost $15,332,142) ..................... 15,502,562
------------------
CANADA -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Canadian Dollars (Cost $3,966) ........................... 3,927
------------------
TEMPORARY CASH INVESTMENTS -- (3.0%)
Repurchase Agreement, PNC Securities Corp. 5.85%, 06/01/95
(Collateralized by U.S. Treasury Notes 7.50%, 12/31/96)
(Cost $5,312,000) ........................................ 5,312 5,312,000
------------------
TOTAL INVESTMENTS -- (100.0%) (Cost $162,897,193) ......... $179,234,407
==================
</TABLE>
- - ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
@Denominated in Local Currency.
See accompanying Notes to Financial Statements
136
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Face
Amount Value+
---------------- ---------------
(000)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- (60.2%)
U.S. Treasury Bonds
11.750%, 02/15/01 .............................................. $3,000 $ 3,807,657
13.125%, 05/15/01 .............................................. 4,500 6,061,640
13.375%, 08/15/01 .............................................. 2,000 2,740,938
11.625%, 11/15/02 .............................................. 3,500 4,609,063
10.750%, 08/15/05 .............................................. 4,000 5,290,000
U.S. Treasury Notes
8.500%, 02/15/00 .............................................. 5,000 5,493,750
5.500%, 04/15/00 .............................................. 2,000 1,955,312
8.875%, 05/15/00 .............................................. 1,000 1,120,313
15.750%, 11/15/01 .............................................. 3,500 5,276,250
14.250%, 02/15/02 .............................................. 3,750 5,401,174
6.250%, 02/15/03 .............................................. 1,000 998,594
-------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $41,216,973) .............. 42,754,691
-------------
AGENCY OBLIGATIONS -- (35.7%)
Farm Credit System Financial Assistance Corp.
9.375%, 07/21/03 ............................................... 2,000 2,353,126
8.800%, 06/10/05 ............................................... 1,000 1,160,469
Federal Home Loan Bank
7.190%, 04/27/01 ............................................... 8,000 8,342,504
5.440%, 10/15/03 ............................................... 2,000 1,859,376
Federal National Mortgage Association
8.900%, 06/12/00 ............................................... 4,000 4,448,124
8.250%, 12/18/00 ............................................... 1,000 1,090,625
6.800%, 01/10/03 ............................................... 6,000 6,080,628
-------------
TOTAL AGENCY OBLIGATIONS (Cost $24,421,631) ..................... 25,334,852
-------------
TEMPORARY CASH INVESTMENTS -- (2.5%)
Repurchase Agreement, PNC Securities Corp. 5.85%, 06/01/95
(Collateralized by U.S. Treasury Notes 7.50%, 12/31/96)
(Cost $1,797,000) .............................................. 1,797 1,797,000
-------------
SUPRANATIONAL OBLIGATIONS - (1.6%)
European Investment Bank
9.125%, 06/01/02 (Cost $1,134,947) ............................. 1,000 1,148,112
-------------
TOTAL INVESTMENTS -- (100.0%) (Cost $68,570,551) ................ $71,034,655
=============
</TABLE>
- - ------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
137
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
The U.S. The U.S. The U.S.
9-10 Small 6-10 Small Large
Company Company Company
Portfolio Portfolio Portfolio
------------ ------------ -----------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value .......................... $ 793,549 $ 155,991 $ 77,818
Receivables
Dividends and Interest ................... 449 -- --
Investment Securities Sold ............... 1,924 -- --
Fund Shares Sold ......................... 465 77 460
Prepaid Expenses and Other Assets ............. 30 9 6
------------ ------------ -----------
Total Assets .............................. 796,417 156,077 78,284
------------ ------------ -----------
LIABILITIES:
Payable for Investment Securities Purchased ... 3,014 77 446
Payable for Fund Shares Redeemed .............. 49 -- 14
Accrued Expenses and Other Liabilities ........ 548 62 41
------------ ------------ -----------
Total Liabilities ......................... 3,611 139 501
------------ ------------ -----------
NET ASSETS .................................... $ 792,806 $ 155,938 $ 77,783
============ ============ ===========
SHARES OUTSTANDING, $.01 PAR VALUE ............ 81,865,312 13,645,053 4,844,430
============ ============ ===========
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE $ 9.68 $ 11.43 $ 16.06
============ ============ ===========
PUBLIC OFFERING PRICE PER SHARE ............... $ 9.68 $ 11.43 $ 16.06
============ ============ ===========
Investments at Cost ........................... $ 672,401 $ 129,298 $ 61,107
============ ============ ===========
</TABLE>
<TABLE>
<CAPTION>
The U.S. The U.S. The DFA/AEW
Small Large Real Estate
Cap Value Cap Value Securities
Portfolio Portfolio Portfolio
------------ ------------ -------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value ......................... $ 486,844 $ 211,099 $ 36,298
Receivables
Dividends and Interest .................. -- -- 108
Investment Securities Sold .............. 8 -- --
Fund Shares Sold ........................ 2,034 573 92
Prepaid Expenses and Other Assets ............ 81 53 9
------------ ------------ -------------
Total Assets ............................. 488,967 211,725 36,507
------------ ------------ -------------
LIABILITIES:
Payable for Investment Securities Purchased .. 1,905 538 --
Payable for Fund Shares Redeemed ............. 137 35 13
Accrued Expenses and Other Liabilities ....... 126 36 35
------------ ------------ -------------
Total Liabilities ........................ 2,168 609 48
------------ ------------ -------------
NET ASSETS ................................... $ 486,799 $ 211,116 $ 36,459
============ ============ =============
SHARES OUTSTANDING, $.01 PAR VALUE ........... 38,493,659 17,722,178 3,602,580
============ ============ =============
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE $ 12.65 $ 11.91 $ 10.12
============ ============ =============
PUBLIC OFFERING PRICE PER SHARE .............. $ 12.65 $ 11.91 $ 10.12
============ ============ =============
Investments at Cost .......................... $ 436,733 $ 183,329 $ 37,352
============ ============ =============
</TABLE>
See accompanying Notes to Financial Statements
138
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
The Japanese The Pacific Rim The United
Small Small Kingdom
Company Company Small Company
Portfolio Portfolio Portfolio
-------------- --------------- ---------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value ........................ $ 318,597 $ 207,735 $ 233,765
Cash ........................................ 15 30 15
Receivables
Dividends and Interest ................. 1,495 613 1,688
Investment Securities Sold ............. 6 -- 2,379
Fund Shares Sold ....................... 470 86 127
Prepaid Expenses and Other Assets ........... -- 19 8
-------------- --------------- ---------------
Total Assets ............................ 320,583 208,483 237,982
-------------- --------------- ---------------
LIABILITIES:
Payable for Investment Securities Purchased . 5,417 429 --
Payable for Fund Shares Redeemed ............ 21 20 24
Accrued Expenses and Other Liabilities ...... 268 237 205
-------------- --------------- ---------------
Total Liabilities ....................... 5,706 686 229
-------------- --------------- ---------------
NET ASSETS .................................. $ 314,877 $ 207,797 $ 237,753
============== =============== ===============
SHARES OUTSTANDING, $.01 PAR VALUE .......... 14,090,079 14,200,744 9,549,243
============== =============== ===============
NET ASSET VALUE AND REDEMPTION PRICE PER
SHARE ..................................... $ 22.35 $ 14.63 $ 24.90
============== =============== ===============
PUBLIC OFFERING PRICE PER SHARE ............. 22.57 $ 14.85 $ 25.27
============== =============== ===============
Investments at Cost ......................... $ 322,965 $ 192,590 $ 212,440
============== =============== ===============
</TABLE>
<TABLE>
<CAPTION>
The The Continental The
Emerging Small Large Cap
Markets Company International
Portfolio Portfolio Portfolio
----------- --------------- ---------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value ........................ $ 30,072 $ 370,273 $ 56,593
Cash ........................................ -- 7 330
Receivables
Dividends and Interest ................. -- 4,020 475
Investment Securities Sold ............. -- 2,034 1,111
Fund Shares Sold ....................... 185 188 415
Prepaid Expenses and Other Assets ........... 36 -- 1
----------- --------------- ---------------
Total Assets ............................ 30,293 376,522 58,925
----------- --------------- ---------------
LIABILITIES:
Payable for Investment Securities Purchased . -- 3 1,231
Payable for Fund Shares Redeemed ............ 18 114 12
Accrued Expenses and Other Liabilities ...... 21 324 56
----------- --------------- ---------------
Total Liabilities ....................... 39 441 1,299
----------- --------------- ---------------
NET ASSETS .................................. $ 30,254 $ 376,081 $ 57,626
=========== =============== ===============
SHARES OUTSTANDING, $.01 PAR VALUE .......... 2,733,680 24,094,225 4,642,949
=========== =============== ===============
NET ASSET VALUE AND REDEMPTION PRICE PER
SHARE ..................................... $ 11.07 $ 15.61 $ 12.41
=========== =============== ===============
PUBLIC OFFERING PRICE PER SHARE ............. $ 11.24 $ 15.84 $ 12.41
=========== =============== ===============
Investments at Cost ......................... $ 29,096 $ 316,604 $ 43,963
=========== =============== ===============
</TABLE>
See accompanying Notes to Financial Statements
139
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
The DFA The DFA
International International The DFA
High Book Small Cap One-Year
to Market Value Fixed Income
Portfolio Portfolio Portfolio
--------------- --------------- --------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value ......................... $ 140,378 $ 23,278 $ 614,508
Cash ......................................... -- 15 --
Receivables
Dividends and Interest .................. -- 94 --
Fund Shares Sold ........................ 56 314 1,328
Prepaid Expenses and Other Assets ............ 52 28 9
--------------- --------------- --------------
Total Assets ............................. 140,486 23,729 615,845
--------------- --------------- --------------
LIABILITIES:
Payable for Investment Securities Purchased .. 41 1,070 1,259
Payable for Fund Shares Redeemed ............. 15 -- 69
Accrued Expenses and Other Liabilities ....... 34 91 63
--------------- --------------- --------------
Total Liabilities ........................ 90 1,161 1,391
--------------- --------------- --------------
NET ASSETS ................................... $ 140,396 $ 22,568 $ 614,454
=============== =============== ==============
SHARES OUTSTANDING, $.01 PAR VALUE ........... 11,750,551 2,218,020 6,025,961
=============== =============== ==============
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE
$ 11.95 $ 10.17 $ 101.97
=============== =============== ==============
PUBLIC OFFERING PRICE PER SHARE .............. $ 11.95 $ 10.27 $ 101.97
=============== =============== ==============
Investments at Cost .......................... $ 125,404 $ 23,197 $ 610,645
=============== =============== ==============
</TABLE>
<TABLE>
<CAPTION>
The DFA
The DFA The DFA Intermediate
Five-Year Global Government
Government Fixed Income Fixed Income
Portfolio Portfolio Portfolio
------------ -------------- --------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value ................................. $ 267,343 $ 179,234 $ 71,035
Cash ................................................. -- 26 --
Receivables
Dividends and Interest .......................... 1,981 4,135 1,286
Fund Shares Sold ................................ 783 601 40
Prepaid Expenses and Other Assets .................... 45 17 9
------------ -------------- --------------
Total Assets ..................................... 270,152 184,013 72,370
------------ -------------- --------------
LIABILITIES:
Payable for Investment Securities Purchased .......... -- 6,388 --
Payable for Fund Shares Redeemed ..................... 480 -- 11
Accrued Expenses and Other Liabilities ............... 65 102 23
Unrealized Loss on Forward Foreign Currency Contracts -- 233 --
------------ -------------- --------------
Total Liabilities ................................ 545 6,723 34
------------ -------------- --------------
NET ASSETS ........................................... $ 269,607 $ 177,290 $ 72,336
============ ============== ==============
SHARES OUTSTANDING, $.01 PAR VALUE ................... 2,634,406 1,691,299 644,174
============ ============== ==============
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE ....... $ 102.34 $ 104.82 $ 112.29
============ ============== ==============
PUBLIC OFFERING PRICE PER SHARE ...................... $ 102.34 $ 104.82 $ 112.29
============ ============== ==============
Investments at Cost .................................. $ 264,029 $ 162,897 $ 68,571
============ ============== ==============
</TABLE>
See accompanying Notes to Financial Statements
140
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1995 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The U.S. The U.S. The U.S.
9-10 Small 6-10 Small Large
Company Company Company
Portfolio Portfolio Portfolio
------------ ------------ -----------
<S> <C> <C> <C>
Investment Income
Dividends ......................................... $ 2,863 $ 167 $ 409
Interest .......................................... 552 -- -
------------ ------------ -----------
Total Investment Income .......................... 3,415 167 409
------------ ------------ -----------
Expenses
Investment Advisory Services ...................... 1,782 -- --
Administrative Services ........................... -- 218 67
Accounting & Transfer Agent Fees .................. 301 10 10
Custodian's Fee ................................... 66 -- --
Legal Fees ........................................ 75 1 1
Audit Fees ........................................ 24 1 1
Filing Fees ....................................... 8 4 8
Shareholders' Reports ............................. 12 1 --
Directors' Fees and Expenses ...................... 17 -- --
Other ............................................. 11 2 2
------------ ------------ -----------
Total Expenses ................................... 2,296 237 89
Less: Expenses Reimbursed ......................... -- -- (22)
------------ ------------ -----------
Net Expenses ...................................... 2,296 237 67
------------ ------------ -----------
Net Investment Income (Loss) ...................... 1,119 (70) 342
------------ ------------ -----------
Net Realized and Unrealized Gain (Loss) on
Investments
Net Realized Gain on Investment Securities .......... 34,365 6,448 190
Change in Unrealized Appreciation
(Depreciation) of Investment Securities ........... 60,086 10,574 10,636
------------ ------------ -----------
Net Gain on Investment Securities ................. 94,451 17,022 10,826
------------ ------------ -----------
Net Increase in Net Assets Resulting from Operations $95,570 $16,952 $11,168
============ ============ ===========
</TABLE>
See accompanying Notes to Financial Statements
141
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1995 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The U.S. The U.S. The DFA/AEW
Small Cap Large Cap Real Estate
Value Value Securities
Portfolio Portfolio Portfolio
----------- ----------- -------------
<S> <C> <C> <C>
Investment Income
Dividends ......................................... $ 536 $ 1,465 $1,254
Interest .......................................... -- -- 34
----------- ----------- -------------
Total Investment Income .......................... 536 1,465 1,288
----------- ----------- -------------
Expenses
Investment Advisory Services ...................... -- -- 83
Administrative Services ........................... 592 144 --
Accounting & Transfer Agent Fees .................. 10 10 33
Custodian's Fee ................................... -- -- 3
Legal Fees ........................................ 1 1 3
Audit Fees ........................................ 1 2 2
Filing Fees ....................................... 34 28 7
Shareholders' Reports ............................. -- 1 2
Directors' Fees and Expenses ...................... -- -- 1
Other ............................................. 5 4 1
----------- ----------- -------------
Total Expenses ................................... 643 190 135
----------- ----------- -------------
Net Investment Income (Loss) ...................... (107) 1,275 1,153
----------- ----------- -------------
Net Realized and Unrealized Gain (Loss) on
Investments
Net Realized Gain (Loss) on Investment Securities ... 941 (1,277) 3
Change in Unrealized Appreciation
(Depreciation) of Investment Securities ........... 51,550 36,383 2,026
----------- ----------- -------------
Net Gain on Investment Securities .................. 52,491 35,106 2,029
----------- ----------- -------------
Net Increase in Net Assets Resulting from Operations . $52,384 $36,381 $3,182
=========== =========== =============
</TABLE>
See accompanying Notes to Financial Statements
142
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1995 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The United
The Japanese The Pacific Kingdom
Small Rim Small Small
Company Company Company
Portfolio Portfolio Portfolio
-------------- ------------- ------------
<S> <C> <C> <C>
Investment Income
Dividends (Net of Foreign Taxes Withheld of $262, $89
and $657, respectively) ............................ $ 1,484 $ 2,752 $ 3,784
Interest .............................................. 171 124 132
Income from Securities Lending ........................ 335 24 --
-------------- ------------- ------------
Total Investment Income .............................. 1,990 2,900 3,916
-------------- ------------- ------------
Expenses
Investment Advisory Services .......................... 824 507 549
Accounting & Transfer Agent Fees ...................... 197 128 138
Custodian's Fee ....................................... 102 165 47
Legal Fees ............................................ 23 13 15
Audit Fees ............................................ 14 9 11
Filing Fees ........................................... 20 13 10
Shareholders' Reports ................................. 10 7 8
Directors' Fees and Expenses .......................... 10 6 7
Other ................................................. 13 17 14
-------------- ------------- ------------
Total Expenses ....................................... 1,213 865 799
-------------- ------------- ------------
Net Investment Income ................................. 777 2,035 3,117
-------------- ------------- ------------
Net Realized and Unrealized Gain (Loss) on Investments
and Foreign Currency
Net Realized Gain (Loss) on Investment Securities ....... 180 1,340 (959)
Net Realized Gain (Loss) on Foreign Currency Transactions (39) 43 (44)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ............ (31,129) (19,201) 14,325
Translation of Foreign Currency Denominated Amounts ... 111 5 8
-------------- ------------- ------------
Net Gain (Loss) on Investment Securities and Foreign
Currency ........................................... (30,877) (17,813) 13,330
-------------- ------------- ------------
Net Increase (Decrease) in Net Assets Resulting from
Operations ............................................ $(30,100) $(15,778) $16,447
============== ============= ============
</TABLE>
See accompanying Notes to Financial Statements
143
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1995 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The
The Continental The
Emerging Small Large Cap
Markets Company International
Portfolio Portfolio Portfolio
----------- ------------- ---------------
<S> <C> <C> <C>
Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $340 and
$82, respectively) .................................... -- $ 3,682 $ 625
Interest ................................................. -- 279 81
Income from Securities Lending ........................... -- 59 7
Net Investment Income from the DFA Investment Trust
Company ............................................... $221 -- --
----------- ------------- ---------------
Total Investment Income ................................. 221 4,020 713
----------- ------------- ---------------
Expenses
Investment Advisory Services ............................. -- 885 68
Administrative Services .................................. 40 -- --
Accounting & Transfer Agent Fees ......................... 19 204 41
Custodian's Fee .......................................... -- 163 29
Legal Fees ............................................... 4 21 9
Audit Fees ............................................... 3 16 5
Filing Fees .............................................. 6 -- 4
Shareholders' Reports .................................... 2 11 3
Directors' Fees and Expenses ............................. 2 11 3
Other .................................................... 5 37 9
----------- ------------- ---------------
Total Expenses .......................................... 81 1,348 171
----------- ------------- ---------------
Net Investment Income .................................... 140 2,672 542
----------- ------------- ---------------
Net Realized and Unrealized Gain (Loss) on Investment and
Foreign Currency
Net Realized Gain (Loss) on Investment Securities .......... 106 3,148 (515)
Net Realized Gain (Loss) on Foreign Currency Transactions .. (18) 111 (115)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ............... 523 16,926 3,141
Translation of Foreign Currency Denominated Amounts ...... 2 196 20
----------- ------------- ---------------
Net Gain on Investment Securities and Foreign Currency ... 613 20,381 2,531
----------- ------------- ---------------
Net Increase in Net Assets Resulting from Operations ....... $753 $23,053 $3,073
=========== ============= ===============
</TABLE>
See accompanying Notes to Financial Statements
144
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS (OR PERIOD) ENDED MAY 31, 1995 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA The DFA
International International The DFA
High Book Small Cap One-Year
to Market Value Fixed Income
Portfolio Portfolio(1) Portfolio
--------------- --------------- --------------
<S> <C> <C> <C>
Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $19 and
$0, respectively) ................................... $ 245 $148 $18,159
Interest ............................................... -- 72 --
--------------- --------------- --------------
Total Investment Income ............................... 245 220 18,159
--------------- --------------- --------------
Expenses
Investment Advisory Services ........................... -- 32 --
Administrative Services ................................ 40 -- 301
Accounting & Transfer Agent Fees ....................... 10 5 10
Custodian's Fee ........................................ -- 40 --
Client Service Fee ..................................... 84 -- --
Legal Fees ............................................. 1 1 1
Audit Fees ............................................. 2 1 2
Filing Fees ............................................ 11 -- 8
Shareholders' Reports .................................. 1 1 1
Other .................................................. 6 1 --
--------------- --------------- --------------
Total Expenses ........................................ 155 81 323
--------------- --------------- --------------
Net Investment Income .................................... 90 139 17,836
--------------- --------------- --------------
Net Realized and Unrealized Gain (Loss) on Investments and
Foreign Currency
Net Realized Gain (Loss) on Investment Securities ........ (126) 1 (1,353)
Net Realized Loss on Foreign Currency Transactions ....... -- (64) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ............. 6,130 81 10,501
Translation of Foreign Currency Denominated Amounts .... -- (11) --
--------------- --------------- --------------
Net Gain on Investment Securities and Foreign Currency . 6,004 7 9,148
--------------- --------------- --------------
Net Increase in Net Assets Resulting from Operations ..... $6,094 $146 $26,984
=============== =============== ==============
</TABLE>
- - ------
(1) For the period December 30, 1994, (commencement of operations) to May 31,
1995.
See accompanying Notes to Financial Statements
145
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1995 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA
The DFA The DFA Intermediate
Five-Year Global Government
Government Fixed Income Fixed Income
Portfolio Portfolio Portfolio
------------ -------------- --------------
<S> <C> <C> <C>
Investment Income
Interest .............................................. $ 8,336 $ 5,184 $2,259
------------ -------------- --------------
Expenses
Investment Advisory Services .......................... 239 193 49
Accounting & Transfer Agent Fees ...................... 48 98 20
Custodian's Fee ....................................... 15 24 4
Legal Fees ............................................ 5 9 2
Audit Fees ............................................ 2 7 2
Filing Fees ........................................... 25 18 7
Shareholders' Reports ................................. 3 5 1
Directors' Fees and Expenses .......................... 2 4 1
Other ................................................. 1 6 3
------------ -------------- --------------
Total Expenses ....................................... 340 364 89
------------ -------------- --------------
Net Investment Income ................................. 7,996 4,820 2,170
------------ -------------- --------------
Net Realized and Unrealized Gain (Loss) on Investments
and Foreign Currency
Net Realized Gain (Loss) on Investment Securities ....... (12,986) (1,778) 225
Net Realized Loss on Foreign Currency Transactions ...... -- (6,741) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ............ 18,412 17,006 5,064
Translation of Foreign Currency Denominated Amounts ... -- (757) --
------------ -------------- --------------
Net Gain on Investment Securities and Foreign Currency
5,426 7,730 5,289
------------ -------------- --------------
Net Increase in Net Assets Resulting from Operations .... $ 13,422 $12,550 $7,459
============ ============== ==============
</TABLE>
See accompanying Notes to Financial Statements
146
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The U.S. 9-10 The U.S. 6-10 The U.S.
Small Company Small Company Large Company
Portfolio Portfolio Portfolio
-------------------------- -------------------------- -------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
May 31, Nov. 30, May 31, Nov. 30, May 31, Nov. 30,
1995 1994 1995 1994 1995 1994
------------ ---------- ------------ ---------- ------------ ----------
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) ............. $ 1,119 $ 1,079 $ (70) $ 2,680 $ 342 $ 1,192
Net Realized Gain (Loss) on Investment
Securities ............................ 34,365 (5,176) 6,448 9,722 190 (79)
Change in Unrealized Appreciation
(Depreciation) of Investment Securities 60,086 36,497 10,574 (11,694) 10,636 (712)
------------ ---------- ------------ ---------- ------------ ----------
Net Increase in Net Assets
Resulting from Operations ........... 95,570 32,400 16,952 708 11,168 401
------------ ---------- ------------ ---------- ------------ ----------
Distributions From:
Net Investment Income .................... (155) (2,008) (164) (2,732) (386) (1,195)
Net Realized Gain ........................ -- (42,251) (9,640) (1,158) -- (302)
------------ ---------- ------------ ---------- ------------ ----------
Total Distributions ................... (155) (44,259) (9,804) (3,890) (386) (1,497)
------------ ---------- ------------ ---------- ------------ ----------
Capital Share Transactions (1):
Shares Issued ............................ 59,705 59,828 31,745 17,429 21,686 19,913
Shares Issued in Lieu of Cash
Distributions ......................... 144 41,874 9,586 2,701 337 1,385
Shares Redeemed .......................... (21,679) (61,540) (4,678) (41,674) (3,660) (9,394)
------------ ---------- ------------ ---------- ------------ ----------
Net Increase (Decrease) From Capital
Share Transactions .................. 38,170 40,162 36,653 (21,544) 18,363 11,904
------------ ---------- ------------ ---------- ------------ ----------
Total Increase (Decrease) ............. 133,585 28,303 43,801 (24,726) 29,145 10,808
Net Assets
Beginning of Period ...................... 659,221 630,918 112,137 136,863 48,638 37,830
------------ ---------- ------------ ---------- ------------ ----------
End of Period ............................ $792,806 $659,221 $155,938 $112,137 $77,783 $48,638
============ ========== ============ ========== ============ ==========
(1) Shares Issued and Redeemed:
Shares Issued ........................... 6,669 7,035 3,028 1,488 1,486 1,439
Shares Issued in Lieu of Cash
Distributions ........................ 17 5,184 948 243 24 101
Shares Redeemed ......................... (2,430) (7,182) (449) (3,586) (248) (677)
------------ ---------- ------------ ---------- ------------ ----------
4,256 5,037 3,527 (1,855) 1,262 863
============ ========== ============ ========== ============ ==========
</TABLE>
See accompanying Notes to Financial Statements
147
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA/AEW
The U.S. Small The U.S. Large Real Estate
Cap Value Cap Value Securities
Portfolio Portfolio Portfolio
-------------------------- -------------------------- -------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
May 31, Nov. 30, May 31, Nov. 30, May 31, Nov. 30,
1995 1994 1995 1994 1995 1994
------------ ---------- ------------ ---------- ------------ ----------
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) .............. $ (107) $ 3,853 $ 1,275 $ 4,977 $ 1,153 $ 1,076
Net Realized Gain (Loss) on Investment
Securities ............................. 941 (58) (1,277) (287) 3 (1,018)
Change in Unrealized Appreciation
(Depreciation) of Investment Securities 51,550 (9,476) 36,383 (10,672) 2,026 (3,869)
------------ ---------- ------------ ---------- ------------ ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations ............ 52,384 (5,681) 36,381 (5,982) 3,182 (3,811)
------------ ---------- ------------ ---------- ------------ ----------
Distributions From:
Net Investment Income ..................... (474) (3,912) (1,387) (5,021) (295) (819)
Net Realized Gain ......................... (35) (18) -- -- -- --
Tax Return of Capital ..................... -- -- -- -- -- (223)
------------ ---------- ------------ ---------- ------------ ---------
Total Distributions .................... (509) (3,930) (1,387) (5,021) (295) (1,042)
------------ ---------- ------------ ---------- ------------ ---------
Capital Share Transactions (1):
Shares Issued ............................. 105,580 270,394 54,616 131,587 5,083 14,934
Shares Issued in Lieu of Cash Distributions 401 2,989 1,144 4,262 272 956
Shares Redeemed ........................... (15,205) (15,306) (77,204) (17,568) (2,239) (2,687)
------------ ---------- ------------ ---------- ------------ ---------
Net Increase (Decrease) From Capital
Share Transactions ................... 90,776 258,077 (21,444) 118,281 3,116 13,203
------------ ---------- ------------ ---------- ------------ ---------
Total Increase ......................... 142,651 248,466 13,550 107,278 6,003 8,350
Net Assets
Beginning of Period ....................... 344,148 95,682 197,566 90,288 30,456 22,106
------------ ---------- ------------ ---------- ------------ ---------
End of Period ............................. $486,799 $344,148 $211,116 $197,566 $36,459 $30,456
============ ========== ============ ========== ============ =========
(1) Shares Issued and Redeemed:
Shares Issued ............................ 8,843 23,309 5,139 12,672 520 1,410
Shares Issued in Lieu of Cash
Distributions .......................... 36 271 111 418 28 102
Shares Redeemed .......................... (1,311) (1,320) (7,460) (1,678) (229) (253)
------------ ---------- ------------ ---------- ------------ ----------
7,568 22,260 (2,210) 11,412 319 1,259
============ ========== ============ ========== ============ ==========
</TABLE>
See accompanying Notes to Financial Statements
148
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The Japanese The Pacific Rim The United Kingdom
Small Company Small Company Small Company
Portfolio Portfolio Portfolio
-------------------------- -------------------------- --------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
May 31, Nov. 30, May 31, Nov. 30, May 31, Nov. 30,
1995 1994 1995 1994 1995 1994
------------ ---------- ------------ ---------- ------------ ----------
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income .................... $ 777 $ 291 $ 2,035 $ 2,824 $ 3,117 $ 4,071
Net Realized Gain (Loss) on Investment
Securities ............................ 180 7,526 1,340 13,511 (959) 5,982
Net Realized Gain (Loss) on Foreign
Currency Transactions ................. (39) 104 43 (29) (44) 241
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency ............................ (31,129) 53,458 (19,201) (10,031) 14,325 10,476
Translation of Foreign Currency
Denominated Amounts ................. 111 29 5 (3) 8 (9)
------------ ---------- ------------ ---------- ------------ ----------
Net Increase (Decrease)in Net Assets
Resulting from Operations ........ (30,100) 61,408 (15,778) 6,272 16,447 20,761
------------ ---------- ------------ ---------- ------------ ----------
Distributions From:
Net Investment Income .................... -- (476) (136) (2,873) (234) (4,712)
Net Realized Gain ........................ (7,731) (7,597) (2,537) (11,598) (150) --
------------ ---------- ------------ ---------- ------------ ----------
Total Distributions .................... (7,731) (8,073) (2,673) (14,471) (384) (4,712)
------------ ---------- ------------ ---------- ------------ ----------
Capital Share Transactions (1):
Shares Issued ............................ 26,023 92,490 13,115 49,088 12,694 29,201
Shares Issued in Lieu of Cash
Distributions ......................... 7,731 8,055 2,673 14,471 384 4,712
Shares Redeemed .......................... (11,720) (32,450) (2,493) (7,030) (5,501) (17,638)
------------ ---------- ------------ ---------- ------------ ----------
Net Increase From Capital Share
Transactions ..................... 22,034 68,095 13,295 56,529 7,577 16,275
------------ ---------- ------------ ---------- ------------ ----------
Total Increase (Decrease) ................ (15,797) 121,430 (5,156) 48,330 23,640 32,324
Net Assets
Beginning of Period ...................... 330,674 209,244 212,953 164,623 214,113 181,789
------------ ---------- ------------ ---------- ------------ ----------
End of Period ............................ $314,877 $330,674 $207,797 $212,953 $237,753 $214,113
============ ========== ============ ========== ============ ==========
(1) Shares Issued and Redeemed:
Shares Issued ............................ 1,071 3,540 870 2,819 540 1,191
Shares Issued in Lieu of Cash
Distributions ......................... 308 363 173 900 16 207
Shares Redeemed .......................... (482) (1,191) (171) (395) (238) (734)
------------ ---------- ------------ ---------- ------------ ----------
897 2,712 872 3,324 318 664
============ ========== ============ ========== ============ ==========
</TABLE>
See accompanying Notes to Financial Statements
149
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The
Emerging The Continental The Large Cap
Markets Small Company International
Portfolio Portfolio Portfolio
-------------------------- -------------------------- --------------------------
Six Months April 25 Six Months Year Six Months Year
Ended to Ended Ended Ended Ended
May 31, Nov. 30, May 31, Nov. 30, May 31, Nov. 30,
1995 1994 1995 1994 1995 1994
------------ ---------- ------------ ---------- ------------ ----------
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) ............. $ 140 $ (25) $ 2,672 $ 3,951 $ 542 $ 698
Net Realized Gain (Loss) on Investment
Securities ............................ 106 20 3,148 373 (515) 2,920
Net Realized Gain (Loss) on Foreign
Currency Transactions ................. (18) (7) 111 160 (115) (253)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency ............................ 523 453 16,926 42,265 3,141 5,619
Translation of Foreign Currency
Denominated Amounts ................. 2 1 196 232 20 1
------------ ---------- ------------ ---------- ------------ ----------
Net Increase in Net Assets
Resulting from Operations ...... 753 442 23,053 46,981 3,073 8,985
------------ ---------- ------------ ---------- ------------ ----------
Distributions From:
Net Investment Income .................... -- -- -- (4,700) (57) (442)
Net Realized Gain ........................ -- -- -- (1,249) (1,072) (2,062)
Tax Return of Capital .................... -- -- -- (247) -- --
------------ ---------- ------------ ---------- ------------ ----------
Total Distributions .................... -- -- -- (6,196) (1,129) (2,504)
------------ ---------- ------------ ---------- ------------ ----------
Capital Share Transactions (1):
Shares Issued ............................ 15,433 15,458 21,781 53,091 16,511 27,006
Shares Issued in Lieu of Cash
Distributions ......................... -- -- -- 6,196 1,129 2,504
Shares Redeemed .......................... (1,663) (169) (9,745) (25,255) (17,593) (58,828)
------------ ---------- ------------ ---------- ------------ ----------
Net Increase (Decrease) From Capital
Share Transactions .................. 13,770 15,289 12,036 34,032 47 (29,318)
------------ ---------- ------------ ---------- ------------ ----------
Total Increase (Decrease) ............. 14,523 15,731 35,089 74,817 1,991 (22,837)
Net Assets
Beginning of Period ...................... 15,731 -- 340,992 266,175 55,635 78,472
------------ ---------- ------------ ---------- ------------ ----------
End of Period ............................ $30,254 $15,731 $376,081 $340,992 $ 57,626 $ 55,635
============ ========== ============ ========== ============ ==========
(1) Shares Issued and Redeemed:
Shares Issued ............................ 1,504 1,406 1,446 3,469 1,378 2,184
Shares Issued in Lieu of Cash
Distributions ......................... -- -- -- 436 96 213
Shares Redeemed .......................... (162) (14) (659) (1,696) (1,501) (4,696)
------------ ---------- ------------ ---------- ------------ ----------
1,342 1,392 787 2,209 (27) (2,299)
============ ========== ============ ========== ============ ==========
</TABLE>
See accompanying Notes to Financial Statements
150
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA The DFA
International International The DFA One-Year
High Book to Market Small Cap Value Fixed Income
Portfolio Portfolio Portfolio
-------------------------- --------------- ---------------------------
Six Months Year Dec. 30, 1994 Six Months Year
Ended Ended to Ended Ended
May 31, Nov. 30, May 31, May 31, Nov. 30,
1995 1994 1995 1995 1994
------------ ---------- --------------- ------------ -----------
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ......................... $ 90 $ 1,304 $ 139 $ 17,836 $ 27,760
Net Realized Gain (Loss) on Investment
Securities ................................. (126) (87) 1 (1,353) (1,304)
Net Realized Gain (Loss) on Foreign Currency
Transactions ............................... -- 3 (64) -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency . 6,130 9,498 81 10,501 (11,577)
Translation of Foreign Currency Denominated
Amounts .................................. -- 1 (11) -- --
------------ ---------- --------------- ------------ -----------
Net Increase in Net Assets Resulting
from Operations ..................... 6,094 10,719 146 26,984 14,879
------------ ---------- --------------- ------------ -----------
Distributions From:
Net Investment Income ......................... (109) (1,291) -- (17,886) (27,753)
Net Realized Gain ............................. -- -- -- (405) (1,035)
------------ ---------- --------------- ------------ -----------
Total Distributions ........................ (109) (1,291) -- (18,291) (28,788)
------------ ---------- --------------- ------------ -----------
Capital Share Transactions (1):
Shares Issued ................................. 30,270 51,332 22,917 141,703 335,714
Shares Issued in Lieu of Cash Distributions ... 109 1,291 -- 13,500 22,977
Shares Redeemed ............................... (8,920) (12,334) (495) (141,668) (360,956)
------------ ---------- --------------- ------------ -----------
Net Increase (Decrease) From Capital
Share Transactions .................. 21,459 40,289 22,422 13,535 (2,265)
------------ ---------- --------------- ------------ -----------
Total Increase (Decrease) ............. 27,444 49,717 22,568 22,228 (16,174)
Net Assets
Beginning of Period ........................... 112,952 63,235 -- 592,226 608,400
------------ ---------- --------------- ------------ -----------
End of Period ................................. $140,396 $112,952 $22,568 $ 614,454 $ 592,226
============ ========== =============== ============ ===========
(1) Shares Issued and Redeemed:
Shares Issued ................................. 2,650 4,443 2,261 1,406 3,306
Shares Issued in Lieu of Cash Distributions ... 10 114 -- 134 227
Shares Redeemed ............................... (779) (1,061) (43) (1,406) (3,561)
------------ ---------- --------------- ------------ -----------
1,881 3,496 2,218 134 (28)
============ ========== =============== ============ ===========
</TABLE>
See accompanying Notes to Financial Statements
151
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA The DFA
Five-Year The DFA Global Intermediate Government
Government Fixed Income Fixed Income
Portfolio Portfolio Portfolio
-------------------------- -------------------------- --------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
May 31, Nov. 30, May 31, Nov. 30, May 31, Nov. 30,
1995 1994 1995 1994 1995 1994
------------ ---------- ------------ ---------- ------------ ----------
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................... $ 7,996 $ 10,856 $ 4,820 $ 7,160 $ 2,170 $ 3,790
Net Realized Gain (Loss) on Investment
Securities ........................... (12,986) (2,385) (1,778) (5,468) 225 17
Net Realized Loss on Foreign Currency
Transactions ......................... -- -- (6,741) (2,805) -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency ........................... 18,412 (15,321) 17,006 (2,230) 5,064 (6,528)
Translation of Foreign Currency
Denominated Amounts ................ -- -- (757) 138 -- --
------------ ---------- ------------ ---------- ------------ ----------
Net Increase (Decrease) in Net
Assets Resulting from Operations 13,422 (6,850) 12,550 (3,205) 7,459 (2,721)
------------ ---------- ------------ ---------- ------------ ----------
Distributions From:
Net Investment Income ................... (1,474) (10,710) (1,842) (5,328) (1,102) (3,752)
Net Realized Gain ....................... -- (18) -- (97) (16) (739)
------------ ---------- ------------ ---------- ------------ ----------
Total Distributions .................. (1,474) (10,728) (1,842) (5,425) (1,118) (4,491)
------------ ---------- ------------ ---------- ------------ ----------
Capital Share Transactions (1):
Shares Issued ........................... 58,442 132,388 51,569 76,462 10,869 22,801
Shares Issued in Lieu of Cash
Distributions ........................ 1,306 8,954 1,422 3,622 368 1,851
Shares Redeemed ......................... (37,643) (52,714) (21,938) (37,453) (6,069) (9,664)
------------ ---------- ------------ ---------- ------------ ----------
Net Increase From Capital Share
Transactions .................... 22,105 88,628 31,053 42,631 5,168 14,988
------------ ---------- ------------ ---------- ------------ ----------
Total Increase ..................... 34,053 71,050 41,761 34,001 11,509 7,776
Net Assets
Beginning of Period ..................... 235,554 164,504 135,529 101,528 60,827 53,051
------------ ---------- ------------ ---------- ------------ ----------
End of Period ........................... $269,607 $235,554 $177,290 $135,529 $72,336 $60,827
============ ========== ============ ========== ============ ==========
(1) Shares Issued and Redeemed:
Shares Issued ........................... 582 1,292 517 760 103 210
Shares Issued in Lieu of Cash
Distributions ........................ 13 91 15 36 3 17
Shares Redeemed ......................... (378) (525) (222) (376) (58) (90)
------------ ---------- ------------ ---------- ------------ ----------
217 858 310 420 48 137
============ ========== ============ ========== ============ ==========
</TABLE>
See accompanying Notes to Financial Statements
152
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
----------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30 NOV. 30 NOV. 30 NOV. 30
1995 1994 1993 1992 1991
(UNAUDITED)
-----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .................. $ 8.49 $ 8.69 $ 7.75 $ 6.33 $ 5.34
------------ ----------- ----------- ----------- -----------
Income From Investment Operations
Net Investment Income................ 0.02 0.01 0.03 0.04 0.04
Net Gains (Losses) on Securities
(Realized and Unrealized) ........ 1.17 0.40 1.67 1.53 1.64
------------ ----------- ----------- ----------- -----------
Total From Investment Operations.... 1.19 0.41 1.70 1.57 1.68
- - ------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ............... -- (0.03) (0.05) (0.05) (0.07)
Net Realized Gains .................. -- (0.58) (0.71) (0.10) (0.62)
------------ ----------- ----------- ----------- -----------
Total Distributions .................. -- (0.61) (0.76) (0.15) (0.69)
------------ ----------- ----------- ----------- -----------
Net Asset Value, End of Period ......... $ 9.68 $ 8.49 $ 8.69 $ 7.75 $ 6.33
============================================================================================================
Total Return .......................... 14.04%# 5.06% 23.91% 25.24% 39.08%
------------ ----------- ----------- ----------- -----------
Net Assets, End of Period (thousands)... $792,806 $659,221 $630,918 $651,313 $722,289
Ratio of Expenses to Average Net
Assets .............................. 0.65%* 0.65% 0.70% 0.68% 0.64%
Ratio of Net Investment Income to
Average Net Assets .................. 0.32%* 0.16% 0.26% 0.53% 0.75%
Portfolio Turnover Rate ................ 23.68%* 16.56% 9.87% 9.72% 10.13%
- - ------------------------------------------------------------------------------------------------------------
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
-------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30 NOV. 30 NOV. 30 NOV. 30 NOV. 30 NOV. 30
1990 1989 1988 1987 1986 1985
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .................. $ 7.74 $ 7.66 $ 7.50 $ 8.94 $ 8.88 $ 7.69
------------ ----------- ---------- ----------- ----------- -----------
Income From Investment Operations
Net Investment Income................ 0.07 0.07 0.10 0.09 0.12 0.12
Net Gains (Losses) on Securities
(Realized and Unrealized) ........ (1.77) 0.98 1.48 (1.53) 1.15 1.40
------------ ----------- ---------- ----------- ----------- -----------
Total From Investment Operations ... (1.70) 1.05 1.58 (1.44) 1.27 1.52
- - -------------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income................ (0.08) (0.09) (0.11) -- (0.23) (0.12)
Net Realized Gains .................. (0.62) (0.88) (1.31) -- (0.98) (0.21)
------------ ----------- ---------- ----------- ----------- -----------
Total Distributions .................. (0.70) (0.97) (1.42) -- (1.21) (0.33)
------------ ----------- ---------- ----------- ----------- -----------
Net Asset Value, End of Period ......... $ 5.34 $ 7.74 $ 7.66 $ 7.50 $ 8.94 $ 8.88
===============================================================================================================================
Total Return .......................... (24.09)% 16.09% 24.36% (16.04)% 14.88% 20.85%
- - -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) .. $561,102 $949,291 $912,518 $788,821 $952,580 $768,863
Ratio of Expenses to Average Net
Assets .............................. 0.62% 0.62% 0.62% 0.61% 0.62% 0.67%
Ratio of Net Investment Income to
Average Net Assets .................. 0.99% 0.86% 1.19% 0.92% 1.14% 1.53%
Portfolio Turnover Rate................. 3.79% 7.86% 25.98% 23.05% 14.19% 9.64%
- - --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(Adjusted to reflect a 1,900% Stock Dividend as of November 28, 1986)
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements
153
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
The U.S. 6-10 Small Company Portfolio
----------------------------------------------------------------------------------
Six Months Year Year March 20
Ended Ended Ended to Nov.
May 31, Nov. 30 Nov. 30 30
1995 1994 1993 1992
(Unaudited)
- - ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ................ $ 11.08 $ 11.43 $ 10.35 $ 10.00
-------- -------- -------- -------
Income From Investment
Operations
Net Investment Income ............. -- 0.27 0.25 0.04
Net Gains (Losses) on
Securities
(Realized and
Unrealized)...................... 1.31 (0.25) 1.26 0.31
-------- ------- -------- -------
Total From
Investment
Operations ................... 1.31 0.02 1.51 0.35
- - ---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income.............. (0.02) (0.27) (0.28) -
Net Realized Gains................. (0.94) (0.10) (0.15) -
-------- -------- -------- -------
Total Distributions.............. (0.96) (0.37) (0.43) -
- - ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ............................ $ 11.43 $ 11.08 $ 11.43 $ 10.35
=================================================================================================================================
Total Return ........................ 12.92%# 0.22% 14.72% 6.70%#
- - ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)................. $155,938 $112,137 $136,863 $134,418
Ratio of Expenses to
Average Net Assets** .............. 0.51%* 0.53% 0.58% 0.48%*
Ratio of Net Investment
Income to Average Net
Assets ............................ (0.10%)* 2.16% 2.07% 0.96%*
Portfolio Turnover Rate............... N/A*** N/A*** 1.81%*(b) 3.41%*
- - ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
154
<PAGE>
<TABLE>
<CAPTION>
The U.S. Large Company Portfolio
--------------------------------------------------------------------------------------
Six Months Year Year Year Dec. 31,
Ended Ended Ended Ended 1990 to
May 31, Nov. 30 Nov. 30 Nov. 30 Nov. 30
1995 1994 1993 1992 1991
(Unaudited)
- - ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period................. $ 13.58 $ 13.91 $ 13.12 $ 11.44 $ 10.00
------- ------- ------- ------- -------
Income From Investment
Operations
Net Investment Income.............. 0.08 0.37 0.36 0.36 0.34
Net Gains (Losses) on
Securities
(Realized and
Unrealized)...................... 2.49 (0.22) 0.87 1.69 1.34
------- ------- ------- ------- -------
Total From
Investment
Operations ................... 2.57 0.15 1.23 2.05 1.68
- - ----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income.............. (0.09) (0.37) (0.44) (0.37) (0.24)
Net Realized Gains................. - (0.11) - - -
------- ------- ------- ------- -------
Total Distributions.............. (0.09) (0.48) (0.44) (0.37) (0.24)
- - ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ............................ $ 16.06 $ 13.58 $ 13.91 $ 13.12 $ 11.44
==================================================================================================================================
Total Return.......................... 19.05%# 1.04% 9.48% 18.23% 16.80%#
- - ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)................. $77,783 $48,638 $37,830 $34,908 $22,279
Ratio of Expenses to
Average Net Assets**............... 0.24%*(a) 0.24%(a) 0.24%(a) 0.11%(a) 0.00%*(a)
Ratio of Net Investment
Income to Average Net
Assets ............................ 1.10%*(a) 2.75%(a) 2.48%(a) 2.86%(a) 3.42%*(a)
Portfolio Turnover Rate............... N/A*** N/A*** 27.67%*(b) 3.56% 0.97%*
- - ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Annualized
**Represents the combined ratio for the respective portfolio and its
respective pro-rata share of its Master Fund Series for the year ended
November 30, 1993 and subsequent periods.
***Refer to the respective Master Fund Series.
#Non-annualized
(a) Had certain waivers and reimbursements not been in effect, the ratios of
expenses to average net assets for the periods ended May 31, 1995 and
November 30, 1994, 1993, 1992 and 1991 would have been 0.51%, 0.66%,
0.79%, 0.53% and 0.52%, respectively, and the ratios of net investment
income to average net assets for the periods May 31, 1995 and November
30, 1994, 1993, 1992, and 1991 would have been 1.03%, 2.64%, 2.28%, 2.44%
and 2.90%, respectively.
(b) Portfolio turnover calculated for the period December 1, 1992 to February
2, 1993 and December 1, 1992 to February 7, 1993, respectively (through
date of Exchange transaction, see respective Master Fund Series for rate
subsequent to Exchange transaction.).
See accompanying Notes to Financial Statements
155
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. SMALL CAP
VALUE PORTFOLIO
-----------------------------------------------
SIX MONTHS YEAR MARCH 2
ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30,
1995 1994 1993
(Unaudited)
-------------- ----------- ----------
<S> <C> <C> <C>
Net Asset Value,
Beginning of Period ............. $ 11.13 $ 11.04 $ 10.00
-------------- ----------- ----------
Income From Investment Operations
Net Investment Income........... -- 0.14 0.11
Net Gains (Losses) on Securities
(Realized and Unrealized) ... 1.54 0.10 1.03
-------------- ----------- ----------
Total From Investment
Operations ................... 1.54 0.24 1.14
- - -----------------------------------------------------------------------------------------
Less Distributions
Net Investment Income........... (0.02) (0.15) (0.10)
Tax Return of Capital........... -- -- --
-------------- ----------- ----------
Total Distributions ........... (0.02) (0.15) (0.10)
- - -----------------------------------------------------------------------------------------
Net Asset Value, End of Period .... $ 12.65 $ 11.13 $ 11.04
=========================================================================================
Total Return ..................... 13.73%# 2.19% 11.39%#
-------------- ----------- ----------
Net Assets, End of Period
(thousands) .................... $486,799 $344,148 $95,682
Ratio of Expenses to Average
Net Assets** ................... 0.64%* 0.66% 0.70%*
Ratio of Net Investment Income to
Average Net Assets ............. (0.05)%* 1.69% 1.97%*
Portfolio Turnover Rate............ N/A*** N/A*** N/A***
- - -------------------------------------------------------------------------------------------
</TABLE>
156
<PAGE>
<TABLE>
<CAPTION>
THE DFA/AEW REAL
THE U.S. LARGE CAP ESTATE SECURITIES
VALUE PORTFOLIO PORTFOLIO
--------------------------------------- ---------------------------------------------
SIX MONTHS YEAR FEB. 19 SIX MONTHS YEAR JAN. 5
ENDED ENDED TO ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, MAY 31, NOV. 30 NOV. 30,
1995 1994 1993 1995 1994 1993
(Unaudited) (Unaudited)
- - -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ............. $ 9.91 $ 10.60 $ 10.00 $ 9.28 $ 10.92 $ 10.00
-------------- ----------- ---------- -------------- ---------- ----------
Income From Investment Operations
Net Investment Income........... 0.08 0.32 0.18 0.33 0.37 0.20
Net Gains (Losses) on Securities
(Realized and Unrealized) ... 2.00 (0.68) 0.59 0.60 (1.65) 0.91
-------------- ----------- ---------- -------------- ---------- ----------
Total From Investment
Operations .................. 2.08 (0.36) 0.77 0.93 (1.28) 1.11
- - -----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income........... (0.08) (0.33) (0.17) (0.09) (0.28) (0.19)
Tax Return of Capital........... -- -- -- -- (0.08) --
-------------- ----------- ---------- -------------- ---------- ----------
Total Distributions ........... (0.08) (0.33) (0.17) (0.09) (0.36) (0.19)
- - -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .... $ 11.91 $ 9.91 $ 10.60 $ 10.12 $ 9.28 $ 10.92
===================================================================================================================================
Total Return ..................... 20.97%# (3.27)% 7.59%# 10.06%# (11.76)% 11.08%#
- - -----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) .................... $211,116 $197,566 $90,288 $36,459 $30,456 $22,106
Ratio of Expenses to Average
Net Assets** ................... 0.42%* 0.44% 0.47%* 0.81%* 0.90% 0.88%*
Ratio of Net Investment Income to
Average Net Assets ............. 1.33%* 3.50% 3.38%* 6.97%* 3.90% 2.63%*
Portfolio Turnover Rate............ N/A*** N/A*** N/A*** 0.70%* 28.87% 0.55%*
</TABLE>
* Annualized
** Represents the combined ratio for The U.S. Small Cap Value Portfolio and
The U.S. Large Cap Value Portfolio and their pro-rata shares of the
respective Master Fund Series.
*** Refer to the respective Master Fund Series.
# Non-annualized
See accompanying Notes to Financial Statements
157
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The Japanese Small Company Portfolio
--------------------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
May 31, Nov. 30 Nov. 30 Nov. 30 Nov. 30
1995 1994 1993 1992 1991
(Unaudited)
- - --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period .......................... $ 25.06 $ 19.96 $ 18.92 $ 25.05 $ 26.27
----------- ----------- ----------- ----------- -----------
Income From Investment Operations
Net Investment Income (Loss) ...... 0.06 0.05 0.04 0.04 (0.01)
Net Gains (Losses) on Securities
(Realized and Unrealized) ...... (2.19) 5.76 1.75 (5.69) 0.51
----------- ----------- ----------- ----------- -----------
Total From Investment Operations.. (2.13) 5.81 1.79 (5.65) 0.50
- - --------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ............. -- (0.04) (0.05) -- --
Net Realized Gains ................ (0.58) (0.67) (0.70) (0.48) (1.72)
----------- ----------- ----------- ----------- -----------
Total Distributions.............. (0.58) (0.71) (0.75) (0.48) (1.72)
- - --------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period ....... $ 22.35 $ 25.06 $ 19.96 $ 18.92 $ 25.05
====================================================================================================================
Total Return ........................ (8.74)%# 29.59% 9.52% (23.01)% 1.68%
- - --------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ....................... $314,877 $330,674 $209,244 $139,892 $159,475
Ratio of Expenses to Average
Net Assets ........................ 0.74%* 0.76% 0.82% 0.78% 0.78%
Ratio of Net Investment Income to
Average Net Assets ................ 0.47%* 0.10% 0.06% 0.10% (0.11)%
Portfolio Turnover Rate ............. 0.77%* 10.51% 9.36% 5.00% 2.71%
- - --------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
The Japanese Small Company Portfolio
-------------------------------------------------------------------------
Year Year Year Year Jan. 31
Ended Ended Ended Ended to
Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30
1990 1989 1988 1987 1986
- - --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period .......................... $ 38.33 $ 31.03 $ 24.87 $ 14.39 $ 10.35
----------- ----------- ----------- ----------- -----------
Income From Investment Operations
Net Investment Income (Loss) ..... (0.03) (0.09) (0.05) (0.01) 0.01
Net Gains (Losses) on Securities
(Realized and Unrealized) ...... (10.74) 9.09 10.42 10.53 4.03
----------- ----------- ----------- ----------- -----------
Total From Investment Operations.. (10.77) 9.00 10.37 10.52 4.04
- - --------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ............. -- -- -- -- --
Net Realized Gains ................ (1.29) (1.70) (4.21) (0.04) --
----------- ----------- ----------- ----------- -----------
Total Distributions.............. (1.29) (1.70) (4.21) (0.04) --
- - --------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period ....... $ 26.27 $ 38.33 $ 31.03 $ 24.87 $ 14.39
====================================================================================================================
Total Return ........................ (29.12)% 30.63% 47.62% 73.09% 38.37%#
- - --------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ....................... $149,100 $168,820 $107,863 $60,450 $45,683
Ratio of Expenses to Average
Net Assets ....................... 0.83% 0.76% 0.76% 0.78% 0.79%*
Ratio of Net Investment Income to
Average Net Assets ................ (0.22)% (0.34)% (0.23)% (0.08)% 0.07%*
Portfolio Turnover Rate ............. 10.26% 5.76% 9.14% 0.07% 0.00%*
- - --------------------------------------------------------------------------------------------------------------------
</TABLE>
*Annualized
#Non-annualized
See accompanying Notes to Financial Statements
158
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The Pacific Rim Small The United Kingdom
Company Portfolio Small Company Portfolio
-------------------------------------------- ------------------------------------
Six Months Year Jan. 5 Six Months Year Year
Ended Ended to Ended Ended Ended
May 31, Nov. 30, Nov. 30, May 31, Nov. 30, Nov. 30
1995 1994 1993 1995 1994 1993
(Unaudited) (Unaudited)
- - ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period ............... $ 15.98 $ 16.45 $ 10.00 $ 23.20 $ 21.22 $ 16.38
----------- -------- --------- ----------- --------- ---------
Income From Investment
Operations
Net Investment Income .. 0.15 0.23 0.11 0.32 0.48 0.45
Net Gains (Losses) on
Securities (Realized
and Unrealized) ..... (1.30) 0.47 6.46 1.42 2.03 5.34
----------- -------- --------- ----------- --------- ---------
Total From Investment
Operations ........ (1.15) 0.70 6.57 1.74 2.51 5.79
- - ------------------------------------------------------------------------------------------------------------------------
Less Distributions .......
Net Investment Income .. (0.01) (0.23) (0.09) (0.02) (0.53) (0.95)
Net Realized Gains ..... (0.19) (0.94 (0.03) (0.02) -- --
----------- -------- --------- ----------- --------- ---------
Total Distributions . (0.20) (1.17) (0.12) (0.04) (0.53) (0.95)
- - ------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................. $ 14.63 $ 15.98 $ 16.45 $ 24.90 $ 23.20 $ 21.22
========================================================================================================================
Total Return ............. (7.28)%# 4.26% 65.71%# 7.52%# 11.85% 36.42%
- - -----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ............ $207,797 $212,953 $164,623 $237,753 $214,113 $181,789
Ratio of Expenses to
Average Net Assets ..... 0.85%* 0.95% 1.16%* 0.73%* 0.74% 0.78%
Ratio of Net Investment
Income to Average Net
Assets ................. 2.01%* 1.47% 1.27%* 2.85%* 1.95% 2.22%
Portfolio Turnover Rate .. 4.27%* 26.05% 2.77%* 2.77%* 10.75% 8.21%
- - -----------------------------------------------------------------------------------------------------------------------
</TABLE>
159
<PAGE>
<TABLE>
<CAPTION>
The United Kingdom Small Company Portfolio
-------------------------------------------------------------------------------------------------
Year Year Year Year Year Year Jan. 31
Ended Ended Ended Ended Ended Ended to Nov.
Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30 30
1992 1991 1990 1989 1988 1987 1986
- - ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period ............... $ 21.37 $ 20.41 $ 22.55 $ 28.29 $ 23.41 $ 16.29 $ 14.03
-------- -------- -------- -------- -------- ------- -------
Income From Investment
Operations ..............
Net Investment Income .. 0.64 0.69 0.92 0.52 0.61 0.17 0.46
Net Gains (Losses) on
Securities (Realized
and Unrealized) ..... (4.98) 1.71 (1.34) (4.75) 5.18 7.35 1.80
-------- -------- -------- -------- -------- ------- -------
Total From Investment
Operations ........ (4.34) 2.40 (0.42) (4.23) 5.79 7.52 2.26
- - --------------------------------------------------------------------------------------------------------------------------------
Less Distributions .......
Net Investment Income .. (0.65) (0.90) (0.75) (0.54) (0.28) (0.36) --
Net Realized Gains ..... -- (0.54) (0.97) (0.97) (0.63) (0.04) --
-------- -------- -------- -------- -------- ------- -------
Total Distributions . (0.65) (1.44) (1.72) (1.51) (0.91) (0.40) --
- - -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period .................. $ 6.38 $ 21.37 $ 20.41 $ 22.55 $ 28.29 $ 23.41 $ 16.29
===============================================================================================================================
Total Return ............. (20.93)% 12.55% (2.22)% (15.40)% 23.66% 47.44% 13.19%#
- - -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ............ $121,086 $146,873 $127,137 $119,385 $121,337 $82,197 $29,275
Ratio of Expenses to
Average Net Assets ..... 0.76% 0.84% 0.83% 0.70% 0.71% 0.85% 0.76%*
Ratio of Net Investment
Income to Average Net
Assets ................. 3.19% 3.44% 4.34% 2.24% 2.58% 1.92% 3.99%*
Portfolio Turnover Rate .. 4.41% 4.50% 10.86% 11.38% 12.55% 9.50% 11.81%*
- - -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
#Non-annualized
See accompanying Notes to Financial Statements
160
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The
Emerging Markets
Portfolio The Continental Small Company Portfolio
------------------------------- ------------------------------------------------
Six Months April 25 Six Months Year Year
Ended to Ended Ended Ended
May 31, Nov. 30, May 31, Nov. 30, Nov. 30
1995 1994 1995 1994 1993
(Unaudited) (Unaudited)
- - -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $ 11.30 $ 10.00 $ 14.63 $ 12.62 $ 11.39
------- ------- -------- -------- --------
Income From Investment
Operations
Net Investment Income
(Loss) ............. 0.06 (0.02) 0.12 0.18 0.23
Net Gains (Losses) on
Securities (Realized
and Unrealized) .... (0.29) 1.32 0.86 2.10 1.46
------- ------- -------- -------- --------
Total From
Investment
Operations ....... (0.23) 1.30 0.98 2.28 1.69
- - -----------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income . -- -- -- (0.19) (0.44)
Net Realized Gains .... -- -- -- (0.07) (0.02)
Tax Return of Capital . -- -- -- (0.01) --
------- ------- -------- -------- --------
Total Distributions -- -- -- (0.27) (0.46)
- - -----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................ $ 11.07 $ 11.30 $ 15.61 $ 14.63 $ 12.62
=============================================================================================================================
Total Return ............ (2.04)%# 13.00%# 6.70%# 18.19% 15.27%
- - -----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ............ $30,254 $15,731 $376,081 $340,992 $266,175
Ratio of Expenses to
Average Net Assets .... 1.98%*+(a) 2.43%*+(a) 0.76%* 0.77% 0.83%
Ratio of Net Investment
Income to Average Net
Assets ................ 1.39%*(a) (0.44)%*(a) 1.51%* 1.21% 1.61%
Portfolio Turnover Rate . N/A*** N/A*** 6.72%* 10.22% 8.99%
- - -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
161
<PAGE>
<TABLE>
<CAPTION>
Year Year Year Year April 15
Ended Ended Ended Ended to
Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30
1992 1991 1990 1989 1988
------------ ............ ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $ 14.18 $ 16.24 $ 16.15 $ 12.02 $ 10.00
-------- -------- -------- -------- -------
Income From Investment
Operations
Net Investment Income
(Loss) ............. 0.28 0.27 0.25 0.12 0.17
Net Gains (Losses) on
Securities (Realized
and Unrealized) .... (2.11) (1.66) 0.31 4.10 1.85
Total From
Investment
Operations ....... (1.83) (1.39) 0.56 4.22 2.02
- - --------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income . (0.26) (0.29) (0.20) (0.09) --
Net Realized Gains .... (0.70) (0.38) (0.27) -- --
Tax Return of Capital . -- -- -- -- --
------- -------- -------- -------- -------
Total Distributions (0.96) (0.67) (0.47) (0.09) --
- - --------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................ $ 11.39 $ 14.18 $ 16.24 $ 16.15 $ 12.02
============================================================================================
Total Return ............ (13.85)% (9.11)% 3.50% 35.62% 20.01%#
- - --------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ............ $196,845 $214,054 $245,465 $199,065 $78,689
Ratio of Expenses to
Average Net Assets .... 0.90% 0.86% 0.89% 0.82% 1.05%*
Ratio of Net Investment
Income to Average Net
Assets ................ 2.11% 1.68% 1.63% 1.41% 3.27%*
Portfolio Turnover Rate . 6.35% 7.69% 6.24% 5.70% 0.26%*
- - --------------------------------------------------------------------------------------------
</TABLE>
*Annualized
*** Refer to the respective Master Fund Series
# Non-annualized
+ Reflects the Portfolio's proportionate share of expenses from its
respective Master Fund Series.
(a) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
See accompanying Notes to Financial Statements
162
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The Large Cap International Portfolio
------------------------------------------------------------------
Six Months Year Year Year July 15,
Ended Ended Ended Ended 1991 to
May 31, Nov. 30, Nov. 30 Nov. 30 Nov. 30
1995 1994 1993 1992 1991
(Unaudited)
- - ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period ............... $ 11.91 $ 11.26 $ 9.63 $ 10.64 $10.00
------- ------- ------- ------- ------
Income From Investment
Operations
Net Investment Income .. 0.09 0.09 0.15 0.11 0.06
Net Gains (Losses) on
Securities (Realized
and Unrealized) ..... 0.65 1.11 1.72 (1.04) 0.58
------- ------- ------- ------- ------
Total From Investment
Operations ........ 0.74 1.20 1.87 (0.93) 0.64
- - -----------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income .. (0.01) (0.09) (0.24) (0.07) --
Net Realized Gains ..... (0.23) (0.46) -- (0.01) --
------- ------- ------- ------- ------
Total Distributions . (0.24) (0.55) (0.24) (0.08) --
- - -----------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................. $ 12.41 $ 11.91 $ 11.26 $ 9.63 $10.64
===============================================================================================
Total Return ............. 6.33%# 10.74% 19.55% (9.00)% 2.88%#
- - -----------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ............ $57,626 $55,635 $78,472 $26,041 $4,360
Ratio of Expenses to
Average Net Assets** ... 0.63%* 0.66% 0.55%(a) 0.50%(a) 0.50%*(a)
Ratio of Net Investment
Income to Average Net
Assets ................. 2.00%* 1.18% 1.94%(a) 1.75%(a) 1.96%*(a)
Portfolio Turnover Rate .. 47.68%* 33.15% 0.28% 0.20% 2.38%*
- - -----------------------------------------------------------------------------------------------
</TABLE>
163
<PAGE>
<TABLE>
<CAPTION>
The DFA
The DFA International International
High Book to Market Small Cap Value
Portfolio Portfolio
------------------------------------- ---------------
Six Months Year June 10 Dec. 30, 1994
Ended Ended to to
May 31, Nov. 30, Nov. 30 May 31,
1995 1994 1993 1995
(Unaudited) (Unaudited)
- - ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period ............... $ 11.44 $ 9.92 $ 10.00 $ 10.00
-------- -------- ------- -------
Income From Investment
Operations
Net Investment Income .. 0.01 0.14 0.06 0.03
Net Gains (Losses) on
Securities (Realized
and Unrealized) ..... 0.51 1.52 (0.11) 0.14
-------- -------- ------- -------
Total From Investment
Operations ........ 0.52 1.66 (0.05) 0.17
- - --------------------------------------------------------------------------------------
Less Distributions
Net Investment Income .. (0.01) (0.14) (0.03) --
Net Realized Gains ..... -- -- -- --
-------- -------- ------- -------
Total Distributions . (0.01) (0.14) (0.03) --
- - --------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................. $ 11.95 $ 11.44 $ 9.92 $ 10.17
======================================================================================
Total Return ............. 4.56%# 16.71% (0.50)%# 1.70%#
- - --------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ............ $140,396 $112,952 $63,235 $22,568
Ratio of Expenses to
Average Net Assets** ... 0.69%* 0.69%(b) 0.65%*(b) 1.66%*(d)
Ratio of Net Investment
Income to Average Net
Assets ................. 0.15%* 1.39%(b) 1.40%*(b) 2.85%*(d)
Portfolio Turnover Rate .. N/A*** 0.15%*(c) 0.41%* 0.17%*
- - ---------------------------------------------------------------------------------------
</TABLE>
*Annualized
**Represents the combined ratio for The DFA International High Book to
Market Portfolio and its pro-rata share of its Master Fund Series for the
year ended November 30, 1994 and subsequent periods.
***Refer to the respective Master Fund Series.
#Non-annualized
(a) Had certain fees and expenses not been waived or reimbursed, the ratios
of expenses to average net assets for the periods ended November 30,
1993, 1992 and 1991 would have been 0.66%, 1.35% and 2.31%, respectively,
and the ratios of net investment income to average net assets for the
periods ended November 30, 1993, 1992 and 1991 would have been 1.83%,
0.90% and 0.15%, respectively.
(b) Had certain waivers not been in effect, the ratios of expenses to average
net assets for the periods ended November 30, 1994 and 1993 would have
been 0.73% and 0.82%, respectively, and the ratios of net investment
income to average net assets for the periods ended November 30, 1994 and
1993 would have been 1.38% and 1.23%, respectively.
(c) Portfolio turnover calculated for the period December 1, 1993 to February
15, 1994 (through date of Exchange transaction, see respective Master
Fund Series for rate subsequent to Exchange transaction).
(d) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
See accompanying Notes to Financial Statements
164
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The DFA One-Year Fixed Income Portfolio
-------------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
May 31, Nov. 30 Nov. 30 Nov. 30 Nov. 30
1995 1994 1993 1992 1991
(Unaudited)
- - ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $100.52 $ 102.77 $ 103.51 $ 103.26 $ 101.88
------- -------- -------- -------- --------
Income From Investment
Operations
Net Investment Income . 3.00 4.57 3.49 4.27 6.82
Net Gains (Losses) on
Securities (Realized
and Unrealized) .... 1.53 (2.07) 1.13 0.68 1.55
------- -------- -------- -------- --------
Total From
Investment
Operations ....... 4.53 2.50 4.62 4.95 8.37
- - ------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income . (3.01) (4.57) (3.84) (4.43) (6.99)
Net Realized Gains .... (0.07) (0.18) (1.52) (0.27) --
------- -------- -------- -------- --------
Total Distributions (3.08) (4.75) (5.36) (4.70) (6.99)
- - ------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................ $101.97 $ 100.52 $ 102.77 $ 103.51 $ 103.26
================================================================================================
Total Return ............ 4.59%# 2.48% 4.62% 5.64% 8.61%
- - ------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ........... $614,454 $592,226 $608,400 $561,879 $469,276
Ratio of Expenses to
Average Net Assets** .. 0.21%* 0.21% 0.21% 0.21% 0.21%
Ratio of Net Investment
Income to Average Net
Assets ................ 5.95%* 4.47% 3.38% 4.81% 6.75%
Portfolio Turnover Rate . N/A*** N/A*** 61.95%*(a) 125.56% 82.26%
- - ------------------------------------------------------------------------------------------------
</TABLE>
165
<PAGE>
<TABLE>
<CAPTION>
The DFA One-Year Fixed Income Portfolio
--------------------------------------------------------------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30
1990 1989 1988 1987 1986 1985
- - --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $ 101.61 $ 101.22 $ 101.16 $ 102.70 $ 101.76 $ 101.12
-------- -------- -------- -------- -------- --------
Income From Investment
Operations
Net Investment Income . 8.34 8.15 7.83 6.88 7.63 9.19
Net Gains (Losses) on
Securities (Realized
and Unrealized) .... 0.31 0.36 (0.39) (0.86) 1.58 0.82
-------- -------- -------- -------- -------- --------
Total From
Investment
Operations ....... 8.65 8.51 7.44 6.02 9.21 10.01
- - -------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income . (8.38) (8.12) (7.38) (6.77) (7.84) (9.37)
Net Realized Gains .... -- -- -- (0.79) (0.43) --
-------- -------- -------- -------- -------- --------
Total Distributions (8.38) (8.12) (7.38) (7.56) (8.27) (9.37)
- - -------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................ $ 101.88 $ 101.61 $ 101.22 $ 101.16 $ 102.70 $ 101.76
=======================================================================================================
Total Return ............ 8.88% 9.53% 7.61% 6.14% 9.45% 10.36%
- - -------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ........... $412,907 $360,146 $341,551 $342,436 $332,018 $232,826
Ratio of Expenses to
Average Net Assets** .. 0.21% 0.22% 0.22% 0.22% 0.23% 0.33%
Ratio of Net Investment
Income to Average Net
Assets ................ 8.27% 8.77% 7.70% 6.82% 7.42% 9.04%
Portfolio Turnover Rate . 96.30% 0.00% 80.74% 162.18% 138.50% 114.21%
- - -------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Represents the combined ratio for the portfolio and its pro-rata share of
its Master Fund Series for the periods ended November 30, 1993 and
subsequent periods.
*** Refer to the respective Master Fund Series.
# Non-annualized.
(a) Portfolio turnover calculated for period December 1, 1992 to February 7,
1993 (through date of Exchange transaction, see respective Master Fund
Series for rate subsequent to Exchange transaction).
See accompanying Notes to Financial Statements
166
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO
---------------------------------------------------
SIX MONTHS YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30 NOV. 30
1995 1994 1993 1992
(Unaudited)
- - --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $ 97.46 $ 105.50 $ 108.83 $112.53
-------- -------- -------- -------
Income From Investment
Operations
Net Investment Income . 3.12 4.81 4.65 5.72
Net Gains (Losses) on
Securities (Realized
and Unrealized) .... 2.41 (8.08) 4.98 3.09
-------- -------- -------- -------
Total From
Investment
Operations ....... 5.53 (3.27) 9.63 8.81
- - --------------------------------------------------------------------------------
Less Distributions
Net Investment Income . (0.65) (4.76) (7.32) (7.58)
Net Realized Gains .... -- (0.01) (5.64) (4.93)
-------- -------- -------- -------
Total Distributions (0.65) (4.77) (12.96) (12.51)
- - --------------------------------------------------------------------------------
Net Asset Value, End of
Period ................ $ 102.34 $ 97.46 $ 105.50 $108.83
================================================================================
Total Return ............ 5.71%# (3.13)% 9.46% 8.59%
- - --------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ........... $269,607 $235,554 $164,504 $83,543
Ratio of Expenses to
Average Net Assets .... 0.29%* 0.31% 0.31% 0.31%
Ratio of Net Investment
Income to Average Net
Assets ................ 6.72%* 5.08% 4.75% 5.82%
Portfolio Turnover Rate . 392.12%* 52.39% 152.10% 218.60%
- - --------------------------------------------------------------------------------
</TABLE>
167
<PAGE>
<TABLE>
<CAPTION>
The DFA Five-Year Government Portfolio
---------------------------------------------------------
YEAR YEAR YEAR YEAR MAY 13
ENDED ENDED ENDED ENDED TO NOV.
NOV. 30 NOV. 30 NOV. 30 NOV. 30 30
1991 1990 1989 1988 1987
- - --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $106.39 $104.62 $104.15 $103.28 $100.00
------- ------- ------- ------- -------
Income From Investment
Operations
Net Investment Income . 8.09 7.60 8.52 6.22 3.77
Net Gains (Losses) on
Securities (Realized
and Unrealized) .... 5.43 1.98 0.59 0.82 (0.49)
------- ------- ------- ------- -------
Total From
Investment
Operations ....... 13.52 9.58 9.11 7.04 3.28
- - --------------------------------------------------------------------------------------
Less Distributions
Net Investment Income . (7.38) (7.81) (8.64) (5.78) --
Net Realized Gains .... -- -- -- (0.39) --
------- ------- ------- ------- -------
Total Distributions (7.38) (7.81) (8.64) (6.17) --
- - --------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................ $112.53 $106.39 $104.62 $104.15 $103.28
======================================================================================
Total Return ............ 13.44% 9.72% 9.33% 7.13% 3.26%#
- - --------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ........... $56,971 $52,260 $53,039 $4,863 $4,258
Ratio of Expenses to
Average Net Assets .... 0.30% 0.30% 0.30% 0.28% 0.27%*
Ratio of Net Investment
Income to Average Net
Assets ................ 7.16% 7.91% 8.49% 7.97% 7.50%*
Portfolio Turnover Rate . 223.18% 165.50% 312.59% 253.31% 100.85%*
- - --------------------------------------------------------------------------------------
</TABLE>
*Annualized
#Non-annualized
See accompanying Notes to Financial Statements
168
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The DFA Global Fixed Income Portfolio
------------------------------------------------------------------------------
Six Months Year Year Year Year Nov. 6
Ended Ended Ended Ended Ended to
May 31, Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30
1995 1994 1993 1992 1991 1990
(Unaudited)
- - ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $ 98.11 $ 105.63 $ 103.58 $104.72 $100.22 $100.00
Income From Investment
Operations
Net Investment Income
(Loss) ............. 2.69 3.52 4.03 5.43 6.58 0.37
Net Gains (Losses) on
Securities (Realized
and Unrealized) .... 5.26 (6.57) 7.28 2.47 2.57 (0.15)
-------- -------- -------- ------- ------- -------
Total From
Investment
Operations ....... 7.95 (3.05) 11.31 7.90 9.15 0.22
- - ----------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income . (1.24) (4.37) (4.51) (6.35) (4.65) --
Net Realized Gains .... -- (0.10) (4.75) (2.69) -- --
-------- -------- -------- ------- ------- -------
Total Distributions (1.24) (4.47) (9.26) (9.04) (4.65) --
- - ----------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................ $ 104.82 $ 98.11 $ 105.63 $103.58 $104.72 $100.22
==========================================================================================================
Total Return ............ 8.19%# (2.91)% 11.42% 8.00% 11.00% 0.22%#
- - ----------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ........... $177,290 $135,529 $101,528 $54,607 $31,647 $ 8,474
Ratio of Expenses to
Average Net Assets .... 0.47%* 0.49% 0.52% 0.58% 0.67% 0.51%*
Ratio of Net Investment
Income to Average Net
Assets ................ 6.26%* 5.75% 5.09% 5.52% 6.74% 6.92%*
Portfolio Turnover Rate . 138.61%* 113.55% 139.57% 210.39% 194.25% 0.00%*
- - ----------------------------------------------------------------------------------------------------------
</TABLE>
169
<PAGE>
<TABLE>
<CAPTION>
The DFA Intermediate Government Fixed Income Portfolio
---------------------------------------------------------------------------
Six Months Year Year Year Year Oct. 22
Ended Ended Ended Ended Ended to
May 31, Nov. 30, Nov. 30 Nov. 30 Nov. 30 Nov. 30
1995 1994 1993 1992 1991 1990
(Unaudited)
- - -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $102.18 $115.87 $112.01 $110.17 $102.66 $100.00
------- ------- ------- ------- ------- -------
Income From Investment
Operations
Net Investment Income
(Loss) ............. 3.45 6.89 5.46 7.60 8.38 0.89
Net Gains (Losses) on
Securities (Realized
and Unrealized) .... 8.50 (12.14) 6.60 2.58 6.32 1.77
------- ------- ------- ------- ------- -------
Total From
Investment
Operations ....... 11.95 (5.25) 12.06 10.18 14.70 2.66
- - -------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income . (1.81) (6.84) (7.30) (7.76) (7.19) --
Net Realized Gains .... (0.03) (1.60) (0.90) (0.58) -- --
------- ------- ------- ------- ------- -------
Total Distributions (1.84) (8.44) (8.20) (8.34) (7.19) --
- - -------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................ $112.29 $102.18 $115.87 $112.01 $110.17 $102.66
=======================================================================================================
Total Return ............ 11.84%# (4.72)% 12.84% 9.70% 14.94% 2.63%#
- - -------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ........... $72,336 $60,827 $53,051 $40,160 $29,393 $25,567
Ratio of Expenses to
Average Net Assets .... 0.28%* 0.29% 0.32% 0.29% 0.28% 0.23%*
Ratio of Net Investment
Income to Average Net
Assets ................ 6.68%* 6.45% 6.41% 7.05% 7.86% 8.73%*
Portfolio Turnover Rate . 37.59%* 27.15% 16.91% 17.91% 19.72% 0.00%
- - -------------------------------------------------------------------------------------------------------
</TABLE>
*Annualized
#Non-annualized
See accompanying Notes to Financial Statements
170
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION AND EXCHANGE:
At May 31, 1995, DFA Investment Dimensions Group Inc. (the "Fund")
consisted of twenty portfolios: The U.S. 9-10 Small Company Portfolio, The
U.S. 6-10 Small Company Portfolio, The U.S. Large Company Portfolio, The U.S.
Small Cap Value Portfolio, The U.S. Large Cap Value Portfolio, The DFA/AEW
Real Estate Securities Portfolio, The Japanese Small Company Portfolio, The
Pacific Rim Small Company Portfolio, The United Kingdom Small Company
Portfolio, The Emerging Markets Portfolio, The Continental Small Company
Portfolio, The Large Cap International Portfolio, The DFA International High
Book to Market Portfolio, The DFA International Small Cap Value Portfolio,
The DFA One-Year Fixed Income Portfolio, The DFA Five-Year Government
Portfolio, The DFA Global Fixed Income Portfolio and The DFA Intermediate
Government Fixed Income Portfolio (the "Portfolios"), DFA Global Bond
Portfolio and DFA Global Value Portfolio. DFA Global Bond Portfolio and DFA
Global Value Portfolio are only available through a selected group of
insurance products. These financial statements relate solely to the
Portfolios.
On February 3, 1993, February 8, 1993 and February 8, 1993, The U.S. 6-10
Small Company Portfolio, The U.S. Large Company Portfolio and The DFA
One-Year Fixed Income Portfolio, respectively, transferred their investable
assets for shares with equal values of corresponding series of The DFA
Investment Trust Company. On February 15, 1994, The DFA International High
Book to Market Portfolio transferred its investable assets for shares with an
equal value of a corresponding series of The DFA Investment Trust Company
(the "Exchanges"). These portfolios, along with The U.S. Small Cap Value
Portfolio, The U.S. Large Cap Value Portfolio, and The Emerging Markets
Portfolio (collectively the "Feeder Funds") invest solely in a corresponding
series in the DFA Investment Trust Company: The U.S. 6-10 Small Company
Series, The U.S. Large Company Series, The U.S. Small Cap Value Series, The
U.S. Large Cap Value Series, The DFA One-Year Fixed Income Series, The DFA
International Value Series, and The Emerging Markets Series (the "Master
Funds"). At May 31, 1995, The U.S. 6-10 Small Company Portfolio, The U.S.
Large Company Portfolio, The U.S. Small Cap Value Portfolio, The U.S. Large
Cap Value Portfolio, The DFA One-Year Fixed Income Portfolio, The DFA
International High Book to Market Portfolio and The Emerging Markets
Portfolio owned approximately 82%, 100%, 98%, 68%, 99%, 31% and 99%
respectively, of the outstanding shares or net assets of its corresponding
Master Fund. The financial statements of the Master Funds are included
elsewhere in this report and should be read in conjunction with the financial
statements of the Feeder Funds.
The Exchanges are not expected to have any adverse tax effects on the
Portfolios. The transfer of a Portfolio's assets to a Series in exchange for
shares of beneficial interest in the Series is, in the opinion of counsel to
the Fund, expected to be a tax-free event, and, therefore, will not result in
the recognition of any taxable gain (or loss) for each 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.
1. Security Valuation: Securities held by The U.S. 9-10 Small Company
Portfolio and The DFA/AEW Real Estate Securities Portfolio (the "Domestic
Equity Portfolios") 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. Securities held by The Japanese Small
Company Portfolio, The Pacific Rim Small Company Portfolio, The United
Kingdom Small Company Portfolio, The Continental Small Company Portfolio, The
Large Cap International Portfolio and The DFA International Small Cap Value
Portfolio (the "International Equity Portfolios") which are listed on a
securities exchange are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the
security is primarily traded.
171
<PAGE>
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 Directors.
Securities held by The DFA Five-Year Government Portfolio, The DFA Global
Fixed Income Portfolio and The DFA Intermediate Government Fixed Income
Portfolio (the "Fixed Income Portfolios"), are valued on the basis of prices
provided by a pricing service when such prices are believed to reflect the
fair market value of such securities. Securities for which quotations are not
readily available are valued in good faith at fair value using methods
determined by the Board of Directors.
Master Fund shares held by the Feeder Funds are valued at their respective
daily net asset values or, for The Emerging Markets Portfolio, its investment
reflects its proportionate interest in the net assets of the corresponding
Master Fund.
2. Foreign Currency: Securities and other assets and liabilities of the
International Equity Portfolios and The DFA Global Fixed Income Portfolio
whose values are initially expressed in foreign currencies are translated to
U.S. dollars at the bid price of such currency against U.S. dollars last
quoted by a major bank. Dividend and interest income and certain expenses are
translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement. The DFA Global
Fixed Income Portfolio also enters into forward foreign currency contracts
solely for the purpose of hedging against fluctuations in currency exchange
rates. These contracts are also marked to market daily based on daily
exchange rates.
The International Equity Portfolios do not generally isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized. However, The DFA
Global Fixed Income Portfolio does isolate the effect of fluctuations in
foreign currency rates when determining the gain or loss upon the sale or
maturity of foreign currency denominated debt obligations pursuant to U.S.
Federal income tax regulations; such amounts are categorized as foreign
exchange gain or loss for both financial reporting and income tax reporting
purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and between amounts of interest, dividends and
foreign withholding taxes recorded on the books of the International Equity
Portfolios and The DFA Global Fixed Income Portfolio and the U.S. dollar
equivalent amounts actually received or paid.
3. Federal Income Taxes: It is each Portfolio's 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.
4. Reclassifications: As of December 1, 1993, the Portfolios implemented
AICPA Statement of Position 93-2 -- Determination, Disclosure and Financial
Statement Presentation of Income, Capital Gain, and Return of Capital
Distributions by Investment Companies. Adoption of this standard results in
the reclassification to paid-in capital of permanent differences between tax
and financial reporting of net investment income and net realized
gain/(loss). As a result, for The U.S. 9-10 Small Company Portfolio, amounts
as of December 1, 1993, have been restated to reflect an increase in paid in
capital of $24,485,645, an increase in undistributed net income of $5,568,206
and a decrease in accumulated net realized gain on investments of
$30,053,851. The change has had no material effect on paid in capital or
other components of net assets on the other Portfolios at December 1, 1993.
Distributions to shareholders and net asset values were not affected by this
change.
5. 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
172
<PAGE>
recorded on an accrual basis. Discount and premium on debt securities
purchased are amortized over the lives of the respective securities. Expenses
directly attributable to a Portfolio are directly charged. Common expenses
are allocated using methods determined by the Board of Directors.
The Emerging Markets Portfolio accrues its share of income, net of expenses
daily on its investment in its corresponding Master Fund, which is treated as
a partnership for federal income tax purposes. All of the net investment
income and realized and unrealized gains and losses from the security
transactions and foreign currency of the Master Fund are allocated pro rata
among its investors at the time of such determination.
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides investment
advisory services to all Portfolios except the Feeder Funds. The Advisor
provides administrative services to the Feeder Funds, including supervision
of services provided by others, providing information to shareholders and the
Board of Directors, and other administrative services.
For the period ended May 31, 1995, the Portfolios' advisory fees were
computed daily and paid monthly to the Advisor based on the following
effective annual rates:
<TABLE>
<CAPTION>
<S> <C>
The U.S. 9-10 Small Company Portfolio ............. ....... .50 of 1%
The DFA/AEW Real Estate Securities Portfolio ............. .325 of 1%
The Japanese Small Company Portfolio ..................... .50 of 1%
The Pacific Rim Small Company Portfolio .................. .50 of 1%
The United Kingdom Small Company Portfolio ............... .50 of 1%
The Continental Small Company Portfolio .................. .50 of 1%
The Large Cap International Portfolio .................... .25 of 1%
The DFA International Small Cap Value Portfolio .......... .65 of 1%
The DFA Five-Year Government Portfolio ................... .20 of 1%
The DFA Global Fixed Income Portfolio .................... .25 of 1%
The DFA Intermediate Government Fixed Income Portfolio ... .15 of 1%
</TABLE>
In addition, pursuant to a Sub-Advisory agreement with Aldrich, Eastman &
Waltch L.P., (the "Sub-Advisor"), The DFA/AEW Real Estate Securities
Portfolio pays to the Sub-Advisor a fee at the effective annual rate of .175%
of the average net assets of the Portfolio.
The Advisor has agreed to bear all of the ordinary operating expenses of
The U.S. Large Company Portfolio except for the administrative service fee.
With respect to The DFA International High Book to Market Portfolio, the
Advisor agreed to waive its advisory fees through February 15, 1994 to the
extent necessary to keep the cumulative annual expenses to not more than
0.65% of average net assets of the Portfolio.
For the six months ended May 31, 1995, the Feeder Funds computed daily and
paid monthly to the Advisor an administrative fee based on the following
effective annual rates:
<TABLE>
<CAPTION>
<S> <C>
The U.S. 6-10 Small Company Portfolio ....................... .32 of 1%
The U.S. Large Company Portfolio ........................... .215 of 1%
The U.S. Small Cap Value Portfolio ......................... .30 of 1%
The U.S. Large Cap Value Portfolio ......................... .15 of 1%
The DFA One-Year Fixed Income Portfolio .................... .10 of 1%
The DFA International High Book to Market Portfolio
(applied to the first $40 million of average net assets) .. .20 of 1%
The Emerging Markets Portfolio ............................. .40 of 1%
</TABLE>
In addition, pursuant to a Client Service Agreement with Reinhardt Werba
Bowen Advisory Services, ("RWBAS"), The DFA International High Book to Market
Portfolio pays to RWBAS a fee at the effective annual rate of .20% of the
average net assets of the portfolio in excess of $40 million.
Certain officers of the Portfolios are also officers, directors and
shareholders of the Advisor.
173
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the six months (or period) ended May 31, 1995, the Portfolios made the
following purchases and sales of investment securities:
<TABLE>
<CAPTION>
Other
U.S. Government Investment
Securities Securities
------------------------- ------------------------
Purchases Sales Purchases Sales
----------- ---------- ----------- ---------
(000) (000) (000) (000)
<S> <C> <C> <C> <C>
The U.S. 9-10 Small Company Portfolio ........ -- -- $105,116 $82,716
The DFA/AEW Real Estate Securities Portfolio . -- -- 3,839 112
The Japanese Small Company Portfolio ......... -- -- 9,928 1,058
The Pacific Rim Small Company Portfolio ...... -- -- 9,588 4,238
The United Kingdom Small Company Portfolio ... -- -- 13,574 3,006
The Continental Small Company Portfolio ...... -- -- 17,001 11,886
The Large Cap International Portfolio ........ -- -- 12,473 13,671
The DFA International Small Cap Value
Portfolio ................................... -- -- 19,914 7
The DFA Five-Year Government Portfolio ....... $507,323 $458,409 -- --
The DFA Global Fixed Income Portfolio ........ 39,581 27,180 83,405 73,173
The DFA Intermediate Government Fixed Income
Portfolio ................................... 18,953 11,696 -- --
</TABLE>
E. INVESTMENT TRANSACTIONS:
At May 31, 1995, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities
and foreign currencies for each Portfolio were as follows:
<TABLE>
<CAPTION>
Gross Unrealized Gross Unrealized
Appreciation Depreciation Net
---------------- ---------------- ----------
(000) (000) (000)
<S> <C> <C> <C>
The U.S. 9-10 Small Company Portfolio ................ $263,226 $(142,078) $121,148
The U.S. 6-10 Small Company Portfolio ................ 26,693 -- 26,693
The U.S. Large Company Portfolio ..................... 16,711 -- 16,711
The U.S. Small Cap Value Portfolio ................... 50,111 -- 50,111
The U.S. Large Cap Value Portfolio ................... 27,770 -- 27,770
The DFA/AEW Real Estate Securities Portfolio ......... 1,188 (2,242) (1,054)
The Japanese Small Company Portfolio ................. 26,183 (30,551) (4,368)
The Pacific Rim Small Company Portfolio .............. 40,752 (25,607) 15,145
The United Kingdom Small Company Portfolio ........... 65,164 (43,839) 21,325
The Emerging Markets Portfolio ....................... 3,494 (2,518) 976
The Continental Small Company Portfolio .............. 94,229 (40,560) 53,669
The Large Cap International Portfolio ................ 13,003 (373) 12,630
The DFA International High Book to Market Portfolio .. 14,974 -- 14,974
The DFA International Small Cap Value Portfolio ...... 805 (724) 81
The DFA One-Year Fixed Income Portfolio .............. 3,863 -- 3,863
The DFA Five-Year Government Portfolio ............... 3,314 -- 3,314
The DFA Global Fixed Income Portfolio ................ 16,342 (5) 16,337
The DFA Intermediate Government Fixed Income Portfolio 2,676 (212) 2,464
</TABLE>
174
<PAGE>
At November 30, 1994, the following Portfolios had capital loss carryovers
for federal income tax purposes:
<TABLE>
<CAPTION>
Expires on November 30
-----------------------------
(Amounts in thousands)
2001 2002 Total
------ -------- --------
<S> <C> <C> <C>
The U.S. 9-10 Small Company Portfolio ............. -- $5,057 $5,057
The U.S. Large Cap Value Portfolio ................ -- 5 5
The DFA/AEW Real Estate Securities Portfolio ...... $12 1,018 1,030
The DFA International High Book to Market Portfolio 17 -- 17
The DFA Five Year Government Portfolio ............ -- 2,306 2,306
The DFA Global Fixed Income Portfolio ............. -- 5,469 5,469
</TABLE>
F. COMPONENTS OF NET ASSETS AND SHARES AUTHORIZED:
<TABLE>
<CAPTION>
At May 31, 1995 Net Assets Consist of:
----------------------------------------------------------------------------------------------------------
(Amounts in thousands)
Unrealized
Undistri- Appreciation
buted Net (Depreciation) Unreali-
Undistri- Undistri- Realized of Investment zed Net
buted Net buted Net Foreign Securities Foreign
Investment Realized Exchange and Exchange Number of
Paid-In Income Gain Gain Foreign Gain Total Net Shares
Capital (Loss) (Loss) (Loss) Currency (Loss) Assets Authorized
---------- ------------ ----------- ----------- --------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
The U.S. 9-10 Small
Company Portfolio .... $642,315 $5,734 $ 23,609 -- $121,148 -- $792,806 300,000,000
The U.S. 6-10 Small
Company Portfolio .... 123,430 (236) 6,051 -- 26,693 -- 155,938 100,000,000
The U.S. Large Company
Portfolio ............ 61,184 (38) (74) -- 16,711 -- 77,783 200,000,000
The U.S. Small Cap
Value Portfolio ...... 436,405 (561) 844 -- 50,111 -- 486,799 100,000,000
The U.S. Large Cap
Value Portfolio ...... 185,009 (96) (1,567) -- 27,770 -- 211,116 100,000,000
The DFA/AEW Real Estate
Securities Portfolio . 37,682 858 (1,027) -- (1,054) -- 36,459 100,000,000
The Japanese Small
Company Portfolio .... 321,266 1,072 (3,180) $ (39) (4,368) $ 126 314,877 20,000,000
The Pacific Rim Small
Company Portfolio .... 189,379 1,924 1,304 43 15,145 2 207,797 20,000,000
The United Kingdom
Small Company
Portfolio ............ 214,431 3,207 (1,159) (44) 21,325 (7) 237,753 20,000,000
The Emerging Markets
Portfolio ............ 29,047 140 106 (18) 976 3 30,254 100,000,000
The Continental Small
Company Portfolio .... 316,390 3,493 2,136 111 53,669 282 376,081 50,000,000
The Large Cap
International
Portfolio ............ 45,331 505 (749) (115) 12,630 24 57,626 150,000,000
The DFA International
High Book to Market
Portfolio ............ 125,663 6 (247) -- 14,974 -- 140,396 100,000,000
The DFA International
Small Cap Value
Portfolio ............ 22,422 139 1 (64) 81 (11) 22,568 100,000,000
The DFA One-Year Fixed
Income Portfolio ..... 613,813 (33) (3,189) -- 3,863 -- 614,454 20,000,000
The DFA Five-Year
Government Portfolio . 274,950 6,713 (15,370) -- 3,314 -- 269,607 20,000,000
The DFA Global Fixed
Income Portfolio ..... 172,697 2,479 (7,251) (6,741) 16,337 (231) 177,290 10,000,000
The DFA Intermediate
Government Fixed
Income Portfolio ..... 68,519 1,129 224 -- 2,464 -- 72,336 10,000,000
</TABLE>
175
<PAGE>
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' Investment Objectives and Policies, the
Portfolios may invest, either directly or through its investment in a
corresponding Master Fund, in certain financial instruments which have
off-balance sheet risk and concentrations of credit risk. These instruments
and their significant corresponding risks are described below:
1. Repurchase Agreements. The Portfolios may purchase money market
instruments subject to the seller's agreement to repurchase them at an agreed
upon date and price. The seller will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry
system or with the Fund's custodian or a third party sub-custodian. All
repurchase agreements were entered into on May 31, 1995.
2. Forward Foreign Currency Contracts: The DFA Global Fixed Income
Portfolio may enter into forward foreign currency contracts to hedge against
adverse changes in the relationship of the U.S. dollar to foreign currencies.
At May 31, 1995, the Portfolio had entered into the following contracts and
the related net unrealized loss is reflected in the accompanying financial
statements:
<TABLE>
<CAPTION>
Unrealized
Foreign
Expiration Contract Value at Exchange Gain
Date Currency Sold Amount May 31, 1995 (Loss)
------------ ------------------------------------ -------------- -------------- ---------------
<S> <C> <C> <C> <C>
06/12/95 ... 4,991,007 British Pound Sterling $ 8,020,548 $ 7,924,008 $ 96,540
06/15/95 ... 336,681,666 Japanese Yen 3,930,442 3,969,280 (38,838)
06/16/95 ... 4,686,256 German Marks 3,267,596 3,302,307 (34,711)
06/19/95 ... 10,740,500 German Marks 7,494,906 7,566,637 (71,731)
06/19/95 ... 465,471,815 Japanese Yen 5,373,257 5,499,437 (126,180)
06/19/95 ... 28,048,800 German Marks 19,375,937 19,813,705 (437,768)
06/22/95 ... 18,547,165 British Pound Sterling 29,150,579 29,482,573 (331,994)
06/26/95 ... 116,850,000 Japanese Yen 1,350,243 1,380,703 (30,460)
06/26/95 ... 226,111,111 Japanese Yen 2,590,047 2,677,991 (87,944)
06/26/95 ... 480,520,833 Japanese Yen 5,529,584 5,709,239 (179,655)
06/30/95 ... 2,827,741,115 Japanese Yen 34,271,496 33,553,015 718,481
06/30/95 ... 18,568,038 German Marks 13,477,563 13,178,100 299,463
06/30/95 ... 21,915,785 Australian Dollar 15,739,040 15,746,998 (7,958)
07/06/95 ... 2,009,056 British Pound Sterling 3,193,816 3,193,693 123
-------------- -------------- ---------------
Totals $152,765,054 $152,997,686 $(232,632)
============== ============== ===============
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. The DFA Global Fixed Income Portfolio will enter into forward
contracts only for hedging purposes.
H. REIMBURSEMENT FEES:
Shares of The Japanese Small Company Portfolio, The Pacific Rim Small
Company Portfolio, The United Kingdom Small Company Portfolio, The Emerging
Markets Portfolio, The Continental Small Company Portfolio and The DFA
International Small Cap Value Portfolio are sold at a public offering price
which is equal to the current net asset value of such shares plus a
reimbursement fee. Reimbursement fees are recorded as an addition to paid in
capital. The reimbursement fees for The Japanese Small Company Portfolio and
The DFA International Small Cap Value Portfolio are 1% of the net asset value
of their shares. The reimbursement fees for The Pacific Rim Small Company
Portfolio, The United Kingdom Small Company Portfolio, The Emerging Markets
Portfolio and The Continental Small Company Portfolio are 1.5% of the net
asset value of their shares.
176
<PAGE>
I. SECURITIES LENDING:
Security loans are required at all times to be secured by collateral at
least equal to 105% 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. The market value of securities on loan to brokers and the
related collateral cash and indemnification received by each Portfolio at May
31, 1995, is as follows:
<TABLE>
<CAPTION>
Value Value of
of Securities Collateral and
on Loan Indemnification
--------------- ---------------
<S> <C> <C>
The Japanese Small Company Portfolio ... $61,357,852 $66,953,600
The Pacific Rim Small Company Portfolio 4,391,294 5,564,749
The Continental Small Company Portfolio 25,372,570 27,390,972
The Large Cap International Portfolio .. 1,396,432 1,491,169
</TABLE>
J. SUBSEQUENT EVENT:
Effective June 30, 1995, the reimbursement fees were reduced with respect
to The Japanese Small Company Portfolio, The Pacific Rim Small Company
Portfolio, The Emerging Markets Portfolio, The Continental Small Company
Portfolio and The DFA International Small Cap Value Portfolio, and eliminated
with respect to The United Kingdom Small Company Portfolio. The reimbursement
fees for The Japanese Small Company Portfolio and The Emerging Markets
Portfolio are now .50% of the net asset value of their shares. The
reimbursement fees for The Pacific Rim Small Company Portfolio and The
Continental Small Company Portfolio are now 1.00% of the net asset value of
their shares. The reimbursement fee for The DFA International Small Company
Portfolio is now .70% of the net asset value of its shares.
177
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF NET ASSETS
THE U.S. 6-10 SMALL COMPANY SERIES
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
COMMON STOCKS -- (97.2%)
*3D0 Co. ................................................ 9,200 $106,375
*A Plus Communications, Inc. ............................ 200 2,600
*AAON, Inc. ............................................. 4,400 34,375
AAR Corp. .............................................. 11,300 172,325
*ABC Rail Products Corp. ................................ 200 5,238
ABM Industries, Inc. ................................... 3,500 79,625
ABS Industries, Inc. ................................... 1,400 16,800
*ABT Building Products Corp. ............................ 5,000 85,000
ACC Corp. .............................................. 2,500 34,063
*ACS Enterprises, Inc. .................................. 3,100 54,250
ADAC Laboratories ...................................... 11,466 116,810
*ADESA Corp. ............................................ 4,400 73,700
*AEL Industries, Inc. Class A ........................... 1,000 22,375
AEP Industries, Inc. ................................... 3,000 70,875
*AER Energy Resources, Inc. ............................. 5,000 26,563
*AFC Cable Systems, Inc. ................................ 200 3,300
*AG Services America, Inc. .............................. 1,000 8,063
AL Laboratories, Inc. Class A .......................... 8,800 162,800
*AMC Entertainment, Inc. ................................ 1,300 17,306
*APS Holding Corp. Class A .............................. 2,200 57,750
*ARI Holdings Corp. ..................................... 900 7,031
*ARI Network Services, Inc. ............................. 2,800 5,775
*ARK Restaurants Corp. .................................. 1,000 9,375
*AST Research, Inc. ..................................... 16,200 301,725
*ATS Medical, Inc. ...................................... 3,000 26,438
Aames Financial Corp. .................................. 200 3,000
Aaron Rents, Inc. Class A .............................. 4,800 71,400
Aaron Rents, Inc. Class B .............................. 4,800 73,200
*Abaxis, Inc. ........................................... 2,600 13,488
*Abbey Healthcare Group, Inc. ........................... 2,853 102,173
*Abex, Inc. ............................................. 9,900 82,913
Abington Savings Bank MA ............................... 700 9,100
*Abiomed, Inc. .......................................... 2,600 20,963
Abrams Industries, Inc. ................................ 200 850
*Accell International Corp. ............................. 2,700 6,919
*Acceptance Insurance Companies, Inc. ................... 5,025 70,350
*Access Health Marketing, Inc. .......................... 4,000 63,250
*Ace Cash Express, Inc. ................................. 200 1,750
Ackerley Communications, Inc. .......................... 4,600 45,425
*Acme Electric Corp. .................................... 3,000 81,750
*Acme Metals, Inc. ...................................... 2,100 34,913
*Acme United Corp. ...................................... 3,400 12,750
Acme-Cleveland Corp. ................................... 7,000 163,625
Acordia, Inc. .......................................... 5,200 159,250
*Actava Group, Inc. ..................................... 7,100 75,438
*Actel Corp. ............................................ 5,100 59,288
*Action Industries, Inc. ................................ 3,600 4,050
*Action Performance Companies, Inc. ..................... 200 1,563
*Active Voice Corp. ..................................... 200 5,088
*Acuson Corp. ........................................... 20,000 220,000
*Acx Technologies, Inc. ................................. 2,500 105,313
Acxiom Corp. ........................................... 15,200 292,600
*Adage, Inc. ............................................ 3,100 15,888
Adams Resources & Energy, Inc. ......................... 1,000 8,500
*Addington Resources, Inc. .............................. 4,800 62,400
*Adelphia Communications Corp. Class A .................. 6,000 58,500
178
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Adflex Solutions, Inc. ................................... 2,000 $ 50,000
*Advance Circuits, Inc. ................................... 7,475 108,855
*Advance Ross Corp. ....................................... 5,000 126,250
*Advanced Logic Research, Inc. ............................ 5,200 30,225
*Advanced Magnetics, Inc. ................................. 6,000 138,000
*Advanced Marketing Services, Inc. ........................ 2,700 16,875
*Advanced Medical, Inc. ................................... 2,800 6,300
*Advanced NMR Systems, Inc. ............................... 11,700 31,809
*Advanced Polymer Systems, Inc. ........................... 5,400 26,916
*Advanced Promotion Technologies, Inc. (Private Placement) 7,800 16,453
*Advanced Technology Labs, Inc. ........................... 6,640 107,900
*Advanced Tissue Sciences, Inc. ........................... 27,900 172,631
Advantage Bancorp, Inc. .................................. 1,000 29,250
*Advantage Companies, Inc. ................................ 1,000 15,875
*Advantage Health Corp. ................................... 1,000 27,625
*Advest Group, Inc. ....................................... 2,700 16,538
Advo, Inc. ............................................... 8,000 170,000
*Aequitron Medical, Inc. .................................. 2,200 12,925
*Aeroflex, Inc. ........................................... 2,500 10,938
*Aerosonic Corp. DE ....................................... 1,000 2,188
*Aerovox, Inc. ............................................ 1,000 7,500
*Aetrium, Inc. ............................................ 200 3,350
*Agouron Pharmaceuticals, Inc. ............................ 3,300 67,650
*Aileen, Inc. ............................................. 7,800 4,388
*Air & Water Technologies Corp. Class A ................... 15,000 90,000
Air Express International Corp. .......................... 4,950 111,994
*Air Methods Corp. ........................................ 1,500 3,938
*Air-Cure Environmental ................................... 2,200 5,500
Airborne Freight Corp. ................................... 10,500 198,188
*Airsensors, Inc. ......................................... 2,500 23,438
Airtran Corp. ............................................ 2,600 22,750
*Akorn, Inc. .............................................. 5,100 13,228
*Alamco, Inc. ............................................. 1,300 10,075
Alamo Group, Inc. ........................................ 2,500 48,125
*Alantec Corp. ............................................ 5,000 166,875
*Alaska Air Group, Inc. ................................... 6,100 101,413
Alatenn Resources, Inc. .................................. 1,300 25,513
*Alba-Waldensian, Inc. .................................... 3,700 31,681
Albank Financial Corp. ................................... 3,700 95,044
*Alcide Corp. ............................................. 800 8,500
*Aldila, Inc. ............................................. 200 1,088
Alex Brown, Inc. ......................................... 4,600 182,850
*Alexander Energy Co. ..................................... 6,100 25,544
Alfa Corp. ............................................... 18,400 211,600
*Alfin, Inc. .............................................. 1,200 975
Alico, Inc. .............................................. 2,100 34,650
*Alkermes, Inc. ........................................... 8,200 25,625
*All American Semiconductor, Inc. ......................... 3,400 7,225
*Allcity Insurance Co. .................................... 200 1,775
*Allegheny & Western Energy Corp. ......................... 4,800 57,000
*Allegiant Physician Services, Inc. ....................... 3,000 3,281
Allen Organ Co. Class B .................................. 200 8,400
*Alliance Entertainment Corp. ............................. 15,700 113,825
*Alliance Gaming Corp. .................................... 3,700 18,038
*Alliance Pharmaceuticals Corp. ........................... 12,900 83,850
*Alliant Techsystems, Inc. ................................ 5,500 201,438
Allied Bankshares, Inc. .................................. 200 2,100
179
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
Allied Group, Inc. ....................................... 4,150 $117,238
Allied Healthcare Products, Inc. ......................... 1,200 17,925
*Allied Holdings, Inc. .................................... 5,000 48,125
Allied Life Financial Corp. .............................. 2,000 34,250
*Allied Products Corp. .................................... 9,500 185,250
*Allied Research Corp. .................................... 1,400 4,725
*Allied Waste Industries, Inc. ............................ 7,700 47,163
*Allou Health & Beauty Care, Inc. Class A ................. 1,600 13,300
*Allstate Financial Corp. ................................. 1,000 7,250
*Alltrista Corp. .......................................... 1,553 34,166
*Allwaste, Inc. ........................................... 18,600 104,625
*Aloette Cosmetics, Inc. .................................. 1,000 2,688
*Alpha Beta Technology, Inc. .............................. 2,000 13,250
Alpha Industries, Inc. ................................... 10,000 136,250
*Alpha Microsystems, Inc. ................................. 1,000 953
*Alpha Technologies Group, Inc. ........................... 7,500 44,531
*Alpine Group, Inc. ....................................... 15,736 84,581
*Alpine Lace Brands, Inc. ................................. 1,700 12,219
*Alteon, Inc. ............................................. 8,300 52,913
*Altron, Inc. ............................................. 3,600 76,500
*Amax Gold, Inc. .......................................... 40,600 218,225
*Ambar, Inc. .............................................. 200 938
*Ambers Stores, Inc. ...................................... 1,000 703
Amcast Industrial Corp. .................................. 5,800 114,550
Amcol International Corp. ................................ 9,500 134,188
Amcore Financial, Inc. ................................... 3,150 55,519
*America Services Group, Inc. ............................. 3,000 15,375
American Annuity Group, Inc. ............................. 19,600 193,550
American Bancorpation Ohio ............................... 200 3,950
American Bankers Insurance Group, Inc. ................... 12,100 357,706
American Biltrite, Inc. .................................. 4,800 128,400
*American Biogenetic Sciences, Inc. Class A ............... 3,700 6,822
*American Business Information, Inc. ...................... 6,000 139,500
American Business Products, Inc. ......................... 3,300 89,925
*American City Business Journals, Inc. .................... 2,100 39,900
*American Claims Evaluation, Inc. ......................... 1,000 1,750
American Classic Voyages Co. ............................. 6,900 61,669
*American Consumer Products, Inc. ......................... 1,500 3,844
American Ecology Corp. ................................... 5,250 21,000
*American Educational Products, Inc. ...................... 1,900 3,563
American Federal Bank FSB Greenville, SC ................. 2,900 40,056
American Filtrona Corp. .................................. 200 6,050
*American Healthcorp, Inc. ................................ 5,000 37,500
American Heritage Life Investment Corp. .................. 6,300 122,063
*American Homepatient, Inc. ............................... 3,000 90,000
*American Homestar Corp. .................................. 3,000 33,375
American Indemnity Financial Corp. ....................... 800 8,900
*American International Petroleum Corp. ................... 30 22
American List Corp. ...................................... 825 19,542
American Maize Products Co. Class A ...................... 2,000 60,750
American Management Systems, Inc. ........................ 11,250 253,828
*American Medical Electronics, Inc. ....................... 4,400 42,075
180
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*American Medical Response, Inc. .......................... 7,700 $191,538
*American Mobil Systems Corp. ............................. 1,500 12,188
*American Mobile Satellite Corp. .......................... 8,000 189,000
*American Oilfield Divers, Inc. ........................... 1,300 7,963
*American Pacific Corp. ................................... 2,500 12,813
*American Physicians Services Group, Inc. ................. 1,000 3,375
American Precision Industries, Inc. ...................... 15,200 144,400
American Recreation Centers, Inc. ........................ 1,000 7,125
*American Recreation Co. Holdings, Inc. ................... 5,000 38,750
*American Safety Razor Co. ................................ 200 2,400
*American Savings of Florida, FSB ......................... 6,900 141,450
*American Science & Engineering, Inc. ..................... 7,800 57,038
*American Shared Hospital Services ........................ 600 1,050
American Software, Inc. Class A .......................... 3,100 11,819
American Studios, Inc. ................................... 12,500 33,594
American Superconductor Corp. ............................ 4,700 69,913
*American Technical Ceramics Corp. ........................ 1,800 19,350
*American Telecasting, Inc. ............................... 5,000 68,750
*American Travellers Corp. ................................ 3,100 55,606
*American United Global, Inc. ............................. 1,000 3,438
*American White Cross, Inc. ............................... 5,000 13,438
*American Woodmark Corp. .................................. 660 3,713
Americana Bancorp, Inc. .................................. 1,200 18,300
*Americredit Corp. ........................................ 13,300 118,038
*Ameridata Technologies, Inc. ............................. 8,100 62,775
*Amerihost Properties, Inc. ............................... 4,000 21,000
*Ameriquest Technology, Inc. .............................. 12,800 28,800
*Ameriwood Industries International Corp. ................. 3,200 21,000
Ameron, Inc. ............................................. 1,100 38,225
Amfed Financial, Inc. .................................... 1,756 41,815
*Amistar Corp. ............................................ 200 506
Ampco-Pittsburgh Corp. ................................... 4,400 36,300
Amre, Inc. ............................................... 11,200 46,200
*Amrep Corp. .............................................. 3,900 26,081
Amresco, Inc. ............................................ 13,600 102,000
*Amrion Corp. ............................................. 1,500 13,875
*Amsco International, Inc. ................................ 14,800 185,000
*Amserv, Inc. ............................................. 200 588
Amtech Corp. ............................................. 4,375 27,344
*Amtran, Inc. ............................................. 200 1,850
Amvestors Financial Corp. ................................ 6,220 67,643
Amwest Insurance Group, Inc. ............................. 3,900 58,013
*Amylin Pharmaceuticals, Inc. ............................. 6,400 48,000
*Anacomp, Inc. ............................................ 12,300 9,994
Analogic Corp. ........................................... 3,800 67,450
Analysis & Technology, Inc. .............................. 800 10,600
Analysts International Corp. ............................. 3,700 100,041
*Anaren Microwave, Inc. ................................... 2,000 10,750
Anchor Bancorp Wisconsin, Inc. ........................... 200 6,100
*Anchor Gaming, Inc. ...................................... 2,200 39,875
Andover Bancorp, Inc. DE ................................. 1,300 23,563
*Andrea Electronics Corp. ................................. 1,000 19,000
*Andros, Inc. ............................................. 5,000 85,000
*Anergen, Inc. ............................................ 1,000 2,406
Angelica Corp. ........................................... 4,600 118,450
*Anika Research, Inc. ..................................... 2,280 5,415
*Antec Corp. .............................................. 200 4,200
Anthony Industries, Inc. ................................. 7,115 117,398
*Anuhco, Inc. ............................................. 2,200 19,663
181
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Apertus Technologies, Inc. ............................... 3,700 $ 36,769
*Aphton Corp. ............................................. 6,200 59,675
Apogee Enterprises, Inc. ................................. 4,000 68,500
Apple South, Inc. ........................................ 12,550 216,488
Applebee's International, Inc. ........................... 11,000 278,438
*Appliance Recycling Centers of America, Inc. ............. 1,000 4,438
*Applied Bioscience International, Inc. ................... 12,800 67,200
*Applied Digital Access, Inc. ............................. 5,000 63,125
*Applied Extrusion Technologies, Inc. ..................... 2,700 37,800
*Applied Immune Sciences, Inc. ............................ 3,400 15,088
*Applied Innovation, Inc. ................................. 2,300 94,588
*Applied Magnetics Corp. .................................. 11,000 63,250
*Applied Microbiology, Inc. ............................... 6,300 10,238
Applied Power, Inc. Class A .............................. 6,600 169,950
*Applied Science & Technology, Inc. ....................... 200 1,963
*Applied Signal Technologies, Inc. ........................ 5,000 20,625
Aptargroup, Inc. ......................................... 9,000 274,500
Aquarion Co. ............................................. 1,800 41,400
Aquila Gas Pipeline Corp. ................................ 200 1,825
*Arabian Shield Development Co. ........................... 200 400
Arbor Drugs, Inc. ........................................ 13,500 226,125
*Arbor Health Care Co. .................................... 3,400 65,450
*Arch Communications Group, Inc. .......................... 5,100 105,825
*Arch Petroleum, Inc. ..................................... 4,600 9,056
Arctco, Inc. ............................................. 8,900 122,931
*Argosy Gaming Corp. ...................................... 9,900 130,556
*Argus Pharmaceuticals, Inc. .............................. 3,100 5,909
Arkansas Best Corp. ...................................... 9,000 87,750
Armor All Products Corp. ................................. 9,700 180,663
Arnold Industries, Inc. .................................. 200 3,450
*Arrhythmia Research Technology, Inc. ..................... 1,100 3,300
*Arris Pharmaceutical Corp. ............................... 6,000 48,750
*Arrow Automotive Industries, Inc. ........................ 4,800 28,500
Arrow Financial Corp. .................................... 1,700 25,713
*Arrow Transportation Co. ................................. 1,000 3,125
*Artisoft, Inc. ........................................... 6,400 55,600
Artistic Greetings, Inc. ................................. 1,700 6,375
*Arts Way Manufacturing Co., Inc. ......................... 200 1,200
Arvin Industries, Inc. ................................... 5,200 118,950
*Asante Technologies, Inc. ................................ 200 763
*Aseco Corp. .............................................. 2,000 30,250
Ashland Coal, Inc. ....................................... 4,600 123,050
*Ashworth, Inc. ........................................... 8,400 70,875
*Aspect Telecommunications Corp. .......................... 4,600 189,175
Aspen Bancshares, Inc. ................................... 1,125 17,156
Associated Banc-Corp. .................................... 5,610 213,881
*Astec Industries, Inc. ................................... 10,400 121,550
Astro-Med, Inc. .......................................... 4,200 44,625
*Astronics Corp. .......................................... 1,200 3,600
*Astrosystems, Inc. ....................................... 3,400 17,213
*Astrotech International Corp. ............................ 4,900 15,313
*Asyst Technologies, Inc. ................................. 200 6,225
*Atalanta Sosnoff Capital Corp. ........................... 200 1,400
*Atari Corp. .............................................. 35,300 101,488
*Athena Neurosciences, Inc. ............................... 14,400 110,700
*Athey Products Corp. ..................................... 2,940 17,273
Atkinson (Guy F.) of California .......................... 2,700 23,625
*Atlantic American Corp. .................................. 200 450
*Atlantic Beverage, Inc. .................................. 2,000 5,500
*Atlantic Coast Airlines, Inc. ............................ 5,000 25,625
182
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Atlantic Gulf Communities Corp. .......................... 2,600 $ 20,150
Atlantic Southeast Airlines, Inc. ........................ 6,100 146,781
*Atlantic Tele-Network, Inc. .............................. 5,600 45,150
Atlantis Plastics, Inc. .................................. 1,100 7,700
*Atlas Corp. .............................................. 6,400 10,400
Atmos Energy Corp. ....................................... 6,900 132,825
*Atria Software, Inc. ..................................... 2,100 91,875
*Atrix Labs, Inc. ......................................... 2,300 16,388
*Atwood Oceanics, Inc. .................................... 4,800 71,700
*Au Bon Pain, Inc. Class A ................................ 2,600 30,388
*Audiovox Corp. Class A ................................... 3,600 19,125
Augat, Inc. .............................................. 11,100 227,550
*Aura Systems, Inc. ....................................... 18,800 101,050
*Aurora Electronics, Inc. ................................. 8,775 26,873
*Auspex Systems, Inc. ..................................... 11,500 109,250
*Authentic Fitness Corp. .................................. 8,900 139,063
*Autocam Corp. ............................................ 3,753 41,752
Autoclave Engineers, Inc. ................................ 2,100 26,513
*Autofinance Group, Inc. .................................. 5,520 86,940
*Autoimmune, Inc. ......................................... 200 1,688
*Autoinfo, Inc. ........................................... 3,600 12,713
*Automotive Industries Holding, Inc. Class A .............. 6,400 164,800
*Autote Corp. Class A ..................................... 11,300 45,200
*Avatar Holdings, Inc. .................................... 4,300 158,563
Avemco Corp. ............................................. 4,100 70,213
Aviall, Inc. ............................................. 14,000 117,250
*Avondale Industries, Inc. ................................ 6,600 48,263
*Aydin Corp. .............................................. 3,000 45,375
*Aztar Corp. .............................................. 17,000 159,375
Aztec Manufacturing Co. .................................. 10,300 37,338
BEI Electronics, Inc. .................................... 2,000 13,750
BGS Systems, Inc. ........................................ 2,600 78,650
*BI, Inc. ................................................. 3,800 24,938
*BISYS Group, Inc. ........................................ 4,200 81,375
*BJ Services Co. .......................................... 4,200 107,100
BMC Industries, Inc. MN .................................. 11,600 252,300
*BMC West Corp. ........................................... 2,700 38,475
BMJ Financial Corp. ...................................... 5,000 65,000
*BPI Packaging Technologies, Inc. ......................... 3,100 12,206
BSB Bancorp, Inc. ........................................ 2,200 65,725
BT Financial Corp. ....................................... 100 3,000
*BTU International, Inc. .................................. 2,000 15,625
BW/IP, Inc. Class A ...................................... 10,000 180,000
*Bachman Information Systems, Inc. ........................ 4,000 23,000
*Back Bay Restaurant Group, Inc. .......................... 2,000 11,250
*Badger Paper Mills, Inc. ................................. 200 3,025
*Bailey Corp. ............................................. 1,600 8,400
Bairnco Corp. ............................................ 4,800 21,600
Baker (J.), Inc. ......................................... 6,700 88,775
*Baker (Michael) Corp. .................................... 6,000 31,875
Balchem Corp. ............................................ 1,350 8,269
Baldor Electric Co. ...................................... 8,260 235,410
*Baldwin Piano & Organ Co. ................................ 2,000 25,750
*Baldwin Technology, Inc. Class A ......................... 9,400 54,638
Ballard Medical Products ................................. 15,900 184,838
*Bally Entertainment Corp. ................................ 33,500 347,563
*Bally Gaming International, Inc. ......................... 2,900 25,919
*Baltek Corp. ............................................. 1,500 12,844
BanCorp New Jersey, Inc. ................................. 1,000 43,875
*BancTec, Inc. ............................................ 7,250 110,563
*Bancinsurance Corp. ...................................... 1,000 2,969
Bancorp Connecticut, Inc. ................................ 1,000 15,500
BancorpSouth, Inc. ....................................... 1,150 44,850
183
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
Bangor Hydro-Electric Co. ................................ 6,000 $ 68,250
Bank of Granite Corp. .................................... 200 5,350
Bank of New Hampshire Corp. .............................. 2,800 72,800
BankAtlantic Bancorp, Inc. ............................... 690 10,609
BankNorth Group, Inc. DE ................................. 1,700 43,988
Bankers Corp. ............................................ 10,440 174,218
Bankers First Corp. ...................................... 1,000 26,750
*Banner Aerospace, Inc. ................................... 12,200 54,900
*Banyan System, Inc. ...................................... 7,900 129,363
Barefoot, Inc. ........................................... 5,000 61,875
Barnes Group, Inc. ....................................... 1,600 68,200
Barnwell Industries, Inc. ................................ 600 11,175
*Barr Laboratories, Inc. .................................. 3,900 68,738
*Barra, Inc. .............................................. 6,000 58,500
*Barrett Business Services, Inc. .......................... 5,400 64,463
*Barrett Resources Corp. .................................. 7,900 167,875
*Barry (R.G.) Corp. ....................................... 3,066 51,739
*Base Ten Systems, Inc. Class A ........................... 1,800 13,163
*Basin Exploration, Inc. .................................. 4,900 36,750
Bassett Furniture Industries, Inc. ....................... 5,000 134,375
Bay State Gas Co. ........................................ 6,500 159,250
Bay View Capital Corp. ................................... 2,000 52,000
*Bayou Steel Corp. Class A ................................ 3,200 14,600
*Bayport Restaurant Group, Inc. ........................... 200 875
*Be Aerospace, Inc. ....................................... 7,300 61,138
Bearings, Inc. ........................................... 2,200 61,050
Beauticontrol Cosmetics, Inc. ............................ 1,000 12,375
*Beazer Homes USA, Inc. ................................... 2,800 43,400
*Beeba's Creations, Inc. .................................. 1,600 6,500
*Bel Fuse, Inc. ........................................... 3,000 33,750
*Belden & Blake Corp. ..................................... 200 3,250
*Belding Heminway, Inc. Class A ........................... 175 1,116
Bell Bancorp, Inc. ....................................... 3,200 88,800
Bell Industries, Inc. .................................... 8,255 157,879
*Bell Microproducts, Inc. ................................. 2,300 23,000
*Bell Sports Corp. ........................................ 1,900 22,800
*Bellwethwer Exporation Co. ............................... 200 1,213
*Belmac Corp. ............................................. 603 264
*Ben & Jerry's Homemade, Inc. Class A ..................... 2,100 29,925
*Ben Franklin Retail Stores, Inc. ......................... 2,200 10,863
*Benchmark Electronics, Inc. .............................. 800 17,200
*Benihana, Inc. ........................................... 1,000 7,500
*Benson Eyecare Corp. ..................................... 1,047 10,732
*Benton Oil & Gas Co. ..................................... 12,400 163,525
Berkshire Gas Co. ........................................ 200 2,925
*Berlitz International, Inc. .............................. 4,610 67,709
Berry Petroleum Corp. Class A ............................ 13,400 144,050
*Bertuccis, Inc. .......................................... 1,600 11,300
*Best Power Technology, Inc. .............................. 200 4,188
*Bestop, Inc. ............................................. 200 2,538
*Bet Holdings, Inc. Class A ............................... 6,700 115,575
*Bettis Corp. ............................................. 6,200 21,700
Big B, Inc. .............................................. 7,100 98,513
*Big O Tires, Inc. ........................................ 2,000 27,375
Bindley Western Industries, Inc. ......................... 6,500 101,969
Binks Manufacturing Co. .................................. 1,598 38,951
*Bio Dental Technologies Corp. ............................ 3,100 12,109
*Bio Technology General Corp. ............................. 18,800 74,613
*Bio-Logic Systems Corp. .................................. 1,400 4,900
*Bio-Rad Laboratories, Inc. Class A ....................... 1,000 30,000
*Biocircuits Corp. ........................................ 3,700 1,850
Biocraft Laboratories, Inc. .............................. 8,000 148,000
*Biomagnetic Technologies, Inc. ........................... 1,800 1,856
*Biomatrix, Inc. .......................................... 2,700 12,994
184
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Biosafety Systems, Inc. .................................. 200 $ 456
*Biospherics, Inc. ........................................ 700 4,725
*Biosys, Inc. ............................................. 6,314 12,529
*Biowhittaker, Inc. ....................................... 2,700 20,250
*Bird Corp. ............................................... 2,500 16,563
*Bird Medical Technologies, Inc. .......................... 1,800 10,913
*Biscayne Apparel, Inc. ................................... 1,433 2,508
*Black Box Corp. .......................................... 7,000 108,500
Black Hills Corp. ........................................ 9,600 207,600
Blair Corp. .............................................. 2,800 90,300
Blanch (E.W.) Holdings, Inc. ............................. 6,400 116,800
Blessings Corp. .......................................... 6,000 72,750
*Bliss & Laughlin Industries, Inc. ........................ 200 1,200
Blount, Inc. Class A ..................................... 2,300 87,113
*Blyth Holdings, Inc. ..................................... 5,200 13,975
*Boca Research, Inc. ...................................... 200 2,975
*Bollinger Industries, Inc. ............................... 200 1,600
*Bolt Beranek & Newman, Inc. .............................. 7,800 130,650
*Bombay Co., Inc. ......................................... 18,300 139,538
*Bon-Ton Stores, Inc. ..................................... 8,000 82,500
Books-a-Million, Inc. .................................... 200 2,775
*Boole & Babbage, Inc. .................................... 3,000 91,125
*Boomtown, Inc. ........................................... 5,900 65,638
*Borg-Warner Security Corp. ............................... 13,700 102,750
*Borland International, Inc. .............................. 17,200 213,925
*Borror Corp. ............................................. 200 925
Boston Acoustics, Inc. ................................... 3,400 64,600
Boston Bancorp ........................................... 2,400 101,700
*Boston Technology, Inc. .................................. 17,000 276,250
*Bowmar Instrument Corp. .................................. 11,700 30,713
Bowne & Co., Inc. ........................................ 7,900 140,225
*Box Energy Corp. Class B ................................. 8,800 79,200
Bradlees, Inc. ........................................... 3,000 14,625
Braintree Savings Bank MA ................................ 600 8,963
Brandon Systems Corp. .................................... 1,200 26,850
*Brauns Fashions Corp. .................................... 1,000 3,000
Brenco, Inc. ............................................. 11,200 144,900
*Brendle's, Inc. .......................................... 4,100 2,563
Brenton Banks, Inc. ...................................... 200 3,725
*Brewer (C.) Homes, Inc. Class A .......................... 5,600 28,350
Bridgford Foods Corp. .................................... 2,505 30,999
*Brite Voice Systems, Inc. ................................ 1,600 30,900
Broad National Bancorporation ............................ 200 1,650
*Broadband Technologies, Inc. ............................. 200 5,000
*Broadcast International, Inc. ............................ 3,200 20,600
*Broadway & Seymour, Inc. ................................. 1,600 28,800
*Broadway Stores, Inc. .................................... 22,900 123,088
*Brock Exploration Corp. .................................. 1,100 4,159
Broderbund Software, Inc. ................................ 3,800 170,525
Brooke Group, Ltd. ....................................... 6,800 29,750
*Brookstone, Inc. ......................................... 3,400 18,806
*Brooktree Corp. .......................................... 8,100 132,131
*Brooktrout Technology, Inc. .............................. 2,000 29,500
*Brothers Gourmet Coffees, Inc. ........................... 200 1,800
*Brown & Sharpe Manufacturing Co. Class A ................. 1,000 6,250
*Brown (Tom), Inc. ........................................ 3,900 56,550
Brown Group, Inc. ........................................ 10,000 218,750
Brush Wellman, Inc. ...................................... 8,100 176,175
Bryn Mawr Bank Corp. ..................................... 200 7,150
*Buckle, Inc. ............................................. 1,900 28,975
*Buffets, Inc. ............................................ 15,400 215,600
*Builders Transport, Inc. ................................. 1,800 20,025
*Bull Run Corp. GA ........................................ 21,300 45,928
185
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Burlington Coat Factory Warehouse Corp. ................... 20,600 $221,450
*Burr Brown Corp. ......................................... 12,450 278,569
Bush Industries, Inc. Class A ............................ 2,400 28,200
*Business Records Corp. Holding Co. ....................... 3,500 121,188
*Butler International, Inc. ............................... 1,000 6,500
Butler Manufacturing Co. ................................. 1,400 56,263
*Buttrey Food & Drug Stores Co. ........................... 2,500 18,594
C-COR Electronics, Inc. .................................. 10,400 266,500
*C-TEC Corp. .............................................. 3,000 65,063
CBT Corp. ................................................ 200 4,450
*CCA Industries, Inc. ..................................... 1,600 4,750
CCB Financial Corp. ...................................... 6,650 275,975
CCP Insurance, Inc. ...................................... 5,400 121,500
*CDI Corp. ................................................ 13,100 293,113
*CE Software Holdings, Inc. ............................... 600 1,716
*CEM Corp. ................................................ 3,800 50,113
*CFI Proservices, Inc. .................................... 200 2,450
CFSB Bancorp, Inc. ....................................... 1,100 22,275
CFX Corp. ................................................ 882 20,948
*CII Financial, Inc. ...................................... 3,300 21,038
*CIS Technologies, Inc. DE ................................ 13,500 28,477
CKE Restaurants, Inc. .................................... 11,000 85,250
CMAC Investment Corp. .................................... 3,200 132,800
*CMC Industries, Inc. ..................................... 200 425
*CMI Corp. Class A ........................................ 18,100 122,175
CML Group, Inc. .......................................... 18,500 134,125
CNB Bancshares, Inc. ..................................... 4,042 120,250
*CNS Income ............................................... 2,500 80,781
CPAC, Inc. ............................................... 656 6,806
CPB, Inc. ................................................ 1,300 34,125
*CPI Aerostructures, Inc. ................................. 200 306
CPI Corp. ................................................ 9,800 175,175
CRSS, Inc. ............................................... 8,200 118,900
*CSF Holdings, Inc. Class B ............................... 2,600 77,675
*CSP, Inc. ................................................ 2,800 21,525
*CSS Industries, Inc. ..................................... 3,400 54,400
*CTL Credit, Inc. ......................................... 200 3,063
CTS Corp. ................................................ 1,500 48,375
CU Bancorp ............................................... 600 4,425
CVB Financial Corp. ...................................... 2,395 30,836
*Cable Design Techologies Corp. ........................... 200 3,875
*Cablemaxx, Inc. .......................................... 5,000 34,063
*Cabot Medical Corp. ...................................... 3,109 23,123
Cabot Oil & Gas Corp. Class A ............................ 11,400 179,550
*Cache, Inc. .............................................. 5,025 23,869
*Caci International, Inc. Class A ......................... 1,000 10,125
*Cade Industries, Inc. .................................... 1,500 1,102
*Cadiz Land, Inc. ......................................... 8,400 38,325
Cadmus Communications Corp. .............................. 6,500 119,438
*Caere Corp. .............................................. 3,300 26,813
Cagle's, Inc. Class A .................................... 2,250 40,219
*Caldor Corp. ............................................. 9,700 181,875
*Calgene, Inc. ............................................ 14,300 85,800
Calgon Carbon Corp. ...................................... 21,200 272,950
*California Amplifier, Inc. ............................... 2,400 23,400
California Bancshares, Inc. .............................. 200 3,975
*California Culinary Academy, Inc. ........................ 200 1,613
California Financial Holding Corp. ....................... 4,000 66,500
*California Micro Devices Corp. ........................... 3,400 17,833
*California Microwave, Inc. ............................... 5,500 172,563
California State Bank .................................... 1,900 24,463
California Water Service Co. ............................. 1,000 32,000
Calmat Co. ............................................... 11,600 233,450
186
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Calprop Corp. ............................................ 7,700 $ 9,625
*Calumet Bancorp, Inc. .................................... 200 5,375
*Cambex Corp. ............................................. 5,200 34,125
Cambrex Corp. ............................................ 3,300 111,375
*Cambridge Neuroscience, Inc. ............................. 2,300 13,800
*Cambridge Technology Partners Massachusetts, Inc. ........ 2,700 86,400
*Campo Eletronics, Appliances & Computers, Inc. ........... 3,200 20,400
*Candela Laser Corp. ...................................... 1,000 1,875
*Candies, Inc. ............................................ 1,000 1,453
*Cannon Express, Inc. Class A ............................. 200 2,800
*Cantel Industries, Inc. Class B .......................... 2,000 12,000
*Canterbury Educational Services, Inc. .................... 2,500 6,719
*Canyon Resources Corp. ................................... 11,800 24,522
Cape Cod Bank & Trust Co. ................................ 500 15,188
Capital Guarantee Corp. .................................. 2,600 45,825
Capital Re Corp. ......................................... 8,100 199,463
Capitol American Financial Corp. ......................... 13,000 287,625
Capitol Bancorp, Ltd. .................................... 200 1,825
Capitol Transamerica Corp. ............................... 2,000 32,750
*Capsure Holdings Corp. ................................... 7,300 102,200
Caraustar Industries, Inc. ............................... 7,200 139,500
*Care Group, Inc. ......................................... 1,800 6,188
*Career Horizons, Inc. .................................... 200 3,925
*Careline, Inc. ........................................... 5,000 36,250
*Carlisle Plastics, Inc. Class A .......................... 5,100 25,500
*Carmike Cinemas, Inc. Class A ............................ 4,000 95,500
*Carolco Pictures, Inc. ................................... 2,800 66
Carolina First Corp. ..................................... 1,050 14,503
*Carolina Freight Corp. ................................... 2,000 19,500
Carpenter Technology Corp. ............................... 2,100 134,925
*Carr-Gottstein Foods Co. ................................. 200 1,263
*Carrington Laboratories, Inc. ............................ 3,400 73,100
*Carson Pirie Scott & Co. ................................. 200 3,350
Carter-Wallace, Inc. ..................................... 17,000 195,500
*Carver Corp. WA .......................................... 3,800 6,175
Cascade Corp. ............................................ 5,400 91,125
Cascade Natural Gas Corp. ................................ 3,950 58,756
Casey's General Stores, Inc. ............................. 11,800 198,388
Cash America International, Inc. ......................... 14,200 110,050
*Casino America, Inc. ..................................... 3,000 45,750
*Casino Data Systems ...................................... 200 3,025
*Casino Magic Corp. ....................................... 7,300 42,888
*Casino Resource Corp. .................................... 200 788
Castle (A.M.) & Co. ...................................... 18,750 283,594
*Catalina Lighting, Inc. .................................. 5,000 30,625
*Catalina Marketing Corp. ................................. 5,000 221,875
*Catalyst Semiconductor, Inc. ............................. 4,000 15,250
*Catalytica, Inc. ......................................... 7,500 25,781
*Catellus Development Corp. ............................... 42,500 265,625
Cathay Bancorp, Inc. ..................................... 1,100 14,713
*Catherines Stores Corp. .................................. 2,400 24,150
Cato Corp. Class A ....................................... 11,000 89,375
Cavalier Homes, Inc. ..................................... 1,000 11,125
*Cedar Group, Inc. ........................................ 2,900 11,963
*Celadon Group, Inc. ...................................... 1,600 26,200
*Celestial Seasonings, Inc. ............................... 800 14,350
*Celex Group, Inc. ........................................ 1,000 6,750
*Celgene Corp. ............................................ 4,800 43,200
*Cell Genesys, Inc. ....................................... 1,000 4,688
*Cellpro, Inc. ............................................ 2,700 28,181
*Cellstar Corp. ........................................... 3,700 72,150
187
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Cellular Communications, Inc. Class A .................... 2,900 $134,125
*Cellular Technical Services Co., Inc. .................... 1,900 37,288
*Celtrix Pharmaceuticals, Inc. ............................ 5,000 7,813
Cenfed Financial Corp. ................................... 1,200 23,850
Cenit Bancorp, Inc. ...................................... 200 7,225
Centennial Bancorp ....................................... 1,270 12,224
*Centennial Cellular Corp. Class A ........................ 6,100 82,350
Center Banks, Inc. ....................................... 200 2,550
Centerbank Waterbury, CT ................................. 6,200 89,125
*Centigram Communications Corp. ........................... 1,000 13,000
Central & Southern Holding Co. ........................... 1,500 10,969
*Central Co-Operative Bank
Somerville, MA .......................................... 900 9,000
Central Hudson Gas & Electric Corp. ...................... 5,100 138,338
Central Louisiana Electric Co., Inc. ..................... 5,300 126,538
Central Maine Power Co. .................................. 16,200 190,350
Central Reserve Life Corp. ............................... 1,800 13,388
*Central Sprinkler Corp. .................................. 2,500 56,563
Central Vermont Public Service Corp. ..................... 5,250 72,844
Centura Banks, Inc. ...................................... 9,500 245,813
Century Bancorp Income Class A ........................... 1,000 8,063
*Century Communications Corp. Class A ..................... 5,600 43,400
*Cephalon, Inc. ........................................... 10,300 102,356
*Ceradyne, Inc. ........................................... 11,800 59,738
*Cerberonics, Inc. Class A ................................ 200 988
*Chad Therapeutics ........................................ 1,300 10,725
*Chambers Development Co., Inc. ........................... 4,800 28,800
*Chambers Development Co., Inc. Class A ................... 25,400 152,400
Champion Enterprises, Inc. ............................... 10,400 174,200
Champion Parts, Inc. ..................................... 1,800 2,363
Chaparral Steel Co. ...................................... 11,200 106,400
*Chart House Enterprises, Inc. ............................ 3,700 28,675
Chart Industries, Inc. ................................... 5,000 26,875
Charter Federal Savings Bank ............................. 1,000 12,125
*Charter Medical Corp. .................................... 200 3,425
Charter One Financial, Inc. .............................. 16,400 412,050
Charter Power Systems, Inc. .............................. 4,300 97,288
*Chattem, Inc. ............................................ 2,500 13,281
*Check Technology Corp. ................................... 1,000 6,125
*Checkers Drive-In Restaurant, Inc. ....................... 25,100 56,083
*Checkmate Electronics, Inc. .............................. 200 2,000
*Checkpoint System, Inc. .................................. 9,700 212,188
*Cheesecake Factory, Inc. ................................. 200 4,975
Chemed Corp. ............................................. 2,500 84,688
*Chemfab Corp. ............................................ 3,700 61,050
*Chempower, Inc. .......................................... 1,800 6,300
*Chemtrak, Inc. ........................................... 2,700 7,594
*Cherry Corp. Class A ..................................... 3,600 54,900
*Cherry Corp. Class B ..................................... 3,600 50,850
Chesapeake Energy Corp. .................................. 200 5,425
Chesapeake Utilities Corp. ............................... 1,000 12,625
Chester Valley Bancorp ................................... 200 4,025
*Cheyenne Software, Inc. .................................. 7,800 117,975
*Chic by His, Inc. ........................................ 400 4,300
Chicago Rivet & Machine Co. .............................. 700 20,038
*Chicos Fas, Inc. ......................................... 4,000 22,000
*Children's Comprehensive Services, Inc. ................... 4,300 10,750
188
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Children's Discovery Centers of America, Inc. Class A .... 1,200 $ 20,325
*Chips & Technologies, Inc. ............................... 10,100 96,581
Chittenden Corp. ......................................... 906 19,598
*Chock Full O' Nuts Corp. ................................. 9,835 63,928
*Choice Drug System, Inc. ................................. 1,000 4,625
*Cholestech Corp. ......................................... 4,500 8,156
*Christiana Companies, Inc. ............................... 12,300 332,100
*Chromcraft Revington, Inc. ............................... 1,000 23,750
*Chronimed, Inc. .......................................... 2,850 38,119
Church & Dwight Co., Inc. ................................ 9,100 189,963
*Ciber, Inc. .............................................. 200 2,750
*Cidco, Inc. .............................................. 200 6,563
Cilcorp, Inc. ............................................ 5,200 193,050
*Cimco, Inc. .............................................. 700 3,325
*Cincinnati Microwave, Inc. ............................... 7,300 92,619
*Ciprico, Inc. ............................................ 600 4,313
*Circa Pharmaceuticals, Inc. .............................. 12,300 364,388
*Circon Corp. ............................................. 3,900 73,856
*Circuit Systems, Inc. .................................... 1,600 5,900
*Citation Computer System, Inc. ........................... 1,000 4,625
*Citation Insurance Group ................................. 1,000 3,000
Citfed Bancorp, Inc. ..................................... 2,100 56,438
Citicasters, Inc. Class A ................................ 1,800 42,750
Citizens Bancorp MD ...................................... 6,400 190,800
Citizens Banking Corp. ................................... 6,400 177,600
*Citizens, Inc. Class A ................................... 11,000 97,625
City Holding Co. ......................................... 200 5,450
City National Corp. ...................................... 20,200 224,725
*Civic Bancorp ............................................ 1,000 7,250
Claire's Stores, Inc. .................................... 11,100 177,600
Clarcor, Inc. ............................................ 8,500 174,250
*Clark (Dick) Productions, Inc. ........................... 1,000 8,875
*Clean Harbors, Inc. ...................................... 6,900 36,225
Cleveland Cliffs, Inc. ................................... 3,400 132,175
*Cliffs Drilling Co. ...................................... 2,500 34,219
*Clinicom, Inc. ........................................... 2,500 42,344
*Clintrials Research, Inc. ................................ 200 2,388
*Clothestime, Inc. ........................................ 8,000 23,875
Co-Operative Bank of Concord, MA ......................... 3,000 45,375
Coachmen Industries, Inc. ................................ 7,400 101,750
*Coast Distribution System ................................ 4,700 30,550
*Coast Savings Financial, Inc. ............................ 5,400 111,375
Coastal Bancorp, Inc. .................................... 4,000 62,000
Cobancorp, Inc. .......................................... 200 4,350
*Cobra Electronic Corp. ................................... 1,000 1,781
*Cobra Industries ,Inc. ................................... 200 588
Coca Cola Bottling Co.
Consolidated ............................................ 1,900 60,800
*Cocensys, Inc. ........................................... 6,700 28,475
*Coda Energy, Inc. ........................................ 15,200 102,600
*Code Alarm, Inc. ......................................... 1,500 10,125
Coeur d'Alene Mines Corp. ID ............................. 7,700 150,150
*Cognex Corp. ............................................. 9,300 311,550
*Cognitronics Corp. ....................................... 3,800 14,725
*Coherent Communications Systems Corp. ..................... 4,600 135,125
*Coherent, Inc. ........................................... 8,400 207,900
*Coho Energy, Inc. ........................................ 10,000 54,375
Cohu, Inc. ............................................... 4,100 186,550
*Cold Metal Products, Inc. ................................ 200 1,450
*Cole National Corp. Class A .............................. 1,000 9,750
Collagen Corp. ........................................... 5,600 95,900
Collective Bancorp, Inc. ................................. 9,149 205,281
189
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Collins Industries, Inc. ................................. 6,600 $ 16,088
Colonial Bancgroup, Inc. ................................. 1,000 25,250
*Colonial Data Technologies Corp. ......................... 6,200 121,675
Colonial Gas Co. ......................................... 8,050 158,988
*Columbia First Bank, A Federal Savings Bank .............. 4,300 246,981
*Columbia Laboratories, Inc. .............................. 10,100 69,438
*Columbus Energy Corp. .................................... 600 4,650
Comair Holdings, Inc. .................................... 5,000 140,000
*Comarco, Inc. ............................................ 2,800 27,300
*Comdata Holding Corp. .................................... 3,866 48,083
*Comdial Corp. ............................................ 4,200 12,600
Commerce Bancorp, Inc. ................................... 1,735 31,122
*Commercial Bancshares, Inc. .............................. 200 2,900
*Commercial Federal Corp. ................................. 5,800 170,738
Commercial Intertech Corp. ............................... 4,500 81,000
Commercial Metals Co. .................................... 7,600 208,050
*Commnet Cellular, Inc. ................................... 5,300 143,100
Commonwealth Energy System ............................... 2,100 82,950
*Communication Cable, Inc. ................................ 1,112 8,827
Communications Systems, Inc. ............................. 9,000 144,000
Community Bank System, Inc. .............................. 2,500 63,750
Community Bankshares, Inc. NH ............................ 800 13,100
Community First Bankshares, Inc. ......................... 900 14,006
*Community Health Systems, Inc. ........................... 3,300 116,325
Community Psychiatric Centers ............................ 21,800 269,775
*CompUSA, Inc. ............................................ 5,300 139,125
*Competitive Technologies, Inc. ........................... 1,400 8,925
*Compression Laboratories, Inc. ........................... 8,800 82,500
*Comptek Research, Inc. ................................... 7,900 129,363
*Compucom Systems, Inc. ................................... 10,000 44,375
Computer Data Systems, Inc. .............................. 5,700 57,713
*Computer Horizons Corp. .................................. 11,925 150,553
*Computer Identics Corp. .................................. 2,100 6,234
Computer Language Research, Inc. ......................... 9,600 87,000
*Computer Network Technology Corp. ........................ 11,100 113,775
*Computer Outsourcing Services, Inc. ...................... 200 675
*Computer Products, Inc. .................................. 12,200 67,863
Computer Task Group, Inc. ................................ 1,900 21,613
*Computer Telephone Corp. Class 1 ......................... 500 6,750
*Computervision Corp. ..................................... 23,700 133,313
*Computrac, Inc. .......................................... 2,400 2,700
*Comshare, Inc. ........................................... 4,000 70,000
*Comstock Resources, Inc. ................................. 2,300 10,853
*Comtech Telecommunications Corp. ......................... 1,000 2,625
*Comverse Tecnology, Inc. ................................. 9,900 147,881
*Concord EFS, Inc. ........................................ 18,450 387,450
*Condor Services, Inc. .................................... 1,000 4,938
*Cone Mills Corp. NC ...................................... 15,000 189,375
*Conmed Corp. ............................................. 8,850 172,575
Connecticut Energy Corp. ................................. 3,800 74,575
Connecticut Natural Gas Corp. ............................ 2,900 65,613
Connecticut Water Services, Inc. ......................... 1,400 33,775
*Conner Peripherals, Inc. ................................. 25,800 332,175
Conservative Savings Corp. ............................... 200 1,975
*Consilium, Inc. .......................................... 4,000 32,500
*Conso Products Co. ....................................... 1,000 13,625
*Consolidated Products, Inc. .............................. 5,457 79,127
Consolidated Tokoma Land Co. ............................. 1,700 23,800
*Consumer Portfolio Services, Inc. ........................ 200 3,325
190
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
Consumers Water Co. ...................................... 4,100 $ 61,500
*Continental Can, Inc. DE ................................. 1,000 24,500
Continental Homes Holding Corp. .......................... 3,600 54,900
*Continental Medical Systems, Inc. ........................ 19,200 180,000
*Continuum Co., Inc. ...................................... 5,100 158,100
*Control Data Systems, Inc. ............................... 8,300 86,113
*Convest Energy Corp. ..................................... 1,000 3,844
*Convex Computer Corp. .................................... 11,600 44,950
Cooker Restaurant Corp. .................................. 3,500 30,188
*Cooper Companies, Inc. ................................... 14,400 30,600
*Copley Pharmaceutical, Inc. .............................. 7,500 121,875
*Copytele, Inc. ........................................... 7,300 48,134
*Cor Therapeutics, Inc. ................................... 8,200 127,100
*Corcom, Inc. ............................................. 200 738
Core Industries, Inc. .................................... 5,200 53,950
*Cornerstone Financial Corp. .............................. 200 1,700
*Cornerstone Imaging, Inc. ................................ 3,000 39,375
*Corrections Corp. of America ............................. 7,900 276,500
*Cortech, Inc. ............................................ 6,000 14,156
*Corvas International, Inc. ............................... 1,900 4,275
*Corvel Corp. ............................................. 1,000 22,250
*Cosmetic Centers, Inc. Class A ........................... 200 1,563
*Cosmetic Centers, Inc. Class B ........................... 200 1,638
Cotton States Life Insurance Co. ......................... 200 1,813
Courier Corp. ............................................ 200 3,875
Craftmade International, Inc. ............................ 2,000 15,875
*Craig (Jenny), Inc. ...................................... 11,900 89,250
*Craig Corp. .............................................. 1,000 9,813
*Cray Research, Inc. ...................................... 12,800 292,800
*Creative Biomolecules, Inc. .............................. 4,900 10,413
Credence Systems Corp. ................................... 7,500 259,688
*Cree Research, Inc. ...................................... 3,000 65,813
*Criticare Systems, Inc. .................................. 3,000 6,469
Cross (A.T.) Co. Class A ................................. 8,900 139,063
Cross Timbers Oil Co. .................................... 8,000 127,000
*Crosscomm Corp. .......................................... 2,300 27,169
*Crossman Communities, Inc. ............................... 4,000 39,500
*Crown Books Corp. ........................................ 2,700 40,500
*Crown Central Petroleum Corp. Class A .................... 1,400 23,450
*Crown Central Petroleum Corp. Class B .................... 1,500 24,750
Crown Crafts, Inc. ....................................... 5,100 89,250
*Crown Resources Corp. .................................... 6,600 31,350
*Crown-Andersen, Inc. ..................................... 1,000 6,500
*Cruise America, Inc. ..................................... 2,600 12,675
*Cryenco Sciences, Inc. Class A ........................... 2,400 9,600
*Cryomedical Sciences, Inc. ............................... 12,300 29,981
*Crystal Oil Co. .......................................... 1,200 36,600
Cubic Corp. .............................................. 1,600 37,200
*Culbro Corp. ............................................. 2,200 58,300
Cullen Frost Bankers, Inc. ............................... 5,030 199,314
Culp, Inc. ............................................... 16,818 159,771
Cupertino National Bancorp ............................... 200 1,825
*Curative Technologies, Inc. .............................. 7,000 46,375
Curtiss-Wright Corp. ..................................... 1,300 53,463
*Custom Chrome, Inc. ...................................... 1,000 20,000
*Customedix Corp. ......................................... 1,100 2,681
*Cyberonics, Inc. ......................................... 4,100 18,450
*Cyberoptics Corp. ........................................ 1,900 34,081
*Cycare Systems, Inc. ..................................... 3,400 84,150
*Cygne Designs, Inc. ...................................... 5,000 27,500
*Cygnus Therapeutic System ................................ 4,100 34,081
*Cyrix Corp. .............................................. 200 5,138
*Cyrk, Inc. ............................................... 4,500 39,375
191
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Cytec Industries, Inc. ................................... 7,600 $280,250
*Cytel Corp. .............................................. 8,000 38,125
*Cytocare, Inc. ........................................... 600 4,275
*Cytogen Corp. ............................................ 10,200 37,613
*Cytotherapeutics, Inc. ................................... 7,400 44,863
*Cytrx Corp. .............................................. 19,000 33,250
*D F & R Restaurants, Inc. ................................ 200 3,750
*D&N Financial Corp. ...................................... 200 1,913
DAIG Corp. ............................................... 200 2,600
*DBA Systems, Inc. ........................................ 1,700 12,431
*DEP Corp. Class A ........................................ 1,900 2,375
*DEP Corp. Class B ........................................ 6,200 8,913
*DH Technology, Inc. ...................................... 2,500 60,313
*DIY Home Warehouse, Inc. ................................. 10,000 70,625
*DM Management Co. ........................................ 2,000 5,875
*DMX, Inc. ................................................ 13,000 28,438
*DNA Plant Technology Corp. ............................... 17,300 35,141
*DNX Corp. ................................................ 3,800 13,775
*DR Horten, Inc. .......................................... 12,535 144,153
*DRCA Medical Corp. ....................................... 1,100 3,713
*DS Bancor, Inc. .......................................... 728 19,019
*DSP Technology, Inc. ..................................... 1,000 7,250
DT Industries, Inc. ...................................... 5,000 59,375
*DVI, Inc. ................................................ 5,500 66,000
*Daily Journal Corp. ...................................... 200 4,150
*Dairy Mart Convenience Stores, Inc. Class A .............. 1,600 8,000
*Daka International, Inc. ................................. 1,100 19,525
Dallas Semiconductor Corp. ............................... 18,700 343,613
*Damark International, Inc. Class A ....................... 1,000 6,500
Dames & Moore, Inc. ...................................... 10,300 122,313
Daniel Industries, Inc. .................................. 5,200 79,950
*Danskin, Inc. ............................................ 1,700 3,613
Dart Group Corp. Class A ................................. 700 61,600
*Data General Corp. ....................................... 18,000 144,000
*Data I/O Corp. ........................................... 3,700 29,600
*Data Measurement Corp. ................................... 200 2,138
*Data Race, Inc. .......................................... 1,200 13,200
*Data Research Association, Inc. .......................... 1,000 11,688
*Data Switch Corp. ........................................ 9,300 38,363
*Data Systems & Software, Inc. ............................ 1,800 13,950
*Data Translation, Inc. ................................... 4,200 112,875
*Data Transmission Network Corp. .......................... 200 5,100
*Dataflex Corp. ........................................... 3,400 25,500
*Datakey, Inc. ............................................ 1,000 3,625
*Datamarine International, Inc. ........................... 200 1,800
*Datametrics Corp. ........................................ 4,100 36,131
*Datapoint Corp. .......................................... 4,200 6,825
*Dataram Corp. ............................................ 1,100 6,119
*Datascope Corp. .......................................... 10,800 178,200
*Dataware Technologies, Inc. .............................. 4,000 52,000
*Datawatch Corp. .......................................... 1,200 4,500
*Datron Systems, Inc. ..................................... 1,800 19,913
*Datum, Inc. .............................................. 1,000 13,063
*Davel Communications Group, Inc. ......................... 200 2,275
*Davidson & Associates, Inc. .............................. 200 5,825
Davis Water & Waste Industries, Inc. ..................... 5,500 53,625
*Davox Corp. .............................................. 5,000 39,688
*Dawson Geophysical Co. ................................... 4,100 51,250
*Daxor Corp. .............................................. 4,400 30,250
*Day Runner, Inc. ......................................... 1,200 20,700
*De Soto, Inc. ............................................ 2,700 13,500
DeKalb Genetics Corp. Class B ............................ 2,000 74,875
192
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
Deb Shops, Inc. .......................................... 4,800 $ 19,200
*Deckers Outdoor Corp. .................................... 200 2,200
Decorator Industries, Inc. ............................... 900 7,988
Defiance, Inc. ........................................... 7,600 47,975
*Deflecta-Shield Corp. .................................... 200 1,950
*Del Electronics Corp. .................................... 1,091 6,682
Del Laboratories, Inc. ................................... 4,533 220,984
*Delaware Ostego Corp. .................................... 200 1,975
Delchamps, Inc. .......................................... 1,000 18,688
*Delphi Financial Group, Inc. Class A ..................... 1,300 22,425
*Delphi Information Systems, Inc. ......................... 5,000 6,563
Delta & Pine Land Co. .................................... 4,800 120,000
Delta Natural Gas Co., Inc. .............................. 1,400 24,325
Delta Woodside Industries, Inc. .......................... 11,000 89,375
Deposit Guaranty Corp. ................................... 3,500 129,938
*Designatronics, Inc. ..................................... 1,000 4,688
*Designs, Inc. ............................................ 12,450 108,159
*Detection Systems, Inc. .................................. 2,800 19,425
*Detrex Corp. ............................................. 500 3,938
*Detroit Diesel Corp. ..................................... 5,000 110,000
*Devcon International Corp. ............................... 2,000 15,250
Devon Energy Corp. ....................................... 14,700 316,050
*Devon Group, Inc. ........................................ 1,400 37,275
Devry, Inc. .............................................. 5,600 217,700
*Dewolfe Companies, Inc. .................................. 200 925
Dexter Corp. CT .......................................... 12,100 285,863
*Diagnostek, Inc. ......................................... 12,200 213,500
Diagnostic Products Corp. ................................ 3,300 133,238
*Diagnostic Retrieval Systems, Inc. Class A ............... 500 2,953
*Dial Page, Inc. .......................................... 5,600 75,600
*Dialogic Corp. ........................................... 8,500 210,375
*Diana Corp. .............................................. 1,050 4,856
*Dianon Systems, Inc. ..................................... 3,300 15,675
*Digi International, Inc. ................................. 4,100 84,563
*Digicon, Inc. ............................................ 700 3,500
*Digital Biometrics, Inc. ................................. 3,000 30,188
*Digital Link Corp. ....................................... 200 4,975
*Digital Microwave Corp. .................................. 3,100 37,975
*Digital Sound Corp. ...................................... 6,800 16,575
*Digital Systems International, Inc. ...................... 1,700 13,069
Dimark, Inc. ............................................. 2,500 33,125
*Dime Bancorp, Inc. ....................................... 34,185 324,758
*Dime Financial Corp. ..................................... 2,300 22,713
Dimon, Inc. .............................................. 19,150 330,338
*Diodes, Inc. ............................................. 1,200 12,000
*Dionex Corp. ............................................. 2,400 101,400
*Discount Auto Parts, Inc. ................................ 10,300 276,813
*Discovery Zone, Inc. ..................................... 200 1,825
*Diversified Communications Industries, Ltd. ............... 1,000 370
Dixie Yarns, Inc. ........................................ 4,381 31,215
*Dixon Ticonderoga Co. .................................... 1,700 13,281
*Dolco Packaging Corp. .................................... 200 3,300
Donegal Group, Inc. ...................................... 1,800 30,600
Donnelly Corp. Class A ................................... 3,000 45,750
*Dorsey Trailers, Inc. .................................... 3,000 30,375
Douglas & Lomason Co. .................................... 2,600 40,950
Downey Financial Corp. ................................... 7,400 133,200
*Dravo Corp. .............................................. 3,800 50,350
*Dress Barn, Inc. ......................................... 13,400 122,275
*Drew Industries, Inc. .................................... 3,200 34,400
*Drexler Technology Corp. ................................. 1,300 8,613
Dreyer's Grand Ice Cream, Inc. ........................... 8,300 262,488
193
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Drug Emporium, Inc. ...................................... 4,000 $ 16,500
*Drypers Corp. ............................................ 1,500 9,188
*Dual Drilling Co. ........................................ 5,000 50,000
*Ducommun, Inc. ........................................... 4,800 32,100
Duff & Phelps Corp. ...................................... 7,700 82,775
Duff & Phelps Credit Rating Co. .......................... 2,566 33,037
*Duplex Products, Inc. .................................... 4,300 36,013
*Dura Pharmaceuticals, Inc. ............................... 2,000 29,250
*Duracraft Corp. .......................................... 200 6,300
*Durakon Industries, Inc. ................................. 5,200 85,150
*Duramed Pharmaceuticals, Inc. ............................ 3,200 52,400
Duriron Co., Inc. ........................................ 8,600 178,988
Duty Free International, Inc. ............................ 15,000 151,875
Dyersburg Corp. .......................................... 4,100 21,525
Dynamics Corp. of America ................................ 7,500 172,500
*Dynamics Research Corp. .................................. 4,471 20,399
*Dynatech Corp. ........................................... 8,400 149,100
*E for M Corp. ............................................ 1,200 8,100
E'town Corp. ............................................. 1,200 31,050
*E-Z-Em, Inc. Class A ..................................... 2,450 12,556
*E-Z-Em, Inc. Class B ..................................... 5,874 26,800
*EA Engineering Science & Technology, Inc. ................. 5,625 32,344
*ECC International Corp. .................................. 8,500 92,438
*EFI Electronics Corp. .................................... 800 1,225
*EIS International, Inc. .................................. 5,200 77,675
*ELXSI Corp. .............................................. 1,000 5,875
EMC Insurance Group, Inc. ................................ 6,300 71,663
*EP Technologies, Inc. .................................... 5,000 50,938
*ERO, Inc. ................................................ 3,000 23,250
*ESCO Electronics Corp. Trust Receipts .................... 3,200 26,800
ESELCO, Inc. ............................................. 206 4,532
*ESSEF Corp. .............................................. 1,500 24,000
*EZ Serve Corp. ........................................... 17,000 18,063
Eagle Bancshares, Inc. ................................... 200 5,500
Eagle Financial Corp. .................................... 2,200 43,450
*Eagle Food Centers, Inc. ................................. 8,100 18,225
*Eagle Hardware & Garden, Inc. ............................ 9,400 68,738
*Earth Technology Corp. ................................... 1,700 8,075
*Easel Corp. .............................................. 3,000 9,563
Eastern Bancorp, Inc. .................................... 1,100 21,175
Eastern Co. .............................................. 5,600 82,600
*Eastern Environment Services, Inc. ....................... 1,000 1,500
Eastern Utilities Associates ............................. 8,900 205,813
*Eastex Energy, Inc. ...................................... 1,100 4,606
*Ecogen, Inc. ............................................. 21,700 46,113
Ecology & Environment, Inc. Class A ...................... 500 3,938
*Ecoscience Corp. ......................................... 6,000 9,375
Edison Brothers Stores, Inc. ............................. 11,000 144,375
*Edison Control Corp. ..................................... 1,000 5,375
*Edisto Resources Corp. ................................... 7,600 58,900
*Editek, Inc. ............................................. 1,700 4,675
Edo Corp. ................................................ 3,400 11,050
*Education Alternatives, Inc. ............................. 5,000 56,250
*Educational Development Corp. ............................ 200 2,450
*Egghead, Inc. ............................................ 7,800 79,950
Ekco Group, Inc. ......................................... 8,800 52,800
*El Chico Restaurants, Inc. ............................... 2,900 23,563
Elco Industries, Inc. .................................... 4,300 81,700
*Elcor Corp. .............................................. 6,000 116,250
Eldorado Bancorp CA ...................................... 700 8,575
*Electric & Gas Technology, Inc. .......................... 4,900 12,709
194
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Electro Rent Corp. ....................................... 4,000 $ 87,500
*Electro Scientific Industries, Inc. ...................... 4,500 110,531
*Electroglas, Inc. ........................................ 200 10,300
*Electromagnetic Sciences, Inc. ........................... 11,500 156,688
*Electronic Associates, Inc. .............................. 200 1,375
Electronic Tele Communications, Inc. Class A ............. 1,000 3,250
*Electronics for Imaging, Inc. ............................ 7,600 348,650
*Elek-Tek, Inc. ........................................... 4,000 25,250
*Eljer Industries, Inc. ................................... 2,100 11,288
Ellett Brothers, Inc. .................................... 3,000 26,625
*Embrex, Inc. ............................................. 1,000 7,406
*Emcon .................................................... 3,200 15,200
*Emisphere Technologies, Inc. ............................. 2,200 5,363
*Emmis Broadcasting Corp. Class A ......................... 200 4,200
*Empi, Inc. ............................................... 2,000 28,875
Empire District Electric Co. ............................. 6,800 115,600
*Employee Benefit Plans, Inc. ............................. 2,500 33,438
*Emulex Corp. ............................................. 4,450 96,231
*Encad, Inc. .............................................. 200 5,113
*Encore Computer Corp. .................................... 6,800 13,600
*Encore Wire Corp. ........................................ 200 2,850
Energen Corp. ............................................ 6,600 136,950
*Energy Biosystems Corp. .................................. 6,000 30,750
*Energy Research Corp. .................................... 1,000 9,000
*Energy Ventures, Inc. .................................... 4,400 80,300
Energy West, Inc. ........................................ 200 1,575
Energynorth, Inc. ........................................ 2,400 38,100
*Engineered Support Systems, Inc. ......................... 200 1,275
*Engineering Measurements Co. ............................. 1,000 2,531
Engle Homes, Inc. ........................................ 2,000 18,250
Enhance Financial Services Group, Inc. ................... 9,900 176,963
Ennis Business Forms, Inc. ............................... 4,600 60,950
*Ensys Environmental Products, Inc. ....................... 1,000 2,750
*Enterra Corp. DE ......................................... 7,500 143,438
*Environmental Elements Corp. ............................. 6,400 19,200
*Environmental Technologies Corp. ......................... 200 2,488
Enviroq Corp. ............................................ 280 0
*Envirotest Systems Corp. Class A ......................... 7,200 43,650
Envoy Corp. .............................................. 2,000 43,500
*Enzo Biochem, Inc. ....................................... 9,900 95,288
*Enzon, Inc. .............................................. 6,300 15,356
*Epitope, Inc. ............................................ 2,200 32,450
*Equinox Systems, Inc. .................................... 2,000 16,250
*Equitex, Inc. ............................................ 1,000 1,406
*Equitrac Corp. ........................................... 200 938
*Equity Oil Co. ........................................... 14,200 63,900
*Escagenetics Corp. ....................................... 3,500 595
*Escalade, Inc. ........................................... 3,335 13,757
Eskimo Pie Corp. ......................................... 1,600 24,500
Espey Manufacturing & Electronics Corp. .................. 1,700 21,888
Essex Corp. .............................................. 1,000 1,406
Essex County Gas Co. ..................................... 200 4,525
*Esterline Technologies Corp. ............................. 3,000 52,875
*Ethan Allen Interiors, Inc. .............................. 200 4,000
*Evans & Sutherland Computer Corp. ........................ 3,800 52,725
*Evans, Inc. .............................................. 1,000 1,563
Evergreen Bancorp, Inc. DE ............................... 200 3,450
*Evergreen Healthcare, Inc. ............................... 6,200 75,175
*Evergreen Media Corp. Class A ............................ 2,800 59,850
195
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Evergreen Resources, Inc. ................................ 1,500 $ 8,250
*Exabyte Corp. ............................................ 10,700 145,119
Exar Corp. ............................................... 8,100 214,650
*Excalibur Technologies Corp. ............................. 4,600 56,925
Excel Industries, Inc. ................................... 7,600 104,500
*Excel Technology, Inc. ................................... 1,700 6,694
*Executive Telecard, Ltd. ................................. 2,795 10,656
*Executone Information Systems, Inc. ...................... 18,400 40,250
*Exide Electronics Group, Inc. ............................ 1,352 23,660
Expeditors International of Washington .................... 2,000 44,500
*Express America Holdings Corp. ........................... 2,400 10,350
*Express Scripts, Inc. Class A ............................ 200 6,300
*Ezcorp, Inc. Class A Non-Voting .......................... 4,900 31,850
*F & M Distributors, Inc. ................................. 3,000 5,250
F & M National Corp. ..................................... 3,177 50,435
FCB Financial Corp. ...................................... 200 3,100
*FDP Corp. ................................................ 3,500 21,000
*FLIR Systems, Inc. ....................................... 200 2,500
FMC Gold Co. ............................................. 33,400 133,600
*FPA Corp. ................................................ 2,000 2,500
*FRP Properties, Inc. ..................................... 2,500 53,750
*FSI International, Inc. .................................. 2,700 128,925
Fab Industries, Inc. ..................................... 5,600 177,800
*Fabri-Centers of America, Inc. ........................... 9,200 186,300
*Failure Group, Inc. ...................................... 4,300 22,575
*Fairchild Corp. Class A .................................. 6,000 16,500
*Falcon Oil & Gas Co., Inc. ............................... 1,000 185
Falcon Products, Inc. .................................... 5,500 70,125
Family Bancorp ........................................... 200 4,350
Fansteel, Inc. ........................................... 4,000 27,000
*Farah, Inc. .............................................. 8,000 56,000
Farmer Brothers Co. ...................................... 200 25,400
*Farr Co. ................................................. 2,300 16,244
Farrel Corp. ............................................. 1,800 10,800
*Fastcomm Communications Corp. ............................ 5,700 28,856
Fay's, Inc. .............................................. 10,175 73,769
*Fedders Corp. ............................................ 10,000 67,500
*Fedders Corp. Class A .................................... 5,000 29,063
Federal Screw Works ...................................... 1,800 37,575
*Ferrofluidics Corp. ...................................... 1,631 12,742
*Fibreboard Corp. ......................................... 2,400 45,300
Fidelity Financial Bankshares Corp. ...................... 200 2,275
Fidelity National Financial, Inc. ........................ 6,950 90,350
*Fieldcrest Cannon, Inc. .................................. 1,000 22,750
*Fifty-Off Stores, Inc. ................................... 5,600 11,900
*Figgie International, Inc. Class A ....................... 4,000 32,250
*Figgie International, Inc. Class B ....................... 1,000 7,438
*Filenes Basement Corp. ................................... 12,200 48,800
*Filenet Corp. ............................................ 3,200 100,800
*Financial Benefit Group, Inc. Class A .................... 4,200 13,125
*Financial Federal Corp. .................................. 2,700 47,250
Financial Trust Corp. .................................... 3,200 88,400
*Finish Line, Inc. Class A ................................ 2,700 23,794
First Albany Companies, Inc. ............................. 210 1,680
First Alert, Inc. ........................................ 6,000 84,375
First American Financial Corp. ........................... 5,000 108,125
First Bancorp ............................................ 200 4,350
*First Cash, Inc. ......................................... 200 638
First Central Financial Corp. ............................ 9,300 69,750
First Citizens Bancshares, Inc. NC ....................... 3,400 165,325
First Citizens Financial Corp. ........................... 1,155 19,779
196
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*First Commercial Bancorp, Inc. ........................... 2,100 $ 2,198
First Commercial Corp. ................................... 8,557 216,599
First Commonwealth Financial Corp. ....................... 5,000 73,125
First Essex Bancorp ...................................... 2,300 18,544
First Federal Capital Corp. .............................. 1,100 17,325
First Federal Savings & Loan Association of East Hartford,
CT ...................................................... 1,500 27,188
First Federal Savings Bank of Colorado (Lakewood) ........ 1,800 40,950
First Financial Bancorp .................................. 200 6,700
First Financial Bankshares, Inc. ......................... 200 5,400
First Financial Corp. WI ................................. 16,100 265,650
First Financial Holdings, Inc. ........................... 3,000 56,250
First Franklin Corp. ..................................... 200 2,550
First Georgia Holdings, Inc. ............................. 200 1,300
First Harrisburg Bancor, Inc. ............................ 200 2,500
First Home Savings Bank FSB Pennsville, NJ ............... 200 2,875
First Indiana Corp. ...................................... 5,366 101,283
First Liberty Financial Corp. ............................ 600 9,525
First Merchants Corp. .................................... 200 6,875
First Michigan Bank Corp. ................................ 7,426 180,999
First Midwest Bancorp, Inc. .............................. 5,500 134,750
First Mississippi Corp. .................................. 13,600 314,500
First Mutual Savings Bank ................................ 200 2,200
First National Bancorp GA ................................ 4,700 97,525
First Northern Savings Bank S.A. Green Bay, WI ........... 200 2,750
*First Pacific Networks, Inc. ............................. 9,700 20,613
*First Republic Bancorp, Inc. ............................. 4,682 61,451
First Source Corp. ....................................... 2,425 73,053
First State Financial Services, Inc. ..................... 1,000 10,813
*First Team Sports, Inc. .................................. 1,650 34,031
First United Bancorp ..................................... 1,400 10,763
First Western Bancorp, Inc. .............................. 1,300 36,400
*FirstFed Financial Corp. DE .............................. 6,400 107,200
FirstFed Michigan Corp. .................................. 10,300 299,344
FirstFederal Financial Services Corp. .................... 220 4,483
Firstar Corp. ............................................ 1,156 36,559
Firstbank of Illinois Co. ................................ 2,100 56,963
Firstfed Bancshares, Inc. ................................ 200 3,625
*Firstmiss Gold, Inc. ..................................... 5,500 78,031
*Fischer Imaging Corp. .................................... 1,000 5,313
Fisher Scientific International, Inc. .................... 8,000 261,000
Flag Financial Corp. ..................................... 200 2,175
*Flagstar Companies, Inc. ................................. 21,900 105,394
Flair Corp. .............................................. 3,000 62,813
Flamemaster Corp. ........................................ 200 775
Flexsteel Industries, Inc. ............................... 6,200 65,100
*Florida First Bancorp, Inc. .............................. 200 1,125
Florida Public Utilities Co. ............................. 500 8,813
Florida Rock Industries, Inc. ............................ 4,300 123,088
*Flow International Corp. ................................. 14,400 129,600
Fluke Corp. .............................................. 2,100 87,938
*Foamex International, Inc. ............................... 5,300 39,750
*Foodarama Supermarkets, Inc. ............................. 1,500 15,469
*Foodbrands America, Inc. ................................. 2,100 23,100
*Foodmaker, Inc. .......................................... 28,000 143,500
Foothill Group, Inc. Class A ............................. 10,700 264,825
Foothill Independent Bancorp ............................. 1,155 9,023
Foremost Corp. of America ................................ 4,800 194,400
Forest City Enterprises, Inc. Class A .................... 2,300 84,813
197
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
Forest City Enterprises, Inc. Class B .................... 1,700 $ 63,325
*Forest Oil Corp. ......................................... 17,700 35,400
*Forschner Group, Inc. .................................... 4,800 48,600
*Forstmann & Co., Inc. .................................... 1,000 3,875
Fort Wayne National Corp. ................................ 5,100 145,350
*Fossil, Inc. ............................................. 200 3,450
Foster (L.B.) Co. Class A ................................ 20,900 82,294
*Fourth Shift Corp. ....................................... 200 700
*Foxmeyer Health Corp. .................................... 13,584 246,210
*Frame Technology Corp. ................................... 6,300 154,744
*Framingham Savings Bank MA ............................... 3,100 10,463
Franklin Bank National Associaton Southfield, MI ......... 200 1,775
Franklin Electric Co., Inc. .............................. 3,300 103,950
*Franklin Electric Publishers, Inc. ....................... 4,700 129,250
Frederick's of Hollywood, Inc. Class A ................... 3,966 21,069
Frederick's of Hollywood, Inc. Class B ................... 7,933 39,665
Freds, Inc. Class A ...................................... 1,000 10,250
Fremont General Corp. .................................... 4,125 104,156
*Fresenius USA, Inc. ...................................... 9,200 91,425
*Fresh Choice, Inc. ....................................... 200 2,125
*Fretter, Inc. ............................................ 4,284 11,513
*Freymiller Trucking, Inc. ................................ 1,500 1,875
Friedman Industries, Inc. ................................ 12,379 50,290
Frisch's Restaurants, Inc. ............................... 26,679 250,116
Frontier Adjusters of America, Inc. ...................... 1,000 2,625
Frontier Insurance Group, Inc. ........................... 5,835 145,146
Frozen Food Express Industries, Inc. ..................... 7,207 75,674
*Fruehauf Trailer Corp. ................................... 8,000 34,000
Fuller (H.B.) Co. ........................................ 2,800 103,950
Fulton Financial Corp. ................................... 9,061 168,756
*Funco, Inc. .............................................. 1,700 7,650
Furon Co. ................................................ 3,900 85,800
*Future Healthcare, Inc. .................................. 3,400 12,325
*Future Now, Inc. ......................................... 2,000 14,750
G & K Services, Inc. Class A ............................. 13,000 232,375
*G-III Apparel Group, Ltd. ................................ 3,685 5,758
GBC Bancorp .............................................. 1,000 12,375
*GBC Technologies, Inc. ................................... 3,000 21,375
*GMIS, Inc. ............................................... 2,300 44,850
*GNI Group, Inc. .......................................... 1,000 6,313
*GRC International, Inc. .................................. 9,100 135,363
*GTI Corp. ................................................ 5,600 91,700
*GZA Geoenvironmental Technologies, Inc. ................... 1,700 6,375
Gainsco, Inc. ............................................ 9,574 96,937
*Galey & Lord, Inc. ....................................... 6,000 72,750
*Galileo Electro-Optics Corp. ............................. 3,900 26,325
Gallagher (Arthur J.) & Co. .............................. 7,800 272,025
*Galoob (Lewis) Toys, Inc. DE ............................. 9,600 75,600
Gamma Biologicals, Inc. .................................. 5,500 24,750
*Gander Mountain, Inc. .................................... 4,300 42,463
*Gantos, Inc. ............................................. 1,650 5,672
Garan, Inc. .............................................. 7,400 127,650
*Garnet Resources Corp. ................................... 2,800 8,225
Gateway Bancorp, Inc. .................................... 1,260 14,648
*Gehl Co. ................................................. 1,800 15,300
Gelman Sciences, Inc. .................................... 11,475 213,722
Gencorp, Inc. ............................................ 16,000 206,000
*Genelabs Technologies, Inc. .............................. 9,800 14,088
General Binding Corp. .................................... 7,200 127,800
198
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*General Datacomm Industries, Inc. ...................... 7,700 $ 77,963
*General Host Corp. ..................................... 10,069 69,224
General Housewares Corp. ............................... 3,100 37,200
*General Kinetics, Inc. ................................. 5,000 2,188
General Magnaplate Corp. ............................... 200 1,075
General Parametrics Corp. .............................. 5,121 8,322
General Physics Corp. .................................. 3,200 8,800
*Genesco, Inc. .......................................... 11,035 35,864
Genesee Corp. Class B .................................. 200 7,575
*Genesis Health Ventures, Inc. .......................... 7,200 213,300
*Genetic Therapy, Inc. .................................. 6,800 79,050
*Geneva Steel Co. Class A ............................... 2,600 26,325
*Genicom Corp. .......................................... 3,200 13,600
*Genlyte Group, Inc. .................................... 8,900 51,175
*Genome Therapeutics Corp. .............................. 6,300 36,816
Genovese Drug Stores, Inc. Class A ..................... 1,210 12,856
Genrad, Inc. ........................................... 12,000 91,500
*Gensia, Inc. ........................................... 9,200 27,888
*Genta, Inc. ............................................ 4,500 10,688
*Gentex Corp. ........................................... 24,300 443,475
*Genus, Inc. ............................................ 5,600 67,550
*Genzyme Corp. Tissue Repair Division ................... 3,906 25,877
*Genzyme Transgenics Corp. .............................. 320 960
Geodynamics Corp. ...................................... 4,100 37,413
George Mason Bankshares, Inc. .......................... 200 3,975
*Georgia-Bonded Fibres, Inc. ............................ 200 725
*Geotek Communications, Inc. ............................ 25,000 198,438
Gerber Scientific, Inc. ................................ 7,300 118,625
*Geriatric & Medical Companies, Inc. .................... 4,400 9,350
*Gerrity Oil and Gas Corp. .............................. 7,200 29,700
*Getty Petroleum Corp. .................................. 3,200 36,800
*Giant Group, Ltd. ...................................... 5,300 38,425
Giant Industries, Inc. ................................. 7,900 67,150
*Gibraltar Packaging Group, Inc. ........................ 1,000 6,000
Gibson (C.R.) Co. ...................................... 4,300 32,788
Gibson Greetings, Inc. ................................. 9,700 103,063
Giddings & Lewis, Inc. ................................. 17,100 296,044
*Giga-Tronics, Inc. ..................................... 1,600 11,100
Gilbert Associates, Inc. Class A ....................... 200 2,600
*Gilead Sciences, Inc. .................................. 10,000 165,000
*Gish Biomedical, Inc. .................................. 1,900 12,825
Glacier Bancorp, Inc. .................................. 220 4,153
Gleason Corp. .......................................... 1,000 21,750
*Global Natural Resources, Inc. ......................... 19,000 209,000
*Global Village Communication, Inc. ..................... 200 2,700
*Go Video, Inc. ......................................... 3,100 4,844
Golden Enterprises, Inc. ............................... 5,000 35,000
Golden Poultry Co., Inc. ............................... 2,783 17,394
*Goldwyn (Samuel) Co. ................................... 3,300 28,050
*Good Guys, Inc. ........................................ 6,800 71,825
GoodMark Foods, Inc. ................................... 7,800 121,875
*Goodys Family Clothing, Inc. ........................... 9,700 94,575
Gorman-Rupp Co. ........................................ 11,575 177,966
*Gottschalks, Inc. ...................................... 5,800 39,875
Goulds Pumps, Inc. ..................................... 9,600 225,600
*Government Technology Services, Inc. ................... 4,000 28,000
Graco, Inc. ............................................ 5,300 141,113
*Gradco Systems, Inc. ................................... 4,700 20,563
199
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Graham-Field Health Products, Inc. ..................... 6,500 $ 21,938
*Grancare, Inc. ......................................... 8,800 139,700
*Grand Casinos, Inc. .................................... 11,100 353,813
Granite Construction, Inc. ............................. 6,400 136,400
Granite State Bankshares, Inc. ......................... 800 10,650
*Grant Geophysical, Inc. ................................ 3,100 7,266
Graphic Industries, Inc. ............................... 2,900 28,638
*Great Country Bank of Ansonia, CT ...................... 1,000 2,688
Great Southern Bancorp, Inc. ........................... 200 3,575
*Greater New York Savings Bank NY ....................... 6,500 58,906
Green (A.P.) Industries, Inc. .......................... 5,550 111,694
Green Mountain Power Corp. ............................. 19,300 511,450
Greenfield Industries, Inc. DE ......................... 3,000 87,750
*Greenman Brothers, Inc. ................................ 7,900 53,819
*Greenwich Air Services, Inc. ........................... 200 1,775
Greiner Engineering, Inc. .............................. 4,900 55,125
Grey Advertising, Inc. ................................. 200 34,600
Greyhound Lines, Inc. .................................. 3,000 10,125
*Griffon Corp. .......................................... 51,500 437,750
*Grist Mill & Co. ....................................... 5,900 54,575
*Grossmans, Inc. ........................................ 9,900 19,491
*Ground Round Restaurants, Inc. ......................... 5,500 15,813
*Groundwater Technology, Inc. ........................... 2,400 28,500
*Group 1 Software, Inc. ................................. 3,000 30,375
*Group Technologies Corp. ............................... 3,000 15,000
Grovebank for Savings .................................. 200 4,650
*Grow Biz International, Inc. ........................... 200 2,375
Grow Group, Inc. ....................................... 7,300 160,600
*Gryphon Holdings, Inc. ................................. 100 1,413
Guaranty National Corp. ................................ 5,500 93,500
Guardsman Products, Inc. ............................... 12,000 153,000
*Guest Supply, Inc. ..................................... 4,000 104,000
Guilford Mills, Inc. ................................... 6,700 172,525
*Gulfmark International, Inc. ........................... 1,700 31,450
*Gull Laboratories, Inc. ................................ 3,000 16,125
*Gundle Environmental Systems, Inc. ..................... 7,200 40,500
*Gupta Corp. ............................................ 200 1,838
*HCC Insurance Holdings, Inc. ........................... 200 4,700
*HD Vest, Inc. .......................................... 1,100 3,300
*HEI, Inc. .............................................. 200 913
HF Financial Corp. ..................................... 200 5,250
*HMG Worldwide Corp. .................................... 2,500 4,219
HMI Industries, Inc. ................................... 5,400 89,775
*HPSC, Inc. ............................................. 2,600 12,025
*HS Resources, Inc. ..................................... 5,000 73,750
HUBCO, Inc. ............................................ 4,530 77,576
*Ha-Lo Industries, Inc. ................................. 900 8,550
Hach Co. ............................................... 2,125 32,672
*Hadco Corp. ............................................ 6,100 131,150
*Haemonetics Corp. ...................................... 19,700 354,600
Haggar Corp. ........................................... 200 3,675
Hahn Automotive Warehouse, Inc. ........................ 2,000 22,750
*Hallwood Energy Corp. .................................. 200 2,775
Hallwood Group, Inc. ................................... 3,800 11,400
*Halsey Drug Co., Inc. .................................. 4,400 8,525
*Hamburger Hamlet Restaurants, Inc. ..................... 2,300 11,788
*Hampshire Group, Ltd. .................................. 200 1,750
*Hampton Industries, Inc. ............................... 2,846 18,499
Hancock Fabrics, Inc. .................................. 12,900 106,425
Hancock Holding Co. .................................... 3,200 98,400
200
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Handex Environmental Recovery, Inc. .................... 3,100 $ 18,213
Handleman Co. .......................................... 15,200 176,700
Handy & Harman ......................................... 9,100 138,775
*Hanger Orthopedic Group, Inc. .......................... 4,100 13,325
*Hanover Direct, Inc. ................................... 55,600 166,800
*Harcor Energy, Inc. .................................... 200 725
*Harding Associates, Inc. ............................... 5,000 28,438
*Harken Energy Corp. .................................... 11,700 19,744
Harleysville Group, Inc. ............................... 9,000 220,500
Harleysville National Corp PA .......................... 200 5,300
*Harlyn Products, Inc. .................................. 2,900 10,150
Harman International Industries, Inc. .................. 3,300 119,213
Harmon Industries, Inc. ................................ 5,100 89,250
Harolds Stores, Inc. ................................... 1,996 19,960
Harper Group, Inc. ..................................... 5,100 92,438
*Harris & Harris Group, Inc. ............................ 4,800 23,100
*Harry's Farmers Market, Inc. Class A ................... 1,100 9,075
*Hartmarx Corp. ......................................... 14,700 71,663
*Harvey Entertainment Co. ............................... 2,000 30,000
Harvey's Casino Resorts ................................ 1,900 39,663
Hastings Manufacturing Co. ............................. 350 6,563
Hathaway Corp. ......................................... 2,700 7,256
*Hauser Chemical Research, Inc. ......................... 3,200 16,200
Haverfield Corp. ....................................... 200 2,750
Haverty Furniture Co., Inc. ............................ 5,300 54,656
Haverty Furniture Co., Inc. Class A .................... 200 2,125
Hawkeye Bancorp ........................................ 8,000 176,000
Hawkins Chemical, Inc. ................................. 2,788 19,168
*Hawthorne Financial Corp. .............................. 700 1,750
Hayes Wheels International, Inc. ....................... 8,800 158,400
*He-Ro Group, Ltd. ...................................... 2,000 1,750
Health Images, Inc. .................................... 2,100 10,500
*Health Management Systems, Inc. ........................ 1,300 34,125
*Health Management, Inc. ................................ 5,200 89,700
Health O Meter Products, Inc. .......................... 200 756
*Health Professionals, Inc. ............................. 12,500 6,250
*Health Risk Management, Inc. ........................... 1,000 9,563
*Health-Chem Corp. ...................................... 15,400 40,425
*Healthcare Imaging Services, Inc. ...................... 1,200 2,063
Healthcare Services Group, Inc. ........................ 9,200 102,925
Healthdyne Technologies, Inc. .......................... 9,572 105,294
Healthdyne, Inc. ....................................... 10,100 47,975
*Healthwise America, Inc. ............................... 1,100 32,175
*Heart Technology, Inc. ................................. 4,600 92,000
*Heartland Express, Inc. ................................ 6,875 186,484
Hechinger Co. Class A .................................. 14,900 112,681
Hechinger Co. Class B .................................. 5,800 44,950
*Hecla Mining Co. ....................................... 24,000 258,000
*Hector Communications Corp. ............................ 1,200 8,400
Heico Corp. ............................................ 1,100 17,188
Hein-Werner Corp. ...................................... 2,914 16,573
*Heist (C.H.) Corp. ..................................... 2,100 17,063
Helene Curtis Industries, Inc. ......................... 3,000 99,000
*Helian Health Group, Inc. .............................. 1,500 4,969
*Helionetics, Inc. ...................................... 4,200 1,953
Helix Technology Corp. ................................. 14,800 560,550
Henry Jack & Associates, Inc. .......................... 1,000 11,188
Herbalife International, Inc. .......................... 15,000 157,500
Heritage Financial Services, Inc. ...................... 1,000 17,625
*Heritage Media Corp. Class A ........................... 3,300 91,575
Hexcel Corp. ........................................... 5,000 27,500
201
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Hi-Lo Automotive, Inc. ................................. 3,300 $ 29,288
*Hi-Shear Industries, Inc. .............................. 5,500 31,625
*Hi-Tech Pharmacal, Inc. ................................ 3,500 17,500
Hibernia Savings Bank .................................. 200 2,750
*High Plains Corp. ...................................... 8,880 52,170
Hilb Rogal Hamilton Co. ................................ 6,500 81,250
*Hitox Corp. ............................................ 2,500 10,625
Hoenig Group, Inc. ..................................... 200 650
Hogan Systems, Inc. .................................... 12,000 102,000
Holly Corp. ............................................ 2,100 51,450
*Hollywood Casino Corp. Class A ......................... 15,000 144,375
Hollywood Entertainment Corp. .......................... 7,200 259,200
*Hologic, Inc. .......................................... 1,000 10,813
*Holopak Technologies, Inc. ............................. 3,500 27,125
*Holophane Corp. ........................................ 200 4,100
*Holson Burnes Group, Inc. .............................. 1,600 7,000
Home Beneficial Corp. Class B .......................... 5,200 108,550
Home Federal Bancorp ................................... 200 4,150
Home Port Bancorp, Inc. ................................ 900 9,450
*Home State Holdings, Inc. .............................. 5,000 50,000
*Home Theater Products International, Inc. ............. 3,000 7,875
*Homecorp, Inc. ......................................... 200 2,950
*Homeowners Group, Inc. ................................. 1,700 1,992
*Hometown Bancorp., Inc. ................................ 200 2,250
*Hondo Oil and Gas Co. .................................. 3,300 44,550
Hooper Holmes, Inc. .................................... 3,400 30,600
Horizon Bancorp, Inc. .................................. 200 5,900
Horizon Bank Bellingham, WA ............................ 3,938 45,287
*Hornbeck Offshore Services, Inc. ....................... 5,800 90,625
*Horsehead Resource Development Co., Inc. ............... 16,500 72,703
*Hospital Staffing Services, Inc. ....................... 1,200 2,100
*Hosposable Products, Inc. .............................. 200 1,425
*House of Fabrics, Inc. ................................. 2,200 2,475
*Hovnanian Enterprises, Inc. Class A .................... 6,050 35,922
*Hovnanian Enterprises, Inc. Class B .................... 1,150 6,828
Howell Corp. ........................................... 4,700 64,625
Howell Industries, Inc. ................................ 1,600 43,200
*Howtek, Inc. ........................................... 3,600 34,650
Hudson Foods, Inc. Class A ............................. 2,100 28,875
Hudson General Corp. ................................... 1,700 32,300
*Huffman Koos, Inc. ..................................... 1,000 6,875
Huffy Corp. ............................................ 6,700 94,638
Hughes Supply, Inc. .................................... 5,100 100,088
Hunt Manufacturing Co. ................................. 7,600 112,100
Huntco, Inc. Class A ................................... 1,500 28,875
*Hurco Companies, Inc. .................................. 3,300 13,200
*Hutchinson Technology, Inc. ............................ 2,400 79,800
*Hycor Biomedical, Inc. ................................. 5,600 28,000
*Hyde Athletic Industries, Inc. Class A ................. 200 925
*Hyde Athletic Industries, Inc. Class B ................. 100 456
Hydron Technologies, Inc. .............................. 9,800 48,081
*Hyperion Software Corp. ................................ 2,000 74,000
*I-Stat Corp. ........................................... 4,400 88,000
*ICF Kaiser International, Inc. ......................... 7,100 30,175
ICN Pharmaceuticals, Inc. .............................. 14,338 243,745
*ICO, Inc. .............................................. 1,700 9,138
ICOS Corp. ............................................. 12,800 64,800
*ICU Medical, Inc. ...................................... 2,000 27,250
IDEC Pharmaceuticals Corp. ............................. 2,500 11,250
202
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*IEC Electronics Corp. .................................. 200 $ 1,400
*IFR Systems, Inc. ...................................... 3,700 41,625
*IG Laboratories, Inc. .................................. 2,900 18,306
*IGI, Inc. .............................................. 8,700 119,625
*IHOP Corp. ............................................. 4,100 95,838
*II-VI, Inc. ............................................ 200 3,650
*ILC Technology, Inc. ................................... 2,900 30,450
IMCO Recycling, Inc. ................................... 7,700 139,563
*IPL Systems, Inc. Class A .............................. 1,000 4,625
*IQ Software Corp. ...................................... 800 11,100
*IVI Publishing, Inc. ................................... 5,000 34,688
IWC Resources Corp. .................................... 1,200 23,100
*Ibah, Inc. ............................................. 7,100 15,975
*Icot Corp. ............................................. 11,800 20,650
*Identix, Inc. .......................................... 8,400 58,275
Ideon Group, Inc. ...................................... 6,900 67,275
Idex Corp. ............................................. 5,850 198,900
Ikos Systems, Inc. ..................................... 1,500 12,469
*Illinois Superconductor Corp. .......................... 200 1,525
*Image Entertainment, Inc. .............................. 6,200 45,144
Image Industries, Inc. ................................. 4,000 41,250
*Imclone Systems, Inc. .................................. 2,800 3,763
*Imclone Systems, Inc. (Private Placement) .............. 7,000 8,466
*Immucor, Inc. .......................................... 2,000 18,625
*Immulogic Pharmaceutical Corp. ......................... 4,300 32,317
*Immune Response Corp. DE ............................... 4,700 14,688
*Immunogen, Inc. ........................................ 5,700 13,538
*Immunomedics, Inc. ..................................... 13,700 34,250
*Imo Industries, Inc. ................................... 7,700 61,600
Imperial Bancorp ....................................... 2,375 45,719
*Imperial Credit Industries, Inc. ....................... 2,530 29,411
Imperial Holly Corp. ................................... 5,100 44,944
*In Focus Systems, Inc. ................................. 8,000 193,000
*In Home Health, Inc. ................................... 4,700 12,338
*Inacom Corp. ........................................... 3,700 38,388
*Incstar Corp. .......................................... 4,100 11,788
*Incyte Pharmaceuticals, Inc. ........................... 4,000 61,000
Independence Holding Co. ............................... 1,000 3,250
Independent Bank Corp. MA .............................. 5,800 38,063
Independent Bank East .................................. 1,000 24,750
Independent Insurance Group, Inc. ...................... 3,400 42,075
Indiana Energy, Inc. ................................... 11,300 221,763
Indiana Federal Corp. .................................. 1,500 24,938
*Indresco, Inc. ......................................... 11,700 159,413
Industrial Acoustics Co., Inc. ......................... 200 3,000
*Industrial Funding Corp. Class A ....................... 1,000 1,813
*Industrial Holdings, Inc. .............................. 200 688
*Industrial Scientific Corp. ............................ 200 3,625
*Industrial Training Corp. .............................. 1,000 9,625
*Information International, Inc. ........................ 200 1,600
*Information Resources, Inc. ............................ 10,000 135,625
*Infrasonics, Inc. ...................................... 7,100 18,416
Ingles Market, Inc. Class A ............................ 900 8,325
*Inmac Corp. ............................................ 5,000 27,188
*Innerdyne, Inc. ........................................ 8,200 24,600
Innovex, Inc. .......................................... 7,200 162,450
*Input/Output, Inc. ..................................... 6,000 204,000
*Insignia Financial Group, Inc. Class A ................. 500 12,563
Insituform East, Inc. .................................. 200 838
*Insituform Technologies, Inc. Class A .................. 2,900 37,338
*Inso Corp. ............................................. 200 11,200
203
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
Insteel Industries, Inc. ............................... 3,770 $ 28,275
Instituform Mid America, Inc. Class A .................. 5,400 76,950
Instron Corp. .......................................... 11,200 130,200
*Insurance Auto Auctions, Inc. .......................... 4,300 123,088
Integon Corp. .......................................... 4,700 80,488
*Integrated Circuit Systems, Inc. ....................... 5,600 70,000
*Integrated Systems, Inc. ............................... 6,000 125,250
*Integrated Waste Services, Inc. ........................ 2,400 4,050
*Intellicall, Inc. ...................................... 2,200 9,625
Intelligent Electronics, Inc. .......................... 14,400 186,300
Intelogic Trace, Inc. .................................. 800 0
Inter-Regional Financial Group, Inc. ................... 2,400 64,500
*Inter-Tel, Inc. ........................................ 4,400 59,950
*Interactive Network, Inc. .............................. 3,400 956
Intercargo Corp. ....................................... 1,600 16,000
Interco, Inc. .......................................... 17,200 105,350
Intercontinental Bank .................................. 1,000 23,750
*Interdigital Communications Corp. ...................... 18,900 124,031
Interface Systems, Inc. ................................ 3,400 21,038
Interface, Inc. Class A ................................ 13,000 183,625
*Interferon Sciences, Inc. .............................. 8,900 17,244
*Interferon Sciences, Inc. (Private Placement) .......... 7,000 12,206
*Interfilm, Inc. ........................................ 2,500 5,000
*Intergraph Corp. ....................................... 20,000 268,750
*Intergrated Process Equipment Corp. .................... 5,000 135,000
*Interlake Corp. ........................................ 17,000 42,500
*Interleaf, Inc. ........................................ 9,000 55,125
*Interlinq Software Corp. ............................... 3,200 12,000
Intermagnetics General Corp. ........................... 10,693 161,739
*Intermedia Communications of Florida, Inc. ............. 5,600 54,950
*Intermet Corp. ......................................... 14,800 129,500
Intermetrics, Inc. ..................................... 3,400 22,100
International Aluminum Corp. ........................... 900 30,600
*International Dairy Queen, Inc. Class A ................ 7,100 134,900
*International Imaging Materials, Inc. .................. 200 4,850
*International Jensen, Inc. ............................. 1,700 15,088
*International Lottery & Totalizer Systems, Inc. ........ 6,900 13,584
International Multifoods Corp. ......................... 9,000 190,125
International Recovery Co. ............................. 3,136 65,464
*International Rectifier Corp. .......................... 9,300 249,938
*International Remote Imaging Systems, Inc. ............ 2,800 19,600
International Research & Development Corp. ............ 4,600 4,744
International Shipholding Corp. ........................ 2,700 55,013
*International Technology Corp. ......................... 15,300 45,900
*International Thoroughbred Breeders, Inc. ............. 1,200 8,175
*Interneuron Pharmaceuticals, Inc. ...................... 2,500 20,469
*Interneuron Pharmaceuticals, Inc. (Private Placement) .. 6,400 47,160
*Interphase Corp. ....................................... 2,200 23,788
*Interpoint Corp. WA .................................... 3,000 26,063
*Interpool, Inc. ........................................ 5,000 71,875
*Interpore International ................................ 1,000 5,750
*Intersolv, Inc. ........................................ 5,700 94,050
Interstate Bakeries Corp. DE ........................... 8,100 118,463
204
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
Interstate Johnson Lane, Inc. .......................... 200 $ 1,975
Interstate Power Co. ................................... 2,400 58,200
*Intertan, Inc. ......................................... 2,800 20,300
Intertrans Corp. ....................................... 82,800 1,552,500
*Intervisual Books, Inc. Class A ........................ 1,000 2,094
*Intervoice, Inc. ....................................... 9,300 147,056
Invacare Corp. ......................................... 2,000 80,125
Investors Title Co. .................................... 200 1,650
Iomega Corp. ........................................... 16,000 225,000
Ionics, Inc. ........................................... 8,600 236,500
Iroquois Bancorp ....................................... 200 4,600
Irwin Financial Corp. .................................. 1,000 33,375
Isco, Inc. ............................................. 43,935 488,777
*Isis Pharmaceuticals, Inc. ............................. 11,900 135,363
*Isomedix, Inc. ......................................... 4,900 71,050
*Iwerks Entertainment, Inc. ............................. 424 1,537
*J & J Snack Foods Corp. ................................ 4,600 55,200
JLG Industries, Inc. ................................... 5,200 133,250
JSB Financial, Inc. .................................... 5,400 167,738
*Jabil Circuit, Inc. .................................... 5,000 31,875
Jackpot Enterprises, Inc. .............................. 4,654 40,141
Jaclyn, Inc. ........................................... 1,700 8,713
Jaco Electronics, Inc. ................................. 880 7,040
*Jacobs Engineering Group, Inc. ......................... 10,000 218,750
Jacobson Stores, Inc. .................................. 2,900 29,000
*Jacor Communications, Inc. ............................. 5,100 70,763
*Jan Bell Marketing, Inc. ............................... 18,800 49,350
*Jason, Inc. ............................................ 7,187 69,175
*Jean Philippe Fragrances, Inc. ......................... 2,250 22,500
Jefferson Bankshares, Inc. ............................. 5,800 122,525
*Jefferson Savings Bancorp, Inc. ........................ 3,000 55,125
*Jennifer Convertibles, Inc. ............................ 1,300 3,653
John Alden Financial Corp. ............................. 5,000 91,250
*Johnson Worldwide Associates, Inc. Class A ............. 200 4,225
Johnston Industries, Inc. .............................. 10,800 102,600
*Johnstown American Industries, Inc. .................... 5,200 59,150
*Jones Intercable, Inc. ................................. 1,000 14,000
*Jones Intercable, Inc. Class A ......................... 5,200 70,525
Jones Medical Industries, Inc. ......................... 8,000 82,000
*Jones Plumbing System, Inc. ............................ 1,500 1,688
Joslyn Manufacturing Co. ............................... 2,100 53,813
Juno Lighting, Inc. .................................... 5,600 100,450
*Just Toys, Inc. ........................................ 2,100 2,822
Just for Feet, Inc. .................................... 200 6,488
Justin Industries, Inc. ................................ 13,600 138,550
K Swiss, Inc. Class A .................................. 2,200 28,600
*K-Tron International, Inc. ............................. 6,200 37,975
*K-V Pharmaceutical Co. Class A ......................... 1,800 10,350
KCS Energy, Inc. ....................................... 3,200 59,200
*KLLM Transport Services, Inc. .......................... 2,766 38,378
Kahler Realty Corp. .................................... 1,000 8,875
*Kaiser Resources, Inc. ................................. 9,700 67,900
Kaman Corp. Class A .................................... 9,400 115,738
*Kaneb Services, Inc. ................................... 9,800 19,600
*Kasler Holding Co. ..................................... 17,700 101,775
Katy Industries, Inc. .................................. 200 1,775
Kaufman (H.W.) Financial Group, Inc. ................... 2,420 18,755
Kaydon Corp. ........................................... 6,900 189,750
Keane, Inc. ............................................ 5,500 132,688
*Kelley Oil & Gas Corp. ................................. 10,600 57,638
Kellwood Co. ........................................... 8,500 144,500
*Kemet Corp. ............................................ 5,000 240,000
205
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Kenetech Corp. ......................................... 20,000 $208,750
Kent Electronics Corp. ................................. 7,950 244,463
*Kentucky Electric Steel, Inc. .......................... 2,000 18,500
*Kentucky Medical Insurance Co. Class A ................. 200 1,275
*Kenwin Shops, Inc. ..................................... 400 1,350
*Kerr Group, Inc. ....................................... 6,300 49,613
*Kevlin Corp. ........................................... 200 513
*Kewaunee Scientific Corp. .............................. 1,500 4,031
*Key Energy Group, Inc. ................................. 1,000 5,063
*Key Production Co., Inc. ............................... 3,000 16,875
*Key Technology, Inc. ................................... 3,000 31,125
*Key Tronic Corp. ....................................... 13,000 177,125
*Keystone Consolidated Industries, Inc. ................. 5,600 75,950
Keystone Heritage Group, Inc. .......................... 1,600 41,800
Kimball International, Inc. Class B .................... 500 14,063
*Kinark Corp. ........................................... 300 975
*Kinder-Care Learning Centers, Inc. ..................... 15,000 200,625
Kinetic Concepts, Inc. ................................. 27,000 189,000
Kinnard Investment, Inc. ............................... 200 506
*Kirby Corp. ............................................ 200 2,800
*Kit Manufacturing Co. .................................. 2,700 28,688
*Kleinert's, Inc. ....................................... 2,000 35,750
Knape & Vogt Manufacturing Co. ......................... 200 3,325
*Knogo North America, Inc. .............................. 5,400 14,513
Knowledgeware, Inc. (Escrow) ........................... 6,600 0
*Koala Corp. ............................................ 200 1,313
Kollmorgen Corp. ....................................... 1,900 14,488
*Kopin Corp. ............................................ 2,200 22,825
*Kronos, Inc. ........................................... 1,400 45,938
Krug International Corp. ............................... 848 2,544
*Krystal Co. ............................................ 4,900 35,219
Kuhlman Corp. .......................................... 4,200 50,925
Kulicke & Soffa Industries, Inc. ....................... 2,700 114,581
Kysor Industrial Corp. ................................. 1,700 35,063
*L.A. Gear, Inc. ........................................ 6,600 19,800
*LAT Sportswear, Inc. ................................... 200 1,300
LCS Industries, Inc. ................................... 880 18,370
*LDI Corp. .............................................. 3,100 10,656
LSB Bancshares, Inc. NC ................................ 900 17,213
LSB Industries, Inc. ................................... 9,100 52,325
LSI Industries, Inc. ................................... 7,245 122,259
*LTX Corp. .............................................. 9,600 69,000
*LXE, Inc. .............................................. 2,400 31,800
La-Z-Boy Chair Co. ..................................... 1,900 49,400
*LaBarge, Inc. .......................................... 11,600 19,575
LaCrosse Footwear, Inc. ................................ 3,000 31,125
Labone, Inc. ........................................... 3,300 47,025
Laclede Gas Co. ........................................ 4,800 90,600
*Laclede Steel Co. ...................................... 2,700 30,375
Ladd Furniture, Inc. ................................... 2,666 36,658
*Lakeland Industries, Inc. .............................. 1,000 5,500
*Lamson & Sessions Co. .................................. 11,100 65,213
Lancer Corp. ........................................... 2,600 49,075
*Lancit Media Productions, Ltd. ......................... 4,300 66,113
Landauer, Inc. ......................................... 5,900 106,938
Landmark Bancorp La Habra .............................. 200 2,050
*Landmark Graphics Corp. ................................ 3,800 89,300
Landrys Seafood Restaurants, Inc. ...................... 1,500 57,375
*Lands' End, Inc. ....................................... 20,000 307,500
*Landstar Systems, Inc. ................................. 200 5,225
*Larizza Industries, Inc. ............................... 6,400 29,200
*Lasermaster Technologies, Inc. ......................... 3,000 19,688
206
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Laserscope ............................................. 2,000 $ 7,125
*Lattice Semiconductor Corp. ............................ 7,350 229,688
Laurel Bancorp, Inc. ................................... 200 2,925
Lawson Products, Inc. .................................. 3,500 94,500
Lawyers Title Corp. .................................... 3,800 53,438
*Layne, Inc. ............................................ 1,000 7,563
*Lazare Kaplan International, Inc. ...................... 7,700 57,750
Leader Financial Corp. ................................. 100 2,719
*Learning Co. ........................................... 4,700 141,000
Learonal, Inc. ......................................... 2,500 50,313
*Lechters, Inc. ......................................... 5,100 74,588
Lectec Corp. ........................................... 1,102 13,155
*Lee Pharmaceuticals, Inc. .............................. 1,200 675
Legg Mason, Inc. ....................................... 3,400 91,800
*Lehigh Group, Inc. ..................................... 1,100 550
Lennar Corp. ........................................... 12,900 251,550
Lesco, Inc. ............................................ 6,225 102,713
*Leslie Building Products, Inc. ......................... 3,200 5,584
*Leslie Fay Companies, Inc. ............................. 7,000 1,641
*Leslie's Poolmart ...................................... 1,785 26,775
*Level One Communications, Inc. ......................... 200 3,100
*Levitz Furniture, Inc. ................................. 10,000 77,500
Lexington Savings Bank MA .............................. 1,000 14,688
Libbey, Inc. ........................................... 200 3,850
Liberty Bancorp, Inc. .................................. 4,300 142,975
Liberty Corp. .......................................... 9,900 256,163
Liberty Homes, Inc. Class A ............................ 200 1,750
*Liberty Technologies, Inc. ............................. 1,000 5,750
*Lidak Pharmaceuticals Class A .......................... 9,300 30,516
Life Partners Group, Inc. .............................. 5,100 95,625
*Life Quest Medical, Inc. ............................... 1,000 2,063
Life Re Corp. .......................................... 4,500 76,500
Life Technologies, Inc. ................................ 1,000 20,250
*Life USA Holdings, Inc. ................................ 5,600 54,250
*Lifecore Biomedical, Inc. .............................. 4,800 37,800
*Lifeline Systems, Inc. ................................. 2,500 18,125
Lifetime Hoan Corp. .................................... 200 2,150
Ligand Pharmaceuticals, Inc. Class B ................... 3,021 17,748
Lillian Vernon Corp. ................................... 4,300 86,000
Lilly Industry, Inc. Class A ........................... 11,100 127,650
Lincoln Telecommunications Co. ......................... 4,800 74,100
*Lindal Cedar Homes, Inc. ............................... 4,482 18,208
Lindberg Corp. ......................................... 8,200 53,300
*Lindsay Manufacturer Co. ............................... 2,100 66,413
*Liposome Co., Inc. ..................................... 7,200 69,750
*Liposome Technology, Inc. .............................. 11,400 85,500
Liqui Box Corp. ........................................ 1,000 31,625
Litchfield Financial Corp. ............................. 200 2,513
*Littlefuse, Inc. ....................................... 6,000 210,750
*Liuski International, Inc. ............................. 1,300 5,200
*Living Centers of America, Inc. ........................ 2,658 82,398
*Lodgenet Entertainment Corp. ........................... 3,000 21,750
*Logic Devices, Inc. .................................... 3,600 18,900
Logicon, Inc. .......................................... 1,900 72,913
*Lojack Corp. ........................................... 10,600 97,056
*Lomak Petroleum, Inc. .................................. 5,000 40,313
*Lomas Financial Corp. .................................. 9,000 12,375
Lone Star Industries, Inc. ............................. 5,000 105,000
*Lone Star Technologies, Inc. ........................... 9,300 73,819
*Longhorn Steaks, Inc. .................................. 3,300 44,756
*Lottery Enterprises, Inc. .............................. 200 350
*Louis Dreyfus Natural Gas Corp. ........................ 16,000 226,000
Loyola Capital Corp. ................................... 5,200 151,450
Lufkin Industries, Inc. ................................ 1,200 23,100
207
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
Lukens, Inc. DE ........................................ 2,900 $ 97,875
*Lumex, Inc. ............................................ 4,300 53,213
*Lunar Corp. ............................................ 1,500 33,563
*Lund International Holdings, Inc. ...................... 1,300 26,975
*Luria & Son, Inc. ...................................... 200 1,325
Lydall, Inc. DE ........................................ 6,900 269,963
*Lynch Corp. ............................................ 2,500 115,313
*M-Wave, Inc. ........................................... 1,000 15,250
*M/A-COM, Inc. .......................................... 12,900 153,188
*M/A/R/C, Inc. .......................................... 1,018 13,234
MAF Bancorp, Inc. ...................................... 1,000 23,250
*MAI Systems Corp. ...................................... 1,133 5,450
MDC Holdings, Inc. ..................................... 6,200 37,975
*MDL Information Systems, Inc. .......................... 200 2,388
*MDT Corp. .............................................. 7,100 40,825
MDU Resources Group, Inc. .............................. 3,800 106,875
*MFRI, Inc. ............................................. 1,000 4,438
*MGI Pharma, Inc. ....................................... 11,400 49,163
*MHI Group, Inc. ........................................ 200 1,550
*MI Schottenstein Homes, Inc. ........................... 3,500 30,625
*MLX Corp. .............................................. 200 1,913
MMI Companies, Inc. .................................... 1,000 18,500
MMI Medical, Inc. ...................................... 200 750
*MRS Technology, Inc. ................................... 2,000 11,000
*MRV Communications, Inc. ............................... 1,200 16,950
*MS Carriers, Inc. ...................................... 9,300 186,000
MTS Systems Corp. ...................................... 2,400 63,900
MacDermid, Inc. ........................................ 200 8,725
*MacFrugals Bargain Close-outs, Inc. .................... 10,000 150,000
MacNeal-Schwendler Corp. ............................... 3,000 41,250
*Macromedia, Inc. ....................................... 3,000 103,688
Madison Gas & Electric Co. ............................. 2,700 84,038
*Magainin Pharmaceuticals, Inc. ......................... 2,700 10,800
Magna Bancorp .......................................... 2,000 40,500
Magna Group, Inc. ...................................... 8,400 174,300
*Magnetek, Inc. ......................................... 12,100 183,013
*Magnetic Technologies Corp. ............................ 200 1,075
*Mail Boxes, Etc. ....................................... 3,800 34,675
*Main Street & Main, Inc. ............................... 2,600 7,313
Maine Public Service Co. ............................... 2,700 57,375
*Mallon Resources Corp. ................................. 1,400 2,625
Manatron, Inc. ......................................... 1,102 3,582
Manitowoc Co., Inc. .................................... 2,900 76,488
*Manugistic Group, Inc. ................................. 200 2,300
Marble Financial Corp. ................................. 2,000 26,250
*Marcam Corp. ........................................... 6,200 98,038
Marcus Corp. ........................................... 7,900 226,138
*Marine Drilling Companies, Inc. ........................ 23,000 92,000
*Mariner Health Group, Inc. ............................. 200 2,888
Maritrans, Inc. ........................................ 3,300 19,800
Mark Twain Bancshares, Inc. ............................ 5,450 171,675
*Mark VII, Inc. ......................................... 3,400 58,650
*Markel Corp. ........................................... 2,200 120,725
*Marsam Pharmaceuticals, Inc. ........................... 5,000 95,313
Marsh Supermarkets, Inc. Class A ....................... 1,800 21,150
Marsh Supermarkets, Inc. Class B ....................... 1,300 13,894
*Marshall Industries .................................... 7,800 210,600
*Marten Transport, Ltd. ................................. 2,800 56,700
*Martin Lawrence Limited Editions, Inc. ................. 1,700 903
Maryland Federal Bancorp ............................... 1,000 31,500
Masland Corp. .......................................... 5,000 70,938
Massbank Corp. Reading, MA ............................. 1,350 35,269
*Mastec, Inc. ........................................... 5,000 62,500
208
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Matec Corp. DE ......................................... 3,000 $ 12,000
Material Sciences Corp. ................................ 8,850 174,788
*Mathsoft, Inc. ......................................... 2,000 5,875
Matlack Systems, Inc. .................................. 7,500 75,000
*Matrix Pharmaceutical, Inc. ............................ 5,400 68,850
*Matrix Service Co. ..................................... 1,700 6,800
*Matthews Studio Equipment Group ........................ 2,500 4,219
*Maverick Tube Corp. .................................... 1,400 12,425
Max & Ermas Restaurants, Inc. .......................... 1,237 9,664
*Maxco, Inc. ............................................ 1,900 15,438
*Maxicare Health Plans, Inc. ............................ 3,500 53,813
*Maxim Group, Inc. ...................................... 200 2,188
*Maxtor Corp. ........................................... 8,400 46,725
*Maxwell Laboratories, Inc. ............................. 1,746 12,440
*Maxxam, Inc. ........................................... 4,000 132,500
*Maxxim Medical, Inc. ................................... 5,500 76,313
*Maynard Oil Co. ........................................ 2,400 14,850
*Mays (J.W.), Inc. ...................................... 200 1,250
*McAfee Associates, Inc. ................................ 3,300 91,988
McClain Industries, Inc. ............................... 266 2,028
McDonald & Co. Investment, Inc. ........................ 200 3,225
*McFarland Energy, Inc. ................................. 6,100 44,225
McGrath Rent Corp. ..................................... 4,150 68,994
Measurex Corp. ......................................... 8,200 215,250
*Medalist Industries, Inc. .............................. 1,900 12,944
*Medalliance, Inc. ...................................... 2,800 9,100
*Medar, Inc. ............................................ 4,900 43,488
*Medarex, Inc. .......................................... 1,700 7,650
*Medco Research, Inc. ................................... 2,800 37,450
Medex, Inc. ............................................ 3,000 32,438
Medford Savings Bank MA ................................ 2,800 48,650
*Media Logic, Inc. ...................................... 1,000 1,875
*Medic Computer Systems, Inc. ........................... 8,400 320,250
*Medical Action Industries, Inc. ........................ 2,100 2,100
*Medical Graphics Corp. ................................. 1,000 5,813
*Medical Management, Inc. ............................... 600 3,075
*Medical Resource Companies America ..................... 800 1,200
*Medical Technology System, Inc. ........................ 800 5,800
Medicine Shoppe International, Inc. .................... 1,200 40,950
Medicus Systems Corp. .................................. 1,800 19,350
*Medimmune, Inc. ........................................ 8,000 70,500
*Medquist, Inc. ......................................... 4,600 39,100
*Medrad, Inc. ........................................... 200 3,300
Medusa Corp. ........................................... 6,000 144,000
Megacards, Inc. ........................................ 333 676
*Megatest Corp. ......................................... 200 2,475
*Melamine Chemicals, Inc. ............................... 3,300 29,288
*Mem Co., Inc. .......................................... 2,700 9,788
*Mens Warehouse, Inc. ................................... 2,500 64,063
Mentor Corp. MN ........................................ 3,200 73,000
*Mercer International, Inc. ............................. 5,600 95,900
Merchants Bancorp, Inc. ................................ 500 12,563
*Merchants Bancshares, Inc. ............................. 200 2,200
Merchants Group, Inc. .................................. 600 9,750
Merchants New York Bancorp, Inc. ....................... 200 10,400
Mercury Air Group, Inc. ................................ 1,000 8,875
*Mercury Interactive Corp. .............................. 200 4,475
*Meridian Data, Inc. .................................... 4,200 15,225
Meridian Diagnostics, Inc. ............................. 5,290 50,586
Meridian Insurance Group, Inc. ......................... 1,000 11,375
*Merisel, Inc. .......................................... 14,900 95,919
*Merit Medical Systems, Inc. ............................ 1,100 9,831
209
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
Merrill Corp. .......................................... 3,650 $ 64,788
Merrimac Industries, Inc. .............................. 700 6,475
*Merry-Go-Round Enterprises, Inc. ....................... 11,000 9,625
*Mesa Airlines, Inc. .................................... 20,600 133,900
*Mesa, Inc. ............................................. 31,300 164,325
*Mestek, Inc. ........................................... 5,500 55,688
*Met-Coil Systems Corp. ................................. 1,000 2,750
Met-Pro Corp. .......................................... 9,450 131,119
*Metatec Corp. Class A .................................. 1,100 12,719
Methode Electronics, Inc. Class A ...................... 11,000 217,250
*Metricom, Inc. ......................................... 2,300 37,950
*Metrocall, Inc. ........................................ 3,000 52,125
Metropolitan Bancorp Washington ........................ 800 8,400
*Miami Subs Corp. ....................................... 9,600 19,200
*Michael Anthony Jewelers, Inc. ......................... 4,500 14,625
Michael Foods, Inc. .................................... 6,000 72,375
Mickelberry Communications, Inc. ....................... 5,600 21,000
*Micom Communications Corp. ............................. 3,333 19,790
*Micro Bio-Medics, Inc. ................................. 1,000 12,438
*Micro Healthsystems, Inc. .............................. 1,000 3,438
*Microage, Inc. ......................................... 5,450 64,038
*Microcom, Inc. ......................................... 9,100 96,688
*Microdyne Corp. ........................................ 5,600 105,000
*Microfluidics International Corp. ...................... 200 800
*Micrografx, Inc. ....................................... 5,100 32,831
*Microlog Corp. ......................................... 1,500 2,859
*Micron Electronics, Inc. ............................... 2,600 37,700
*Micronics Computers, Inc. .............................. 3,300 14,850
*Micropolis Corp. ....................................... 8,400 50,400
*Micros Systems, Inc. ................................... 2,300 67,706
*Microsemi Corp. ........................................ 5,200 29,250
*Microtek Medical, Inc. ................................. 1,000 4,875
*Microtel International, Inc. ........................... 9,800 12,250
*Microtest, Inc. ........................................ 1,600 30,400
Microtouch Systems, Inc. ............................... 1,600 40,200
Mid Am, Inc. ........................................... 3,751 54,390
Mid America Banccorp ................................... 2,176 36,992
Mid-Atlantic Realty Trust .............................. 666 6,119
*MidAmerican Waste System, Inc. ......................... 7,900 41,475
MidSouth Insurance Co. ................................. 4,320 45,360
Midconn Bank Kensington, CT ............................ 900 12,431
*Middleby Corp. ......................................... 1,100 8,938
Middlesex Water Co. .................................... 1,000 15,750
Midland Co. ............................................ 2,600 123,663
Midland Financial Group, Inc. .......................... 200 3,575
Midwest Grain Products, Inc. ........................... 2,500 44,688
*Mikohn Gaming Corp. .................................... 2,000 15,000
*Miles Homes, Inc. ...................................... 1,500 2,813
*Miller Building Systems, Inc. .......................... 1,400 4,375
Millicom, Inc. (Escrow) ................................ 10,100 0
*Miltope Group, Inc. .................................... 11,000 36,438
*Milwaukee Insurance Group, Inc. ........................ 800 10,900
Mine Safety Appliances Co. ............................. 1,600 75,200
Minntech Corp. ......................................... 200 2,700
*Mission West Properties, Inc. .......................... 1,600 8,600
Mobile Gas Service Corp. ............................... 2,000 39,750
*Mobley Environmental Services, Inc. Class A ............ 1,000 1,406
Modern Controls, Inc. .................................. 4,700 36,719
*Mohawk Industries, Inc. ................................ 12,900 197,531
*Molecular Biosystems, Inc. ............................. 3,134 19,979
*Molecular Dynamics, Inc. ............................... 200 1,525
*Molten Metal Technology, Inc. .......................... 10,200 224,400
Monarch Machine Tool Co. ............................... 2,300 22,425
Money Store, Inc. ...................................... 3,600 111,150
210
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
Monro Muffler Brake, Inc. .............................. 1,050 $ 18,244
Moorco International, Inc. ............................. 3,100 70,913
*Moore Products Co. ..................................... 1,600 26,000
Morgan Keegan, Inc. .................................... 4,200 74,550
*Morgan Products, Ltd. .................................. 6,400 42,400
*Morgan's Foods, Inc. ................................... 5,200 5,850
*Morningstar Group, Inc. ................................ 6,000 42,000
Morrison Knudsen Corp. ................................. 12,400 68,200
Moscom Corp. ........................................... 2,000 17,875
Mosinee Paper Corp. .................................... 5,170 131,189
*Motor Club of America .................................. 2,500 11,406
*Motts Holdings, Inc. ................................... 4,000 17,250
*Mountasia Entertainment International, Inc. ........... 200 1,500
*Movie Star, Inc. ....................................... 13,800 8,625
Mueller (Paul) Co. ..................................... 2,200 70,950
*Mueller Industries, Inc. ............................... 2,900 132,675
*Multi Color Corp. ...................................... 1,000 4,500
*Multicare Companies, Inc. .............................. 200 3,763
*Munsingwear, Inc. ...................................... 200 1,575
*Musicland Stores Corp. ................................. 12,100 117,975
Mutual Assurance, Inc. ................................. 2,425 65,475
*Mycogen Corp. .......................................... 7,700 66,413
Myers (L.E.) Co. Group ................................. 1,700 22,738
Myers Industries, Inc. ................................. 6,987 107,425
*Mylex Corp. ............................................ 3,100 31,000
NAB Asset Corp. ........................................ 200 863
NAC RE Corp. ........................................... 3,500 102,813
*NAI Technologies, Inc. ................................. 4,087 12,261
NBT Bancorp ............................................ 1,102 17,770
*NBTY, Inc. ............................................. 4,800 28,500
NCH Corp. .............................................. 200 11,900
*NCI Building Systems, Inc. ............................. 1,000 16,375
NFS Financial Corp. .................................... 1,000 32,188
*NMR of America, Inc. ................................... 1,700 7,863
NN Ball & Roller, Inc. ................................. 200 3,250
*NPC International, Inc. Class A ........................ 300 1,913
NS Bancorp, Inc. ....................................... 2,200 66,275
*NS Group, Inc. ......................................... 6,300 25,988
*NSA International, Inc. ................................ 200 838
NSC Corp. .............................................. 5,700 15,675
*NTN Communications, Inc. ............................... 5,000 24,375
*NTN Communications, Inc. (Private Placement) ........... 6,300 27,641
NUI Corp. .............................................. 4,700 71,088
NYMAGIC, Inc. .......................................... 5,100 83,513
*Nabors Industries, Inc. DE ............................. 10,360 89,355
Nacco Industries, Inc. Class A ......................... 1,100 66,000
*Nantucket Industries, Inc. ............................. 1,500 6,094
*Napco Security Systems, Inc. ........................... 4,850 12,428
Nash Finch Co. ......................................... 3,300 54,244
Nashua Corp. ........................................... 1,000 19,250
*Natec Resources, Inc. .................................. 5,300 1,656
*Nathans Famous, Inc. ................................... 200 913
*National Auto Credit, Inc. ............................. 11,600 121,800
National Bancorp of Alaska, Inc. ....................... 2,200 111,100
National Beverage Corp. ................................ 200 1,200
National City Bancorp .................................. 1,331 20,797
National City Bankshares, Inc. ......................... 200 8,250
National Computer Systems, Inc. ........................ 4,000 75,000
*National Convenience Stores, Inc. ...................... 1,700 17,425
National Data Corp. .................................... 4,650 96,488
*National Education Corp. ............................... 14,800 57,350
National Gas & Oil Co. ................................. 9,864 113,436
*National Home Centers, Inc. ............................ 4,000 15,000
211
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*National Home Health Care Corp. ........................ 900 $ 2,813
*National Media Corp. ................................... 2,800 24,500
*National Mercantile Bancorp. ........................... 200 763
National Penn Bancshares, Inc. ......................... 200 5,200
*National Picture and Frame Co. ......................... 200 1,913
National Presto Industries, Inc. ....................... 3,000 130,875
National RE Corp. ...................................... 4,300 132,225
National Sanitary Supply Co. ........................... 200 2,550
*National Standard Co. .................................. 11,000 152,625
*National Techteam, Inc. ................................ 4,900 26,950
*National Vision Association, Ltd. ...................... 5,600 24,500
*National Western Life Insurance Co. Class A ............ 1,000 41,500
*Nationwide Cellular Service, Inc. ...................... 1,900 45,481
*Natural Alternatives International, Inc. ............... 3,400 18,275
*Natural Wonders, Inc. .................................. 2,200 7,700
Natures Sunshine Products, Inc. ........................ 12,906 182,297
Nautica Enterprises, Inc. .............................. 3,150 94,106
*Navarre Corp. .......................................... 600 3,900
*Navigators Group, Inc. ................................. 1,600 21,400
*Nellcor, Inc. .......................................... 4,900 211,925
Nelson (Thomas), Inc. .................................. 3,750 67,031
*Neoprobe Corp. ......................................... 5,900 33,556
*Neorx Corp. ............................................ 4,525 25,595
*Neostar Retail Group, Inc. ............................. 3,510 41,681
*Netframe Systems, Inc. ................................. 2,700 14,344
*Netrix Corp. ........................................... 3,700 26,594
*Network Computing Devices, Inc. ........................ 6,500 47,125
*Network Equipment Technologies, Inc. ................... 10,100 242,400
*Network General Corp. .................................. 4,800 115,800
*Network Imaging Corp. .................................. 6,800 23,800
*Network Six, Inc. ...................................... 200 1,925
*Networth, Inc. ......................................... 200 1,663
*Neurogen Corp. ......................................... 2,000 28,375
New Brunswick Scientific Co., Inc. ..................... 2,200 17,188
New England Business Services, Inc. .................... 7,000 147,875
New Hampsire Thrift BancShares, Inc. ................... 200 1,850
*New Image Industries, Inc. ............................. 3,300 11,963
New Jersey Resources Corp. ............................. 4,600 104,650
*New Jersey Steel Corp. ................................. 1,700 20,613
New Mexico & Arizona Land Co. .......................... 1,650 16,500
*New World Power Corp. .................................. 5,000 29,375
New York Bancorp, Inc. ................................. 2,685 53,700
Newcor, Inc. ........................................... 4,750 30,875
*Newfield Exploration Co. ............................... 200 5,475
Newmil Bancorp, Inc. ................................... 3,500 19,250
*Newpark Resources, Inc. ................................ 5,000 110,625
Newport Corp. .......................................... 10,200 79,688
*Nexstar Pharmaceuticals, Inc. .......................... 1,496 10,379
*Nichols Research Corp. ................................. 3,100 48,825
*Noble Drilling Corp. ................................... 31,075 231,120
Noel Group, Inc. ....................................... 10,100 69,438
Noland Co. ............................................. 200 4,075
*Norand Corp. ........................................... 200 6,550
*Nord Resources Corp. ................................... 8,900 31,150
*Norstan, Inc. .......................................... 3,000 69,375
*Nortek, Inc. ........................................... 3,500 33,688
*North American Biologicals, Inc. ....................... 5,800 55,463
North American Mortgage Co. ............................ 4,500 99,000
*North American Recycling System, Inc. .................. 2,000 1,810
212
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
North American Watch Corp. ............................. 1,200 $ 16,050
North Carolina Natural Gas Corp. ....................... 1,900 42,275
North Fork Bancorporation, Inc. ........................ 16,267 288,739
North Side Savings Bank NY ............................. 578 13,728
*North Star Universal, Inc. ............................. 4,300 22,306
*Northeast Federal Corp. ................................ 4,000 47,500
Northland Cranberries, Inc. Class A ................... 1,000 14,875
*Northstar Health Services, Inc. ........................ 1,000 7,188
Northwest Natural Gas Co. .............................. 2,700 80,494
*Northwest Teleproductions, Inc. ........................ 200 538
Northwestern Public Service Co. ........................ 2,300 64,975
*Northwestern Steel & Wire Co. .......................... 10,300 73,388
Norwich Financial Corp. ................................ 2,400 27,150
*Norwood Promotional Products, Inc. ..................... 200 2,800
*Novacare, Inc. ......................................... 29,400 220,500
*Novametrix Medical Systems, Inc. ....................... 7,600 42,750
*Noven Pharmaceuticals, Inc. ............................ 9,200 78,775
*Novitron Internarional, Inc. ........................... 3,900 19,744
*Nu Horizons Electronics Corp. .......................... 6,118 50,474
*Nu-Kote Holding, Inc. Class A .......................... 3,300 91,575
*Nuclear Metals, Inc. ................................... 6,500 86,938
*Nuclear Support Services, Inc. ......................... 500 1,063
*Nuevo Energy Co. ....................................... 4,900 104,738
*Nutramax Products, Inc. ................................ 3,600 27,900
*Nuvision, Inc. ......................................... 1,800 13,500
*Nview Corp. ............................................ 1,000 6,750
*Nycor, Inc. ............................................ 1,000 2,688
*Nycor, Inc. Class A .................................... 1,000 2,563
*O Charleys, Inc. ....................................... 750 8,813
*O Reilly Automotive, Inc. .............................. 200 5,275
*O'Brien Environmental Energy, Inc. Class A ............. 3,600 675
O'Sullivan Corp. ....................................... 5,100 58,013
*O'Sullivan Industries Holdings, Inc. ................... 3,400 26,775
*O.I. Corp. ............................................. 500 1,813
OEA, Inc. .............................................. 6,000 182,250
*OEC Medical Systems, Inc. .............................. 3,700 25,900
*OESI Power Corp. ....................................... 1,000 125
*OHM Corp. .............................................. 4,400 52,800
OM Group, Inc. ......................................... 200 5,000
*OMI Corp. .............................................. 14,000 75,250
*OTR Express, Inc. ...................................... 200 1,475
*Oak Hill Sportswear Corp. .............................. 800 1,650
*Oak Industries, Inc. ................................... 4,700 130,425
Oakwood Homes Corp. .................................... 9,200 231,150
*Oceaneering International, Inc. ........................ 12,000 117,000
*Octel Communications Corp. ............................. 8,620 201,493
*Odetics, Inc. Class A .................................. 300 1,425
*Offshore Logistics, Inc. ............................... 4,700 66,975
Oglebay Norton Co. ..................................... 2,200 71,775
Oil-Dri Corp. of America ............................... 1,000 15,500
*Old America Stores, Inc. ............................... 900 11,138
*Old Dominion Freight Lines, Inc. ....................... 3,800 50,825
*Omega Environmental, Inc. .............................. 12,700 46,831
Omnicare, Inc. ......................................... 4,200 199,500
*On Assignment, Inc. .................................... 200 3,625
OnbanCorp, Inc. ........................................ 2,800 75,075
*Oncogene Science, Inc. ................................. 4,600 18,975
*Oncor, Inc. ............................................ 12,500 55,469
*One Price Clothing Stores, Inc. ........................ 3,000 14,438
One Valley Bancorp of West Virginia ................... 3,800 116,375
213
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*One-Comm Corp. ......................................... 7,100 $ 98,513
Oneida, Ltd. ........................................... 2,700 40,500
*Oneita Industries, Inc. ................................ 4,220 45,365
Oneok, Inc. ............................................ 10,300 195,700
*Opta Food Ingredients, Inc. ............................ 1,500 16,500
*Opti, Inc. ............................................. 200 3,775
Optical Coating Laboratory, Inc. ....................... 1,800 17,325
Optical Data Systems, Inc. ............................. 3,800 87,875
*Option Care, Inc. ...................................... 2,900 10,150
Orange & Rockland Utilities, Inc. ...................... 2,700 90,788
*Orange Co., Inc. ....................................... 5,200 34,450
*Orbit International Corp. .............................. 3,000 5,625
*Orbital Sciences Corp. ................................. 4,000 72,000
*Orchard Supply Hardware Stores Corp. ................... 2,000 22,750
*Oregon Metallurgical Corp. ............................. 3,200 27,600
Oregon Steel Mills, Inc. ............................... 7,800 124,800
*Organogenesis, Inc. .................................... 2,300 28,750
Orion Capital Corp. .................................... 4,400 170,500
*Orphan Medical, Inc. ................................... 285 1,318
*Orthopedic Technology, Inc. ............................ 700 3,303
Osborn Communications Corp. ............................ 8,100 54,675
Oshkosh B'Gosh, Inc. Class A ........................... 2,400 37,950
Oshkosh B'Gosh, Inc. Class B ........................... 600 9,675
Oshkosh Truck Corp. Class B ............................ 2,300 28,606
*Oshman's Sporting Goods, Inc. .......................... 2,900 19,213
*Osmonics, Inc. ......................................... 8,250 145,406
*Osteotech, Inc. ........................................ 3,000 14,250
Otter Tail Power Co. ................................... 3,400 107,100
Outboard Marine Corp. .................................. 6,000 120,750
*Outlet Communications, Inc. Class A ................... 200 6,850
*Outlook Group Corp. .................................... 1,300 12,025
Owens & Minor, Inc. .................................... 15,375 199,875
Oxford Industries, Inc. ................................ 5,600 102,200
*Oxford Resources Corp. Class A ......................... 1,100 17,188
*Oxis International, Inc. ............................... 8,400 21,525
*P&F Industries, Inc. Class A ........................... 200 475
*PAM Transportation Services, Inc. ...................... 200 1,138
PCA International, Inc. ................................ 2,300 25,731
*PHP Healthcare Corp. ................................... 1,500 29,438
*PLM International, Inc. ................................ 2,500 7,969
*PMR Corp. .............................................. 700 2,581
*PSC, Inc. .............................................. 3,300 44,138
PXRE Corp. ............................................. 1,000 21,688
*Pacific Crest Capital, Inc. ............................ 1,060 5,565
*Pacific Physician Services, Inc. ....................... 3,200 53,200
*Pacific Rim Holding Corp. .............................. 2,700 7,256
Pacific Scientific Co. ................................. 16,000 280,000
*Pacific Sunwear of California, Inc. .................... 2,000 15,000
*Page America Group, Inc. ............................... 1,200 2,025
*Pages, Inc. ............................................ 1,000 3,188
*Pairgain Technologies, Inc. ............................ 200 4,600
*Palfed, Inc. ........................................... 2,000 21,000
*Pamida Holdings Corp. .................................. 1,000 4,688
Pamrapo Bancorp, Inc. .................................. 700 14,525
*Panaco, Inc. ........................................... 5,000 23,750
Pancho's Mexican Buffet, Inc. .......................... 5,000 22,188
*Par Technology Corp. ................................... 6,000 56,250
*Paragon Trade Brands, Inc. ............................. 200 2,725
*Parallel Petroleum Corp. ............................... 2,800 4,725
*Parcplace Systems, Inc. ................................ 200 2,550
*Paris Business Forms, Inc. ............................. 200 1,038
Park Electrochemical Corp. ............................. 4,100 142,475
*Park-Ohio Industries, Inc. ............................. 2,034 23,264
214
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Parker Drilling Co. .................................... 31,700 $174,350
Parkvale Financial Corp. ............................... 1,250 30,625
Patrick Industries, Inc. ............................... 2,000 20,500
*Patrick Petroleum Co. .................................. 8,400 6,825
Patten Corp. ........................................... 5,905 21,406
Patterson Dental Co. ................................... 200 4,525
*Paul Harris Stores, Inc. ............................... 5,000 9,531
Paxar Corp. ............................................ 19,157 313,696
*Payco American Corp. ................................... 3,000 21,563
*Peer Review Analysis, Inc. ............................. 1,000 3,031
Peerless Manufacturing Co. ............................. 200 2,063
Penn Engineering & Manufacturing Corp. ................. 2,500 165,000
*Penn Traffic Co. ....................................... 3,400 112,200
Penn Treaty American Corp. ............................. 3,600 42,300
Penn Virginia Corp. .................................... 1,100 36,025
Penncorp Financial Group, Inc. ......................... 5,400 99,900
Pennsylvania Enterprises, Inc. ......................... 1,200 38,100
*Penril Datacomm Networks, Inc. ......................... 3,700 14,338
*Pentech International, Inc. ............................ 5,300 15,238
Penwest, Ltd. .......................................... 2,100 46,463
Peoples Bancorp ........................................ 200 3,675
Peoples Bank of Connecticut ............................ 16,300 248,575
*Peoples Choice TV Corp. ................................ 200 4,850
Peoples Heritage Financial Group, Inc. ................. 6,680 96,860
*Peoples Savings Bank of Brockton, MA .................. 1,000 5,688
Peoples Savings Financial Corp. ........................ 900 16,425
*Peoples Telephone Co., Inc. ............................ 3,650 16,197
*Perceptron, Inc. ....................................... 200 3,925
*Performance Food Group Co. ............................. 200 3,775
*Perfumania, Inc. ....................................... 3,200 11,200
*Perini Corp. ........................................... 2,700 28,350
*Perseptive Biosystems, Inc. ............................ 2,400 20,250
*Petco Animal Supplies, Inc. ............................ 200 4,025
*Peters (J.M.) Co., Inc. ................................ 1,000 2,500
Petrie Stores Corp. .................................... 2,500 15,313
Petroleum Heat & Power Co., Inc. Class A ............... 5,000 38,750
Petrolite Corp. ........................................ 3,400 100,300
*Petstuff, Inc. ......................................... 200 2,150
*Pharmaceutical Marketing Services, Inc. ............... 5,800 48,213
*Pharmaceutical Resources, Inc. ......................... 5,800 60,900
*Pharmacy Management Services, Inc. ..................... 3,900 57,038
*Pharmchem Laboratories, Inc. ........................... 2,800 12,425
*Pharmos Corp. (Private Placement) ..................... 9,000 10,252
Philadelphia Suburban Corp. ............................ 5,200 94,250
Phillips-Van Heusen Corp. .............................. 10,600 161,650
*Phoenix Laser Systems, Inc. ............................ 2,000 500
*Phoenix Network, Inc. .................................. 4,400 11,275
Phoenix Resource Companies, Inc. ....................... 1,600 51,400
*Phoenix Technologies, Ltd. ............................. 3,100 28,094
*Photo Control Corp. .................................... 1,000 4,938
Photronics, Inc. ....................................... 2,100 49,350
*Physician Computer Network, Inc. ....................... 11,500 53,906
*Physicians Clinical Laboratory, Inc. ................... 200 1,250
*Physicians Insurance Co. of Ohio Class A ............... 1,000 8,438
Piccadilly Cafeterias, Inc. ............................ 2,900 26,100
215
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Picturetel Corp. ....................................... 3,800 $165,775
Piedmont Natural Gas Co. ............................... 12,700 258,763
Pier 1 Imports, Inc. DE ................................ 19,740 157,920
Pikeville National Corp. ............................... 200 4,250
Pilgrim Pride Corp. .................................... 12,600 97,650
*Pillowtex Corp. ........................................ 6,000 61,500
*Pinkertons, Inc. ....................................... 2,000 31,500
Pinnacle Financial Services, Inc. ...................... 200 3,275
*Pinnacle Micro, Inc. ................................... 200 2,125
Pioneer Financial Services, Inc. ....................... 3,700 48,100
Pioneer Group, Inc. .................................... 200 5,388
Pioneer Standard Electronics, Inc. ..................... 10,875 245,367
Piper Jaffray Companies, Inc. .......................... 2,800 40,950
Pitt-Des Moines, Inc. .................................. 2,400 81,600
*Pittencrieff Communications, Inc. ...................... 200 1,050
Pittston Co. Minerals Group ............................ 3,400 37,400
Plains Petroleum Co. ................................... 3,000 80,625
*Plains Resources, Inc. ................................. 5,900 53,838
Plains Spirit Financial Corp. .......................... 200 6,000
*Platinum Software Corp. ................................ 100 1,163
*Platinum Technology, Inc. .............................. 10,600 175,563
*Playboy Enterprises, Inc. Class B ...................... 4,600 36,800
Players International, Inc. ............................ 13,350 279,516
Plenum Publishing Corp. ................................ 1,200 38,250
*Plexus Corp. ........................................... 4,400 55,000
Ply-Gem Industries, Inc. DE ............................ 2,700 42,863
Poe & Brown, Inc. ...................................... 3,400 79,900
*Polk Audio, Inc. ....................................... 500 5,000
*Pollo Tropical, Inc. ................................... 200 1,613
*Polymedica Industries, Inc. ............................ 2,100 12,338
*Pool Energy Services Co. ............................... 8,700 72,319
Pope & Talbot, Inc. .................................... 3,500 56,000
*Porta Systems Corp. .................................... 4,400 15,400
Portec, Inc. ........................................... 7,610 90,369
Portsmouth Bank Shares, Inc. ........................... 1,560 18,428
*Positron Corp. ......................................... 200 825
*Possis Medical, Inc. ................................... 5,800 59,813
Poughkeepsie Savings Bank FSB NY ....................... 2,500 12,266
*Powell Industries, Inc. ................................ 2,700 16,706
Pratt & Lambert United, Inc. ........................... 3,400 76,925
*Pratt Hotel Corp. ...................................... 1,300 5,647
Pre-Paid Legal Services, Inc. .......................... 2,500 15,625
Precision Castparts Corp. .............................. 6,450 185,438
*Precision Standard, Inc. ............................... 3,800 8,906
*Preferred Entertainment, Inc. .......................... 200 3,050
*Premier Bancorp, Inc. .................................. 18,800 321,950
Premier Financial Services, Inc. ....................... 200 1,550
*Premiere Radio Networks, Inc. .......................... 200 2,075
*President Casinos, Inc. ................................ 7,000 31,063
Presidential Life Corp. ................................ 16,900 123,581
*Presidio Oil Co. Class A ............................... 3,200 800
*Presley Companies Class A .............................. 5,600 12,600
Presstek, Inc. ......................................... 3,750 218,906
Price Communications Corp. ............................. 4,250 26,031
*Pride Petroleum Services, Inc. ......................... 14,700 115,763
*Primark Corp. .......................................... 8,400 136,500
Prime Bancorp, Inc. .................................... 605 10,663
*Prime Hospitality Corp. ................................ 14,700 143,325
*Prime Medical Services, Inc. ........................... 1,200 5,550
Primesource Corp. ...................................... 4,581 38,939
Printronix, Inc. ....................................... 3,750 85,781
*Procyte Corp. .......................................... 8,000 18,375
Production Operators Corp. ............................. 2,600 79,300
*Proffitts, Inc. ........................................ 4,250 104,656
216
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Progress Financial Corp. ............................... 1,000 $ 6,000
*Progress Software Corp. ................................ 1,000 50,375
Progressive Bank, Inc. ................................. 1,000 26,250
*Progroup, Inc. ......................................... 200 1,125
*Proler International Corp. ............................. 8,500 66,938
*Pronet, Inc. ........................................... 1,500 27,094
*Protein Design Labs, Inc. .............................. 3,600 84,600
*Proteon, Inc. .......................................... 4,400 26,675
*Protocol Systems, Inc. ................................. 4,100 38,438
Providence & Worcester Railroad Co. .................... 200 1,725
Providence Energy Corp. ................................ 5,300 86,125
Provident Bancorp, Inc. ................................ 3,100 104,625
Provident Bankshares Corp. ............................. 5,565 139,125
*Proxim, Inc. ........................................... 1,400 11,025
*Proxima Corp. .......................................... 1,700 42,394
*Psicor, Inc. ........................................... 2,200 23,513
*Public Service Co. of New Mexico ....................... 3,000 42,750
Public Service Co. of North Carolina .................. 4,900 72,888
*Publicker Industries, Inc. ............................. 200 375
Pulaski Furniture Corp. ................................ 1,300 24,050
Pulitzer Publishing Co. ................................ 3,900 166,238
Pulse Bancorp, Inc. .................................... 200 2,975
*Pulse Engineering, Inc. ................................ 1,700 13,175
*Pure Tech International, Inc. (Private Placement) ..... 10,000 50,063
*Purepac, Inc. .......................................... 3,000 28,500
Puritan Bennett Corp. .................................. 8,000 294,000
Putnam Trust Co. Greenwich, CT ......................... 1,000 51,500
*Q Logic Corp. .......................................... 4,450 20,303
*QMS, Inc. .............................................. 6,500 36,563
*Quad Systems Corp. ..................................... 800 7,000
Quaker Chemical Corp. .................................. 2,800 44,800
*Quaker Fabric Corp. .................................... 4,000 35,750
Quaker State Corp. ..................................... 14,900 203,013
*Quality Dining, Inc. ................................... 3,000 37,688
Quality Food Centers, Inc. ............................. 9,700 191,575
*Quality Systems, Inc. .................................. 200 900
Quanex Corp. ........................................... 3,300 78,788
*Quantum Health Resources, Inc. ......................... 9,100 174,606
*Quantum Restaurant Group, Inc. ......................... 3,000 33,000
*Quarterdeck Office Systems, Inc. ....................... 6,100 44,416
*Quest Medical, Inc. .................................... 8,109 79,063
Quick & Reilly Group, Inc. DE .......................... 3,300 155,100
*Quickresponse Services, Inc. ........................... 2,200 42,900
*Quidel Corp. ........................................... 4,000 16,000
*Quiksilver, Inc. ....................................... 2,900 65,431
*Quipp, Inc. ............................................ 200 2,625
Quixote Corp. .......................................... 7,700 93,363
*R & B, Inc. ............................................ 3,500 24,500
RLI Corp. .............................................. 4,000 103,000
*RMI Titanium Co. ....................................... 3,100 12,981
*RPC Energy Services, Inc. .............................. 22,800 196,650
RS Financial Corp. ..................................... 1,400 53,113
*Racotek, Inc. .......................................... 9,400 51,113
*Radius, Inc. ........................................... 5,819 60,736
*Rag Shops, Inc. ........................................ 2,300 7,475
*Ragan (Brad), Inc. ..................................... 3,800 128,250
*Railroad Financial Corp. ............................... 1,000 17,500
*Railtex, Inc. .......................................... 200 4,875
*Rainbow Technologies, Inc. ............................. 2,800 51,800
*Rally's Hamburgers, Inc. ............................... 3,100 10,269
Ramsay Health Care, Inc. ............................... 3,500 14,219
*Ramsay Managed Care, Inc. .............................. 913 2,278
217
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Ramtron International Corp. ............................ 8,800 $ 33,000
*Random Access, Inc. .................................... 1,400 4,288
Raritan Bancorp, Inc. DE ............................... 200 4,275
*Rasterops .............................................. 3,800 15,913
Rational Software Corp. ................................ 4,000 46,250
Rauch Industries, Inc. ................................. 500 4,469
Raven Industries, Inc. ................................. 9,150 183,000
Raymond Corp. .......................................... 5,843 121,242
Raymond James Financial, Inc. .......................... 4,000 73,500
*Readicare, Inc. ........................................ 11,400 25,650
*Reading & Bates Corp. .................................. 28,200 246,750
*Reading Co. Class A .................................... 1,000 10,875
*Recognition International, Inc. ........................ 6,800 58,650
Recoton Corp. .......................................... 9,066 149,589
*Recovery Engineering, Inc. ............................. 200 3,225
*Redman Industries, Inc. ................................ 200 4,000
Reeds Jewelers, Inc. ................................... 220 2,118
Refac Technology Development Corp. ..................... 7,000 44,625
*Reflectone, Inc. ....................................... 1,000 10,125
Regal Beloit Corp. ..................................... 10,200 156,825
Regal Cinemas, Inc. .................................... 200 5,475
*Regency Health Services, Inc. .......................... 6,600 72,600
*Regeneron Pharmaceuticals, Inc. ........................ 3,200 19,200
Regional Acceptance Corp. .............................. 200 3,175
*Regis Corp. ............................................ 3,000 53,250
*Rehabcare Corp. ........................................ 900 12,206
*Rehabilicare, Inc. ..................................... 1,000 2,375
*Rehability Corp. ....................................... 1,000 11,313
Reinsurance Group America, Inc. ........................ 200 5,125
*Reliability, Inc. ...................................... 1,000 4,375
Reliance Steel and Aluminum Co. ........................ 4,400 58,850
*Ren Corp.- USA ......................................... 4,900 68,600
*Renal Treatment Centers, Inc. .......................... 2,000 43,875
*Reno Air, Inc. ......................................... 3,300 15,469
*Rentrak Corp. .......................................... 2,300 12,219
*Repligen Corp. ......................................... 6,100 13,725
Republic Automotive Parts, Inc. ........................ 4,100 61,500
Republic Bancorp, Inc. ................................. 7,696 88,504
*Republic Environmental Systems, Inc. ................... 2,200 6,875
Republic Gypsum Co. .................................... 13,300 133,000
Republic Savings Financial Corp. ....................... 200 925
Republic Waste Industries, Inc. ........................ 11,000 144,375
*Res-Care, Inc. ......................................... 200 3,475
*Research Industries Corp. .............................. 5,000 89,375
*Resound Corp. .......................................... 200 1,613
*Respironics, Inc. ...................................... 10,600 135,150
*Response Technologies, Inc. ............................ 11,900 27,519
*Retix, Inc. ............................................ 4,800 18,600
*Rex Stores Corp. ....................................... 5,600 78,400
*Rexall Sundown, Inc. ................................... 200 1,713
*Rexel, Inc. ............................................ 17,900 149,913
*Rexene Corp. ........................................... 7,400 83,250
*Rexhall Industries, Inc. ............................... 1,000 6,125
*Rexon, Inc. ............................................ 5,600 23,450
*Rexworks, Inc. ......................................... 1,000 3,938
*Rhodes, Inc. ........................................... 3,200 27,600
*Ribi Immunochem Research, Inc. ......................... 19,400 88,513
Richfood Holdings, Inc. ................................ 11,200 246,400
*Riddell Sports, Inc. ................................... 655 1,392
*Riggs National Corp. ................................... 13,800 131,100
*Right Management Consultants, Inc. ..................... 1,200 25,500
*Right Start, Inc. ...................................... 1,900 4,394
218
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Ringer Corp. ........................................... 6,500 $ 10,969
*Rio Hotel & Casino, Inc. ............................... 10,700 152,475
Rival Co. .............................................. 2,600 40,950
River Forest Bancorp ................................... 3,400 131,325
*River Oaks Furniture, Inc. ............................. 2,400 30,600
*Riverside Group, Inc. .................................. 1,000 6,000
Riverside National Bank CA ............................. 1,000 10,375
*Roadmaster Industries, Inc. ............................ 14,700 47,775
Roanoke Electric Steel Corp. ........................... 1,200 14,550
Robbins & Myers, Inc. .................................. 3,900 100,425
*Robec, Inc. ............................................ 4,700 7,491
*Robertson-Ceco Corp. ................................... 1,718 5,154
Robinson Nugent, Inc. .................................. 4,000 31,500
*Robotic Vision Systems, Inc. ........................... 5,800 54,013
Rochester Community Savings Bank of New York ........... 4,100 84,050
*Rocky Mountain Chocolate Factory ...................... 200 3,200
*Rocky Shoes & Boots, Inc. .............................. 2,000 16,875
*Rodman & Renshaw Capital Group, Inc. ................... 200 900
Rogers Corp. ........................................... 5,000 271,250
*Rohr, Inc. ............................................. 13,000 160,875
*Rollins Environmental Services, Inc. ................... 24,300 106,313
Roosevelt Financial Group, Inc. ........................ 17,345 297,033
Roper Industries, Inc. ................................. 3,000 97,500
Ross Stores, Inc. ...................................... 7,000 75,250
*Ross Systems, Inc. ..................................... 3,800 15,675
*Rotech Medical Corp. ................................... 6,700 180,900
Roto-Rooter, Inc. ...................................... 3,600 94,050
*Rottlund, Inc. ......................................... 1,000 7,000
*Rowan Companies, Inc. .................................. 31,700 237,750
Rowe Furniture Corp. ................................... 3,712 17,632
*Royal Appliance Manufacturing Co. ...................... 7,200 20,700
Royal Bank of Pennsylvania Class A .................... 212 1,749
Ruddick Corp. .......................................... 8,800 182,600
*Rule Industries, Inc. .................................. 2,700 21,600
*Rural/Metro Corp. ...................................... 1,000 17,875
Russ Berrie & Co., Inc. ................................ 12,800 184,000
Ryan Beck & Co. ........................................ 200 1,300
*Ryans Family Steak Houses, Inc. ........................ 21,400 148,463
Rykoff-Sexton, Inc. .................................... 8,750 158,594
Ryland Group, Inc. ..................................... 7,800 123,825
*Rymer Foods, Inc. ...................................... 5,400 9,788
*S&K Famous Brands, Inc. ................................ 1,000 8,500
S&T Bancorp, Inc. ...................................... 2,200 48,675
*S3, Inc. ............................................... 200 5,413
*SBE, Inc. .............................................. 900 9,675
*SBS Engineering, Inc. .................................. 200 988
*SCI Systems, Inc. ...................................... 10,900 225,494
SCOR U.S. Corp. ........................................ 8,200 73,800
*SCS/COMPUTE, Inc. ...................................... 2,700 5,906
SEI Corp. .............................................. 3,800 74,100
SFFED Corp. ............................................ 3,500 70,000
SI Handling, Inc. ...................................... 700 6,650
SJW Corp. .............................................. 600 20,700
SKI, Ltd. .............................................. 1,000 15,250
SL Industries, Inc. .................................... 9,200 44,850
*SLM International, Inc. ................................ 5,200 5,200
SOI Industries, Inc. ................................... 2,800 3,500
SPS Technologies, Inc. ................................. 2,600 87,750
*SPSS, Inc. ............................................. 200 2,650
219
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
SPX Corp. ................................................ 6,300 $ 82,688
*Safeguard Health Enterprises, Inc. ....................... 6,900 72,450
Safeguard Scientifics, Inc. .............................. 13,800 469,200
*Safeskin Corp. ........................................... 200 2,575
*Safety 1st, Inc. ......................................... 200 3,775
*Safetytek Corp. .......................................... 1,000 11,250
*Saga Communications, Inc. Class A ......................... 1,300 24,700
*Sahara Gaming Corp. ...................................... 1,200 8,250
Saint Ives Laboratories Corp. ............................ 3,500 27,344
Saint John Knits, Inc. ................................... 200 7,763
Saint Joseph Light & Power Co. ........................... 27,200 799,000
Saint Mary Land & Exploration Co. ........................ 200 2,588
Saint Paul Bancorp, Inc. ................................. 7,350 163,538
Salem Corp. .............................................. 2,950 73,750
*Salick Health Care, Inc. Redeemable Shares ................ 2,850 100,641
*Salton/Maxim Housewares, Inc. ............................ 1,200 3,075
*Sam & Libby, Inc. ........................................ 2,000 4,875
San Filippo (John B.) & Son, Inc. ........................ 3,000 27,750
*San Francisco Co. Class A ................................ 400 1,800
Sanderson Farms, Inc. .................................... 4,200 44,100
Sands Regent Casino Hotel ................................ 2,000 11,000
Sandwich Co-Operative Bank MA ............................ 200 3,063
Sandy Corp. .............................................. 1,000 9,563
*Sanifill, Inc. ........................................... 7,100 191,700
*Sanmina Corp. ............................................ 1,600 57,200
*Santa Cruz Operation, Inc. ............................... 2,000 18,250
*Santa Monica Bank CA ..................................... 1,000 8,500
*Satcon Technology Corp. .................................. 1,400 18,375
*Satellite Technology Management, Inc. .................... 1,300 16,413
Savannah Foods & Industries, Inc. ........................ 10,500 118,125
*Savoy Pictures Entertainment, Inc. ....................... 9,800 82,075
Sbarro, Inc. ............................................. 200 4,600
*Scan-Optics, Inc. ........................................ 14,900 63,325
Schawk, Inc. Class A ..................................... 1,600 13,600
*Schieb (Earl), Inc. ...................................... 7,900 49,375
*Schuler Homes, Inc. ...................................... 12,300 142,219
Schult Homes Corp. ....................................... 1,100 12,375
Schultz Sav-O Stores, Inc. ............................... 1,500 33,000
Schwitzer, Inc. .......................................... 7,800 88,725
*Sciclone Pharmaceuticals, Inc. ........................... 4,400 27,500
*Science Dynamics Corp. ................................... 1,700 1,753
*Scientific Software-Intercomp, Inc. ...................... 3,500 12,031
Scientific Technologies, Inc. ............................ 1,300 23,075
*Scios-Nova, Inc. ......................................... 14,087 50,185
Scope Industries, Inc. ................................... 3,500 83,344
*Score Board, Inc. ........................................ 3,200 15,600
Scotsman Industries, Inc. ................................ 3,000 58,875
Scott's Liquid Gold, Inc. ................................ 1,400 6,650
*Scotts Co. Class A ....................................... 11,300 247,188
Seacoast Banking Corp. Class A ........................... 700 12,863
*Seacor Holdings, Inc. .................................... 1,200 27,750
Seafield Capital Corp. ................................... 1,700 62,900
Sealright Co., Inc. ...................................... 2,800 49,700
Seattle Filmworks, Inc. .................................. 1,400 21,788
Seaway Food Town, Inc. ................................... 200 3,000
Second Bancorp, Inc. ..................................... 300 6,375
Security Connecticut Corp. ............................... 200 4,725
*Seeq Technology, Inc. DE ................................. 5,200 12,025
*Seitel, Inc. ............................................. 6,767 191,168
Selas Corp. of America ................................... 700 6,300
Selective Insurance Group, Inc. .......................... 6,000 177,000
220
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Selfix, Inc. ............................................. 1,000 $ 4,750
*Semtech Corp. ............................................ 200 3,350
*Seneca Foods Corp. ....................................... 200 6,950
*Sepracor, Inc. ........................................... 5,300 63,600
*Sequa Corp. Class A ...................................... 2,000 60,250
*Sequent Computer Systems, Inc. ........................... 6,200 91,838
*Sequoia Systems, Inc. .................................... 3,900 14,869
*Seragen, Inc. ............................................ 4,200 27,563
*Serv-Tech, Inc. .......................................... 2,600 20,150
*Service Merchandise Co., Inc. ............................ 19,900 94,525
*Servico, Inc. ............................................ 1,600 15,200
*Servotronics, Inc. ....................................... 900 4,106
*Shaman Pharmaceuticals ................................... 2,600 9,588
*Shared Technologies, Inc. ................................ 1,300 5,525
*Sharper Image Corp. ...................................... 5,900 37,981
Shelby Williams Industries, Inc. ......................... 3,300 33,000
*Sheldahl, Inc. ........................................... 10,300 126,175
Shelter Components, Inc. ................................. 1,125 11,953
Shelton Bancorp, Inc. .................................... 200 3,425
*Sherwood Group, Inc. ..................................... 200 1,375
*Shiloh Industries, Inc. .................................. 1,500 12,938
*Shoe Carnival, Inc. ...................................... 3,000 20,438
*Sholodge, Inc. ........................................... 200 2,850
*Shoney's, Inc. ........................................... 3,800 41,325
Shopko Stores, Inc. ...................................... 19,400 208,550
*Shorewood Packaging Corp. ................................ 5,800 89,900
*Show Biz Pizza Time, Inc. ................................ 7,400 81,863
Showboat, Inc. ........................................... 6,800 113,900
*Showscan Corp. ........................................... 4,000 23,500
Shuffle Master, Inc. ..................................... 1,200 22,950
*Sierra Health Services, Inc. ............................. 3,000 80,625
Sierra On-Line, Inc. ..................................... 3,200 57,600
*Sierra Semiconductor Corp. ............................... 6,800 197,200
Sierra Tahoe Bancorp ..................................... 200 1,750
*Sierra Tucson Companies, Inc. ............................ 1,200 5,213
*Sifco Industries, Inc. ................................... 8,800 39,600
*Sigma Designs, Inc. ...................................... 8,700 41,325
*Signal Apparel Co., Inc. Class A ......................... 2,700 17,550
*Silicon Valley Bancshares ................................ 4,200 70,875
*Silicon Valley Group, Inc. ............................... 15,200 475,950
*Siliconix, Inc. .......................................... 1,800 26,438
Simmons First National Corp. Class A ..................... 200 5,150
Simpson Industries, Inc. ................................. 7,650 78,413
*Simula, Inc. ............................................. 700 15,925
*Sithe Energies, Inc. ..................................... 200 1,575
Sizzler International, Inc. .............................. 13,200 75,900
Skyline Corp. ............................................ 3,400 62,050
Skywest, Inc. ............................................ 5,100 79,369
Smart & Final Food, Inc. ................................. 12,150 200,475
Smith (A.O.) Corp. ....................................... 5,900 138,650
*Smith Environmental Technologies Corp. ................... 2,900 15,769
*Smith International, Inc. ................................ 15,800 282,425
*Smithfield Foods, Inc. ................................... 5,000 103,750
Snyder Oil Corp. ......................................... 7,000 100,625
*Sodak Gaming, Inc. ....................................... 3,000 42,000
*Sofamor/Danek Group, Inc. ................................ 9,500 199,500
*Softech, Inc. ............................................ 1,000 3,938
*Softkey International, Inc. .............................. 2,843 74,451
*Softnet Systems, Inc. (Private Placement) ................ 2,400 16,740
*Software Publishing Corp. ................................ 3,700 13,413
*Software Spectrum, Inc. .................................. 1,900 33,725
*Somatix Therapies Corp. .................................. 4,100 12,556
221
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Somatogen, Inc. .......................................... 4,300 $ 50,525
Somerset Group, Inc. ..................................... 200 2,800
*Sonic Corp. .............................................. 4,000 108,000
*Sonic Solutions .......................................... 200 2,225
*Sound Advice, Inc. ....................................... 1,900 6,294
South Jersey Industries, Inc. ............................ 2,448 48,042
*Southdown, Inc. .......................................... 12,400 224,750
Southeastern Michigan Gas Enterprises, Inc. ............... 2,371 46,827
Southern California Water Co. ............................ 3,900 72,150
*Southern Electronics Corp. ............................... 1,650 8,869
*Southern Energy Homes, Inc. .............................. 3,000 40,125
Southern Indiana Gas & Electric Co. ...................... 3,200 99,000
Southern Union Co. ....................................... 5,705 108,395
*Southwall Technologies, Inc. ............................. 3,500 10,938
Southwest Bancshares, Inc. DE ............................ 200 5,150
Southwest Gas Corp. ...................................... 6,300 89,775
Southwest National Corp. ................................. 200 5,425
Southwest Securities Group, Inc .......................... 200 1,688
Southwest Water Co. ...................................... 1,000 8,438
Southwestern Energy Co. .................................. 6,600 100,650
*Southwestern Life Corp. .................................. 19,200 13,200
Sovereign Bancorp, Inc. .................................. 19,307 164,110
*Spacelabs Medical, Inc. .................................. 3,000 72,750
*Spaghetti Warehouse, Inc. ................................ 3,400 19,550
Span-American Medical System, Inc. ....................... 1,700 8,075
Spartan Motors, Inc. ..................................... 8,900 81,213
Spartech Corp. ........................................... 2,400 14,100
*Sparton Corp. ............................................ 7,700 32,725
*Spec's Music, Inc. ....................................... 5,300 18,550
*Special Devices, Inc. .................................... 2,900 60,900
*Specialty Chemical Resources, Inc. ....................... 2,600 10,888
*Specialty Paperboard, Inc. ............................... 600 7,725
*Spectran Corp. ........................................... 3,200 18,400
*Spectranetics Corp. ...................................... 802 1,880
*Spectrum Control, Inc. ................................... 3,000 7,125
*Spectrum Holobyte, Inc. .................................. 5,400 75,263
*Speizman Industries, Inc. ................................ 1,800 8,775
*Spire Corp. .............................................. 3,200 7,000
*Sport Chalet, Inc. ....................................... 1,400 4,025
Sport Supply Group, Inc. ................................. 1,250 16,094
*Sportmart, Inc. .......................................... 200 1,700
*Sports & Recreation, Inc. ................................ 7,900 90,850
*Sports Authority, Inc. ................................... 200 3,850
*Staar Surgical Co. ....................................... 3,700 35,613
*Stac Electronics ......................................... 5,500 32,656
*Stacey's Buffet, Inc. .................................... 3,700 5,897
*Staff Builders, Inc. ..................................... 6,300 24,609
Stage II Apparel Corp. ................................... 500 1,500
Standard Commercial Corp. ................................ 2,266 32,580
*Standard Microsystems Corp. .............................. 8,800 154,000
Standard Motor Products, Inc. Class A .................... 3,900 77,025
Standard Pacific Corp. DE ................................ 12,200 85,400
Standard Products Co. .................................... 6,700 144,888
Standard Register Co. .................................... 4,500 88,313
Standex International Corp. .............................. 4,400 134,200
*Stanford Telecommunications, Inc. ........................ 6,900 105,225
*Stanley Furniture, Inc. .................................. 200 1,500
Stant Corp. .............................................. 10,000 108,750
*Starcraft Corp. .......................................... 200 1,325
Starret Housing Corp. .................................... 3,900 37,050
222
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
Starrett (L.S.) Co. Class A .............................. 1,400 $ 32,200
*Starsight Telecast, Inc. ................................. 8,400 42,525
*Starter Corp. ............................................ 200 1,688
State Auto Financial Corp. ............................... 200 3,500
*State of the Art, Inc. ................................... 5,200 54,925
Statesman Group, Inc. (Escrow) ........................... 9,765 0
*Station Casinos, Inc. .................................... 200 2,900
Steel Technologies, Inc. ................................. 3,100 36,813
*Steel of West Virginia, Inc. ............................. 4,400 49,500
*Stein Mart, Inc. ......................................... 6,200 72,463
Stepan Co. ............................................... 6,400 119,600
*Steris Corp. ............................................. 3,500 147,875
Sterling Bancorp ......................................... 3,900 33,150
Sterling Bancshares ...................................... 200 2,550
*Sterling Electronics Corp. ............................... 4,800 66,600
Sterling Financial Corp. WA .............................. 200 2,700
*Stevens Graphics Corp. Class A ........................... 4,000 27,000
Stewart Enterprises, Inc. Class A ........................ 5,400 162,675
Stewart Information Services Corp. ....................... 1,500 27,938
Stifel Financial Corp. ................................... 200 1,275
*Stimsonite Corp. ......................................... 200 2,475
*Stokely USA, Inc. ........................................ 10,100 54,919
Stone & Webster, Inc. .................................... 7,200 221,400
Strawbridge & Clothier Class A ........................... 4,200 82,425
*Structural Dynamics Research Corp. ....................... 8,700 120,713
*Struthers Industries, Inc. ............................... 2,100 3,544
*Stuart Entertainment, Inc. ............................... 1,000 3,875
Student Loan Corp. ....................................... 5,600 144,900
Sturm Ruger & Co., Inc. .................................. 8,500 247,563
*Suave Shoe Corp. ......................................... 2,500 6,088
*Submicron Systems Corp. .................................. 2,300 24,006
*Sudbury, Inc. ............................................ 200 1,300
Suffolk Bancorp .......................................... 1,000 29,375
*Sulcus Computer Corp. .................................... 4,100 13,581
*Sullivan Dental Products, Inc. ........................... 5,800 72,500
Sumitomo Bank of California .............................. 3,900 95,063
*Summa Four, Inc. ......................................... 1,300 32,013
*Summagraphics Corp. ...................................... 1,500 4,500
Summit Bancorp, Inc. WA .................................. 3,378 70,094
*Summit Care Corp. ........................................ 200 3,888
Summit Family Restaurants, Inc. .......................... 2,900 11,600
*Summit Technology, Inc. .................................. 6,400 196,800
*Sun Coast Plastics, Inc. ................................. 1,000 9,625
*Sun Sportswear, Inc. ..................................... 1,700 6,800
Sun Television and Appliances, Inc. ...................... 8,600 67,725
*Sunair Electronics, Inc. ................................. 3,000 6,000
*Sunbelt Company, Inc. .................................... 200 1,350
*Sunbelt Nursery Group, Inc. .............................. 2,600 4,225
*Suncoast Savings & Loan Association FSA ................... 200 1,122
*Sundance Homes, Inc. ..................................... 4,300 10,481
*Sunrise Bancorp CA ....................................... 1,300 3,413
*Sunrise Medical, Inc. .................................... 7,200 241,200
*Sunrise Technologies, Inc. ............................... 2,700 2,616
*Sunshine Mining and Refining Co. ......................... 3,000 6,375
Super Food Services, Inc. ................................ 7,300 77,563
*Super Rite Corp. ......................................... 2,700 42,525
*Superconductor Technologies, Inc. ........................ 200 1,222
*Supercuts, Inc. .......................................... 6,800 52,700
Superior Surgical Manufacturing Co., Inc. ................ 39,800 487,550
*Supertex, Inc. ........................................... 31,300 236,706
223
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Suprema Specialties, Inc. ................................ 1,000 $ 3,000
*Supreme Industries, Inc. ................................. 1,100 8,250
*Supreme International Corp. .............................. 200 2,425
*Surgical Laser Technologies, Inc. ........................ 2,500 3,672
*Surgical Technologies, Inc. .............................. 1,000 2,438
*Survival Technology, Inc. ................................ 700 5,688
Susquehanna Bancshares, Inc. ............................. 1,875 44,063
Swift Energy Corp. ....................................... 6,820 64,790
Swift Transportation, Inc. ............................... 7,200 119,700
*Swing-n-Slide Corp. ...................................... 4,800 21,600
*Swisher International, Inc. .............................. 200 738
*Sylvan Foods Holdings, Inc. .............................. 69 763
*Sylvan Learning Systems, Inc. ............................ 200 3,625
*Symix Systems, Inc. ...................................... 1,000 8,000
*Symmetricom, Inc. ........................................ 9,800 180,075
Syms Corp. ............................................... 9,900 70,538
Synalloy Corp. DE ........................................ 9,600 224,400
*Synbiotics Corp. ......................................... 200 575
*Syncor International Corp. DE ............................ 4,200 37,275
*Synetic, Inc. ............................................ 7,100 168,625
*Syntellect, Inc. ......................................... 3,000 15,188
*Syntro Corp. ............................................. 2,900 6,072
*Syquest Technology, Inc. ................................. 3,100 34,294
*Syratech Corp. ........................................... 200 3,475
System Software Associates, Inc. ......................... 8,100 194,400
*Systemed, Inc. ........................................... 17,976 126,956
*Systemix, Inc. ........................................... 2,800 36,400
*Systems & Computer Technology Corp. ...................... 16,700 329,825
*T Cell Sciences, Inc. .................................... 6,900 27,600
T-HQ, Inc. ............................................... 200 406
*TBC Corp. ................................................ 8,950 100,688
TCBY Enterprises, Inc. ................................... 7,900 39,500
*TCC Industries, Inc. ..................................... 1,100 2,200
TCF Financial Corp. ...................................... 7,887 366,746
*TCI International, Inc. .................................. 1,600 9,100
*TCSI Corp. ............................................... 3,800 49,400
*TFC Enterprises, Inc. .................................... 200 2,550
*TIE/Communications, Inc. ................................. 1,100 5,225
*TII Industries, Inc. ..................................... 160 860
TJ International, Inc. ................................... 6,800 113,900
*TJ Systems Corp. ......................................... 200 256
*TMBR/Sharp Drilling, Inc. ................................ 200 1,325
TNP Enterprises, Inc. .................................... 3,200 52,000
*TPI Enterprises, Inc. .................................... 6,100 27,831
*TRC Companies, Inc. ...................................... 4,600 34,500
*TRM Copy Centers Corp. ................................... 4,000 28,000
*TRO Learning, Inc. ....................................... 200 1,350
*TSF Communications Corp. ................................. 2,400 18,900
TSI, Inc. MN ............................................. 1,500 13,125
*TSR, Inc. ................................................ 200 1,050
TSX Corp. ................................................ 3,500 68,250
Tab Products Co. DE ...................................... 2,400 15,375
*Taco Cabana Inc. ......................................... 6,200 33,713
*Talley Industries, Inc. .................................. 2,800 26,950
*Tandy Brand Accessories, Inc. ............................ 1,000 8,250
*Tandy Crafts, Inc. ....................................... 5,600 44,800
*Tanknology Environmental, Inc. ........................... 4,400 8,800
*Tapistron International, Inc. ............................ 200 300
*Target Therapeutics, Inc. ................................ 1,400 51,800
Tasty Baking Co. ......................................... 3,700 47,175
*Tatham Off-Shore, Inc. ................................... 5,000 26,250
*Team, Inc. ............................................... 2,300 4,025
*Tech Data Corp. .......................................... 7,600 77,425
*Tech-Sym Corp. ........................................... 2,700 69,525
224
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
Tech/Ops Sevcon, Inc. .................................. 1,400 $ 38,850
Technalysis Corp. ...................................... 500 5,875
*Techne Corp. ........................................... 2,700 36,113
*Technical Communications Corp. ......................... 1,000 7,375
Technitrol, Inc. ....................................... 4,200 60,375
*Technol Medical Products, Inc. ......................... 6,000 112,500
*Technology Solutions Corp. ............................. 5,000 47,500
*Tejas Gas Corp. ........................................ 3,600 192,150
*Tejas Power Corp. ...................................... 5,200 46,800
Tejon Ranch Co. ........................................ 9,100 122,850
Tekelec ................................................ 4,200 86,100
*Telco Systems, Inc. .................................... 5,800 56,188
*Telebit Corp. .......................................... 3,200 22,500
Telxon Corp. ........................................... 4,700 84,306
*Temtex Industries, Inc. ................................ 200 1,313
Tennant Co. ............................................ 2,200 59,400
Terex Corp. ............................................ 4,500 27,563
*Tesoro Petroleum Corp. ................................. 9,800 106,575
Tetra Tech, Inc. ....................................... 3,400 75,650
*Tetra Technologies, Inc. ............................... 6,200 73,625
Texas Industries, Inc. ................................. 2,800 105,350
*Texas Meridian Resources Corp. ......................... 2,100 21,263
*Texfi Industries, Inc. ................................. 3,800 11,400
*Thackeray Corp. ........................................ 3,600 14,400
*Theragenics Corp. ...................................... 2,800 15,925
*Theratech, Inc. UT ..................................... 3,000 37,125
*Thermedics, Inc. ....................................... 12,900 232,200
*Thermo Fibertek, Inc. .................................. 19,700 352,138
*Thermo Power Corp. ..................................... 7,600 102,600
*Thermo Process Systems, Inc. ........................... 4,300 50,525
*Thermo Voltek Corp. .................................... 1,100 16,225
*Thermotrex Corp. ....................................... 7,500 172,500
Thiokol Corp. .......................................... 7,400 232,175
Thomas Industries, Inc. ................................ 1,900 30,638
Thomaston Mills, Inc. .................................. 1,000 13,125
Thor Industries, Inc. .................................. 4,000 79,500
Thorn Apple Valley, Inc. ............................... 4,000 82,000
*Three-Five Systems, Inc. ............................... 3,100 91,450
Tiffany & Co. .......................................... 200 6,450
*Tiger Direct, Inc. ..................................... 7,100 6,878
*Timberland Co. Class A ................................. 3,000 66,750
Timberline Software Corp. .............................. 300 2,288
*Tipperary Corp. ........................................ 2,700 18,225
*Titan Corp. ............................................ 7,500 56,250
Titan Holdings, Inc. ................................... 210 2,258
Titan Wheel International, Inc. ........................ 2,200 49,225
Toastmaster, Inc. ...................................... 2,300 12,650
*Todays Man, Inc. ....................................... 4,900 60,944
*Todd Shipyards Corp. ................................... 3,100 18,213
Todd-AO Corp. Class A .................................. 200 1,075
*Todhunter International, Inc. (Private Placement) ..... 3,600 32,198
*Tokheim Corp. .......................................... 2,200 19,525
*Tokos Medical Corp. .................................... 5,300 30,144
*Toll Brothers, Inc. .................................... 13,400 209,375
Tompkins County Trust Co. .............................. 200 6,850
*Top Source Technologies, Inc. .......................... 10,600 63,600
Topps, Inc. ............................................ 20,000 119,375
*Tops Appliance City, Inc. .............................. 2,200 10,588
*Toreador Royalty Corp. ................................. 500 1,469
Toro Co. ............................................... 3,700 102,213
Tower Air, Inc. ........................................ 9,000 65,250
*Town & Country Corp. Class A ........................... 6,100 3,813
*Tracor, Inc. ........................................... 2,000 26,625
*Tractor Supply Co. ..................................... 5,000 97,500
225
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Trak Auto Corp. .......................................... 3,000 $ 51,375
*Trans World Entertainment Corp. .......................... 3,000 11,438
*Transmation, Inc. ........................................ 1,000 6,000
Transmedia Network, Inc. ................................. 5,650 62,150
Transport Financial Bancorp, Inc. ........................ 2,100 30,450
Transport Leasing International, Inc. .................... 1,200 4,013
Transtechnology Corp. .................................... 3,000 34,500
Transworld Bancorp ....................................... 200 2,250
*Travel Ports of America, Inc. ............................ 1,500 3,375
Treadco, Inc. ............................................ 3,000 41,250
*Tremont Corp. DE ......................................... 4,700 68,150
Trenwick Group, Inc. ..................................... 3,000 131,625
*Tri-Lite, Inc. ........................................... 29 47
*Triad Guaranty, Inc. ..................................... 200 3,625
*Triad Systems Corp. ...................................... 4,500 31,219
*Tricare, Inc. ............................................ 200 556
*Tricord Systems, Inc. .................................... 5,200 23,075
*Trident Microsystems, Inc. ............................... 2,300 40,538
*Tridex Corp. ............................................. 500 2,875
*Trimark Holdings, Inc. ................................... 1,000 7,500
*Trimble Navigation, Ltd. ................................. 5,200 124,475
*Trimedyne, Inc. .......................................... 2,300 4,384
*Trinzic Corp. ............................................ 12,300 67,650
Trion, Inc. .............................................. 2,300 13,369
*Triple S Plastics, Inc. .................................. 200 1,925
*Tripos, Inc. ............................................. 2,000 13,750
*Triquint Semiconductor, Inc. ............................. 200 2,788
*Trism, Inc. .............................................. 1,100 8,388
*Tristar Corp. ............................................ 1,000 5,125
True North Communications, Inc. .......................... 12,600 248,850
Trust Company of New Jersey .............................. 7,700 99,138
Trustco Bank Corp. NY .................................... 6,820 139,810
Tseng Laboratories, Inc. ................................. 5,900 39,456
*Tuboscope Vetco International, Inc. ...................... 8,400 50,925
*Tucker Drilling Co., Inc. ................................ 500 3,781
*Tuesday Morning Corp. .................................... 3,600 22,500
*Tultex Corp. ............................................. 14,900 81,950
*Turner Corp. ............................................. 2,600 25,675
Tuscarora Plastics, Inc. ................................. 3,500 66,938
Twin Disc, Inc. .......................................... 1,400 32,900
*Tyco Toys, Inc. .......................................... 15,800 106,650
*Tyler Corp. .............................................. 5,800 21,025
U.S. Bancorp, Inc. ....................................... 1,000 22,125
*UDC Homes, Inc. .......................................... 2,600 2,925
*UNC, Inc. ................................................ 12,600 64,575
UNR Industries, Inc. ..................................... 18,300 118,950
*URS Corp. ................................................ 5,000 28,750
*US Can Corp. ............................................. 8,800 173,800
*USA Truck, Inc. .......................................... 900 14,175
*USA Waste Services, Inc. ................................. 8,600 127,925
*USAir Group, Inc. ........................................ 24,000 213,000
*USMX, Inc. ............................................... 4,600 11,356
*UST Corp. ................................................ 7,900 97,269
*Ultimate Electronics, Inc. ............................... 200 1,838
*Ultra Pacific, Inc. ...................................... 1,700 11,156
*Ultrak, Inc. ............................................. 200 1,838
*Ultralife Batteries, Inc. ................................ 3,000 49,500
Ultratech Stepper, Inc. .................................. 400 12,000
Uni-Marts, Inc. .......................................... 1,000 5,625
Unico American Corp. ..................................... 3,000 14,625
Unifirst Corp. ........................................... 6,200 75,175
Uniforce Temporary Personnel, Inc. ....................... 2,700 24,300
226
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Unigene Laboratories, Inc. ............................... 5,100 $ 6,694
*Unilab Corp. ............................................. 11,900 60,244
*Unimed, Inc. ............................................. 2,800 11,200
*Union Corp. DE ........................................... 3,900 54,600
Union Planters Corp. ..................................... 14,117 374,101
*Union Switch & Signal, Inc. .............................. 5,900 92,925
*Uniphase Corp. ........................................... 3,000 58,875
*Unique Mobility, Inc. .................................... 2,400 9,600
*Uniroyal Technology Corp. ................................ 200 681
*Unit Corp. ............................................... 5,400 18,225
*United American Healthcare Corp. ......................... 3,700 64,288
United Bankshares, Inc. WV ............................... 1,000 27,000
United Carolina Bancshares Corp. ......................... 6,300 193,725
United Cities Gas Co. .................................... 4,950 77,344
United Companies Financial Corp. ......................... 2,640 117,150
United Financial Corp. ................................... 2,000 39,875
*United Foods, Inc. Class A ............................... 1,000 2,625
*United Guardian, Inc. .................................... 1,000 1,813
United Illuminating Co. .................................. 5,600 182,000
United Industrial Corp. .................................. 5,300 35,113
United Insurance Companies, Inc. ......................... 3,500 182,438
*United Meridian Corp. .................................... 200 3,050
United National Bancorp .................................. 200 6,350
*United Retail Group, Inc. ................................ 5,500 39,875
*United States Alcohol Testing America, Inc. .............. 13,200 26,400
*United States Banknote Corp. ............................. 5,300 11,263
*United States Bioscience, Inc. ........................... 22,400 57,400
*United States Energy Corp. ............................... 1,000 5,125
United States Facilities Corp. ........................... 5,700 85,144
United States Filter Corp. ............................... 6,000 102,750
*United States Home Corp. ................................. 2,600 56,875
*United States Homecare Corp. ............................. 3,800 9,144
*United States Intec, Inc. ................................ 2,500 18,906
*United States Long Distance Corp. ........................ 3,300 49,500
United Stationers, Inc. .................................. 111 1,984
United Television, Inc. .................................. 200 13,150
*United Video Satellite Group, Inc. Class A ............... 200 5,125
*United Waste Systems, Inc. ............................... 2,400 75,000
United Water Resources, Inc. ............................. 13,300 176,225
United Wisconsin Services, Inc. .......................... 3,100 65,100
*Unitel Video, Inc. ....................................... 600 3,825
Unitog Co. ............................................... 1,500 31,688
*Unitrode Corp. ........................................... 3,800 85,500
Univar Corp. ............................................. 8,700 104,400
*Univax Biologics, Inc. ................................... 3,400 17,638
Universal Forest Products, Inc. .......................... 8,200 56,888
*Universal Health Services, Inc. Class B .................. 5,500 151,938
*Universal Hospital Services, Inc. ........................ 200 1,713
*Universal International, Inc. ............................ 1,500 4,688
*Universal Seismic Association, Inc. ...................... 200 625
*Universal Standard Medical Labs, Inc. .................... 1,200 7,125
Uno Restaurant Corp. ..................................... 7,000 77,000
Upper Peninsula Energy Corp. ............................. 1,000 16,875
*Uranuim Resources, Inc. .................................. 2,000 7,500
*Urban Outfitters, Inc. ................................... 1,700 31,238
*Uromed Corp. ............................................. 10,000 60,625
*Utah Medical, Inc. ....................................... 3,000 31,875
*Utilx Corp. .............................................. 1,500 5,250
*V Band Systems, Inc. ..................................... 1,000 2,000
227
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
*V Mark Software, Inc. .................................... 200 $ 3,125
*VLSI Technology, Inc. .................................... 14,500 377,906
*VTEL Corp. ............................................... 2,100 19,425
VWR Corp. ................................................ 3,300 39,600
*Valence Technology, Inc. ................................. 12,100 29,494
*Vallen Corp. ............................................. 4,200 71,400
Valley Resources, Inc. ................................... 1,000 10,813
Vallicorp Holdings, Inc. ................................. 1,000 16,500
Valmont Industries, Inc. ................................. 3,200 63,200
*Value City Department Stores, Inc. ....................... 12,800 102,400
Value Line, Inc. ......................................... 2,000 59,750
*Value-Added Communications, Inc. ......................... 2,400 1,050
*Valuevision International, Inc. Class A .................. 10,800 50,963
*Vans, Inc. ............................................... 5,000 22,813
*Varco International, Inc. ................................ 13,400 120,600
*Variflex, Inc. ........................................... 1,200 13,725
*Varitronic Systems, Inc. ................................. 200 2,275
Varlen Corp. ............................................. 1,000 26,250
Varsity Spirit Corp. ..................................... 200 2,775
*Vaughn Communications, Inc. .............................. 200 1,175
*Vectra Technologies, Inc. ................................ 2,700 7,594
*Ventritex, Inc. .......................................... 5,000 71,563
*Ventura County National Bancorp .......................... 200 500
Venture Stores, Inc. ..................................... 10,400 104,000
*Venturian Corp. .......................................... 200 1,350
*Verifone, Inc. ........................................... 5,000 107,500
Vermont Financial Services Corp. ......................... 2,000 48,500
*Vermont Teddy Bear, Inc. ................................. 200 638
Versa Technologies, Inc. ................................. 1,100 15,538
*Versar, Inc. ............................................. 600 1,988
*Vertex Communications Corp. .............................. 1,000 14,000
*Vertex Pharmaceuticals, Inc. ............................. 6,400 103,200
Vesta Insurance Group, Inc. .............................. 200 6,675
*Veterinary Centers of America, Inc. ...................... 1,400 15,400
*Viagene, Inc. ............................................ 6,800 54,400
*Vical, Inc. .............................................. 7,000 56,438
*Vicorp Restaurants, Inc. ................................. 3,100 43,013
Victoria Bankshares, Inc. ................................ 2,000 51,750
*Video Display Corp. ...................................... 700 1,619
*Video Lottery Technologies, Inc. ......................... 1,400 11,288
*Vie de France Corp. ...................................... 4,200 13,125
*Viewlogic Systems, Inc. .................................. 3,900 39,975
Vintage Petroleum, Inc. .................................. 6,200 122,450
Virco Manufacturing Corp. ................................ 1,331 11,147
Virginia Beach Federal Financial Corp. ................... 1,200 9,675
Virginia First Financial Corp. ........................... 200 3,425
*Vision Sciences, Inc. .................................... 200 913
*Vista Resources, Inc. .................................... 3,600 72,900
*Visx, Inc. DE ............................................ 2,500 30,938
Vital Signs, Inc. ........................................ 4,000 63,250
*Vitalink Pharmacy Services, Inc. ......................... 1,000 16,250
*Vitesse Semiconductor, Inc. .............................. 8,800 60,500
*Volt Information Sciences, Inc. .......................... 1,000 31,250
*Volunteer Capital Corp. .................................. 1,800 14,625
WD-40 Co. ................................................ 2,000 85,000
*WHX Corp. ................................................ 20,300 220,763
WICOR, Inc. .............................................. 8,500 239,063
WLR Foods, Inc. .......................................... 3,700 50,875
*WMS Industries, Inc. ..................................... 9,600 177,600
*WRT Energy Corp. ......................................... 1,500 8,813
*WTD Industries, Inc. ..................................... 4,400 7,288
228
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
Wackenhut Corp. Class A .................................. 1,100 $ 18,013
Wackenhut Corp. Class B Non-Voting ........................ 1,025 13,838
*Wahlco Environmental System, Inc. ........................ 5,400 9,450
*Wainoco Oil Corp. ........................................ 8,100 34,425
Walbro Corp. ............................................. 2,600 51,675
*Walker Interactive Systems, Inc. ......................... 3,300 19,388
*Wall Data, Inc. .......................................... 200 3,550
*Wall Street Deli, Inc. ................................... 1,500 13,688
Walshire Assurance Co. ................................... 1,050 14,634
Warner Insurance Services, Inc. .......................... 5,300 5,300
*Warrantech Corp. ......................................... 3,900 19,744
Warren Bancorp, Inc. ..................................... 1,000 8,188
Washington Energy Co. .................................... 9,400 150,400
Washington Homes, Inc. ................................... 2,400 11,400
Washington National Corp. ................................ 7,300 144,175
Washington Savings Bank FSB Waldorf, MD .................. 1,100 3,781
*Washington Scientific Industries, Inc. ................... 1,000 4,188
Waterhouse Investor Services, Inc. ....................... 2,600 45,500
Waters Instruments, Inc. ................................. 200 475
Watkins-Johnson Co. ...................................... 4,900 219,275
Watsco, Inc. Class A ..................................... 300 4,013
*Watson Pharmaceuticals, Inc. ............................. 4,600 168,475
Watts Industries, Inc. Class A ........................... 3,600 76,500
*Waxman Industries, Inc. .................................. 1,800 2,025
*Weatherford International, Inc. .......................... 394 4,433
Webb (Del) Corp. ......................................... 6,700 145,725
Webster Financial Corp. .................................. 1,000 24,188
Wedco Technology, Inc. ................................... 1,155 11,767
*Weirton Steel Corp. ...................................... 16,700 121,075
*Weitek Corp. ............................................. 6,000 28,875
*Wells-Gardner Electronics Corp. .......................... 800 2,900
Wendt-Bristol Health Services Corp. ...................... 1,000 625
Werner Enterprises, Inc. ................................. 5,000 95,625
Wesbanco, Inc. ........................................... 1,000 23,625
West, Inc. ............................................... 4,800 135,000
Westamerica Bancorporation ............................... 4,800 171,000
*Westbridge Capital Corp. ................................. 1,100 6,600
Westco Bancorp, Inc. ..................................... 200 4,725
Westcorp, Inc. ........................................... 6,725 87,425
*Westcott Communications, Inc. ............................ 5,800 88,088
Western Bank Coos Bay, OR ................................ 1,259 15,029
*Western Beef, Inc. ....................................... 1,000 6,063
Western Gas Resources, Inc. .............................. 6,100 118,950
*Western Micro Technology, Inc. ........................... 1,000 2,750
*Western Publishing Group, Inc. ........................... 6,400 69,200
*Western Waste Industries ................................. 10,400 200,200
*Western Water Co. ........................................ 200 4,700
*Westmoreland Coal Co. .................................... 3,800 18,050
*Weston (Roy F.), Inc. Class A ............................ 1,000 5,063
Westwood One, Inc. ....................................... 13,800 180,263
*Wet Seal, Inc. Class A ................................... 1,200 4,725
*Whitehall Corp. .......................................... 200 5,550
Whitney Holdings Corp. ................................... 6,600 171,600
*Whittaker Corp. .......................................... 1,700 37,613
*Whole Foods Market, Inc. ................................. 3,800 54,150
*Wholesome & Hearty Foods, Inc. ........................... 2,100 25,200
Wiley (John) & Sons, Inc. Class A ........................ 200 11,400
*Williams Clayton Energy, Inc. ............................ 200 663
*Williams Controls, Inc. .................................. 3,300 10,519
229
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
Williams-Sonoma, Inc. .................................... 2,025 $ 36,956
Wilshire Oil Co. of Texas ................................ 2,575 16,094
*Wilshire Technologies, Inc. .............................. 1,000 1,500
*Wind River Systems, Inc. ................................. 200 2,463
Windmere Corp. ........................................... 4,400 37,950
Winnebago Industries, Inc. ............................... 8,300 77,813
Wireless Telecom Group, Inc. ............................. 1,100 20,350
*Wisconsin Pharmacal Co. .................................. 1,100 3,369
Wiser Oil Co. ............................................ 2,300 31,625
Wolohan Lumber Co. ....................................... 2,200 30,525
*Wolverine Tube, Inc. ..................................... 3,600 116,100
Wolverine World Wide, Inc. ............................... 3,375 68,766
*Wonderware Corp. ......................................... 3,000 96,000
Woodhead Industries, Inc. ................................ 1,500 21,000
Workingmens Capital Holdings, Inc. ....................... 200 3,700
*World Acceptance Corp. ................................... 4,100 126,075
*Worldcorp, Inc. .......................................... 12,200 154,025
*Worldtex, Inc. ........................................... 8,800 50,600
Worthington Foods, Inc. .................................. 1,500 24,750
Wyle Laboratories, Inc. .................................. 3,200 84,000
*Wyman-Gordon Co. ......................................... 13,900 145,950
Wynns International, Inc. ................................ 1,950 44,850
X-Rite, Inc. ............................................. 6,400 120,800
*Xicor, Inc. .............................................. 3,600 19,575
*Xircom, Inc. ............................................. 4,700 51,113
*Xoma Corp. ............................................... 6,600 14,438
*Xpedite Systems, Inc. .................................... 200 4,150
*Xylogics, Inc. ........................................... 2,000 46,000
*Xytronyx, Inc. ........................................... 1,100 1,581
Yankee Energy Systems, Inc. .............................. 4,700 95,763
*Yes Clothing Co. ......................................... 1,000 5,000
York Financial Corp. ..................................... 1,100 20,075
*York Research Corp. ...................................... 3,700 19,656
*Younkers, Inc. ........................................... 2,500 46,250
*Youth Services International, Inc. ....................... 200 2,163
*Zale Corp. ............................................... 14,000 161,875
*Zebra Technologies Corp. Class A ......................... 3,000 136,500
Zemex Corp. .............................................. 1,400 13,125
*Zenith Electronics Corp. ................................. 18,000 139,500
Zenith National Insurance Corp. .......................... 8,500 182,750
Zero Corp. ............................................... 4,800 66,600
*Zitel Corp. .............................................. 3,000 31,313
*Zoll Medical Corp. ....................................... 1,800 20,700
*Zoltek Companies, Inc. ................................... 200 3,713
Zurn Industries, Inc. .................................... 7,800 156,975
*Zycad Corp. .............................................. 3,800 8,313
*Zygo Corp. ............................................... 500 12,219
*Zytec Corp. .............................................. 200 1,525
------------
TOTAL COMMON STOCKS
(Cost $159,175,093) ..................................... 184,977,771
------------
PREFERRED STOCKS -- (0.0%)
*Comptronix Corp. 6% Convertible Series A ................. 666 0
------------
RIGHTS/WARRANTS -- (0.0%)
*American Satellite Network, Inc. Warrants 06/30/99 ....... 2,525 0
*BJ Services Co. Warrants 01/15/15 ........................ 1,020 5,610
*Fleet Financial Group, Inc.
Warrants 01/26/01 ....................................... 1,456 7,462
*Jamesway Corp. Warrants 01/28/10 ......................... 559 716
*Krug International Corp. Warrants 01/31/98 ............... 169 34
*Ramsay Managed Care, Inc. Rights 06/08/95 ................ 1 0
*Ventura County National Bancorp Rights 06/21/95 .......... 63 16
------------
TOTAL RIGHTS/WARRANTS
(Cost $12,711) .......................................... 13,838
------------
230
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Face
Amount
(000)
------
TEMPORARY CASH
INVESTMENTS -- (3.9%)
Repurchase Agreement, PNC Securities Corp. 5.85%,
06/01/95 (Collateralized by U.S. Treasury Notes 7.50%,
12/31/96) (Cost $7,411,000) .......................... $7,411 7,411,000
---------------
TOTAL INVESTMENTS -- (101.2%) (Cost $166,598,804) ....... 192,402,609
OTHER ASSETS AND LIABILITIES -- (-1.2%)
Other Assets ........................................... 797,817
Payable for Investment Securities Purchased .......... (2,915,227)
Other Liabilities .................................... (74,353)
----------------
(2,191,763)
----------------
NET ASSETS -- (100.0%) Applicable to 18,736,318
Outstanding $.01 Par Value Shares (Unlimited Number of
Shares Authorized) ................................... $190,210,846
================
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 10.15
================
</TABLE>
- - ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
231
<PAGE>
STATEMENT OF NET ASSETS
THE U.S. LARGE COMPANY SERIES
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
COMMON STOCKS -- (99.5%)
*AMR Corp. ................................................ 1,500 $ 102,375
AT & T Corp. ............................................. 31,219 1,584,345
Abbott Laboratories ...................................... 16,000 640,000
Advanced Micro Devices, Inc. ............................. 1,800 59,175
Aetna Life & Casualty Co. ................................ 2,100 125,213
Ahmanson (H.F.) & Co. .................................... 2,500 56,875
Air Products & Chemicals, Inc. ........................... 2,100 111,563
*Airtouch Communications, Inc. ............................ 9,700 264,325
Alberto-Culver Co. Class B ............................... 200 6,450
Albertson's Inc. ......................................... 5,200 145,600
Alcan Aluminum, Ltd. ..................................... 4,600 136,275
Alco Standard Corp. ...................................... 1,100 78,788
Alexander & Alexander Services, Inc. ..................... 900 22,838
Allergan, Inc. ........................................... 1,200 31,950
AlliedSignal, Inc. ....................................... 5,700 230,138
Alltel Corp. ............................................. 3,900 96,038
Aluminium Co. of America ................................. 3,400 158,100
*Alza Corp. ............................................... 1,600 33,400
*Amdahl Corp. ............................................. 2,200 28,600
Amerada Hess Corp. ....................................... 1,700 86,275
American Brands, Inc. .................................... 3,900 157,463
American Electric Power Co., Inc. ........................ 3,800 130,150
American Express Co. ..................................... 9,800 349,125
American General Corp. ................................... 4,100 141,450
American Greetings Corp. Class A ......................... 1,600 45,000
American Home Products Corp. ............................. 6,200 456,475
American International Group, Inc. ....................... 6,400 728,000
American Stores Co. ...................................... 3,000 78,375
Ameritech Corp. .......................................... 10,800 479,250
*Amgen, Inc. .............................................. 2,500 181,250
Amoco Corp. .............................................. 9,800 670,075
Amp, Inc. ................................................ 6,300 268,538
Andrew Corp. ............................................. 750 36,375
Anheuser-Busch Companies, Inc. ........................... 5,100 301,538
Apple Computer, Inc. ..................................... 2,600 108,225
*Applied Materials, Inc. .................................. 1,600 123,000
Archer-Daniels Midland Co. ............................... 10,150 187,775
*Armco, Inc. .............................................. 2,300 14,663
Armstrong World Industries, Inc. ......................... 900 46,463
Asarco, Inc. ............................................. 700 20,213
Ashland, Inc. ............................................ 1,400 51,975
Atlantic Richfield Co. ................................... 3,200 371,600
Autodesk, Inc. ........................................... 800 29,800
Automatic Data Processing, Inc. .......................... 2,700 168,075
Avery Dennison Corp. ..................................... 1,200 49,500
Avon Products, Inc. ...................................... 1,400 94,325
Baker Hughes, Inc. ....................................... 2,700 60,750
Ball Corp. ............................................... 600 19,950
*Bally Entertainment Corp. ................................ 800 8,300
Baltimore Gas & Electric Co. ............................. 3,050 79,300
Banc One Corp. ........................................... 8,102 281,545
Bank of Boston Corp. ..................................... 2,000 73,000
Bank of New York Co., Inc. ............................... 3,600 146,700
BankAmerica Corp. ........................................ 7,456 389,576
Bankers Trust New York Corp. ............................. 1,500 94,125
Bard (C.R.), Inc. ........................................ 900 26,550
Barnett Banks, Inc. ...................................... 1,900 94,288
232
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
Barrick Gold Corp. ....................................... 7,000 $ 176,750
Bassett Furniture Industries, Inc. ....................... 187 5,026
Bausch & Lomb, Inc. ...................................... 1,400 56,875
Baxter International, Inc. ............................... 5,700 198,788
Becton Dickinson & Co. ................................... 1,200 69,000
Bell Atlantic Corp. ...................................... 8,500 473,875
Bellsouth Corp. .......................................... 9,800 601,475
Bemis Co., Inc. .......................................... 900 25,650
Beneficial Corp. ......................................... 1,200 53,400
*Bethlehem Steel Corp. .................................... 2,100 30,975
*Beverly Enterprises ...................................... 1,600 18,200
*Biomet, Inc. ............................................. 2,500 36,875
Black & Decker Corp. ..................................... 1,600 52,800
Block (H.&R.), Inc. ...................................... 2,000 72,250
Boatmen's Bancshares, Inc. ............................... 2,400 78,150
Boeing Co. ............................................... 6,700 394,463
Boise Cascade Corp. ...................................... 800 26,400
*Boston Scientific Corp. .................................. 2,900 83,375
Briggs & Stratton Corp. .................................. 800 28,400
Bristol Myers Squibb Co. ................................. 10,000 663,750
Brown Group, Inc. ........................................ 600 13,125
Brown-Forman Corp. Class B ............................... 600 19,950
Browning-Ferris Industries, Inc. ......................... 3,800 135,375
Brunos, Inc. ............................................. 1,500 17,344
Brunswick Corp. .......................................... 1,800 33,075
Burlington Northern, Inc. ................................ 1,900 116,138
Burlington Resources, Inc. ............................... 2,500 103,750
CBS, Inc. ................................................ 1,260 84,420
CIGNA Corp. .............................................. 1,400 104,650
CPC International, Inc. .................................. 2,800 170,100
CSX Corp. ................................................ 2,200 167,750
CUC International, Inc. .................................. 3,200 117,600
Campbell Soup Co. ........................................ 4,900 240,713
Capital Cities ABC, Inc. ................................. 3,000 289,500
Carolina Power & Light Co. ............................... 3,000 89,625
Caterpillar, Inc. ........................................ 4,100 247,025
Centex Corp. ............................................. 800 23,000
Central & South West Corp. ............................... 3,700 95,275
*Ceridian Corp. ........................................... 800 25,800
Champion International Corp. ............................. 1,800 83,475
Charming Shoppes, Inc. ................................... 2,200 9,556
Chase Manhattan Corp. .................................... 3,700 171,125
Chemical Banking Corp. ................................... 4,698 216,695
Chevron Corp. ............................................ 13,000 638,625
Chrysler Corp. ........................................... 7,100 309,738
Chubb Corp. .............................................. 1,700 140,038
Cincinnati Milacron, Inc. ................................ 600 16,200
Cinergy Corp. ............................................ 818 21,779
Circuit City Stores, Inc. ................................ 1,800 49,500
*Cisco Sytems, Inc. ....................................... 5,200 227,175
Citicorp ................................................. 7,800 417,300
Clark Equipment Co. ...................................... 200 17,175
Clorox Co. ............................................... 1,100 65,863
Coastal Corp. ............................................ 2,200 69,025
Coca-Cola Co. ............................................ 25,100 1,553,063
Colgate-Palmolive Co. .................................... 3,000 231,000
*Columbia Gas System, Inc. ................................ 1,000 30,000
Columbia/HCA Healthcare Corp. ............................ 7,055 288,373
Comcast Corp. Class A Special ............................ 3,900 68,006
Community Psychiatric Centers ............................ 900 11,138
*Compaq Computer Corp. .................................... 5,300 207,363
233
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
Computer Associates International, Inc. .................. 3,300 $ 216,150
*Computer Sciences Corp. .................................. 1,300 68,900
Conagra, Inc. ............................................ 5,050 168,544
Conrail, Inc. ............................................ 1,700 91,800
Consolidated Edison Co. of New York, Inc. ................ 4,800 143,400
Consolidated Freightways, Inc. ........................... 800 19,000
Consolidated Natural Gas Co. ............................. 2,000 79,750
Cooper Industries, Inc. .................................. 2,300 85,100
Cooper Tire & Rubber Co. ................................. 1,600 38,800
Coors (Adolph) Co. Class B ............................... 600 10,313
Corestates Financial Corp. ............................... 3,000 99,750
Corning, Inc. ............................................ 4,500 144,000
Crane Co. ................................................ 500 17,125
*Cray Research, Inc. ...................................... 500 11,438
*Crown Cork & Seal Co., Inc. .............................. 1,900 89,300
Cummins Engine Co., Inc. ................................. 700 31,850
Cyprus Amax Minerals Co., Inc. ........................... 1,700 45,050
*DSC Communications Corp. ................................. 2,100 77,569
Dana Corp. ............................................... 2,100 59,325
*Darden Restaurants, Inc. ................................. 6,100 67,100
*Data General Corp. ....................................... 600 4,800
Dayton-Hudson Corp. ...................................... 1,400 99,225
Dean Witter, Discover & Co. .............................. 3,266 155,543
Deere & Co. .............................................. 1,600 138,400
Delta Air Lines, Inc. .................................... 1,000 65,125
Deluxe Corp. ............................................. 1,600 51,000
Detroit Edison Co. ....................................... 2,800 84,350
Dial Corp. ............................................... 1,700 41,650
*Digital Equipment Corp. .................................. 2,800 124,950
Dillard Department Stores, Inc. Class A .................. 2,300 66,125
Disney (Walt) Co. ........................................ 10,200 567,375
Dominion Resources, Inc. VA .............................. 3,550 131,794
Donnelley (R.R.) & Sons Co. .............................. 2,900 105,850
Dover Corp. .............................................. 1,200 78,750
Dow Chemical Co. ......................................... 5,400 396,225
Dow Jones & Co., Inc. .................................... 1,900 69,350
Dresser Industries, Inc. ................................. 3,500 80,063
DuPont (E.I.) de Nemours & Co. ........................... 13,400 909,525
Duke Power Co. ........................................... 4,200 175,350
Dun & Bradstreet Corp. ................................... 3,500 185,500
E G & G, Inc. ............................................ 1,300 23,563
Eastern Enterprises ...................................... 300 9,000
Eastman Chemical Co. ..................................... 1,625 97,500
Eastman Kodak Co. ........................................ 6,800 410,550
Eaton Corp. .............................................. 1,400 85,575
Echlin, Inc. ............................................. 1,400 50,400
Echo Bay Mines, Ltd. ..................................... 2,100 18,769
Ecolab, Inc. ............................................. 1,300 32,988
Emerson Electric Co. ..................................... 4,300 295,625
Engelhard Corp. .......................................... 2,025 84,291
Enron Corp. .............................................. 5,100 186,150
Enserch Corp. ............................................ 1,500 26,063
Entergy Corp. ............................................ 4,400 108,900
Exxon Corp. .............................................. 24,500 1,748,668
*FMC Corp. ................................................ 600 38,625
FPL Group, Inc. .......................................... 3,600 141,300
*Federal Express Corp. .................................... 1,100 65,863
Federal Home Loan Mortgage Corp. ......................... 3,500 238,438
Federal National Mortgage Association .................... 5,400 502,200
Federal Paper Board Co., Inc. ............................ 1,000 32,500
First Chicago Corp. ...................................... 1,800 103,275
234
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
First Data Corp. ......................................... 2,300 $ 132,825
First Fidelity Bancorp ................................... 1,600 85,000
First Interstate Bancorp ................................. 1,500 126,000
First Mississippi Corp. .................................. 300 6,938
First Union Corp. ........................................ 3,600 176,400
Fleet Financial Group, Inc. .............................. 2,800 97,650
Fleetwood Enterprises, Inc. .............................. 800 16,600
Fleming Companies, Inc. .................................. 900 23,288
Fluor Corp. .............................................. 1,800 89,100
Ford Motor Co. ........................................... 18,500 541,125
Foster Wheeler Corp. ..................................... 600 19,725
*Fruit of The Loom, Inc. Class A .......................... 1,300 34,613
GTE Corp. ................................................ 19,100 637,463
Gannett Co., Inc. ........................................ 2,900 155,150
Gap, Inc. ................................................ 3,000 103,125
General Dynamics Corp. ................................... 1,200 52,500
General Electric Co. ..................................... 33,900 1,966,180
General Mills, Inc. ...................................... 3,000 155,625
General Motors Corp. ..................................... 15,000 720,000
General Public Utilities Corp. ........................... 2,800 84,000
General RE Corp. ......................................... 1,600 216,600
General Signal Corp. ..................................... 800 29,600
Genuine Parts Co. ........................................ 2,550 100,088
Georgia-Pacific Corp. .................................... 1,700 132,175
Giant Food, Inc. Class A ................................. 1,400 40,250
Giddings & Lewis, Inc. ................................... 900 15,581
Gillette Co. ............................................. 4,300 362,813
Golden West Financial Corp. .............................. 1,200 58,950
Goodrich (B.F.) Co. ...................................... 500 24,813
Goodyear Tire & Rubber Co. ............................... 3,000 126,750
Grace (W.R.) & Co. ....................................... 1,800 115,650
Grainger (W.W.), Inc. .................................... 1,000 59,875
Great Atlantic & Pacific Tea Co., Inc. ................... 700 17,413
Great Lakes Chemical Corp. ............................... 1,500 91,500
Great Western Financial Corp. ............................ 2,600 56,875
Halliburton Co. .......................................... 2,400 93,600
Handleman Co. ............................................ 600 6,975
Harcourt General, Inc. ................................... 1,423 59,944
Harland (John H.) Co. .................................... 500 11,813
Harnischfeger Industries, Inc. ........................... 900 31,275
Harris Corp. ............................................. 700 37,188
Hasbro, Inc. ............................................. 1,750 61,688
Heinz (H.J.) Co. ......................................... 4,700 212,675
Helmerich & Payne, Inc. .................................. 400 11,950
Hercules, Inc. ........................................... 2,300 120,750
Hershey Foods Corp. ...................................... 1,400 72,275
Hewlett-Packard Co. ...................................... 10,000 661,250
Hilton Hotels Corp. ...................................... 1,000 67,000
Home Depot, Inc. ......................................... 8,966 373,210
Homestake Mining Co. ..................................... 2,900 48,938
Honeywell, Inc. .......................................... 2,500 99,063
Household International, Inc. ............................ 1,900 93,813
Houston Industries, Inc. ................................. 2,500 107,813
ITT Corp. ................................................ 2,000 223,750
Illinois Tool Works, Inc. ................................ 2,400 119,400
Inco, Ltd. ............................................... 2,300 57,500
Ingersoll-Rand Co. ....................................... 2,000 74,500
Inland Steel Industries, Inc. ............................ 1,100 30,938
Intel Corp. .............................................. 8,200 919,938
*Intergraph Corp. ......................................... 800 10,750
International Business Machines Corp. .................... 11,700 1,091,025
International Flavors & Fragrances, Inc. ................. 2,200 108,350
International Paper Co. .................................. 2,400 188,700
235
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
Interpublic Group of Companies, Inc. ..................... 1,400 $ 51,625
James River Corp. of Virginia ............................ 1,600 43,200
Jefferson-Pilot Corp. .................................... 850 44,838
Johnson & Johnson ........................................ 12,600 834,750
Johnson Controls, Inc. ................................... 700 40,075
Jostens, Inc. ............................................ 800 16,100
K Mart Corp. ............................................. 9,100 116,025
Kaufman & Broad Home Corp. ............................... 600 8,475
Kellogg Co. .............................................. 4,300 288,638
Kerr-McGee Corp. ......................................... 900 50,175
Keycorp .................................................. 4,900 150,063
Kimberly Clark Corp. ..................................... 3,400 204,000
*King World Productions, Inc. ............................. 600 24,900
Knight Ridder, Inc. ...................................... 1,100 60,775
*Kroger Co. ............................................... 2,300 59,800
Laidlaw, Inc. Class B Non-Voting ......................... 6,400 59,200
Lilly (Eli) & Co. ........................................ 5,700 425,363
Limited, Inc. ............................................ 7,200 160,200
Lincoln National Corp. ................................... 1,900 85,975
Liz Claiborne, Inc. ...................................... 1,500 26,625
Lockheed Martin Corp. .................................... 4,604 273,938
Loews Corp. .............................................. 1,600 190,200
Longs Drug Stores Corp. .................................. 300 10,538
Loral Corp. .............................................. 1,700 81,388
*Lotus Development Corp. .................................. 1,100 33,550
Louisiana Land & Exploration Co. ......................... 600 23,250
Louisiana-Pacific Corp. .................................. 2,100 46,725
Lowe's Companies, Inc. ................................... 3,300 89,925
Luby's Cafeterias, Inc. .................................. 500 10,188
*M/A-COM, Inc. ............................................ 500 5,938
MBNA Corp. ............................................... 2,800 94,500
MCI Communications Corp. ................................. 13,500 272,531
Mallinckrodt Group, Inc. ................................. 1,500 54,563
Manor Care, Inc. ......................................... 1,450 42,413
Marriott International, Inc. ............................. 2,600 88,075
Marsh & McLennan Companies, Inc. ......................... 1,500 119,438
Masco Corp. .............................................. 3,100 89,513
Mattel, Inc. ............................................. 4,500 112,500
May Department Stores Co. ................................ 5,100 200,175
Maytag Corp. ............................................. 2,000 32,500
McDermott International, Inc. ............................ 1,300 34,125
McDonalds Corp. .......................................... 13,700 518,888
McDonnell Douglas Corp. .................................. 2,300 166,175
McGraw-Hill Companies, Inc. .............................. 900 66,600
Mead Corp. ............................................... 1,300 70,038
Medtronic, Inc. .......................................... 2,200 165,550
Mellon Bank Corp. ........................................ 2,900 123,975
Melville Corp. ........................................... 2,000 79,500
Mercantile Stores Co., Inc. .............................. 600 28,125
Merck & Co., Inc. ........................................ 24,500 1,154,563
Meredith Corp. ........................................... 700 18,375
Merrill Lynch & Co., Inc. ................................ 3,700 173,900
Micron Technology, Inc. .................................. 4,000 178,500
*Microsoft Corp. .......................................... 11,600 982,375
Millipore Corp. .......................................... 400 26,250
Minnesota Mining & Manufacturing Co. ..................... 8,300 496,963
Mobil Corp. .............................................. 7,700 772,888
Monsanto Co. ............................................. 2,300 191,475
Moore Corp., Ltd. ........................................ 1,900 41,563
Morgan (J.P.) & Co., Inc. ................................ 3,700 262,238
Morrison Knudsen Corp. ................................... 600 3,300
Morton International, Inc. ............................... 2,800 88,900
Motorola, Inc. ........................................... 11,700 700,538
NBD Bancorp, Inc. ........................................ 3,150 103,556
236
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
Nacco Industries, Inc. Class A ........................... 100 $ 6,000
Nalco Chemical Co. ....................................... 1,500 56,625
National City Corp. ...................................... 2,800 85,050
*National Medical Enterprises, Inc. ....................... 3,200 53,200
*National Semiconductor Corp. ............................. 2,600 65,000
National Service Industries, Inc. ........................ 1,000 28,875
NationsBank Corp. ........................................ 5,424 307,134
*Navistar International Corp. ............................. 1,450 22,475
New York Times Class A ................................... 1,900 42,988
Newell Co. ............................................... 3,000 74,625
Newmont Mining Corp. ..................................... 1,723 71,935
Niagra Mohawk Power Corp. ................................ 3,000 44,250
Nicor, Inc. .............................................. 900 23,963
Nike, Inc. Class B ....................................... 1,100 86,763
Noram Energy Corp. ....................................... 2,300 15,238
Nordstrom, Inc. .......................................... 1,500 62,063
Norfolk Southern Corp. ................................... 2,600 178,100
Northern States Power Co. MN ............................. 1,300 61,588
Northern Telecom, Ltd. ................................... 5,200 199,550
Northrop Grumman Corp. ................................... 1,000 52,375
Norwest Corp. ............................................ 6,200 175,925
*Novell, Inc. ............................................. 7,400 142,913
Nucor Corp. .............................................. 1,700 81,175
Nynex Corp. .............................................. 8,500 354,875
Occidental Petroleum Corp. ............................... 6,300 144,900
Ogden Corp. .............................................. 1,200 26,400
Ohio Edison Co. .......................................... 2,900 63,438
Oneok, Inc. .............................................. 400 7,600
Oracle Systems Corp. ..................................... 8,650 300,047
*Oryx Energy Co. .......................................... 2,100 30,188
Outboard Marine Corp. .................................... 300 6,038
*Owens-Corning Fiberglas Corp. ............................ 900 32,625
PECO Energy Co. .......................................... 4,400 123,750
PNC Bank Corp. ........................................... 4,800 129,600
PPG Industries, Inc. ..................................... 4,100 170,663
Paccar, Inc. ............................................. 760 36,433
PacifiCorp ............................................... 5,500 108,625
Pacific Enterprises ...................................... 1,600 40,400
Pacific Gas & Electric Co. ............................... 8,700 252,300
Pacific Telesis Group .................................... 8,300 222,025
Pall Corp. ............................................... 2,200 48,400
Panhandle Eastern Corp. .................................. 3,100 77,888
Parker-Hannifin Corp. .................................... 1,000 57,125
Penney (J.C.) Co., Inc. .................................. 4,500 212,063
Pennzoil Co. ............................................. 800 39,500
Peoples Energy Corp. ..................................... 700 18,725
Pep Boys -- Manny, Moe & Jack ............................ 1,400 39,025
Pepsico, Inc. ............................................ 15,700 769,300
Perkin Elmer Corp. ....................................... 700 24,325
Pfizer, Inc. ............................................. 6,400 564,000
Phelps Dodge Corp. ....................................... 1,300 71,663
Philip Morris Companies, Inc. ............................ 16,900 1,231,588
Phillips Petroleum Co. ................................... 5,300 192,125
Pioneer Hi-Bred International, Inc. ...................... 1,800 70,425
Pitney Bowes, Inc. ....................................... 3,200 118,400
Pittston Co. Services Group .............................. 700 16,888
Placer Dome, Inc. ........................................ 4,600 116,150
Polaroid Corp. ........................................... 800 29,500
Potlatch Corp. ........................................... 600 25,725
Praxair, Inc. ............................................ 2,600 64,675
Premark International, Inc. .............................. 1,300 64,838
*Price/Costco, Inc. ....................................... 3,765 52,945
Procter & Gamble Co. ..................................... 13,600 977,500
Promus Companies, Inc. ................................... 2,000 83,750
Providian Corp. .......................................... 1,900 69,113
237
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
Public Service Enterprise Group, Inc. .................... 4,800 $ 142,800
Pulte Corp. .............................................. 700 19,163
Quaker Oats Co. .......................................... 2,600 90,675
Ralston Purina Group ..................................... 1,900 95,475
Raychem Corp. ............................................ 900 32,738
Raytheon Co. ............................................. 2,400 186,000
Reebok International, Ltd. ............................... 1,600 53,600
Reynolds Metals Co. ...................................... 1,200 59,250
Rite Aid Corp. ........................................... 1,900 45,125
Roadway Services, Inc. ................................... 700 32,638
Rockwell International Corp. ............................. 4,200 191,625
Rohm & Haas Co. .......................................... 1,600 94,200
*Rowan Companies, Inc. .................................... 1,600 12,000
Royal Dutch Petroleum Co. ................................ 10,500 1,330,875
Rubbermaid, Inc. ......................................... 3,100 98,813
Russell Corp. ............................................ 700 20,300
*Ryans Family Steak Houses, Inc. .......................... 1,300 9,019
Ryder System, Inc. ....................................... 1,500 38,063
SBC Communications, Inc. ................................. 11,900 535,500
SCE Corp. ................................................ 8,900 154,638
SPX Corp. ................................................ 200 2,625
Safeco Corp. ............................................. 1,400 82,338
Safety Kleen Corp. ....................................... 1,300 22,100
Saint Jude Medical, Inc. ................................. 800 36,250
Saint Paul Companies, Inc. ............................... 1,700 86,488
Salomon, Inc. ............................................ 2,100 86,100
*Santa Fe Energy Resources, Inc. .......................... 1,700 16,575
Santa Fe Pacific Corp. ................................... 2,803 35,038
Santa Fe Southern Pacific Corp. .......................... 1,178 28,861
Sara Lee Corp. ........................................... 9,500 264,813
Schering-Plough Corp. .................................... 3,600 283,500
Schlumberger, Ltd. ....................................... 4,800 312,000
Scientific-Atlanta, Inc. ................................. 1,500 27,938
Scott Paper Co. .......................................... 3,000 130,125
Seagram Co., Ltd. ........................................ 7,500 225,000
Sears, Roebuck & Co. ..................................... 7,700 434,088
Service Corp. International .............................. 1,950 55,819
Shared Medical Systems Corp. ............................. 700 23,275
Shawmut National Corp. ................................... 2,200 63,800
Sherwin-Williams Co. ..................................... 1,800 66,150
*Shoney's, Inc. ........................................... 700 7,613
Sigma-Aldrich Corp. ...................................... 1,200 52,950
*Silicon Graphics, Inc. ................................... 3,600 139,950
Skyline Corp. ............................................ 100 1,825
Snap-On, Inc. ............................................ 1,000 35,500
Sonat, Inc. .............................................. 1,700 55,888
Southern Co. ............................................. 13,000 287,625
Southwest Airlines Co. ................................... 2,800 61,950
Springs Industries, Inc. Class A ......................... 600 23,625
Sprint Corp. ............................................. 7,000 234,500
Stanley Works ............................................ 800 32,000
*Stone Container Corp. .................................... 1,714 29,995
Stride Rite Corp. ........................................ 1,000 11,250
Sun Company, Inc. ........................................ 2,000 63,000
*Sun Microsystems ......................................... 1,900 85,381
Suntrust Banks, Inc. ..................................... 2,200 127,600
Supervalu, Inc. .......................................... 1,600 45,400
Sysco Corp. .............................................. 3,800 103,075
TJX Companies, Inc. ...................................... 1,600 21,400
TRW, Inc. ................................................ 1,300 102,538
*Tandem Computers, Inc. ................................... 2,400 31,800
Tandy Corp. .............................................. 1,515 70,826
238
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
Shares Value+
------------------ ------------------
Tektronix, Inc. .......................................... 500 $ 23,000
*Tele-Communications, Inc. Class A ........................ 8,100 170,606
Teledyne, Inc. ........................................... 1,300 31,688
Temple-Inland, Inc. ...................................... 1,300 56,225
Tenneco, Inc. ............................................ 3,900 187,200
Texaco, Inc. ............................................. 5,100 349,350
Texas Instruments, Inc. .................................. 1,700 196,563
Texas Utilities Co. ...................................... 4,600 166,175
Textron, Inc. ............................................ 1,600 97,400
Thomas & Betts Corp. ..................................... 400 26,950
Time Warner, Inc. ........................................ 7,560 299,565
Times Mirror Co. Class A ................................. 2,400 55,800
Timken Co. ............................................... 500 21,063
Torchmark Corp. .......................................... 1,550 61,806
*Toys 'R' Us, Inc. ........................................ 5,600 141,400
Transamerica Corp. ....................................... 1,400 83,650
Travelers Group, Inc. .................................... 6,452 272,597
Tribune Co. .............................................. 1,300 77,513
Trinova Corp. ............................................ 800 27,200
Tyco International, Ltd. ................................. 1,500 81,188
UNUM Corp. ............................................... 1,400 59,850
US Bancorp ............................................... 2,150 52,809
US Healthcare, Inc. ...................................... 3,300 102,713
US West, Inc. ............................................ 9,400 387,750
*USAir Group, Inc. ........................................ 1,400 12,425
USF&G Corp. .............................................. 1,900 32,775
USLIFE Corp. ............................................. 700 28,175
UST, Inc. ................................................ 4,000 119,500
USX-Marathon Group, Inc. ................................. 5,800 115,275
USX-US Steel Group ....................................... 1,620 51,840
Unicom Corp., Inc. ....................................... 4,100 111,725
Unilever NV .............................................. 3,200 407,200
Union Camp Corp. ......................................... 1,400 72,625
Union Carbide Corp. ...................................... 2,800 81,900
Union Electric Co. ....................................... 2,000 75,750
Union Pacific Corp. ...................................... 4,000 221,500
*Unisys Corp. ............................................. 3,400 36,125
United Healthcare Corp. .................................. 3,300 122,925
United States Surgical Corp. ............................. 1,100 22,688
United Technologies Corp. ................................ 2,300 174,513
Unocal Corp. ............................................. 5,000 148,125
Upjohn Co. ............................................... 3,300 120,038
VF Corp. ................................................. 1,300 69,225
*Varity Corp. ............................................. 1,000 43,125
*Viacom, Inc. Class B ..................................... 5,521 257,417
WMX Technologies, Inc. ................................... 9,700 264,325
Wachovia Corp. ........................................... 3,500 132,563
Wal-Mart Stores, Inc. .................................... 45,600 1,140,000
Walgreen Co. ............................................. 2,500 120,313
Warner-Lambert Co. ....................................... 2,600 215,475
Wells Fargo & Co. ........................................ 900 165,600
Wendy's International, Inc. .............................. 1,900 32,538
*Western Atlas, Inc. ...................................... 1,300 58,663
Westinghouse Electric Corp. .............................. 7,200 104,400
Westvaco Corp. ........................................... 1,300 55,575
Weyerhaeuser Co. ......................................... 4,100 179,888
Whirlpool Corp. .......................................... 1,500 85,688
Whitman Corp. ............................................ 2,000 36,250
Williams Companies, Inc. ................................. 1,800 61,200
Winn-Dixie Stores, Inc. .................................. 1,600 91,800
Woolworth Corp. .......................................... 2,800 43,050
Worthington Industries, Inc. ............................. 1,675 34,861
Wrigley (Wm.) Jr. Co. .................................... 2,200 99,550
</TABLE>
239
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- --------------
<S> <C> <C>
Xerox Corp. .................................................................................. 2,000 $ 226,750
Yellow Corp. ................................................................................. 800 15,150
*Zenith Electronics Corp. ..................................................................... 800 6,200
Zurn Industries, Inc. ........................................................................ 200 4,025
--------------
TOTAL COMMON STOCKS (Cost $59,942,509) ........................................................ 77,481,987
--------------
Face
Amount
--------
(000)
TEMPORARY CASH INVESTMENTS -- (0.6%) ..........................................................
Repurchase Agreement, PNC Securitie Corp. 5.85%, 06/01/95 (Collateralized by U.S. Treasury
Notes 7.50%, 12/31/96) (Cost $449,000) ....................................................... $ 449 449,000
--------------
TOTAL INVESTMENTS -- (100.1%) (Cost $60,391,509) .............................................. 77,930,987
--------------
OTHER ASSETS AND LIABILITIES -- (-0.1%) .......................................................
Other Assets .................................................................................. 718,621
Payable for Investment Securities Purchased ................................................... (785,674)
Other Liabilities ............................................................................. (46,366)
--------------
(113,419)
--------------
NET ASSETS -- (100.0%) Applicable to 6,528,120 Outstanding $.01 Par Value Shares (Unlimited
Number of Shares Authorized) ................................................................. $77,817,568
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE ...................................... $ 11.92
==============
</TABLE>
- - ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
240
<PAGE>
STATEMENT OF NET ASSETS
THE U.S. SMALL CAP VALUE SERIES
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
COMMON STOCKS - (95.1%)
AAR Corp. .............................................. 81,900 $1,248,975
*AEL Industries, Inc. Class A ........................... 12,700 284,163
AEP Industries, Inc. ................................... 13,050 308,306
*AG Services America, Inc. .............................. 2,900 23,381
*ARI Holdings Corp. ..................................... 7,700 60,156
*AST Research, Inc. ..................................... 80,800 1,504,900
*Accell International Corp. ............................. 27,600 70,725
*Acceptance Insurance Companies, Inc. .................. 32,200 450,800
Aceto Corp. ............................................ 17,300 253,013
*Acme Metals, Inc. ...................................... 35,100 583,538
*Acme United Corp. ...................................... 7,100 26,625
Acme-Cleveland Corp. ................................... 15,300 357,638
*Actava Group, Inc. ..................................... 60,000 637,500
*Action Industries, Inc. ................................ 18,600 20,925
*Acx Technologies, Inc. ................................. 32,700 1,377,488
*Adage, Inc. ............................................ 19,800 101,475
*Addington Resources, Inc. .............................. 3,000 39,000
*Advance Ross Corp. ..................................... 1,600 40,400
*Advanced Logic Research, Inc. .......................... 44,400 258,075
*Advanced Marketing Services, Inc. ..................... 20,900 130,625
*Advanced Technology Labs, Inc. ......................... 93,227 1,514,939
Advantage Bancorp, Inc. ................................ 9,400 274,950
*Advest Group, Inc. ..................................... 33,200 203,350
*Aequitron Medical, Inc. ................................ 15,400 90,475
*Aeroflex, Inc. ......................................... 44,000 192,500
*Aerosonic Corp. DE ..................................... 3,200 7,000
*Aerovox, Inc. .......................................... 29,100 218,250
*Aileen, Inc. ........................................... 9,600 5,400
*Air & Water Technologies Corp. Class A ................. 100,000 600,000
*Air Methods Corp. ...................................... 26,500 69,563
Airborne Freight Corp. ................................. 60,400 1,140,050
Airtran Corp. .......................................... 14,600 127,750
*Alamco, Inc. ........................................... 25,900 200,725
*Alaska Air Group, Inc. ................................. 51,000 847,875
*Alba-Waldensian, Inc. .................................. 3,800 32,538
Albank Financial Corp. ................................. 5,500 141,281
*Alkermes, Inc. ......................................... 78,000 243,750
*Allegheny & Western Energy Corp. ....................... 26,300 312,313
*Allegiant Physician Services, Inc. ..................... 32,800 35,875
Allied Group, Inc. ..................................... 14,000 395,500
Allied Life Financial Corp. ............................ 20,000 342,500
*Allied Products Corp. .................................. 18,400 358,800
*Allied Research Corp. .................................. 20,000 67,500
*Allied Waste Industries, Inc. .......................... 57,900 354,638
*Allstate Financial Corp. ............................... 20,900 151,525
*Aloette Cosmetics, Inc. ................................ 5,300 14,244
Alpha Industries, Inc. ................................. 24,200 329,725
*Alpha Microsystems, Inc. ............................... 19,400 18,491
*Alpha Technologies Group, Inc. ......................... 3,200 19,000
*Ambar, Inc. ............................................ 20,000 93,750
*Ambers Stores, Inc. .................................... 8,400 5,906
Amcore Financial, Inc. ................................. 24,800 437,100
*America Services Group, Inc. ........................... 18,000 92,250
*America West Airlines, Inc. Class B ................... 13,800 132,825
241
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
American Bankers Insurance Group, Inc. ................. 68,700 $2,030,944
American Biltrite, Inc. ................................ 6,600 176,550
*American Consumer Products, Inc. ....................... 9,500 24,344
American Ecology Corp. ................................. 32,900 131,600
American Heritage Life Investment Corp. ................ 50,400 976,500
American Indemnity Financial Corp. ..................... 7,500 83,438
American Maize Products Co. Class A .................... 45,000 1,366,875
American Maize Products Co. Class B .................... 1,100 35,063
American Media, Inc. Class A ........................... 6,500 37,375
*American Medical Electronics, Inc. ..................... 20,800 198,900
*American Mobile Satellite Corp. ........................ 140,000 3,307,500
*American Pacific Corp. ................................. 31,600 161,950
American Recreation Centers, Inc. ...................... 17,100 121,838
*American Savings of Florida, FSB ....................... 44,300 908,150
American Software, Inc. Class A ........................ 8,600 32,788
*American Travellers Corp. .............................. 82,400 1,478,050
*American Vanguard Corp. ................................ 6,400 48,000
*American Waste Services, Inc. Class A .................. 84,700 137,638
*American White Cross, Inc. ............................. 55,200 148,350
*American Woodmark Corp. ................................ 35,010 196,931
Americana Bancorp, Inc. ................................ 8,850 134,963
*Americredit Corp. ...................................... 51,000 452,625
*Ameriwood Industries International Corp. ............... 13,600 89,250
Ameron, Inc. ........................................... 14,600 507,350
Amfed Financial, Inc. .................................. 21,778 518,589
Ampco-Pittsburgh Corp. ................................. 35,900 296,175
*Amrep Corp. ............................................ 29,192 195,222
Amresco, Inc. .......................................... 15,000 112,500
*Amsco International, Inc. .............................. 102,700 1,283,750
Amvestors Financial Corp. .............................. 38,200 415,425
Amwest Insurance Group, Inc. ........................... 6,100 90,738
Analogic Corp. ......................................... 47,100 836,025
Analysis & Technology, Inc. ............................ 8,200 108,650
*Anaren Microwave, Inc. ................................. 15,600 83,850
Anchor Bancorp Wisconsin, Inc. ......................... 11,700 356,850
Andover Bancorp, Inc. DE ............................... 15,600 282,750
*Andover Togs, Inc. ..................................... 3,600 8,775
Angelica Corp. ......................................... 35,400 911,550
*Apertus Technologies, Inc. ............................. 17,700 175,894
*Applied Extrusion Technologies, Inc. ................... 22,800 319,200
*Applied Immune Sciences, Inc. .......................... 9,200 40,825
*Applied Magnetics Corp. ................................ 113,600 653,200
*Applied Signal Technologies, Inc. ...................... 45,000 185,625
Aquila Gas Pipeline Corp. .............................. 10,000 91,250
Arkansas Best Corp. .................................... 141,000 1,374,750
*Arrow Automotive Industries, Inc. ...................... 10,600 62,938
Arrow Financial Corp. .................................. 4,576 69,212
Artistic Greetings, Inc. ............................... 13,300 49,875
Arvin Industries, Inc. ................................. 52,100 1,191,788
Ashland Coal, Inc. ..................................... 65,000 1,738,700
*Astrosystems, Inc. ..................................... 27,100 137,194
242
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Astrotech International Corp. .......................... 36,400 $ 113,750
*Athey Products Corp. ................................... 7,140 41,948
Atkinson (Guy F.) of California ........................ 53,200 465,500
*Atlantic Tele-Network, Inc. ............................ 45,900 370,069
Atlantis Plastics, Inc. ................................ 24,800 173,600
*Atlas Corp. ............................................ 11,600 18,850
*Atwood Oceanics, Inc. .................................. 38,800 579,575
*Audiovox Corp. Class A ................................. 35,100 186,469
Augat, Inc. ............................................ 4,100 84,050
*Aurora Electronics, Inc. ............................... 55,000 168,438
Autoclave Engineers, Inc. .............................. 15,400 194,425
*Autoinfo, Inc. ......................................... 26,000 91,813
*Avatar Holdings, Inc. .................................. 22,400 826,000
Aviall, Inc. ........................................... 152,500 1,277,188
*Avondale Industries, Inc. .............................. 85,900 628,144
*Aydin Corp. ............................................ 19,400 293,425
*Aztar Corp. ............................................ 140,900 1,320,938
Aztec Manufacturing Co. ................................ 19,500 70,688
BEI Electronics, Inc. .................................. 22,600 155,375
*BF Enterprises, Inc. ................................... 2,300 14,519
*BI, Inc. ............................................... 25,400 166,688
BMJ Financial Corp. .................................... 6,900 89,700
BSB Bancorp, Inc. ...................................... 15,900 475,013
BT Financial Corp. ..................................... 10,395 311,850
*Bachman Information Systems, Inc. ...................... 52,100 299,575
*Back Bay Restaurant Group, Inc. ........................ 7,600 42,750
Badger Meter, Inc. ..................................... 4,300 108,306
*Badger Paper Mills, Inc. ............................... 6,600 99,825
Bairnco Corp. .......................................... 54,000 243,000
Baker (J.), Inc. ....................................... 106,818 1,415,339
*Baker (Michael) Corp. .................................. 50,000 265,625
Baldwin & Lyons, Inc. Class B .......................... 1,600 25,600
*Baldwin Piano & Organ Co. .............................. 20,000 257,500
*Baldwin Technology, Inc. Class A ....................... 72,800 423,150
*Bally Entertainment Corp. .............................. 175,400 1,819,775
*Baltek Corp. ........................................... 4,500 38,531
*BancTec, Inc. .......................................... 12,700 193,675
Bank of New Hampshire Corp. ............................ 12,200 317,200
BankAtlantic Bancorp, Inc. ............................. 500 7,688
BankNorth Group, Inc. DE ............................... 24,200 626,175
Bankers Corp. .......................................... 40,140 669,836
Bankers First Corp. .................................... 15,200 406,600
*Banner Aerospace, Inc. ................................. 132,300 595,350
*Barry (R.G.) Corp. ..................................... 10,800 182,250
*Basin Exploration, Inc. ................................ 13,600 102,000
Bassett Furniture Industries, Inc. ..................... 14,750 396,406
Bay View Capital Corp. ................................. 26,700 694,200
*Bayou Steel Corp. Class A .............................. 36,700 167,444
*Be Aerospace, Inc. ..................................... 126,100 1,056,088
Bearings, Inc. ......................................... 11,400 316,350
*Beazer Homes USA, Inc. ................................. 1,000 15,500
*Beeba's Creations, Inc. ................................ 7,500 30,469
*Bel Fuse, Inc. ......................................... 19,200 216,000
*Belden & Blake Corp. ................................... 12,800 208,000
Bell Bancorp, Inc. ..................................... 35,300 979,575
*Bell Industries, Inc. .................................. 25,278 483,436
*Ben & Jerry's Homemade, Inc. Class A ................... 12,700 180,975
*Ben Franklin Retail Stores, Inc. ....................... 27,300 134,794
*Benson Eyecare Corp. ................................... 16,761 171,800
*Berlitz International, Inc. ............................ 79,100 1,161,781
*Bertuccis, Inc. ........................................ 26,300 184,100
Bindley Western Industries, Inc. ....................... 40,400 633,775
Binks Manufacturing Co. ................................ 11,518 280,751
243
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Bird Corp. ............................................. 12,300 $ 81,488
*Bird Medical Technologies, Inc. ........................ 20,600 124,888
*Biscayne Apparel, Inc. ................................. 32,870 57,523
*Bon-Ton Stores, Inc. ................................... 38,800 400,125
*Boomtown, Inc. ......................................... 66,500 739,813
*Borland International, Inc. ............................ 36,000 447,750
*Borror Corp. ........................................... 25,000 115,625
Bowl America, Inc. Class A ............................. 10,000 77,500
Bowne & Co., Inc. ...................................... 69,216 1,228,584
Bradlees, Inc. ......................................... 62,100 302,738
*Brauns Fashions Corp. .................................. 22,200 66,600
Brenton Banks, Inc. .................................... 650 12,106
*Brite Voice Systems, Inc. .............................. 2,000 38,625
*Broadcast International, Inc. .......................... 33,400 215,013
*Broadway Stores, Inc. .................................. 274,830 1,477,211
*Brookstone, Inc. ....................................... 44,500 246,141
*Brooktree Corp. ........................................ 50,500 823,781
*Brothers Gourmet Coffees, Inc. ......................... 6,200 55,800
*Brown & Sharpe Manufacturing Co. Class A ............... 16,700 104,375
Brush Wellman, Inc. .................................... 99,900 2,172,825
*Buffton Corp. .......................................... 7,200 11,250
*Builders Transport, Inc. ............................... 14,900 165,763
*Bull Run Corp. GA ...................................... 37,900 81,722
*Burlington Coat Factory Warehouse Corp. ................ 165,000 1,773,750
*Burr Brown Corp. ....................................... 46,200 1,033,725
*Butler International, Inc. ............................. 23,200 150,800
*Buttrey Food & Drug Stores Co. ......................... 52,400 389,725
CCP Insurance, Inc. .................................... 40,900 920,250
CFX Corp. .............................................. 15,018 356,678
CPB, Inc. .............................................. 17,300 454,125
CPI Corp. .............................................. 88,100 1,574,788
CRSS, Inc. ............................................. 49,500 717,750
CSF Holdings, Inc. Class B ............................. 32,400 967,950
*CSP, Inc. .............................................. 9,300 71,494
*CSS Industries, Inc. ................................... 4,900 78,400
*CTL Credit, Inc. ....................................... 11,900 182,219
CTS Corp. .............................................. 20,200 651,450
CU Bancorp ............................................. 16,700 123,163
*Cablemaxx, Inc. ........................................ 44,600 303,838
Cadmus Communications Corp. ............................ 10,700 196,613
*Caldor Corp. ........................................... 71,100 1,333,125
California Financial Holding Corp. ..................... 17,930 298,086
Calmat Co. ............................................. 182,800 3,678,850
*Cambridge Soundworks, Inc. ............................. 20,000 125,000
*Campo Eletronics, Appliances & Computers, Inc. ......... 43,900 279,863
Cape Cod Bank & Trust Co. .............................. 5,600 170,100
Capital Guarantee Corp. ................................ 1,100 19,388
Capital Re Corp. ....................................... 90,600 2,231,025
Capitol Bancorp, Ltd. .................................. 5,600 51,100
*Capsure Holdings Corp. ................................. 95,700 1,339,800
*Care Group, Inc. ....................................... 28,200 96,938
*Careline, Inc. ......................................... 20,000 145,000
*Carlisle Plastics, Inc. Class A ........................ 61,100 297,863
*Carmike Cinemas, Inc. Class A .......................... 18,000 429,750
Carolina First Corp. ................................... 21,050 290,753
*Carolina Freight Corp. ................................. 27,400 267,150
Carpenter Technology Corp. ............................. 28,300 1,818,275
*Carr-Gottstein Foods Co. ............................... 96,100 612,638
*Carson Pirie Scott & Co. ............................... 2,600 43,550
*Carver Corp. WA ........................................ 12,900 20,963
Cash America International, Inc. ....................... 52,700 408,425
Castle (A.M.) & Co. .................................... 19,650 297,206
244
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Catherines Stores Corp. ................................ 46,000 $ 462,875
*Cell Genesys, Inc. ..................................... 25,500 119,531
Cenfed Financial Corp. ................................. 15,700 312,038
Cenit Bancorp, Inc. .................................... 3,900 140,888
Centerbank Waterbury, CT ............................... 22,500 323,438
*Centigram Communications Corp. ......................... 18,200 236,600
Central & Southern Holding Co. ......................... 14,700 107,494
Central Reserve Life Corp. ............................. 15,300 113,794
*Central Sprinkler Corp. ................................ 17,200 389,150
Centura Banks, Inc. .................................... 25,000 646,875
*Cephalon, Inc. ......................................... 83,600 830,775
*Ceradyne, Inc. ......................................... 11,100 56,194
Champion Parts, Inc. ................................... 12,100 15,881
Chaparral Steel Co. .................................... 150,400 1,428,800
*Chart House Enterprises, Inc. .......................... 42,300 327,825
Charter One Financial, Inc. ............................ 81,500 2,047,688
Charter Power Systems, Inc. ............................ 12,000 271,500
*Check Technology Corp. ................................. 7,600 46,550
*Checkers Drive-In Restaurant, Inc. ..................... 35,000 78,203
*Chemfab Corp. .......................................... 10,700 176,550
*Chempower, Inc. ........................................ 7,300 25,550
*Cherry Corp. Class A ................................... 10,000 152,500
*Cherry Corp. Class B ................................... 10,900 153,963
Chesapeake Utilities Corp. ............................. 15,900 200,738
Chester Valley Bancorp ................................. 551 11,089
*Chic by His, Inc. ...................................... 11,300 121,475
Chicago Rivet & Machine Co. ............................ 1,100 31,488
*Chips & Technologies, Inc. ............................. 5,700 54,506
Chittenden Corp. ....................................... 24,656 533,191
*Chock Full O' Nuts Corp. ............................... 39,904 259,376
*Cimco, Inc. ............................................ 10,100 47,975
Cincinnati Microwave, Inc. ............................. 22,000 279,125
*Circon Corp. ........................................... 26,500 501,844
*Circuit Systems, Inc. .................................. 2,500 8,906
*Citation Insurance Group ............................... 21,500 64,500
Citfed Bancorp, Inc. ................................... 13,100 352,063
Citizens Bancorp MD .................................... 32,300 962,944
Citizens Banking Corp. ................................. 3,000 83,250
City National Corp. .................................... 98,500 1,095,813
*Civic Bancorp .......................................... 14,900 108,025
*Clean Harbors, Inc. .................................... 35,000 183,750
*Cliffs Drilling Co. .................................... 14,700 201,206
*Clothestime, Inc. ...................................... 88,000 262,625
Co-Operative Bank of Concord, MA ....................... 20,400 308,550
*Coast Distribution System .............................. 18,600 120,900
*Coast Savings Financial, Inc. .......................... 72,700 1,499,438
*Cobra Electronic Corp. ................................. 21,400 38,119
Coca Cola Bottling Co. Consolidated ................... 9,700 310,400
*Code Alarm, Inc. ....................................... 8,600 58,050
Coeur d'Alene Mines Corp. ID ........................... 4,200 81,900
Coherent Communications Systems Corp. ................. 7,734 227,186
*Coherent, Inc. ......................................... 36,800 910,800
*Coho Energy, Inc. ...................................... 41,100 223,481
Collective Bancorp, Inc. ............................... 30,800 691,075
*Collins Industries, Inc. ............................... 12,500 30,469
*Columbia First Bank, A Federal Savings Bank ............ 10,800 620,325
Commerce Bancorp, Inc. ................................. 12,600 226,013
*Commercial Federal Corp. ............................... 48,200 1,418,888
Commercial Metals Co. .................................. 29,200 799,350
*Communication Cable, Inc. .............................. 14,420 114,459
245
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Community Bankshares, Inc. NH .......................... 5,900 $ 96,613
Community First Bankshares, Inc. ....................... 16,700 259,894
Community Psychiatric Centers .......................... 36,000 445,500
Computer Data Systems, Inc. ............................ 15,500 156,938
*Computer Horizons Corp. ................................ 2,250 28,406
Computer Task Group, Inc. .............................. 21,900 249,113
*Comshare, Inc. ......................................... 9,500 166,250
*Comstock Resources, Inc. ............................... 14,000 66,063
*Comtech Telecommunications Corp. ....................... 8,700 22,838
*Concord Fabrics, Inc. Class A .......................... 7,900 50,363
*Condor Services, Inc. .................................. 4,500 22,219
*Conmed Corp. ........................................... 641 12,500
*Conner Peripherals, Inc. ............................... 30,000 386,250
*Continental Can, Inc. DE ............................... 11,700 286,650
Continental Homes Holding Corp. ........................ 45,348 691,557
*Continental Medical Systems, Inc. ...................... 138,400 1,297,500
*Control Data Systems, Inc. ............................. 81,800 848,675
*Convest Energy Corp. ................................... 10,000 38,438
*Convex Computer Corp. .................................. 74,300 287,913
Core Industries, Inc. .................................. 35,700 370,388
*Cornerstone Financial Corp. ............................ 7,000 59,500
*Cortech, Inc. .......................................... 36,200 85,409
Courier Corp. .......................................... 7,200 139,500
*Craig Corp. ............................................ 16,300 159,944
*Cray Research, Inc. .................................... 37,000 846,375
*Criticare Systems, Inc. ................................ 25,100 54,122
*Crosscomm Corp. ........................................ 29,200 344,925
*Crown Books Corp. ...................................... 18,200 273,000
*Crown Central Petroleum Corp. Class A .................. 17,400 291,450
*Crown Central Petroleum Corp. Class B .................. 25,700 424,050
*Crown-Andersen, Inc. ................................... 5,300 34,450
*Cruise America, Inc. ................................... 29,100 141,863
Cubic Corp. ............................................ 31,000 720,750
*Culbro Corp. ........................................... 16,000 424,000
Cullen Frost Bankers, Inc. ............................. 16,700 661,738
Curtiss-Wright Corp. ................................... 18,300 752,588
*Customedix Corp. ....................................... 13,100 31,931
*Cycare Systems, Inc. ................................... 14,800 366,300
*Cygne Designs, Inc. .................................... 45,800 251,900
*Cytocare, Inc. ......................................... 14,500 103,313
*D&N Financial Corp. .................................... 6,900 65,981
*DBA Systems, Inc. ...................................... 14,400 105,300
*DM Management Co. ...................................... 15,000 44,063
*DS Bancor, Inc. ........................................ 9,975 260,597
DT Industries, Inc. .................................... 50,000 593,750
*DVI, Inc. .............................................. 11,800 141,600
*Dairy Mart Convenience Stores, Inc. Class A ............ 9,000 45,000
*Damark International, Inc. Class A ..................... 4,500 29,250
Daniel Industries, Inc. ................................ 73,500 1,130,063
*Danskin, Inc. .......................................... 29,600 62,900
Dart Group Corp. Class A ............................... 5,000 440,000
*Data General Corp. ..................................... 139,400 1,115,200
*Data I/O Corp. ......................................... 25,900 207,200
*Data Race, Inc. ........................................ 16,100 177,100
*Data Switch Corp. ...................................... 27,500 113,438
*Data Systems & Software, Inc. .......................... 24,900 192,975
*Data Translation, Inc. ................................. 4,500 120,938
*Dataflex Corp. ......................................... 19,800 148,500
*Datakey, Inc. .......................................... 8,200 29,725
*Dataram Corp. .......................................... 14,600 81,213
*Datron Systems, Inc. ................................... 9,200 101,775
246
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THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Datum, Inc. ............................................ 8,800 $ 114,950
Davis Water & Waste Industries, Inc. ................... 12,100 117,975
*Daxor Corp. ............................................ 18,600 127,875
*De Soto, Inc. .......................................... 38,500 192,500
DeKalb Genetics Corp. Class B .......................... 25,000 935,938
Deb Shops, Inc. ........................................ 75,300 301,200
Defiance, Inc. ......................................... 21,500 135,719
Del Laboratories, Inc. ................................. 4,000 195,000
Delaware Ostego Corp. .................................. 1,102 10,882
Delchamps, Inc. ........................................ 42,900 801,694
Delta Woodside Industries, Inc. ........................ 134,300 1,091,188
Deposit Guaranty Corp. ................................. 1,000 37,125
*Designatronics, Inc. ................................... 7,300 34,219
*Detection Systems, Inc. ................................ 9,400 65,213
*Detrex Corp. ........................................... 2,800 22,050
*Devcon International Corp. ............................. 15,300 116,663
Dexter Corp. CT ........................................ 12,000 283,500
*Dianon Systems, Inc. ................................... 13,900 66,025
*Digicon, Inc. .......................................... 50,000 250,000
*Digital Systems International, Inc. .................... 31,100 239,081
*Dime Bancorp, Inc. ..................................... 58,878 559,341
*Dime Financial Corp. ................................... 16,700 164,913
Dixie Yarns, Inc. ...................................... 45,200 322,050
Donegal Group, Inc. .................................... 19,400 329,800
*Dotronix, Inc. ......................................... 1,000 2,156
Douglas & Lomason Co. .................................. 14,400 226,800
Downey Financial Corp. ................................. 63,000 1,134,000
*Dress Barn, Inc. ....................................... 15,023 137,085
*Drug Emporium, Inc. .................................... 49,300 203,363
*Drypers Corp. .......................................... 5,000 30,625
*Dual Drilling Co. ...................................... 80,800 808,000
*Duplex Products, Inc. .................................. 60,900 510,038
Duty Free International, Inc. .......................... 39,700 401,963
Dyersburg Corp. ........................................ 31,000 162,750
Dynamics Corp. of America .............................. 14,300 328,900
*Dynamics Research Corp. ................................ 20,740 94,626
Dynatech Corp. ......................................... 57,800 1,025,900
*E for M Corp. .......................................... 17,300 116,775
*E-Z-Em, Inc. Class A ................................... 20,500 105,063
*E-Z-Em, Inc. Class B ................................... 775 3,536
*EA Engineering Science & Technology, Inc. ............. 10,125 58,219
*ECC International Corp. ................................ 13,200 143,550
EMC Insurance Group, Inc. .............................. 33,600 382,200
*ESCO Electronics Corp. Trust Receipts .................. 88,400 740,350
Eagle Bancshares, Inc. ................................. 4,200 115,500
Eagle Financial Corp. .................................. 15,137 298,956
*Eagle Food Centers, Inc. ............................... 62,100 139,725
*Eagle Hardware & Garden, Inc. .......................... 10,600 77,513
Eastern Bancorp, Inc. .................................. 8,300 159,775
Eastern Co. ............................................ 10,700 157,825
*Eastex Energy, Inc. .................................... 22,500 94,219
Eaton Vance Corp. ...................................... 5,023 167,015
Ecology & Environment, Inc. Class A ................... 7,200 56,700
*Ecoscience Corp. ....................................... 29,000 45,313
Edison Brothers Stores, Inc. ........................... 9,200 120,750
*Edisto Resources Corp. ................................. 102,200 785,663
Edo Corp. .............................................. 18,600 60,450
*Egghead, Inc. .......................................... 130,500 1,337,625
Ekco Group, Inc. ....................................... 71,100 426,600
*El Chico Restaurants, Inc. ............................. 3,200 26,000
Elco Industries, Inc. .................................. 17,800 338,200
247
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Eldorado Bancorp CA .................................... 10,200 $ 124,950
*Electric & Gas Technology, Inc. ........................ 3,000 7,781
*Electro Rent Corp. ..................................... 26,000 568,750
*Electro Scientific Industries, Inc. .................... 20,600 505,988
*Electromagnetic Sciences, Inc. ......................... 25,300 344,713
*Emcon .................................................. 38,000 180,500
*Emisphere Technologies, Inc. ........................... 17,000 41,438
*Employee Benefit Plans, Inc. ........................... 59,900 801,163
*Emulex Corp. ........................................... 11,750 254,094
Energen Corp. .......................................... 17,200 356,900
Engle Homes, Inc. ...................................... 22,500 205,313
Enhance Financial Services Group, Inc. ................ 141,100 2,522,163
*Ensys Environmental Products, Inc. ..................... 45,000 123,750
*Enterra Corp. DE ....................................... 11,800 225,675
*Environmental Elements Corp. ........................... 17,200 51,600
*Envirotest Systems Corp. Class A ...................... 26,600 161,263
*Equinox Systems, Inc. .................................. 10,000 81,250
*Equitrac Corp. ......................................... 5,800 27,188
*Equity Oil Co. ......................................... 97,200 437,400
Espey Manufacturing & Electronics Corp. ................ 2,900 37,338
*Esterline Technologies Corp. ........................... 23,100 407,138
*Evans & Sutherland Computer Corp. ...................... 52,100 722,888
*Evans, Inc. ............................................ 17,800 27,813
Evergreen Bancorp, Inc. DE ............................. 15,700 270,825
*Evergreen Resources, Inc. .............................. 13,500 74,250
*Exabyte Corp. .......................................... 400 5,425
Excel Industries, Inc. ................................. 72,500 996,875
*Executone Information Systems, Inc. ................... 78,600 171,938
*Express America Holdings Corp. ......................... 29,400 126,788
*Ezcorp, Inc. Class A Non-Voting ........................ 38,000 247,000
*F & M Distributors, Inc. ............................... 19,700 34,475
*FDP Corp. .............................................. 7,000 42,000
*FPA Corp. .............................................. 20,100 25,125
Fab Industries, Inc. ................................... 581 18,447
*Fabri-Centers of America, Inc. ......................... 35,700 722,925
*Failure Group, Inc. .................................... 25,700 134,925
*Fairchild Corp. Class A ................................ 72,200 198,550
Family Bancorp ......................................... 10,100 219,675
Fansteel, Inc. ......................................... 32,600 220,050
*Farah, Inc. ............................................ 46,400 324,800
Farmer Brothers Co. .................................... 84 10,668
*Farr Co. ............................................... 13,700 96,756
Fay's, Inc. ............................................ 21,400 155,150
Federal Screw Works .................................... 2,000 41,750
*Fieldcrest Cannon, Inc. ................................ 12,600 286,650
*Fifty-Off Stores, Inc. ................................. 18,900 40,163
*Figgie International, Inc. Class A ..................... 59,800 482,138
*Figgie International, Inc. Class B ..................... 17,700 131,644
*Filenes Basement Corp. ................................. 77,100 308,400
*Financial Benefit Group, Inc. Class A ................. 38,850 121,406
First American Financial Corp. ......................... 80,800 1,747,300
*First Cash, Inc. ....................................... 13,700 43,669
First Citizens Bancshares, Inc. NC ..................... 17,400 846,075
*First Citizens Financial Corp. ......................... 8,634 147,856
*First Commercial Bancorp, Inc. ......................... 15,100 15,808
First Essex Bancorp .................................... 22,400 180,600
First Federal Alabama FSB Jasper ....................... 2,500 36,563
First Federal Capital Corp. ............................ 20,840 328,230
248
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
First Financial Corp. WI ............................... 12,000 $ 198,000
First Financial Corp. of Western Maryland .............. 7,300 144,175
First Financial Holdings, Inc. ......................... 18,900 354,375
First Indiana Corp. .................................... 27,399 517,156
First Liberty Financial Corp. .......................... 10,900 173,038
First Mississippi Corp. ................................ 40,100 927,313
First Northern Savings Bank S.A. Green Bay, WI ......... 20,800 286,000
*First Republic Bancorp, Inc. ........................... 28,828 378,368
First State Financial Services, Inc. ................... 10,300 111,369
*FirstFed Financial Corp. DE ............................ 39,400 659,950
FirstFed Michigan Corp. ................................ 72,850 2,117,203
Firstbank of Illinois Co. .............................. 1,200 32,550
Firstfed Bancshares, Inc. .............................. 15,000 271,875
*Fischer Imaging Corp. .................................. 18,800 99,875
Flexsteel Industries, Inc. ............................. 51,500 540,750
Florida Rock Industries, Inc. .......................... 50,800 1,454,150
*Foodarama Supermarkets, Inc. ........................... 2,400 24,750
*Foodbrands America, Inc. ............................... 88,200 970,200
Foothill Group, Inc. Class A ........................... 44,500 1,101,375
Foothill Independent Bancorp ........................... 13,900 108,594
*Forschner Group, Inc. .................................. 58,000 587,250
*Forstmann & Co., Inc. .................................. 26,400 102,300
Foster (L.B.) Co. Class A .............................. 35,400 139,388
*Foxmeyer Health Corp. .................................. 106,987 1,939,139
Freds, Inc. Class A .................................... 63,500 650,875
Fremont General Corp. .................................. 93,060 2,349,765
*Fresh Choice, Inc. ..................................... 45,000 478,125
*Fretter, Inc. .......................................... 19,500 52,406
*Freymiller Trucking, Inc. .............................. 4,500 5,625
Friedman Industries, Inc. .............................. 21,555 87,567
Frisch's Restaurants, Inc. ............................. 27,412 256,988
Furon Co. .............................................. 9,900 217,800
*Future Now, Inc. ....................................... 20,400 150,450
*G-III Apparel Group, Ltd. .............................. 23,000 35,938
GBC Bancorp ............................................ 48,200 596,475
*GBC Technologies, Inc. ................................. 50,400 359,100
*GNI Group, Inc. ........................................ 19,800 124,988
*GZA Geoenvironmental Technologies, Inc. ............... 14,000 52,500
*Galileo Electro-Optics Corp. ........................... 24,000 162,000
Gamma Biologicals, Inc. ................................ 16,200 72,900
*Gantos, Inc. ........................................... 4,250 14,609
Garan, Inc. ............................................ 33,000 569,250
*Garnet Resources Corp. ................................. 50,000 146,875
Gateway Bancorp, Inc. .................................. 1,100 12,788
*Gehl Co. ............................................... 22,900 194,650
*General Host Corp. ..................................... 84,609 581,687
General Housewares Corp. ............................... 15,100 181,200
*General Microwave Corp. ................................ 400 3,400
General Parametrics Corp. .............................. 12,200 19,825
General Physics Corp. .................................. 22,900 62,975
*Genesco, Inc. .......................................... 138,000 448,500
*Genetic Therapy, Inc. .................................. 23,800 276,675
*Genicom Corp. .......................................... 37,100 157,675
*Genlyte Group, Inc. .................................... 75,700 435,275
*Genus, Inc. ............................................ 25,800 311,213
Geodynamics Corp. ...................................... 7,900 72,088
*Gerrity Oil and Gas Corp. .............................. 102,600 416,813
*Getty Petroleum Corp. .................................. 700 8,050
*Giant Group, Ltd. ...................................... 19,300 139,925
Giant Industries, Inc. ................................. 45,300 385,050
*Gibraltar Packaging Group, Inc. ........................ 28,400 170,400
Gibson (C.R.) Co. ...................................... 1,800 13,725
249
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Gibson Greetings, Inc. ................................. 60,700 $ 644,938
*Giga-Tronics, Inc. ..................................... 5,300 36,769
Gilbert Associates, Inc. Class A ....................... 29,800 387,400
*Gish Biomedical, Inc. .................................. 17,500 118,125
Gleason Corp. .......................................... 17,700 384,975
Golden Poultry Co., Inc. ............................... 69,150 432,188
*Good Guys, Inc. ........................................ 32,200 340,113
*Gottschalks, Inc. ...................................... 46,100 316,938
*Government Technology Services, Inc. ................... 33,500 234,500
*Gradco Systems, Inc. ................................... 60,000 262,500
*Graham Corp. ........................................... 2,300 23,863
*Graham-Field Health Products, Inc. ..................... 49,100 165,713
*Grand Casinos, Inc. .................................... 43,000 1,370,625
Granite Construction, Inc. ............................. 58,100 1,238,256
Granite State Bankshares, Inc. ......................... 8,200 109,163
*Grant Geophysical, Inc. ................................ 21,600 50,625
Graphic Industries, Inc. ............................... 36,200 357,475
*Great Country Bank of Ansonia, CT ...................... 16,900 45,419
*Greater New York Savings Bank NY ...................... 51,100 463,094
Green (A.P.) Industries, Inc. .......................... 13,700 275,713
*Greenman Brothers, Inc. ................................ 20,500 139,656
Greiner Engineering, Inc. .............................. 25,000 281,250
Greyhound Lines, Inc. .................................. 53,200 179,550
*Grossmans, Inc. ........................................ 202,300 398,278
*Ground Round Restaurants, Inc. ......................... 62,400 179,400
*Groundwater Technology, Inc. ........................... 26,000 308,750
Grovebank for Savings .................................. 5,300 123,225
Guaranty National Corp. ................................ 38,000 646,000
Guilford Mills, Inc. ................................... 79,300 2,041,975
*Gulfmark International, Inc. ........................... 11,100 205,350
*Gundle Environmental Systems, Inc. ..................... 56,700 318,938
HF Financial Corp. ..................................... 12,500 328,125
*HMG Worldwide Corp. .................................... 15,000 25,313
HMI Industries, Inc. ................................... 9,000 149,625
*HPSC, Inc. ............................................. 18,500 85,563
*HS Resources, Inc. ..................................... 21,000 309,750
*Hadco Corp. ............................................ 43,900 943,850
Haggar Corp. ........................................... 600 11,025
Hallwood Group, Inc. ................................... 8,300 24,900
*Hamburger Hamlet Restaurants, Inc. ..................... 14,800 75,850
*Hampshire Group, Ltd. .................................. 5,800 50,750
*Hampton Industries, Inc. ............................... 9,790 63,635
*Handex Environmental Recovery, Inc. .................... 49,800 292,575
Handleman Co. .......................................... 197,436 2,295,194
*Hanger Orthopedic Group, Inc. .......................... 30,600 99,450
*Harding Associates, Inc. ............................... 17,000 96,688
Harleysville Group, Inc. ............................... 46,100 1,129,450
*Harlyn Products, Inc. .................................. 22,200 77,700
*Hartmarx Corp. ......................................... 40,000 195,000
Hastings Manufacturing Co. ............................. 850 15,938
Hathaway Corp. ......................................... 16,300 43,806
*Hauser Chemical Research, Inc. ......................... 38,600 195,413
Haverty Furniture Co., Inc. ............................ 66,100 681,656
Hawkeye Bancorp ........................................ 12,000 264,000
*Hawthorne Financial Corp. .............................. 9,500 23,750
Hayes Wheels International, Inc. ....................... 119,500 2,151,000
Health Images, Inc. .................................... 45,100 225,500
Health O Meter Products, Inc. .......................... 24,500 92,641
250
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Health Risk Management, Inc. ........................... 13,600 $ 130,050
Hechinger Co. Class A .................................. 85,600 647,350
Heico Corp. ............................................ 8,300 129,688
Hein-Werner Corp. ...................................... 9,141 51,989
*Heist (C.H.) Corp. ..................................... 16,800 136,500
*Helian Health Group, Inc. .............................. 5,700 18,881
*Herley Industries, Inc. ................................ 15,400 57,269
Hexcel Corp. ........................................... 11,100 61,050
*Hi-Lo Automotive, Inc. ................................. 69,300 615,038
*Hi-Shear Industries, Inc. .............................. 21,800 125,350
*Hitox Corp. ............................................ 9,100 38,675
*Holiday RV Superstores, Inc. ........................... 14,200 28,400
*Hologic, Inc. .......................................... 9,800 105,963
*Holson Burnes Group, Inc. .............................. 23,400 102,375
Home Beneficial Corp. Class B .......................... 56,100 1,171,088
Home Federal Bancorp ................................... 7,900 163,925
Home Federal Financial Corp. ........................... 5,566 77,228
Home Port Bancorp, Inc. ................................ 6,500 68,250
*Homecorp, Inc. ......................................... 1,900 28,025
*Homeowners Group, Inc. ................................. 19,700 23,086
*Hometown Bancorp., Inc. ................................ 800 9,000
Hooper Holmes, Inc. .................................... 35,400 318,600
*Hospital Staffing Services, Inc. ....................... 20,200 35,350
*Hosposable Products, Inc. .............................. 600 4,275
*Hovnanian Enterprises, Inc. Class A ................... 85,284 506,374
Howell Corp. ........................................... 18,100 248,875
Howell Industries, Inc. ................................ 1,600 43,200
Hudson Foods, Inc. Class A ............................. 44,550 612,563
Hudson General Corp. ................................... 2,500 47,500
Hughes Supply, Inc. .................................... 38,900 763,413
*Hurco Companies, Inc. .................................. 9,700 38,800
*Hyde Athletic Industries, Inc. Class A ................ 10,300 47,638
*Hyde Athletic Industries, Inc. Class B ................ 28,300 122,044
ICN Pharmaceuticals, Inc. .............................. 8,502 144,541
*ICO, Inc. .............................................. 62,300 334,863
*IFR Systems, Inc. ...................................... 17,000 191,250
Image Industries, Inc. ................................. 35,000 360,938
*Immulogic Pharmaceutical Corp. ......................... 45,900 344,967
*Imo Industries, Inc. ................................... 20,900 167,200
Imperial Bancorp ....................................... 49,959 961,711
*Imperial Credit Industries, Inc. ....................... 900 10,463
Imperial Holly Corp. ................................... 38,000 334,875
*In Home Health, Inc. ................................... 37,000 97,125
*Inacom Corp. ........................................... 38,300 397,363
*Inco Homes Corp. ....................................... 27,940 50,641
*Incstar Corp. .......................................... 18,200 52,325
Independence Holding Co. ............................... 56,200 182,650
Independent Bank Corp. MA .............................. 61,200 401,625
Independent Bank East .................................. 8,000 198,000
Independent Insurance Group, Inc. ...................... 27,000 334,125
Indiana Federal Corp. .................................. 16,650 276,806
*Indresco, Inc. ......................................... 125,320 1,707,485
Industrial Acoustics Co., Inc. ......................... 700 10,500
*Information International, Inc. ........................ 7,100 56,800
*Information Resources, Inc. ............................ 17,600 238,700
*Infrasonics, Inc. ...................................... 90,000 233,438
Ingles Market, Inc. Class A ............................ 40,900 378,325
*Inmac Corp. ............................................ 32,000 174,000
Insituform East, Inc. .................................. 15,100 63,231
Insteel Industries, Inc. ............................... 32,500 243,750
*Integrated Waste Services, Inc. ........................ 29,700 50,119
251
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Intellicall, Inc. ...................................... 46,700 $ 204,313
Inter-Regional Financial Group, Inc. ................... 30,700 825,063
Interco, Inc. .......................................... 16,900 103,513
Interface Systems, Inc. ................................ 14,900 92,194
Interface, Inc. Class A ................................ 86,600 1,223,225
*Intergraph Corp. ....................................... 175,700 2,360,969
*Interlinq Software Corp. ............................... 30,000 116,250
Intermetrics, Inc. ..................................... 14,100 91,650
International Aluminum Corp. ........................... 8,300 282,200
*International Jensen, Inc. ............................. 18,100 160,638
*International Lottery & Totalizer Systems, Inc. ........ 18,400 36,225
International Multifoods Corp. ......................... 70,300 1,485,088
International Research & Development Corp. ............ 18,600 19,181
International Shipholding Corp. ........................ 19,900 405,463
*International Technology Corp. ........................ 133,400 400,200
*International Thoroughbred Breeders, Inc. ............ 16,800 114,450
*Interphase Corp. ....................................... 15,200 164,350
Interstate Bakeries Corp. DE ........................... 137,300 2,008,013
*Intertan, Inc. ......................................... 55,100 399,475
Investors Title Co. .................................... 8,700 71,775
Iomega Corp. ........................................... 64,875 912,305
*J & J Snack Foods Corp. ................................ 50,300 603,600
JSB Financial, Inc. .................................... 39,100 1,214,544
Jackpot Enterprises, Inc. .............................. 29,800 257,025
Jaclyn, Inc. ........................................... 9,700 49,713
Jaco Electronics, Inc. ................................. 6,710 53,680
*Jacobs Jay, Inc. ....................................... 31,300 37,169
Jacobson Stores, Inc. .................................. 20,700 207,000
*Jan Bell Marketing, Inc. ............................... 182,900 480,113
*Jefferson Savings Bancorp, Inc. ........................ 20,000 367,500
John Alden Financial Corp. ............................. 48,000 876,000
Johnston Industries, Inc. .............................. 5,100 48,450
*Just Toys, Inc. ........................................ 14,000 18,813
Justin Industries, Inc. ................................ 65,500 667,281
K Swiss, Inc. Class A .................................. 30,400 395,200
*K-Tron International, Inc. ............................. 6,300 38,588
*KLLM Transport Services, Inc. .......................... 16,700 231,713
*Kaiser Resources, Inc. ................................. 31,100 217,700
Kaman Corp. Class A .................................... 65,900 811,394
Katy Industries, Inc. .................................. 2,500 22,188
Keithley Instruments, Inc. ............................. 500 9,063
Kellwood Co. ........................................... 66,518 1,130,806
Kenan Transport Co. .................................... 200 4,050
*Kentucky Electric Steel, Inc. .......................... 13,000 117,000
*Kentucky Medical Insurance Co. Class A ................. 7,200 45,900
*Kerr Group, Inc. ....................................... 12,000 94,500
*Kevlin Corp. ........................................... 700 1,794
*Kewaunee Scientific Corp. .............................. 700 1,881
*Key Energy Group, Inc. ................................. 40,000 202,500
*Key Production Co., Inc. ............................... 36,800 207,000
*Key Tronic Corp. ....................................... 26,500 361,063
*Kinder-Care Learning Centers, Inc. ..................... 61,000 815,875
Kinetic Concepts, Inc. ................................. 3,900 27,300
*Kit Manufacturing Co. .................................. 2,600 27,625
Knape & Vogt Manufacturing Co. ......................... 9,800 162,925
*Knogo North America, Inc. .............................. 17,300 46,494
*Krystal Co. ............................................ 14,000 100,625
LCS Industries, Inc. ................................... 6,600 137,775
252
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------------------ ------------------
*LDI Corp. .............................................. 54,100 $ 185,969
LSI Industries, Inc. ................................... 8,820 148,838
*LTX Corp. .............................................. 30,700 220,656
*Laclede Steel Co. ...................................... 8,700 97,875
Ladd Furniture, Inc. ................................... 35,627 489,871
*Lafayette American Bank & Trust Co. .................. 1,050 8,400
Lakeland First Financial Corp. ......................... 7,249 209,315
*Lamson & Sessions Co. .................................. 28,300 166,263
Lancer Corp. ........................................... 4,800 90,600
*Laserscope ............................................. 40,000 142,500
Lawyers Title Corp. .................................... 31,712 445,950
*Layne, Inc. ............................................ 26,300 198,894
*Lazare Kaplan International, Inc. ...................... 11,300 84,750
*Leisure Concepts, Inc. ................................. 17,000 51,000
Lennar Corp. ........................................... 92,750 1,808,625
Lexington Savings Bank MA .............................. 6,800 99,875
Liberty Bancorp, Inc. .................................. 50,900 1,692,425
Liberty Corp. .......................................... 38,500 996,188
*Lifeline Systems, Inc. ................................. 19,500 141,375
Ligand Pharmaceuticals, Inc. Class B .................. 25,497 149,795
*Lindal Cedar Homes, Inc. ............................... 8,000 32,500
Lindberg Corp. ......................................... 13,600 88,400
*Liposome Co., Inc. ..................................... 77,700 752,719
*Littlefield, Adams & Co. ............................... 12,000 63,000
*Liuski International, Inc. ............................. 10,900 43,600
*Live Entertainment, Inc. ............................... 6,740 29,488
*Lodgenet Entertainment Corp. ........................... 31,500 228,375
*Lomas Financial Corp. .................................. 89,700 117,731
*Longhorn Steaks, Inc. .................................. 19,500 264,469
Loyola Capital Corp. ................................... 45,700 1,331,013
Lufkin Industries, Inc. ................................ 24,600 473,550
Lukens, Inc. DE ........................................ 20,000 675,000
*Lumex, Inc. ............................................ 16,400 202,950
*Luria & Son, Inc. ...................................... 19,900 131,838
*Lynch Corp. ............................................ 2,300 106,088
*M/A-COM, Inc. .......................................... 46,800 555,750
*M/A/R/C, Inc. .......................................... 3,335 43,355
MAF Bancorp, Inc. ...................................... 19,300 448,725
MDC Holdings, Inc. ..................................... 77,788 476,452
*MDT Corp. .............................................. 24,800 142,600
*MHI Group, Inc. ........................................ 20,000 155,000
*MI Schottenstein Homes, Inc. ........................... 31,300 273,875
MMI Companies, Inc. .................................... 1,100 20,419
MMI Medical, Inc. ...................................... 12,200 45,750
MTS Systems Corp. ...................................... 16,000 426,000
Magna Bancorp .......................................... 900 18,225
Magna Group, Inc. ...................................... 18,700 388,025
Marble Financial Corp. ................................. 27,100 355,688
*Marietta Corp. ......................................... 12,300 132,225
*Marine Drilling Companies, Inc. ........................ 100,000 400,000
Maritrans, Inc. ........................................ 47,600 285,600
*Mark VII, Inc. ......................................... 9,900 170,775
Marsh Supermarkets, Inc. Class A ....................... 14,900 175,075
Marsh Supermarkets, Inc. Class B ....................... 16,000 171,000
Maryland Federal Bancorp ............................... 11,600 365,400
Massbank Corp. Reading, MA ............................. 10,400 271,700
*Mastec, Inc. ........................................... 12,700 158,750
*Matec Corp. DE ......................................... 5,200 20,800
Matlack Systems, Inc. .................................. 18,000 180,000
*Matrix Service Co. ..................................... 73,200 292,800
*Maverick Tube Corp. .................................... 44,000 390,500
*Maxtor Corp. ........................................... 38,600 214,713
*Maxwell Laboratories, Inc. ............................. 8,730 62,201
253
<PAGE>
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CONTINUED
Shares Value+
------------------ ------------------
*Maxxam, Inc. ........................................... 31,200 $1,033,500
*Maxxim Medical, Inc. ................................... 48,800 677,100
*Maynard Oil Co. ........................................ 18,100 111,994
McGrath Rent Corp. ..................................... 27,900 463,838
McRae Industries, Inc. Class A ......................... 1,000 6,188
*Medalist Industries, Inc. .............................. 14,600 99,463
*Medalliance, Inc. ...................................... 31,200 101,400
Medex, Inc. ............................................ 27,500 297,344
*Media Logic, Inc. ...................................... 17,600 33,000
*Medical Diagnostics, Inc. .............................. 11,900 75,119
*Medical Graphics Corp. ................................. 7,600 44,175
Mediq, Inc. ............................................ 5,700 30,281
*Medquist, Inc. ......................................... 47,800 406,300
*Melamine Chemicals, Inc. ............................... 17,100 151,763
*Mem Co., Inc. .......................................... 5,300 19,213
*Mental Health Management, Inc. ......................... 712 1,869
Merchants Group, Inc. .................................. 11,800 191,750
*Meridian Data, Inc. .................................... 20,000 72,500
Meridian Insurance Group, Inc. ......................... 24,500 278,688
*Merisel, Inc. .......................................... 96,200 619,288
Merrimac Industries, Inc. .............................. 6,000 55,500
*Mesa Airlines, Inc. .................................... 172,300 1,119,950
*Mestek, Inc. ........................................... 13,500 136,688
Metrobank .............................................. 7,260 170,610
*Michael Anthony Jewelers, Inc. ......................... 68,800 223,600
Michael Foods, Inc. .................................... 73,600 887,800
Mickelberry Communications, Inc. ....................... 20,100 75,375
*Micro Healthsystems, Inc. .............................. 18,400 63,250
*Microage, Inc. ......................................... 5,700 65,185
*Microcom, Inc. ......................................... 13,800 146,625
*Micron Electronics, Inc. ............................... 28,600 414,700
*Micronics Computers, Inc. .............................. 49,400 222,300
*Micropolis Corp. ....................................... 56,200 337,200
Mid America Banccorp ................................... 23,886 406,062
*MidAmerican Waste System, Inc. ......................... 93,500 490,875
MidSouth Insurance Co. ................................. 3,000 31,500
Midconn Bank Kensington, CT ............................ 6,800 93,925
Middlesex Water Co. .................................... 7,500 118,125
Midland Co. ............................................ 5,600 266,350
*Miles Homes, Inc. ...................................... 83,000 155,625
*Miller Building Systems, Inc. .......................... 7,400 23,125
*Miltope Group, Inc. .................................... 20,800 68,900
*Milwaukee Insurance Group, Inc. ........................ 13,200 179,850
Mine Safety Appliances Co. ............................. 22,000 1,034,000
*Mobley Environmental Services, Inc. Class A ............ 10,500 14,766
Monarch Machine Tool Co. ............................... 13,400 130,650
Money Store, Inc. ...................................... 18,750 578,906
*Moog, Inc. Class A ..................................... 14,000 169,750
*Moog, Inc. Class B ..................................... 1,800 25,988
*Moore Products Co. ..................................... 3,700 60,125
*Morgan Products, Ltd. .................................. 32,000 212,000
Morrison Knudsen Corp. ................................. 52,100 286,550
*Motts Holdings, Inc. ................................... 4,600 19,838
Mueller (Paul) Co. ..................................... 2,100 67,725
*Mueller Industries, Inc. ............................... 32,000 1,464,000
*Multi Color Corp. ...................................... 6,400 28,800
*Munsingwear, Inc. ...................................... 7,400 58,275
*Musicland Stores Corp. ................................. 29,600 288,600
Myers (L.E.) Co. Group ................................. 7,600 101,650
NAC RE Corp. ........................................... 17,200 505,250
*NAI Technologies, Inc. ................................. 24,700 74,100
NBT Bancorp ............................................ 6,440 103,845
NFS Financial Corp. .................................... 9,800 315,438
NS Bancorp, Inc. ....................................... 26,300 792,288
254
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*NS Group, Inc. ......................................... 56,500 $ 233,063
*NSA International, Inc. ................................ 9,600 40,200
NSC Corp. .............................................. 71,200 195,800
NYMAGIC, Inc. .......................................... 57,000 933,375
*Nantucket Industries, Inc. ............................. 6,500 26,406
*Napco Security Systems, Inc. ........................... 16,200 41,513
Nash Finch Co. ......................................... 39,600 650,925
Nashua Corp. ........................................... 20,400 392,700
*Nathans Famous, Inc. ................................... 17,600 80,300
*National Auto Credit, Inc. ............................. 114,746 1,204,833
National City Bancorp .................................. 22,006 343,836
*National Convenience Stores, Inc. ...................... 36,000 369,000
*National Education Corp. ............................... 39,800 154,225
*National Home Centers, Inc. ............................ 54,500 204,375
*National Home Health Care Corp. ........................ 8,600 26,875
*National Mercantile Bancorp. ........................... 2,400 9,150
*National Patent Development Corp. ...................... 21,700 46,113
National Presto Industries, Inc. ....................... 24,300 1,060,088
*National Standard Co. .................................. 8,100 112,388
*National Western Life Insurance Co. Class A ............ 11,500 477,250
*Natural Wonders, Inc. .................................. 23,100 80,850
*Navigators Group, Inc. ................................. 2,100 28,088
*Netframe Systems, Inc. ................................. 5,000 26,875
*Netrix Corp. ........................................... 7,800 56,063
*Network Computing Devices, Inc. ........................ 62,400 452,400
New Brunswick Scientific Co., Inc. ..................... 12,700 99,219
New Jersey Resources Corp. ............................. 64,912 1,476,748
*New Jersey Steel Corp. ................................. 17,800 215,825
New Mexico & Arizona Land Co. .......................... 7,920 79,200
Newcor, Inc. ........................................... 11,400 74,100
Newmil Bancorp, Inc. ................................... 28,000 154,000
Newport Corp. .......................................... 24,900 194,531
*Nexstar Pharmaceuticals, Inc. .......................... 40,568 281,441
*Nichols Research Corp. ................................. 9,100 143,325
*Noble Drilling Corp. ................................... 13,975 103,939
Noland Co. ............................................. 2,000 40,750
*Nord Resources Corp. ................................... 64,100 224,350
*Nortek, Inc. ........................................... 48,800 469,700
North American Watch Corp. ............................. 13,500 180,563
North Fork Bancorporation, Inc. ........................ 71,339 1,266,267
North Side Savings Bank NY ............................. 18,822 447,023
*North Star Universal, Inc. ............................. 36,600 189,863
Northbay Financial Corp. ............................... 9,632 139,664
*Northeast Federal Corp. ................................ 40,100 476,188
Norwich Financial Corp. ................................ 19,900 225,119
*Novacare, Inc. ......................................... 8,500 63,750
*Nuclear Support Services, Inc. ......................... 5,700 12,113
*Nuevo Energy Co. ....................................... 86,100 1,840,388
*Nview Corp. ............................................ 16,200 109,350
*Nycor, Inc. ............................................ 9,500 25,531
*Nycor, Inc. Class A .................................... 24,000 61,500
O'Sullivan Corp. ....................................... 21,900 249,113
*OEC Medical Systems, Inc. .............................. 37,000 259,000
*OMI Corp. .............................................. 234,300 1,259,363
Oglebay Norton Co. ..................................... 8,800 287,100
*Old America Stores, Inc. ............................... 20,000 247,500
OnbanCorp, Inc. ........................................ 52,800 1,415,700
*Oncogene Science, Inc. ................................. 56,300 232,238
*One Price Clothing Stores, Inc. ........................ 4,400 21,175
Oneida, Ltd. ........................................... 42,400 636,000
*Oneita Industries, Inc. ................................ 26,100 280,575
Optical Coating Laboratory, Inc. ....................... 31,900 307,038
*Option Care, Inc. ...................................... 16,200 56,700
255
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Orange Co., Inc. ....................................... 57,100 $ 378,288
*Orbit International Corp. .............................. 20,300 38,063
*Orchard Supply Hardware Stores Corp. ................... 55,000 625,625
*Oregon Metallurgical Corp. ............................. 40,300 347,588
Oregon Steel Mills, Inc. ............................... 75,661 1,210,576
Oriole Homes Corp. Class B ............................. 7,300 53,381
Orion Capital Corp. .................................... 48,300 1,871,625
Osborn Communications Corp. ............................ 6,300 42,525
Oshkosh B'Gosh, Inc. Class A ........................... 46,300 732,119
Oshkosh Truck Corp. Class B ............................ 900 11,194
*Oshman's Sporting Goods, Inc. .......................... 20,700 137,138
Outboard Marine Corp. .................................. 141,700 2,851,713
*Outlook Group Corp. .................................... 10,800 99,900
Oxford Industries, Inc. ................................ 15,300 279,225
*PCI Services, Inc. ..................................... 35,100 250,088
PXRE Corp. ............................................. 35,700 774,244
*Pacific Rim Holding Corp. .............................. 36,700 98,631
Pacific Scientific Co. ................................. 19,200 336,000
*Palfed, Inc. ........................................... 600 6,300
Pancho's Mexican Buffet, Inc. .......................... 27,100 120,256
*Par Technology Corp. ................................... 26,700 250,313
*Paragon Trade Brands, Inc. ............................. 1,200 16,500
Park Electrochemical Corp. ............................. 9,700 337,075
*Parker Drilling Co. .................................... 56,000 308,000
Parkvale Financial Corp. ............................... 8,862 217,119
Patrick Industries, Inc. ............................... 36,800 377,200
*Patrick Petroleum Co. .................................. 26,800 21,775
Patten Corp. ........................................... 77,729 281,768
*Payless Cashways, Inc. ................................. 12,200 89,213
*Peer Review Analysis, Inc. ............................. 7,400 22,431
*Penn Treaty American Corp. ............................. 17,400 204,450
Penn Virginia Corp. .................................... 7,100 232,525
*Penril Datacomm Networks, Inc. ......................... 27,500 106,563
Peoples Bank of Connecticut ............................ 20,000 302,500
Peoples Heritage Financial Group, Inc. ................. 65,200 945,400
Peoples Savings Financial Corp. ........................ 7,600 138,700
*Peoples Telephone Co., Inc. ............................ 58,000 257,375
*Perfumania, Inc. ....................................... 33,800 118,300
*Perini Corp. ........................................... 25,800 270,900
*Peters (J.M.) Co., Inc. ................................ 1,000 2,500
*Petrocorp, Inc. ........................................ 29,000 242,875
*Pharmchem Laboratories, Inc. ........................... 21,200 94,075
Philadelphia Suburban Corp. ............................ 45,882 831,611
*Photo Control Corp. .................................... 4,200 20,738
Photronics, Inc. ....................................... 5,550 130,425
Piccadilly Cafeterias, Inc. ............................ 38,500 346,500
Pilgrim Pride Corp. .................................... 101,800 788,950
*Pinkertons, Inc. ....................................... 600 9,450
Pioneer Financial Services, Inc. ....................... 24,300 315,900
Piper Jaffray Companies, Inc. .......................... 17,996 263,192
Pitt-Des Moines, Inc. .................................. 8,900 302,600
Pittway Corp. DE Class A ............................... 16,900 756,275
*Plains Resources, Inc. ................................. 51,300 468,113
Ply-Gem Industries, Inc. DE ............................ 17,600 279,400
*Polk Audio, Inc. ....................................... 4,900 49,000
*Polymedica Industries, Inc. ............................ 41,840 245,810
*Pool Energy Services Co. ............................... 50,858 422,757
Pope & Talbot, Inc. .................................... 52,121 833,936
*Porta Systems Corp. .................................... 25,500 89,250
Portsmouth Bank Shares, Inc. ........................... 20,115 237,608
Poughkeepsie Savings Bank FSB NY ...................... 5,600 27,475
*Powell Industries, Inc. ................................ 44,900 277,819
256
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Pre-Paid Legal Services, Inc. .......................... 8,900 $ 55,625
*Premier Bancorp, Inc. .................................. 40,000 685,000
Premier Financial Services, Inc. ....................... 14,800 114,700
Presidential Life Corp. ................................ 171,500 1,254,094
*Presley Companies Class A .............................. 74,000 166,500
*Pride Petroleum Services, Inc. ......................... 69,900 550,463
*Primark Corp. .......................................... 72,800 1,183,000
Prime Bancorp, Inc. .................................... 11,770 207,446
Primesource Corp. ...................................... 5,254 44,659
Printronix, Inc. ....................................... 15,000 343,125
*Procyte Corp. .......................................... 64,000 147,000
*Proffitts, Inc. ........................................ 36,500 898,813
*Progress Financial Corp. ............................... 9,800 58,800
Progressive Bank, Inc. ................................. 10,600 278,250
*Progroup, Inc. ......................................... 9,200 51,750
*Proler International Corp. ............................. 17,900 140,963
Provident Bankshares Corp. ............................. 27,220 680,500
*Psicor, Inc. ........................................... 14,700 157,106
Pulaski Furniture Corp. ................................ 11,000 203,500
Pulse Bancorp, Inc. .................................... 13,200 196,350
*Pulse Engineering, Inc. ................................ 32,800 254,200
*QMS, Inc. .............................................. 62,600 352,125
*Quaker Fabric Corp. .................................... 40,000 357,500
Quaker State Corp. ..................................... 43,400 591,325
Quality Products, Inc. ................................. 6,300 20,081
Quanex Corp. ........................................... 20,500 489,438
*Quarterdeck Office Systems, Inc. ....................... 71,900 523,522
*Quest Medical, Inc. .................................... 12,360 120,510
Quick & Reilly Group, Inc. DE .......................... 6,400 300,800
*Quiksilver, Inc. ....................................... 1,800 40,613
*R & B, Inc. ............................................ 27,000 189,000
RLI Corp. .............................................. 21,900 563,925
*RPC Energy Services, Inc. .............................. 12,000 104,250
RS Financial Corp. ..................................... 10,500 398,344
*Radius, Inc. ........................................... 20,950 218,666
*Rag Shops, Inc. ........................................ 17,000 55,250
*Railroad Financial Corp. ............................... 7,300 127,750
*Rally's Hamburgers, Inc. ............................... 32,500 107,656
Ramsay Health Care, Inc. ............................... 31,700 128,781
*Ramsay Managed Care, Inc. .............................. 7,306 18,229
*Random Access, Inc. .................................... 26,100 79,931
Raritan Bancorp, Inc. DE ............................... 1,050 22,444
*Rasterops .............................................. 31,700 132,744
Rauch Industries, Inc. ................................. 11,700 104,934
Raymond Corp. .......................................... 3,969 82,357
*Readicare, Inc. ........................................ 14,000 31,500
*Reading & Bates Corp. .................................. 112,000 980,000
*Reading Co. Class A .................................... 19,836 215,717
*Recognition International, Inc. ........................ 58,700 506,288
Redwood Empire Bancorp ................................. 9,800 82,075
Refac Technology Development Corp. ..................... 3,300 20,625
*Regeneron Pharmaceuticals, Inc. ........................ 47,000 282,000
*Rehability Corp. ....................................... 14,200 160,638
*Repligen Corp. ......................................... 30,200 67,950
Republic Automotive Parts, Inc. ........................ 10,600 159,000
Republic Bancorp, Inc. ................................. 23,760 273,240
*Republic Environmental Systems, Inc. ................... 18,980 59,313
Republic Waste Industries, Inc. ........................ 94,900 1,245,563
*Rexel, Inc. ............................................ 74,500 623,938
*Rexon, Inc. ............................................ 34,400 144,050
*Rhodes, Inc. ........................................... 22,000 189,750
Richardson Electronics, Ltd. ........................... 41,400 320,850
*Riddell Sports, Inc. ................................... 29,200 62,050
257
<PAGE>
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CONTINUED
Shares Value+
------------------ ------------------
*Riggs National Corp. ................................... 170,100 $1,615,950
*Riser Foods, Inc. Class A .............................. 30,600 309,825
*Riverside Group, Inc. .................................. 3,200 19,200
Roanoke Electric Steel Corp. ........................... 14,700 178,238
*Robec, Inc. ............................................ 11,400 18,169
Robinson Nugent, Inc. .................................. 20,200 159,075
Rochester Community Savings Bank of New York ........... 54,000 1,107,000
*Rocky Shoes & Boots, Inc. .............................. 10,000 84,375
*Rohr, Inc. ............................................. 110,300 1,364,963
*Rollins Environmental Services, Inc. ................... 12,834 55,347
Roosevelt Financial Group, Inc. ........................ 20,200 345,925
Ross Stores, Inc. ...................................... 60,092 645,989
Rouge Steel Co. Class A ................................ 15,000 346,875
*Rowan Companies, Inc. .................................. 35,000 262,500
*Royal Appliance Manufacturing Co. ...................... 5,000 14,063
Russ Berrie & Co., Inc. ................................ 169,300 2,433,688
*Ryans Family Steak Houses, Inc. ........................ 23,300 161,644
Rykoff-Sexton, Inc. .................................... 100,875 1,828,359
Ryland Group, Inc. ..................................... 63,664 1,010,666
*Rymer Foods, Inc. ...................................... 10,000 18,125
*S&K Famous Brands, Inc. ................................ 14,800 125,800
*SBE, Inc. .............................................. 7,400 79,550
SCOR U.S. Corp. ........................................ 114,500 1,030,500
SFFED Corp. ............................................ 29,200 584,000
SJW Corp. .............................................. 400 13,800
SKI, Ltd. .............................................. 16,700 254,675
*SLM International, Inc. ................................ 44,000 44,000
SPS Technologies, Inc. ................................. 42,300 1,427,625
SPX Corp. .............................................. 101,700 1,334,813
Safeguard Scientifics, Inc. ............................ 27,000 918,000
Saint Ives Laboratories Corp. .......................... 15,500 121,094
Saint Paul Bancorp, Inc. ............................... 74,100 1,648,725
Salem Corp. ............................................ 6,600 165,000
San Filippo (John B.) & Son, Inc. ...................... 33,500 309,875
Sands Regent Casino Hotel .............................. 16,000 88,000
*Santa Monica Bank CA ................................... 34,600 294,100
Savannah Foods & Industries, Inc. ...................... 3,278 36,878
*Savoy Pictures Entertainment, Inc. ..................... 78,000 653,250
*Schieb (Earl), Inc. .................................... 15,400 96,250
*Schuler Homes, Inc. .................................... 800 9,250
Schultz Sav-O Stores, Inc. ............................. 5,100 112,200
*Scientific Software-Intercomp, Inc. .................... 22,200 76,313
*Scios-Nova, Inc. ....................................... 24,800 88,350
Scope Industries, Inc. ................................. 2,400 57,150
*Score Board, Inc. ...................................... 32,500 158,438
Seaboard Corp. ......................................... 100 25,850
*Seacor Holdings, Inc. .................................. 35,000 809,375
Seafield Capital Corp. ................................. 9,700 358,900
*Secom General Corp. .................................... 5,800 13,413
Security Connecticut Corp. ............................. 21,000 496,125
Selas Corp. of America ................................. 13,300 119,700
Selective Insurance Group, Inc. ........................ 76,700 2,262,608
*Selfix, Inc. ........................................... 4,900 23,275
*Sequa Corp. Class A .................................... 27,500 825,000
*Serv-Tech, Inc. ........................................ 34,400 266,600
*Shaman Pharmaceuticals ................................. 22,200 81,863
*Sharper Image Corp. .................................... 21,500 138,406
Shelby Williams Industries, Inc. ....................... 8,000 81,000
*Shiloh Industries, Inc. ................................ 12,000 103,500
*Shoe Carnival, Inc. .................................... 95,000 647,188
Shopko Stores, Inc. .................................... 258,800 2,782,100
*Show Biz Pizza Time, Inc. .............................. 94,400 1,044,300
Showboat, Inc. ......................................... 46,300 775,525
258
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Sierra Tucson Companies, Inc. .......................... 31,200 $ 135,525
*Sifco Industries, Inc. ................................. 18,900 85,050
*Sigma Designs, Inc. .................................... 11,300 53,675
*Signal Technology Corp. ................................ 25,400 90,488
*Silicon Valley Bancshares .............................. 26,700 450,563
*Silicon Valley Group, Inc. ............................. 30,700 961,294
Sizzler International, Inc. ............................ 151,700 872,275
Skyline Corp. .......................................... 43,100 786,575
Skywest, Inc. .......................................... 56,000 861,000
Smith (A.O.) Corp. ..................................... 95,000 2,232,500
*Smith Environmental Technologies Corp. ................. 18,300 99,506
*Softech, Inc. .......................................... 15,000 59,063
*Software Publishing Corp. .............................. 86,000 311,750
*Software Spectrum, Inc. ................................ 15,500 275,125
*Solo Serve Corp. ....................................... 9,200 7,188
*Sound Advice, Inc. ..................................... 14,100 46,706
South Jersey Industries, Inc. .......................... 40,377 792,399
*Southdown, Inc. ........................................ 102,200 1,852,375
*Southwall Technologies, Inc. ........................... 22,100 69,063
Southwest Bancshares, Inc. DE .......................... 7,700 198,275
Southwestern Energy Co. ................................ 12,600 192,150
*Southwestern Life Corp. ................................ 1,400 963
*Spacelabs Medical, Inc. ................................ 23,500 569,875
*Spaghetti Warehouse, Inc. .............................. 44,800 257,600
Span-American Medical System, Inc. ..................... 12,400 58,900
*Sparton Corp. .......................................... 29,200 124,100
*Spec's Music, Inc. ..................................... 20,200 70,700
*Specialty Chemical Resources, Inc. ..................... 23,000 96,313
*Spectran Corp. ......................................... 30,000 172,500
*Speizman Industries, Inc. .............................. 26,500 129,188
*Sport Chalet, Inc. ..................................... 42,100 121,038
Sports & Recreation, Inc. .............................. 100,000 1,150,000
*Sportstown, Inc. ....................................... 8,100 1,266
*Stacey's Buffet, Inc. .................................. 10,700 17,053
Stage II Apparel Corp. ................................. 16,000 48,000
Standard Commercial Corp. .............................. 32,351 465,050
Standard Motor Products, Inc. Class A .................. 50,200 991,450
Standard Pacific Corp. DE .............................. 125,772 880,404
Standard Products Co. .................................. 21,900 473,588
*Stanford Telecommunications, Inc. ...................... 17,500 266,875
*Stanley Furniture, Inc. ................................ 18,100 135,750
Stant Corp. ............................................ 120,600 1,311,525
*Staodyn, Inc. .......................................... 2,100 3,806
Starret Housing Corp. .................................. 17,900 170,050
Starrett (L.S.) Co. Class A ............................ 25,100 577,300
*Steel of West Virginia, Inc. ........................... 44,000 495,000
Stepan Co. ............................................. 82,100 1,534,244
Sterling Bancorp ....................................... 24,000 204,000
Sterling Financial Corp. WA ............................ 11,600 156,600
*Stevens Graphics Corp. Class A ......................... 8,000 54,000
Stewart Information Services Corp. ..................... 24,000 444,000
*Stokely USA, Inc. ...................................... 23,500 127,781
Stone & Webster, Inc. .................................. 55,700 1,712,775
Strawbridge & Clothier Class A ......................... 36,381 713,977
*Stuart Entertainment, Inc. ............................. 12,400 48,050
*Sulcus Computer Corp. .................................. 45,400 150,388
Sumitomo Bank of California ............................ 2,200 53,625
*Summagraphics Corp. .................................... 16,300 48,900
Summit Bancorp, Inc. WA ................................ 11,182 232,027
Summit Family Restaurants, Inc. ........................ 16,800 67,200
259
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Sun Sportswear, Inc. ................................... 21,300 $ 85,200
Sun Television and Appliances, Inc. .................... 62,200 489,825
*Sunbelt Nursery Group, Inc. ............................ 22,700 36,888
*Suncoast Savings & Loan Association FSA ............... 15,200 85,263
*Sunrise Bancorp CA ..................................... 23,980 62,948
*Sunrise Leasing Corp. .................................. 15,900 83,475
Super Food Services, Inc. .............................. 60,000 637,500
Susquehanna Bancshares, Inc. ........................... 11,910 279,885
Swift Energy Corp. ..................................... 25,970 246,715
*Symix Systems, Inc. .................................... 4,300 34,400
Syms Corp. ............................................. 63,800 454,575
*Syncor International Corp. DE .......................... 33,100 293,763
*Syntellect, Inc. ....................................... 49,700 251,606
*Syquest Technology, Inc. ............................... 40,200 444,713
TCBY Enterprises, Inc. ................................. 96,266 481,330
*TCC Industries, Inc. ................................... 6,500 13,000
*TCI International, Inc. ................................ 11,700 66,544
*TIE/Communications, Inc. ............................... 12,000 57,000
TJ International, Inc. ................................. 28,800 482,400
*TPI Enterprises, Inc. .................................. 81,100 370,019
*TRC Companies, Inc. .................................... 21,200 159,000
*TRM Copy Centers Corp. ................................. 38,000 266,000
*TSF Communications Corp. ............................... 2,000 15,750
Tab Products Co. DE .................................... 18,200 116,594
*Tandy Crafts, Inc. ..................................... 12,000 96,000
*Tanknology Environmental, Inc. ......................... 55,000 110,000
*Team, Inc. ............................................. 18,900 33,075
*Tech-Sym Corp. ......................................... 22,600 581,950
Technitrol, Inc. ....................................... 3,000 43,125
*Technology Solutions Corp. ............................. 34,400 326,800
Tekelec ................................................ 17,600 360,800
*Telco Systems, Inc. .................................... 16,700 161,781
Telxon Corp. ........................................... 22,500 403,594
*Tetra Technologies, Inc. ............................... 37,900 450,063
Texas Industries, Inc. ................................. 73,681 2,772,248
*Texfi Industries, Inc. ................................. 29,100 87,300
Thiokol Corp. .......................................... 61,800 1,938,975
Thomas Industries, Inc. ................................ 70,500 1,136,813
Thomaston Mills, Inc. .................................. 700 9,188
Thorn Apple Valley, Inc. ............................... 19,215 393,908
*Tipperary Corp. ........................................ 40,000 270,000
Titan Holdings, Inc. ................................... 23,835 256,226
Toastmaster, Inc. ...................................... 26,100 143,550
*Todd Shipyards Corp. ................................... 48,200 283,175
Todd-AO Corp. Class A .................................. 3,400 18,275
*Tokos Medical Corp. .................................... 22,800 129,675
Tower Air, Inc. ........................................ 110,000 797,500
*Town & Country Corp. Class A ........................... 50,000 31,250
*Tracor, Inc. ........................................... 29,700 395,381
*Trak Auto Corp. ........................................ 18,200 311,675
*Trans World Entertainment Corp. ........................ 50,000 190,625
Transport Leasing International, Inc. .................. 16,400 54,838
Transtechnology Corp. .................................. 19,300 221,950
Treadco, Inc. .......................................... 40,000 550,000
*Tremont Corp. DE ....................................... 27,133 393,429
Trenwick Group, Inc. ................................... 20,000 877,500
*Tricare, Inc. .......................................... 20,100 55,903
*Tricord Systems, Inc. .................................. 76,800 340,800
*Trimark Holdings, Inc. ................................. 13,900 104,250
*Tripos, Inc. ........................................... 16,166 111,141
*Tuboscope Vetco International, Inc. .................... 111,400 675,363
*Tucker Drilling Co., Inc. .............................. 6,200 46,888
*Tuesday Morning Corp. .................................. 47,500 296,875
260
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Tultex Corp. ........................................... 111,407 $ 612,739
*Turner Corp. ........................................... 20,532 202,754
Twin Disc, Inc. ........................................ 10,700 251,450
*Tyco Toys, Inc. ........................................ 159,800 1,078,650
*Tyler Corp. ............................................ 99,500 360,688
U.S. Bancorp, Inc. ..................................... 16,600 367,275
*UNC, Inc. .............................................. 108,600 556,575
UNR Industries, Inc. ................................... 83,800 544,700
*URS Corp. .............................................. 23,400 134,550
USF&G Corp. ............................................ 9,340 161,115
*UST Corp. .............................................. 25,500 313,969
Uni-Marts, Inc. ........................................ 25,000 140,625
Unico American Corp. ................................... 22,100 107,738
*Union Corp. DE ......................................... 35,200 492,800
Union Planters Corp. ................................... 64,831 1,718,022
*Uniroyal Technology Corp. .............................. 45,300 150,056
*Unit Corp. ............................................. 74,900 252,788
United Carolina Bancshares Corp. ....................... 34,600 1,063,950
United Financial Corp. ................................. 11,800 235,263
United Fire Casualty Co. ............................... 300 8,438
United Industrial Corp. ................................ 43,200 286,200
*United Retail Group, Inc. .............................. 30,200 218,950
*United States Banknote Corp. ........................... 71,600 152,150
*United States Energy Corp. ............................. 15,700 80,463
United States Facilities Corp. ......................... 14,500 216,594
*United States Home Corp. ............................... 44,100 964,688
*United States Homecare Corp. ........................... 30,400 73,150
*United States Intec, Inc. .............................. 6,100 46,131
United Stationers, Inc. ................................ 2,328 41,613
*Unitel Video, Inc. ..................................... 9,500 60,563
*Universal Health Services, Inc. Class B ................ 48,100 1,328,763
*Universal International, Inc. .......................... 16,600 51,875
*Uranuim Resources, Inc. ................................ 27,200 102,000
*Utilx Corp. ............................................ 26,400 92,400
*V Band Systems, Inc. ................................... 20,500 41,000
*Valence Technology, Inc. ............................... 120,000 292,500
*Vallen Corp. ........................................... 55,800 948,600
Valley Forge Corp. ..................................... 6,400 110,400
Vallicorp Holdings, Inc. ............................... 7,200 118,800
*Value City Department Stores, Inc. ..................... 77,000 616,000
*Vans, Inc. ............................................. 70,900 323,481
*Varco International, Inc. .............................. 152,300 1,370,700
*Varitronic Systems, Inc. ............................... 8,600 97,825
Varlen Corp. ........................................... 1,800 47,250
*Ventura County National Bancorp ........................ 23,700 59,250
Venture Stores, Inc. ................................... 135,679 1,356,790
Vermont Financial Services Corp. ....................... 7,300 177,025
*Versar, Inc. ........................................... 1,300 4,306
*Vertex Communications Corp. ............................ 25,000 350,000
*Vicorp Restaurants, Inc. ............................... 61,000 846,375
Victoria Bankshares, Inc. .............................. 20,700 535,613
*Video Display Corp. .................................... 14,100 32,606
*Video Lottery Technologies, Inc. ....................... 37,300 300,731
Virco Manufacturing Corp. .............................. 10,406 87,150
Virginia Beach Federal Financial Corp. ................. 18,700 150,769
*Vista Resources, Inc. .................................. 7,100 143,775
*Volt Information Sciences, Inc. ........................ 6,300 196,875
*WHX Corp. .............................................. 96,300 1,047,263
WICOR, Inc. ............................................ 25,000 703,125
WSMP, Inc. ............................................. 2,000 9,500
Walbro Corp. ........................................... 42,352 841,746
*Walker Interactive Systems, Inc. ....................... 41,300 242,638
Walshire Assurance Co. ................................. 10,395 144,880
261
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Warner Insurance Services, Inc. ........................ 50,000 $ 50,000
Warren Bancorp, Inc. ................................... 11,800 96,613
Washington Homes, Inc. ................................. 41,800 198,550
Washington National Corp. .............................. 74,500 1,471,375
Washington Savings Bank FSB Waldorf, MD ................ 14,100 49,350
Watkins-Johnson Co. .................................... 11,900 532,525
Watsco, Inc. Class A ................................... 10,950 146,456
Watts Industries, Inc. Class A ......................... 30,100 639,625
Webb (Del) Corp. ....................................... 58,788 1,278,639
Webster Financial Corp. ................................ 16,380 396,191
*Weirton Steel Corp. .................................... 56,400 408,900
*Weitek Corp. ........................................... 12,000 57,750
Wellco Enterprises, Inc. ............................... 1,600 24,000
*Wells-Gardner Electronics Corp. ........................ 13,800 50,025
Westco Bancorp, Inc. ................................... 6,100 144,113
Westcorp, Inc. ......................................... 44,625 580,125
*Western Beef, Inc. ..................................... 16,100 97,606
*Western Micro Technology, Inc. ......................... 9,100 25,025
*Western Waste Industries ............................... 21,000 404,250
*Westmoreland Coal Co. .................................. 20,600 97,850
*Weston (Roy F.), Inc. Class A .......................... 26,400 133,650
*Wet Seal, Inc. Class A ................................. 12,700 50,006
Weyco Group, Inc. ...................................... 800 28,800
*Whitehall Corp. ........................................ 700 19,425
Whitney Holdings Corp. ................................. 50,671 1,317,446
*Whittaker Corp. ........................................ 17,800 393,825
Wilshire Oil Co. of Texas .............................. 7,500 46,875
Windmere Corp. ......................................... 63,000 543,375
Wiser Oil Co. .......................................... 32,975 453,406
Wolohan Lumber Co. ..................................... 26,978 374,320
*Worldtex, Inc. ......................................... 91,100 523,825
Worthington Foods, Inc. ................................ 10,600 174,900
Wyle Laboratories, Inc. ................................ 33,200 871,500
*Wyman-Gordon Co. ....................................... 50,800 533,400
Wynns International, Inc. .............................. 28,000 644,000
*Xicor, Inc. ............................................ 55,100 299,606
Yankee Energy Systems, Inc. ............................ 39,300 800,738
Yellow Corp. ........................................... 10,600 200,738
*Yes Clothing Co. ....................................... 3,400 17,000
York Financial Corp. ................................... 10,000 177,500
*Younkers, Inc. ......................................... 52,900 978,650
*Zale Corp. ............................................. 35,800 413,938
*Zaring Homes, Inc. ..................................... 13,000 95,875
Zemex Corp. ............................................ 13,500 126,563
*Zenith Electronics Corp. ............................... 29,900 231,725
Zenith National Insurance Corp. ........................ 78,200 1,681,300
Ziegler Co., Inc. ...................................... 1,700 25,713
*Zitel Corp. ............................................ 37,000 386,188
Zurn Industries, Inc. .................................. 76,900 1,547,613
*Zygo Corp. ............................................. 8,400 205,275
*Zynaxis, Inc. .......................................... 31,000 36,813
------------------
TOTAL COMMON STOCKS
(Cost $426,861,876) .................................. 471,397,258
------------------
RIGHTS/WARRANTS - (0.0%)
*BJ Services Co. Warrants 01/15/15 ...................... 1,800 9,900
*Fleet Financial Group, Inc.
Warrants 01/26/01 .................................... 5,096 26,117
*Jamesway Corp. Warrants 01/28/10 ....................... 1,009 1,293
*Ventura County National Bancorp Rights 06/21/95 ........ 6,908 1,727
------------------
TOTAL RIGHTS/WARRANTS (Cost $34,605) .................... 39,037
------------------
</TABLE>
262
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
Face
Amount Value+
--------- --------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS - (6.9%)
Repurchase Agreement, PNC Securities Corp. 5.85%, 06/01/95
(Collateralized by U.S. Treasury Notes 7.50%, 12/31/96)
(Cost $34,357,000) ....................................................... $34,357 $ 34,357,000
--------------
TOTAL INVESTMENTS - (102.0%) (Cost $461,253,481) .............................. 505,793,295
--------------
OTHER ASSETS AND LIABILITIES - (-2.0%)
Other Assets ................................................................ 2,568,635
Payable for Investment Securities Purchased ................................. (12,364,304)
Other Liabilities ........................................................... (162,274)
--------------
(9,957,943)
--------------
NET ASSETS - (100.0%) Applicable to 39,212,477 Outstanding $.01 Par Value Shares
(Unlimited Number of Shares Authorized) ..................................... $495,835,352
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE ...................... $ 12.64
==============
</TABLE>
- - ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
263
<PAGE>
STATEMENT OF NET ASSETS
THE U.S. LARGE CAP VALUE SERIES
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
COMMON STOCKS -- (98.0%)
*AMR Corp. ................................................ 38,000 $ 2,593,500
Aetna Life & Casualty Co. ................................ 56,426 3,364,400
Ahmanson (H.F.) & Co. .................................... 58,600 1,333,150
Albemarle Corp. .......................................... 43,200 664,200
Alexander & Baldwin, Inc. ................................ 23,000 552,000
Alleghany Corp. .......................................... 2,632 411,908
Allstate Corp. ........................................... 191,900 5,780,988
*Alumax, Inc. ............................................. 29,100 847,538
Aluminium Co. of America ................................. 76,180 3,542,370
Ambac, Inc. .............................................. 15,000 600,000
*Amdahl Corp. ............................................. 47,233 614,029
Amerada Hess Corp. ....................................... 46,600 2,364,950
American General Corp. ................................... 65,000 2,242,500
American National Insurance Co. .......................... 12,800 812,800
American Premier Group, Inc. ............................. 22,900 575,363
American President Companies, Ltd. ....................... 10,700 259,475
Apple Computer, Inc. ..................................... 55,500 2,310,188
Argonaut Group, Inc. ..................................... 12,100 358,463
Arvin Industries, Inc. ................................... 9,100 208,163
Asarco, Inc. ............................................. 20,200 583,275
Ashland, Inc. ............................................ 26,000 965,250
Avnet, Inc. .............................................. 16,700 759,850
BHC Communications, Inc. Class A ......................... 3,100 235,600
Ball Corp. ............................................... 7,900 262,675
Bancorp Hawaii, Inc. ..................................... 20,200 611,050
Bank of Boston Corp. ..................................... 51,500 1,879,750
BankAmerica Corp. ........................................ 187,475 9,795,569
Bankers Trust New York Corp. ............................. 39,100 2,453,525
Bear Stearns Companies, Inc. ............................. 58,695 1,188,574
Berkley (W.R.) Corp. ..................................... 7,100 260,925
Block Drug Co., Inc. Class A ............................. 5,938 210,799
Boatmen's Bancshares, Inc. ............................... 40,000 1,302,500
Bowater, Inc. ............................................ 17,600 690,800
Brunos, Inc. ............................................. 27,100 313,344
*Burlington Industries, Inc. .............................. 56,400 606,300
CIGNA Corp. .............................................. 36,208 2,706,548
*CNA Financial Corp. ...................................... 30,100 2,573,550
CSX Corp. ................................................ 52,100 3,972,625
Centex Corp. ............................................. 13,800 396,750
Champion International Corp. ............................. 45,100 2,091,513
Chase Manhattan Corp. .................................... 86,800 4,014,500
Chemical Banking Corp. ................................... 122,400 5,645,700
Chesapeake Corp. ......................................... 5,900 168,150
Chiquita Brands International, Inc. ...................... 23,700 314,025
Chris-Craft Industries, Inc. ............................. 10,053 338,032
Chrysler Corp. ........................................... 177,900 7,760,888
Cincinnati Financial Corp. ............................... 25,715 1,417,539
Citicorp ................................................. 195,900 10,480,650
Coca-Cola Enterprises, Inc. .............................. 64,500 1,378,688
Comdicso, Inc. ........................................... 17,500 525,000
Comerica, Inc. ........................................... 50,200 1,587,575
Commerce Bancshares, Inc. ................................ 10,690 331,390
Comsat Corp. Series 1 .................................... 23,100 450,450
Conrail, Inc. ............................................ 39,500 2,133,000
Consolidated Natural Gas Co. ............................. 46,600 1,858,175
Coors (Adolph) Co. Class B ............................... 17,900 307,656
Countrywide Credit Industries, Inc. ...................... 45,700 851,163
Cyprus Amax Minerals Co., Inc. ........................... 46,300 1,226,950
264
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Diamond Shamrock, Inc. ................................... 13,900 $ 377,038
*Digital Equipment Corp. .................................. 19,900 888,038
Dillard Department Stores, Inc. Class A .................. 54,500 1,566,875
Dole Food, Inc. .......................................... 24,300 716,850
Eastern Enterprises ...................................... 8,400 252,000
Edwards (A.G.), Inc. ..................................... 25,000 565,625
Enserch Corp. ............................................ 33,500 582,063
Equitable Companies, Inc. ................................ 47,500 1,003,438
Federal Paper Board Co., Inc. ............................ 20,300 659,750
*Federated Department Stores, Inc. ........................ 88,100 2,026,300
Fina, Inc. Class A ....................................... 14,000 579,250
Finova Group, Inc. ....................................... 9,500 350,313
First Chicago Corp. ...................................... 45,700 2,622,038
First Colony Corp. ....................................... 24,700 583,538
First Hawaiian, Inc. ..................................... 15,500 428,188
First Union Corp. ........................................ 75,000 3,675,000
First of America Bank Corp. .............................. 25,800 932,025
Fleming Companies, Inc. .................................. 17,997 465,672
Florida East Coast Industries, Inc. ...................... 3,500 256,789
Ford Motor Co. ........................................... 490,900 14,358,825
*Fund American Enterprises Holdings, Inc. ................. 3,400 236,300
GATX Corp. ............................................... 9,600 406,800
General Motors Corp. ..................................... 397,500 19,080,000
General Motors Corp. Class H ............................. 44,946 1,831,550
Glatfelter (P.H.) Co. .................................... 18,100 343,900
Golden West Financial Corp. .............................. 25,200 1,237,950
Goodrich (B.F.) Co. ...................................... 12,400 615,350
Goodyear Tire & Rubber Co. ............................... 60,000 2,535,000
Great Atlantic & Pacific Tea Co., Inc. ................... 18,400 457,700
Great Western Financial Corp. ............................ 67,000 1,465,625
Hawaiian Electric Industries, Inc. ....................... 13,800 493,350
Helmerich & Payne, Inc. .................................. 11,900 355,513
Houston Industries, Inc. ................................. 65,700 2,833,313
IES Industries, Inc. ..................................... 14,400 318,600
IMC Global, Inc. ......................................... 14,200 639,000
Inland Steel Industries, Inc. ............................ 29,100 818,438
International Paper Co. .................................. 62,600 4,921,925
International Speciality Products, Inc. .................. 50,000 400,000
James River Corp. of Virginia ............................ 40,900 1,104,300
Jefferson-Pilot Corp. .................................... 2,800 147,700
K Mart Corp. ............................................. 228,400 2,912,100
*Kaiser Aluminum Corp. .................................... 28,100 326,663
Kerr-McGee Corp. ......................................... 15,000 836,250
Lafarge Corp. ............................................ 29,900 571,838
Lehman Brothers Holdings, Inc. ........................... 75,100 1,483,225
Lincoln National Corp. ................................... 47,550 2,151,638
Loews Corp. .............................................. 29,500 3,506,813
Longs Drug Stores Corp. .................................. 9,200 323,150
MBIA, Inc. ............................................... 17,700 1,117,313
MCI Communications Corp. ................................. 129,800 2,620,338
*Magma Copper Co. ......................................... 23,100 332,063
McDonnell Douglas Corp. .................................. 44,420 3,209,345
Mellon Bank Corp. ........................................ 55,600 2,376,900
Mercantile Stores Co., Inc. .............................. 17,712 830,250
Merrill Lynch & Co., Inc. ................................ 79,500 3,736,500
Michigan National Corp. .................................. 3,500 370,563
265
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Midlantic Corp. .......................................... 22,500 $ 855,000
Midwest Resources, Inc. .................................. 22,416 316,626
Mitchell Energy & Development Corp. Class A .............. 11,300 200,575
Mitchell Energy & Development Corp. Class B .............. 15,300 267,750
Morgan (J.P.) & Co., Inc. ................................ 94,300 6,683,513
Morgan Stanley Group, Inc. ............................... 31,200 2,375,100
Murphy Oil Corp. ......................................... 18,400 805,000
NationsBank Corp. ........................................ 115,500 6,540,188
*Nextel Communications Corp. Class A ...................... 45,000 610,313
Norfolk Southern Corp. ................................... 67,400 4,616,900
Northrop Grumman Corp. ................................... 12,700 665,163
Nynex Corp. .............................................. 180,100 7,519,175
Occidental Petroleum Corp. ............................... 156,500 3,599,500
Ogden Corp. .............................................. 19,996 439,912
Ohio Casualty Corp. ...................................... 17,400 528,525
Old Republic International Corp. ......................... 25,000 637,500
*Oryx Energy Co. .......................................... 49,500 711,563
Overseas Shipholding Group, Inc. ......................... 17,400 330,600
PHH Corp. ................................................ 8,100 340,200
PNC Bank Corp. ........................................... 116,900 3,156,300
Pacific Telecom, Inc. .................................... 15,600 464,100
Paine Webber Group, Inc. ................................. 37,800 746,550
Panhandle Eastern Corp. .................................. 69,364 1,742,771
Pennzoil Co. ............................................. 18,800 928,250
Petrie Stores Corp. ...................................... 21,500 131,688
Pittway Corp. DE Class A ................................. 800 35,800
Potlatch Corp. ........................................... 14,000 600,250
Providian Corp. .......................................... 36,600 1,331,325
Pulte Corp. .............................................. 10,800 295,650
*Quantum Corp. ............................................ 5,000 107,188
RJR Nabisco Holdings Corp. ............................... 136,480 3,889,680
Reliastar Financial Corp. ................................ 12,100 449,213
Republic New York Corp. .................................. 25,400 1,298,575
Reynolds Metals Co. ...................................... 31,100 1,535,563
*Rowan Companies, Inc. .................................... 25,000 187,500
Ryder System, Inc. ....................................... 39,400 999,775
Safeco Corp. ............................................. 31,300 1,840,831
Saint Paul Companies, Inc. ............................... 33,000 1,678,875
Salomon, Inc. ............................................ 51,000 2,091,000
*Seagate Technology, Inc. ................................. 35,600 1,277,150
Shawmut National Corp. ................................... 49,100 1,423,900
Smiths Food & Drug Centers, Inc. Class B ................. 6,400 124,000
Southern New England Telecommunications Corp. ............ 27,600 928,050
Springs Industries, Inc. Class A ......................... 8,500 334,688
Standard Federal Bancorporation, Inc. .................... 15,100 500,188
*Storage Technology Corp. ................................. 28,800 615,600
Sun Company, Inc. ........................................ 64,080 2,018,520
Supervalu, Inc. .......................................... 29,100 825,713
TIG Holdings, Inc. ....................................... 27,400 643,900
Tecumseh Products Co. Class A ............................ 8,200 385,400
Textron, Inc. ............................................ 37,500 2,282,813
Times Mirror Co. Class A ................................. 67,100 1,560,075
266
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Timken Co. ............................................... 14,900 $ 627,663
Transamerica Corp. ....................................... 28,700 1,714,825
Travelers Group, Inc. .................................... 72,700 3,071,575
Tyson Foods, Inc. Class A ................................ 37,900 843,275
UMB Financial Corp. ...................................... 7,900 251,813
UNUM Corp. ............................................... 31,000 1,325,250
*USAir Group, Inc. ........................................ 12,300 109,163
USF&G Corp. .............................................. 31,500 543,375
USLIFE Corp. ............................................. 11,000 442,750
USX-Marathon Group, Inc. ................................. 143,850 2,859,019
USX-US Steel Group ....................................... 38,000 1,216,000
Union Bank San Francisco, CA ............................. 17,300 672,538
Union Camp Corp. ......................................... 15,900 824,813
Union Pacific Corp. ...................................... 87,500 4,845,313
Unitrin, Inc. ............................................ 22,900 1,122,100
Valero Energy Corp. ...................................... 21,100 448,375
*Vons Companies, Inc. ..................................... 20,800 431,600
WPL Holdings, Inc. ....................................... 14,950 433,550
Washington Mutual, Inc. .................................. 30,200 683,275
Wesco Financial Corp. .................................... 3,400 408,000
Westinghouse Electric Corp. .............................. 26,600 385,700
Westvaco Corp. ........................................... 33,700 1,440,675
Yellow Corp. ............................................. 11,500 217,781
------------------
TOTAL COMMON STOCKS (Cost $266,427,468) ................... 303,315,578
------------------
Face
Amount
------------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.8%)
Repurchase Agreement, PNC Securities Corp. 5.85%, 06/01/95
(Collateralized by U.S. Treasury Notes 7.50%, 12/31/96)
(Cost $5,719,000) ........................................ $ 5,719 5,719,000
------------------
TOTAL INVESTMENTS -- (99.8%) (Cost $272,146,468) .......... 309,034,578
------------------
OTHER ASSETS AND LIABILITIES -- (0.2%)
Other Assets .............................................. 2,296,806
Payable for Investment Securities Purchased ............... (1,629,750)
Other Liabilities ......................................... (103,289)
------------------
563,767
------------------
NET ASSETS -- (100.0%) Applicable to 25,966,928 Outstanding
$.01 Par Value Shares (Unlimited Number of Shares
Authorized) .............................................. $309,598,345
==================
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE .. $ 11.92
==================
</TABLE>
- - ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
267
<PAGE>
STATEMENT OF NET ASSETS
THE DFA ONE-YEAR FIXED INCOME SERIES
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Face
Amount Value+
------------------ ------------------
(000)
<S> <C> <C>
BONDS AND CERTIFICATES OF DEPOSIT -- (62.7%)
AT&T Capital Corp. Medium Term Notes
6.640%, 05/22/96 ......................................... $ 9,500 $ 9,561,047
AT&T Corp. Corporate Bonds
4.500%, 02/15/96 ......................................... 6,000 5,934,180
Abbey National North America Medium Term Notes
7.620%, 12/22/95 ......................................... 17,000 17,153,391
American International Group, Inc. Medium Term Notes
7.700%, 03/15/96 ......................................... 12,200 12,346,058
Associates Corp. of North America Medium Term Notes
8.730%, 04/05/96 ......................................... 2,100 2,143,208
8.625%, 06/17/96 ......................................... 5,000 5,123,490
4.750%, 08/01/96 ......................................... 5,000 4,917,550
7.500%, 10/15/96 ......................................... 5,000 5,085,690
Bankers Trust N.Y., Inc. Corporate Bonds
4.700%, 07/01/96 ......................................... 11,200 11,000,875
Bayerische Landesbank Medium Term Notes
6.430%, 07/19/96 ......................................... 17,000 17,047,311
Bellsouth Capital Funding Medium Term Notes
7.550%, 11/29/96 ......................................... 3,000 3,058,641
Cola-Cola Co. Corporate Bonds
7.750%, 02/15/96 ......................................... 17,000 17,188,479
Deutsche Bank AG (New York)
7.498%, 01/21/97 ......................................... 9,000 9,178,389
Exxon Capital Corp. Corporate Bonds
7.750%, 02/14/96 ......................................... 17,000 17,187,748
Gannet Co., Inc. Corporate Bonds
9.550%, 02/01/96 ......................................... 3,300 3,373,217
Johnson & Johnson Medium Term Notes
8.000%, 03/20/96 ......................................... 7,000 7,101,549
KFW International Finance, Inc. Medium Term Notes
6.750%, 01/10/96 ......................................... 11,000 11,041,041
Merck & Co., Inc. Medium Term Notes
7.750%, 05/01/96 ......................................... 5,000 5,077,865
NBD Bank N.A. Bank Notes
4.150%, 01/31/96 ......................................... 5,000 4,939,510
7.850%, 01/21/97 ......................................... 12,000 12,303,060
Norinchukin Bank New York Certificate of Deposit
6.060%, 07/17/95 ......................................... 17,000 17,002,555
Norwest Corp. Medium Term Notes
7.750%, 12/31/96 ......................................... 7,000 7,160,020
7.875%, 01/30/97 ......................................... 10,000 10,272,370
Paccar Financial Corp. Medium Term Notes
4.500%, 07/01/96 ......................................... 5,000 4,912,730
4.800%, 08/20/96 ......................................... 5,000 4,921,035
5.150%, 11/15/96 ......................................... 3,000 2,957,970
268
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED
Face
Amount Value+
------------------ ------------------
(000)
Pepsico, Inc. Medium Term Notes
7.220%, 11/15/96 ......................................... $ 7,000 $ 7,117,250
7.000%, 11/15/96 ......................................... 5,000 5,060,185
6.875%, 05/15/97 ......................................... 5,000 5,059,225
Province of Ontario Corporate Bonds
8.250%, 04/08/96 ......................................... 15,000 15,274,650
Rabobank Nederland Deposit Notes
6.040%, 01/25/96 ......................................... 4,000 4,000,828
6.390%, 06/25/96 ......................................... 4,000 4,011,852
Republic National Bank of New York Bank Notes
8.375%, 05/01/96 ......................................... 4,000 4,076,528
Sanwa Bank Certificate of Deposit
6.030%, 06/22/95 ......................................... 18,000 17,999,510
Shell Oil Co. Corporate Bonds
7.700%, 02/01/96 ......................................... 10,000 10,098,450
6.000%, 01/15/97 ......................................... 5,000 4,994,255
Smithkline Beecham Corp. Corporate Bonds
5.250%, 01/19/96 ......................................... 5,000 4,973,910
5.250%, 01/26/96 ......................................... 2,000 1,989,112
Society National Bank, Cleveland Deposit Notes
6.875%, 10/15/96 ......................................... 16,260 16,407,787
Texaco Capital, Inc. Medium Term Notes
9.000%, 11/15/96 ......................................... 5,000 5,191,745
Toyota Motor Credit Corp. Medium Term Notes
7.700%, 01/23/97 ......................................... 17,000 17,394,230
WMX Technologies, Inc. Corporate Bonds
4.875%, 06/15/96 ......................................... 15,000 14,812,890
Wachovia Bank Notes
7.150%, 11/07/96 ......................................... 7,000 7,088,767
5.400%, 03/14/97 ......................................... 10,000 9,883,710
Waste Management, Inc. Corporate Bonds
4.625%, 04/14/96 ......................................... 2,000 1,973,100
------------------
TOTAL BONDS AND CERTIFICATES OF DEPOSIT (Cost $382,984,864) 385,396,963
------------------
COMMERCIAL PAPER -- (28.8%)
ABN-Amro North America, Inc. C.P.
5.950%, 06/19/95 ......................................... 8,000 7,974,750
Beta Finance C.P. 6,000 5,991,015
6.020%, 06/23/95 ......................................... 3,000 2,988,538
5.940%, 07/17/95 ......................................... 7,500 7,441,641
Caisse Nationale des Telecommunicatioans C.P.
6.000%, 07/17/95 ......................................... 8,323 8,258,237
6.010%, 07/18/95 ......................................... 18,000 17,856,239
Cargill, Inc. C.P.
5.910%, 06/08/95 ......................................... 6,000 5,992,013
5.900%, 06/22/95 ......................................... 6,000 5,978,073
Ciesco L.P. C.P.
5.900%, 07/11/95 ......................................... 15,100 14,997,332
269
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED
Face
Amount Value+
------------------ ------------------
(000)
Corporate Asset Funding Co. C.P.
5.980%, 06/09/95 ......................................... $ 4,000 $ 3,994,010
6.030%, 07/10/95 ......................................... 7,000 6,953,566
6.020%, 07/17/95 ......................................... 4,000 3,968,875
Deutsche Bank AG (New York) C.P.
5.920%, 06/14/95 ......................................... 7,000 6,983,694
Dreyfus (Louis) Corp. C.P.
6.020%, 06/06/95 ......................................... 1,800 1,798,203
6.000%, 06/06/95 ......................................... 3,000 2,997,005
6.020%, 06/12/95 ......................................... 6,000 5,988,020
6.010%, 06/21/95 ......................................... 7,000 6,975,581
Equipment Intermediation Partnership L.P. C.P.
6.000%, 06/05/95 ......................................... 3,000 2,997,504
5.970%, 06/05/95 ......................................... 13,171 13,160,042
Phillip Morris Companies, Inc. C.P.
6.000%, 06/09/95 ......................................... 4,000 3,993,980
6.000%, 06/14/95 ......................................... 4,000 3,990,635
Sheffield Receivables Corp. C.P.
5.950%, 06/13/95 ......................................... 6,000 5,987,021
6.000%, 07/19/95 ......................................... 6,000 5,951,326
Stanley Works C.P. ........................................
5.950%, 06/26/95 ......................................... 6,000 5,973,957
Toronto Dominion Bank C.P.
5.970%, 06/12/95 ......................................... 12,000 11,976,040
United Parcel Service C.P.
5.900%, 06/13/95 ......................................... 6,000 5,987,022
------------------
TOTAL COMMERCIAL PAPER (Cost $177,184,430) ................ 177,154,319
------------------
270
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED
Face
Amount Value+
------------------ ------------------
(000)
AGENCY OBLIGATIONS -- (3.2%)
Federal National Morgage Association
6.940%, 03/17/97 ......................................... $ 5,000 $ 5,068,000
6.770%, 04/14/97 ......................................... 4,000 4,051,280
Student Loan Marketing Association ........................
7.875%, 02/03/97 ......................................... 10,000 10,287,000
------------------
TOTAL AGENCY OBLIGATIONS (Cost $19,156,046) ............... 19,406,280
------------------
TEMPORARY CASH INVESTMENTS -- (1.2%)
Repurchase Agreement, PNC Securities Corp. 5.85%, 06/01/95
(Collateralized by U.S. Treasury Notes 7.50%, 12/31/96)
(Cost $7,411,000) ....................................... 7,411 7,411,000
------------------
TOTAL INVESTMENTS -- (95.9%) (Cost $586,736,340) .......... 589,368,562
------------------
OTHER ASSETS AND LIABILITIES -- (4.1%)
Other Assets ............................................ 25,511,074
Liabilities ............................................. (92,451)
------------------
25,418,623
------------------
NET ASSETS -- (100.0%) Applicable to 6,157,704 Outstanding
$.01 Par Value Shares (Unlimited Number of Shares
Authorized) ............................................. $614,787,185
==================
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE .. $ 99.84
==================
</TABLE>
- - ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements
271
<PAGE>
STATEMENT OF NET ASSETS
THE DFA INTERNATIONAL VALUE SERIES
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
JAPAN -- (38.4%)
COMMON STOCKS -- (36.7%)
Achilles Corp. .......................................... 25,000 $ 99,764
Aica Kogyo Co., Ltd. .................................... 16,000 109,563
Aichi Machine Industry Co., Ltd. ........................ 17,000 106,576
Aichi Steel Works, Ltd. ................................. 37,000 211,865
Aida Engineering, Ltd. .................................. 16,000 113,341
Aisin Seiki Co., Ltd. ................................... 55,000 603,896
Alps Electric Co., Ltd. ................................. 26,000 286,706
Amada Co., Ltd. ......................................... 53,000 525,620
Amada Metrecs Co., Ltd. ................................. 14,000 196,694
Amada Sonoike Co., Ltd. ................................. 19,000 121,133
Ando Corp. .............................................. 12,000 61,204
Aoki Corp. .............................................. 84,000 360,000
Aoki International Co., Ltd. ............................ 6,000 107,674
Aomori Bank, Ltd. ....................................... 33,000 214,675
#Asahi Breweries, Ltd. ................................... 83,000 999,528
#Asahi Denka Kogyo KK .................................... 14,000 118,512
Asahi Organic Chemicals Industry Co., Ltd. ............. 16,000 139,410
Asanuma Corp. ........................................... 17,000 92,326
Ashikaga Bank, Ltd. ..................................... 113,000 853,837
Asics Corp. ............................................. 34,000 110,390
Atsugi Nylon Industrial Co., Ltd. ....................... 50,000 258,560
Awa Bank, Ltd. .......................................... 26,000 176,505
Bandai Co., Ltd. ........................................ 8,000 253,129
Bank of Iwate, Ltd. ..................................... 3,000 191,263
Bank of Kyoto, Ltd. ..................................... 28,000 207,273
Bank of Nagoya, Ltd. .................................... 25,000 212,515
Bank of Okinawa, Ltd. ................................... 2,000 89,728
Bank of Osaka, Ltd. ..................................... 43,000 152,302
Bank of the Ryukyus, Ltd. ............................... 2,000 92,326
Banyu Pharmaceutical Co., Ltd. .......................... 52,000 588,146
Best Denki Co., Ltd. .................................... 3,000 46,045
Brother Industries, Ltd. ................................ 50,000 247,934
Bunka Shutter Co., Ltd. ................................. 12,000 66,871
CMK Corp. ............................................... 6,000 77,214
CSK Corp. ............................................... 13,000 313,105
Calpis Food Industry Co., Ltd. .......................... 13,000 104,368
Calsonic Corp. .......................................... 19,000 116,423
Canon Sales Co., Inc. ................................... 24,000 626,210
*Central Finance Co., Ltd. ............................... 19,000 80,083
*Central Glass Co., Ltd. ................................. 30,000 108,383
Chiba Bank, Ltd. ........................................ 121,000 1,214,286
Chiba Kogyo Bank, Ltd. .................................. 4,000 190,319
Chichibu Onoda Cement Corp. ............................. 21,000 104,876
Chiyoda Fire and Marine Insurance Co., Ltd. ............ 55,000 313,636
Chudenko Corp. .......................................... 10,500 390,496
*Chuetsu Pulp and Paper Co., Ltd. ........................ 20,000 111,216
Chugoku Bank, Ltd. ...................................... 38,000 708,855
Chukyo Coca-Cola Bottling Co., Ltd. .................... 6,000 64,038
Chukyo Sogo Bank, Ltd. .................................. 29,000 188,312
#Chuo Trust and Banking Co., Ltd. ........................ 46,000 619,126
Citizen Watch Co., Ltd. ................................. 57,000 384,262
*Clarion Co., Ltd. ....................................... 5,000 19,953
Cleanup Corp. ........................................... 7,000 109,917
*Cosmo Securities Co., Ltd. .............................. 66,000 196,364
272
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Dai Tokyo Fire & Marine Insurance Co., Ltd. ............ 74,000 $ 519,835
*Dai-Ichi Securities Co., Ltd. ........................... 27,000 89,575
Daicel Chemical Industries, Ltd. ........................ 68,000 358,867
Daido Steel Co., Ltd. ................................... 66,000 334,286
Daiei OMC, Inc. ......................................... 17,000 93,932
Daiichi Corp. Hiroshima ................................. 9,000 192,326
Daikin Industries, Ltd. ................................. 42,000 334,710
Daikyo, Inc. ............................................ 34,000 230,815
*Dainippon Screen Manufacturing Co., Ltd. ............... 23,000 137,131
#Daio Paper Corp. ........................................ 15,000 221,370
Daisan Bank, Ltd. ....................................... 25,000 177,096
*Daiwa Danchi Co., Ltd. .................................. 21,000 106,612
Daiwa House Industry Co., Ltd. .......................... 83,000 1,293,506
Daiwa Kosho Lease Co., Ltd. ............................. 26,000 242,503
Daiwa Securities Co., Ltd. .............................. 182,000 2,015,537
*Daiwabo Co., Ltd. ....................................... 22,000 60,519
*Denki Kagaku Kogyo K.K. ................................. 29,000 112,645
Dowa Fire & Marine Insurance Co., Ltd. ................. 64,000 349,091
Ehime Bank, Ltd. ........................................ 24,000 129,209
Eighteenth Bank, Ltd. ................................... 32,000 324,911
Ezaki Glico Co., Ltd. ................................... 22,000 209,610
Fuji Denki Reiki Co., Ltd. .............................. 6,300 70,884
Fuji Fire & Marine Insurance Co., Ltd. ................. 37,000 199,634
*Fuji Heavy Industries, Ltd. ............................. 93,000 340,378
Fuji Oil Co., Ltd. ...................................... 17,000 134,876
Fuji Photo Film Co., Ltd. ............................... 102,000 2,444,628
Fujita Corp. ............................................ 97,000 475,266
Fujitsu, Ltd. ........................................... 323,000 3,088,902
Fukuda Corp. ............................................ 9,000 94,038
Fukui Bank, Ltd. ........................................ 47,000 264,687
Fukuoka City Bank, Ltd. ................................. 37,000 307,969
Fukutoku Bank, Ltd. ..................................... 27,000 71,086
Futaba Corp. ............................................ 8,000 332,468
Futaba Industrial Co., Ltd. ............................. 10,000 158,205
*Gakken Co., Ltd. ........................................ 18,000 131,759
Godo Steel, Ltd. ........................................ 29,000 167,084
Gun-Ei Chemical Industry Co., Ltd. ...................... 22,000 108,571
Gunze, Ltd. ............................................. 45,000 289,551
Hanshin Electric Railway Co., Ltd. ...................... 63,000 242,479
*Hanwa Co., Ltd. ......................................... 64,000 152,633
Haseko Corp. ............................................ 78,000 437,426
Hazama Corp. ............................................ 58,000 260,213
Higo Bank, Ltd. ......................................... 58,000 564,935
Hiroshima Bank, Ltd. .................................... 111,000 676,222
Hiroshima-Sogo Bank, Ltd. ............................... 17,000 118,819
Hitachi Cable, Ltd. ..................................... 69,000 529,516
Hitachi Construction Machinery Co., Ltd. ............... 9,000 91,063
Hitachi Koki Co., Ltd. .................................. 22,000 210,130
Hitachi Maxell, Ltd. .................................... 18,000 246,517
Hitachi Plant Engineering & Construction Co., Ltd. ..... 22,000 160,519
Hitachi Transport System, Ltd. .......................... 22,000 217,143
Hitachi, Ltd. ........................................... 607,000 5,855,006
*Hitachi, Ltd. Issue 95 .................................. 18,200 173,620
273
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Hokkai Can Co., Ltd., Tokyo ............................. 12,000 $ 102,432
Hokkaido Bank, Ltd. ..................................... 68,000 270,555
Hokkaido Takushoku Bank, Ltd., Takugin ................. 185,000 580,992
Hokuetsu Bank ........................................... 32,000 190,413
Hokuriku Bank, Ltd. ..................................... 136,000 995,514
*#Hokuriku Electric Power Co., Inc. ....................... 12,000 313,105
Hokuriku Seiyaku Co., Ltd. .............................. 10,000 127,509
Honda Motor Co., Ltd. ................................... 179,000 2,641,676
Horiba, Ltd. ............................................ 6,000 72,255
House Foods Corp. ....................................... 21,000 428,926
Hyakugo Bank, Ltd. ...................................... 46,000 313,908
Hyakujushi Bank, Ltd. ................................... 58,000 433,459
*Hyogo Bank, Ltd. ........................................ 56,000 124,959
Ibiden Co., Ltd. ........................................ 20,000 124,203
Ikegami Tsushinki Co., Ltd. ............................. 8,000 59,032
Inax Corp. .............................................. 48,000 499,268
*#Ines Corp. .............................................. 9,000 95,632
Intec, Inc. ............................................. 7,000 103,306
*Ishihara Sangyo Kaisha, Ltd. ............................ 37,000 122,751
Itochu Corp. ............................................ 94,000 575,986
Itochu Fuel Corp. ....................................... 22,000 200,000
Itoham Foods, Inc. ...................................... 45,000 371,901
Izumiya Co., Ltd. ....................................... 21,000 374,380
Japan Pulp and Paper Co., Ltd. .......................... 16,000 101,629
Japan Steel Works, Ltd. ................................. 43,000 109,150
Japan Synthetic Rubber Co., Ltd. ........................ 47,000 245,821
Japan Vilene Co., Ltd. .................................. 16,000 102,952
Joshin Denki Co., Ltd. .................................. 11,000 129,610
Juroku Bank, Ltd. ....................................... 61,000 376,659
Kagoshima Bank, Ltd. .................................... 38,000 347,698
Kaneka Corp. ............................................ 55,000 387,013
Kanematsu Corp. ......................................... 46,000 186,824
*Kankaku Securities Co., Ltd. ............................ 56,000 195,041
Kansai Paint Co., Ltd., Osaka ........................... 18,000 94,569
Kanto Auto Works, Ltd., Yokosuka ........................ 10,000 70,838
Kanto Natural Gas Development Co., Ltd. ................ 11,000 92,857
Kasuga Electric Works, Ltd. ............................. 31,000 424,557
#Kasumi Co., Ltd. ........................................ 10,000 92,916
Katokichi Co., Ltd. ..................................... 10,000 219,599
*Kawasho Corp. ........................................... 21,000 93,223
Keiyo Bank, Ltd. ........................................ 55,000 359,091
Keiyo Co., Ltd. ......................................... 11,000 112,338
Kikkoman Corp. .......................................... 34,000 256,907
Kinden Corp. ............................................ 41,800 819,221
Kinseki, Ltd. ........................................... 6,000 86,423
Kitz Corp. .............................................. 20,000 93,979
Kiyo Bank, Ltd. ......................................... 58,000 352,656
Koa Fire & Marine Insurance Co., Ltd. .................. 32,000 203,259
Koa Oil Co., Ltd. ....................................... 4,000 30,035
Kokusai Denshin Denwa Co., Ltd., Tokyo ................. 7,800 679,622
#Kokusai Securities Co., Ltd. ............................ 48,000 583,707
Komatsu Forklift Co., Ltd., Tochigi ..................... 17,000 109,386
Komatsu, Ltd. ........................................... 184,000 1,431,594
Komori Corp. ............................................ 15,000 334,711
#Konami Co., Ltd. ........................................ 4,000 70,838
Konica Corp. ............................................ 66,000 512,727
Kosei Securities Co., Ltd. .............................. 4,000 18,512
Koyo Seiko Co., Ltd. .................................... 37,000 326,316
Kumagai Gumi Co., Ltd. .................................. 131,000 618,654
Kurabo Industries, Ltd. ................................. 48,000 182,479
Kureha Chemical Industry Co., Ltd. ...................... 39,000 170,826
Kurimoto, Ltd. .......................................... 28,000 281,322
Kyudenko Corp. .......................................... 16,000 215,348
#Lintec Corp. ............................................ 11,000 162,338
274
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
#Long Term Credit Bank of Japan, Ltd. ................... 161,000 $1,469,339
#Maeda Corp. ............................................. 32,000 364,203
*Makino Milling Machine Co., Ltd. ........................ 16,000 103,896
Makita Corp. ............................................ 32,000 494,923
Marubeni Corp. .......................................... 174,000 926,494
Marudai Food Co., Ltd. .................................. 25,000 176,505
Maruetsu, Inc. .......................................... 30,000 255,018
Marui Co., Ltd. ......................................... 68,000 1,011,570
#Maruichi Steel Tube, Ltd. ............................... 17,000 351,240
Marusan Securities Co., Ltd. ............................ 14,000 98,512
Maruzen Showa Unyu Co., Ltd. ............................ 18,000 100,307
Matsushita Electric Industrial Co., Ltd. ............... 403,000 6,232,940
#Matsushita Electric Works, Ltd. ......................... 134,000 1,556,741
Matsushita Refrigeration Co. ............................ 25,000 185,360
Matsushita Seiko Co., Ltd. .............................. 29,000 202,007
*#Mazda Motor Corp. ....................................... 202,000 725,006
Meija Seika Kaisha, Ltd. Tokyo .......................... 60,000 379,693
#Michinoku Bank, Ltd. .................................... 24,000 215,348
Mitsubishi Chemical Corp. ............................... 85,800 411,273
Mitsubishi Electric Corp. ............................... 348,000 2,403,542
Mitsubishi Gas Chemical Co., Inc. ....................... 93,000 401,865
Mitsubishi Materials Corp. .............................. 162,000 784,179
Mitsubishi Paper Mills, Ltd. ............................ 27,000 160,024
Mitsubishi Rayon Co., Ltd. .............................. 70,000 299,174
Mitsubishi Trust & Banking Corp. ........................ 89,000 1,439,551
Mitsui & Co., Ltd. ...................................... 61,000 479,646
Mitsui Fudosan Co., Ltd. ................................ 161,000 1,803,884
Mitsui Petrochemical Industries, Ltd. .................. 49,000 405,537
Mitsui Toatsu Chemicals, Inc. ........................... 61,000 236,942
Mitsui Trust & Banking Co., Ltd. ........................ 81,000 794,699
Mitsuuroko Co., Ltd. .................................... 12,000 90,673
Miyazaki Bank, Ltd. ..................................... 13,000 89,020
Mizuno Corp. ............................................ 24,000 212,515
Musashino Bank, Ltd. .................................... 4,000 237,544
NHK Spring Co., Ltd. .................................... 46,000 213,979
NOK Corp. ............................................... 28,000 198,017
NSK, Ltd. ............................................... 102,000 602,125
NTN Corp. ............................................... 85,000 500,767
Nagase & Co., Ltd. ...................................... 30,000 285,124
Naigai Co., Ltd. ........................................ 12,000 61,488
Nakayama Steel Works, Ltd. .............................. 20,000 118,064
New Japan Securities Co., Ltd. .......................... 81,000 420,779
New Oji Paper Co., Ltd. ................................. 2,000 20,803
Nichicon Corp. .......................................... 17,000 204,723
Nichido Fire & Marine Insurance Co., Ltd. .............. 31,000 251,806
Nichiei Co., Ltd. Yokohama .............................. 24,000 106,257
Nichiei Construction Co., Ltd. .......................... 11,000 96,753
#Nichii Co., Ltd. ........................................ 52,000 592,444
Nichimen Corp. .......................................... 86,000 393,955
Nifco, Inc. ............................................. 7,000 95,041
Nihon Cement Co., Ltd. .................................. 59,000 431,877
Nihon Nohyaku Co., Ltd. ................................. 7,000 51,240
Nikko Securities Co., Ltd. .............................. 213,000 1,886,068
Nintendo Co., Ltd., Kyoto ............................... 8,000 480,756
Nippon Beet Sugar Manufacturing Co., Ltd. ............... 24,000 101,157
*Nippon Chemi-Con Corp. .................................. 22,000 117,662
#Nippon Credit Bank, Ltd. ................................ 318,000 1,753,317
275
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Nippon Densetsu Kogyo Co., Ltd. ......................... 17,000 $ 191,677
Nippon Flour Mills Co., Ltd. ............................ 21,000 106,860
#Nippon Hodo Co., Ltd. ................................... 23,000 418,182
Nippon Kakayu Co., Ltd. ................................. 36,000 221,015
Nippon Meat Packers, Inc., Osaka ........................ 39,000 570,956
Nippon Metal Industry Co., Ltd. ......................... 31,000 118,217
Nippon Oil Co., Ltd. .................................... 244,000 1,584,416
Nippon Paint Co., Ltd., Osaka ........................... 43,000 251,806
Nippon Road Co., Ltd. ................................... 16,000 158,678
Nippon Sanso Corp. ...................................... 56,000 262,479
Nippon Sheet Glass Co., Ltd. ............................ 80,000 398,583
Nippon Shinpan Co., Ltd., Tokyo ......................... 61,000 403,306
*Nippon Steel Chemical Co., Ltd. ......................... 25,000 94,156
*Nippon Suisan Kaisha, Ltd. .............................. 49,000 233,140
Nippon Synthetic Chemical Industry Co., Ltd. ........... 18,000 97,119
*Nippon Thompson Co., Ltd. ............................... 16,000 100,118
#Nippon Trust Bank, Ltd. ................................. 39,000 163,920
*Nippon Yakin Kogyo Co., Ltd. ............................ 29,000 142,090
*#Nissan Diesel Motor Co., Ltd. ........................... 23,000 107,532
Nissan Motor Co., Ltd. .................................. 498,000 3,216,128
Nissan Shatai Co., Ltd. ................................. 27,000 170,543
Nissei Sangyo Co., Ltd. ................................. 15,000 171,783
Nisshin Oil Mills, Ltd. ................................. 27,000 208,158
Nisshin Steel Co., Ltd. ................................. 66,000 285,195
Nisshinbo Industries, Inc. .............................. 43,000 387,355
Nissin Food Products Co., Ltd. .......................... 24,000 586,541
Nitsuko, Ltd. ........................................... 4,000 40,803
Nittetsu Mining Co., Ltd. ............................... 16,000 148,477
*Nitto Boseki Co., Ltd. .................................. 43,000 112,196
Nitto Denko Corp. ....................................... 25,000 386,659
Noritz Corp. ............................................ 11,000 227,273
North Pacific Bank, Ltd. ................................ 22,000 122,078
OSG Manufacturing Co., Ltd. ............................. 14,000 83,471
Obayashi Corp. .......................................... 55,000 418,831
Ogaki Kyoritsu Bank, Ltd. ............................... 50,000 293,979
Oita Bank, Ltd. ......................................... 9,150 78,861
Okamura Corp. ........................................... 16,000 132,420
Okasan Securities Co., Ltd. ............................. 23,000 97,757
*Okuma Corp. ............................................. 21,000 151,736
Okumura Corp. ........................................... 43,000 381,263
Okura Industrial Co., Ltd. .............................. 12,000 89,256
Olympus Optical Co., Ltd. ............................... 52,000 460,449
Omron Corp. ............................................. 37,000 681,464
Optec Dai-Ichi Denko Co., Ltd. .......................... 13,000 56,942
Pacific Metals Co., Ltd. ................................ 23,000 95,856
Parco Co., Ltd. ......................................... 9,000 95,632
Pasco Corp. ............................................. 16,000 73,294
Pioneer Electronic Corp. ................................ 36,000 624,793
#Rengo Co., Ltd. ......................................... 35,000 244,628
*Renown, Inc. ............................................ 50,000 180,047
#Rhythm Watch Co., Ltd. .................................. 29,000 105,112
Ricoh Co., Ltd., Tokyo .................................. 119,000 955,372
Royal Co., Ltd. ......................................... 6,000 90,673
Ryosan Co., Ltd. ........................................ 7,000 161,157
Ryoyo Electro Corp. ..................................... 6,000 117,591
#SXL Corp. ............................................... 13,000 138,595
Sakai Chemical Industry Co., Ltd. ....................... 21,000 121,736
San-In Godo Bank, Ltd. .................................. 31,000 296,824
Sanden Corp. ............................................ 24,000 137,143
Sanki Engineering Co., Ltd. ............................. 14,000 134,711
Sankyo Aluminum Industry Co., Ltd. ..................... 44,000 220,779
*Sankyo Seiki Manufacturing Co., Ltd. ................... 18,000 84,368
Sanrio Co., Ltd. ........................................ 9,000 92,231
Sanyo Electric Co., Ltd. ................................ 387,000 1,982,975
276
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THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Sanyo Shokai, Ltd. ...................................... 25,000 $ 139,315
Sanyo Special Steel Co., Ltd. ........................... 34,000 144,510
Seino Transportation Co., Ltd. .......................... 28,000 505,785
Seiren Co., Ltd. ........................................ 8,000 62,810
Seiyo Food Systems, Inc. ................................ 14,000 149,752
Sekisui Chemical Co., Ltd. .............................. 100,000 1,173,554
Sekisui House, Ltd. ..................................... 134,000 1,692,798
Sekisui Plastics Co., Ltd. .............................. 19,000 113,282
Senshukai Co., Ltd. ..................................... 5,000 91,499
*Settsu Corp. ............................................ 46,000 180,850
Sharp Corp., Osaka ...................................... 13,000 184,179
Shiga Bank, Ltd. ........................................ 47,000 349,032
Shimizu Bank, Ltd. ...................................... 2,000 165,289
Shinmaywa Industries, Ltd. .............................. 19,000 161,960
Shinwa Bank, Ltd. ....................................... 27,500 189,935
Shionogi & Co., Ltd. .................................... 61,000 572,550
Shiseido Co., Ltd. ...................................... 79,000 960,685
*Shokusan Jutaku Sogo Co., Ltd. .......................... 27,000 101,688
Showa Electric Wire & Cable Co., Ltd., Kawasaki ........ 25,000 115,407
Showa Sangyo Co., Ltd. .................................. 34,000 143,306
Sintokogio, Ltd., Nagoya ................................ 10,000 79,929
Sogo Co., Ltd. .......................................... 22,000 85,455
Sony Corp. .............................................. 74,100 3,569,398
#Stanley Electric Co., Ltd. .............................. 38,000 247,202
Star Micronics Co., Ltd. ................................ 10,000 76,741
Sumitomo Bakelite Co., Ltd. ............................. 16,000 106,163
Sumitomo Corp. .......................................... 211,000 1,913,200
*Sumitomo Metal Industries, Ltd., Osaka ................. 577,000 1,709,882
Sumitomo Osaka Cement Co., Ltd. ......................... 19,000 78,961
Sumitomo Realty & Development Co., Ltd. ................ 76,000 469,280
Sumitomo Trust & Banking Co., Ltd. ..................... 85,000 1,164,109
Sumitomo Warehouse Co., Ltd. ............................ 16,000 95,584
Sun Wave Corp. .......................................... 8,000 114,286
Suruga Bank, Ltd. ....................................... 47,000 335,714
Suzuki Motor Corp. ...................................... 63,000 628,512
Suzutan Co., Ltd. ....................................... 7,000 56,612
TDK Corp. ............................................... 24,000 1,082,409
*TEC Corp. ............................................... 50,000 201,299
TOC Co., Ltd. ........................................... 12,000 116,883
Tadano, Ltd. ............................................ 22,000 175,325
*Taiheiyo Securities Co., Ltd. ........................... 21,000 68,182
Taikisha, Ltd. .......................................... 8,000 119,953
Taisei Corp. ............................................ 185,000 1,188,194
Taisei Rotec Corp. ...................................... 30,000 215,702
Taiyo Yuden Co., Ltd. ................................... 19,000 188,205
Takeda Chemical Industries, Ltd. ........................ 139,000 1,854,427
#Tamura Corp. ............................................ 18,000 106,682
Teijin, Ltd. ............................................ 177,000 896,494
Tenma Corp. ............................................. 8,000 189,847
Toa Steel Co., Ltd. ..................................... 23,000 136,045
Tochigi Sogo Bank, Ltd. ................................. 13,000 143,506
Toda Corp. .............................................. 50,000 501,771
Toenec Corp. ............................................ 19,200 196,080
Toho Bank, Ltd. ......................................... 41,000 342,231
#Tokai Carbon Co., Ltd. .................................. 38,000 153,436
Tokai Rika Co., Ltd. .................................... 17,000 166,989
Tokico, Ltd. ............................................ 27,000 119,858
Tokio Marine & Fire Insurance Co., Ltd. ................ 29,000 332,113
277
<PAGE>
</TABLE>
<TABLE>
<CAPTION>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
<S> <C> <C>
Toko, Inc. .............................................. 8,000 $ 55,915
#Tokuyama Corp. .......................................... 48,000 246,517
Tokyo Broadcasting System, Inc. ......................... 35,000 557,851
Tokyo Securities Co., Ltd. .............................. 23,000 107,261
Tokyo Sowa Bank, Ltd. ................................... 37,000 179,103
Tokyo Style Co., Ltd. ................................... 19,000 284,888
Tokyo Tatemono Co., Ltd. ................................ 38,000 192,019
Tokyo Tekko Co., Ltd. ................................... 9,000 52,385
Tokyu Car Corp. ......................................... 14,000 72,066
Tokyu Construction Co., Ltd. ............................ 43,000 233,530
Tokyu Department Store Co., Ltd. ........................ 52,000 313,105
Tokyu Land Corp. ........................................ 59,000 257,733
Tokyu Store Chain Corp. ................................. 11,000 80,909
Tonami Transportation Co., Ltd. ......................... 16,000 119,764
Toshiba Engineering & Construction Co., Ltd. ........... 13,000 122,786
Toshiba Machine Co., Ltd. ............................... 27,000 130,697
*Towa Real Estate Development Co., Ltd. ................. 18,000 65,030
Toyo Engineering Corp. .................................. 32,000 188,524
Toyo Ink Manufacturing Co., Ltd. ........................ 42,000 265,289
Toyo Seikan Kaisha, Ltd ................................. 37,000 1,223,140
*Toyo Tire & Rubber Co., Ltd. ............................ 33,000 145,714
Toyo Trust & Banking Co., Ltd. .......................... 156,000 1,456,860
#Toyoda Machine Works, Ltd. .............................. 22,000 170,390
Toyota Auto Body Co., Ltd. .............................. 14,000 124,793
Toyota Motor Corp. ...................................... 572,000 11,075,325
Toyota Tsusho Corp. ..................................... 46,000 306,848
Tsubakimoto Chain Co. ................................... 30,000 142,385
Tsubakimoto Precision Products Co., Ltd. ............... 3,000 36,836
Tsumura & Co., Inc. ..................................... 12,000 202,597
Tsutsunaka Plastic Industry Co., Ltd. .................. 4,000 40,850
#UNY Co., Ltd. ........................................... 30,000 474,616
Unisia Jecs Corp. ....................................... 24,000 136,009
*Victor Co. of Japan, Ltd. ............................... 48,000 519,103
Wacoal Corp. ............................................ 31,000 391,617
Yakult Honsha Co., Ltd. ................................. 35,000 549,587
Yamagata Bank, Ltd. ..................................... 27,000 177,237
Yamaguchi Bank, Ltd. .................................... 37,000 742,621
Yamaha Corp. ............................................ 36,000 429,280
Yamaichi Securities Co., Ltd. ........................... 240,000 1,447,934
Yamamura Glass Co., Ltd. ................................ 23,000 157,497
Yamatake Honeywell Co., Ltd. ............................ 15,000 212,515
*Yamatane Securities Co., Ltd. ........................... 16,000 60,260
Yamato Kogyo Co., Ltd. .................................. 16,000 142,621
Yasuda Trust & Banking Co., Ltd. ........................ 219,000 1,621,169
#Yodogawa Steel Works, Ltd. .............................. 38,000 302,834
Yokogawa Bridge Corp. ................................... 10,000 125,148
Yokogawa Electric Corp. ................................. 51,000 425,100
Yokohama Reito Co., Ltd. ................................ 7,000 84,298
Zexel Corp. ............................................. 16,000 104,841
------------------
TOTAL COMMON STOCKS (Cost $175,642,027) ................ 168,243,472
------------------
INVESTMENT IN CURRENCY -- (1.7%)
*Japanese Yen (Cost $7,668,841) .......................... 7,638,718
------------------
TOTAL -- JAPAN (Cost $183,310,868) ........................ 175,882,190
278
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
UNITED KINGDOM -- (19.6%)
COMMON STOCKS -- (19.4%)
ASDA Group P.L.C. ....................................... 877,000 $ 1,172,960
Abbey National P.L.C. ................................... 405,200 3,061,894
Anglian Water P.L.C. .................................... 89,600 758,139
Argyll Group P.L.C. ..................................... 353,474 1,868,596
Arjo Wiggins Appleton P.L.C. ............................ 118,700 501,240
Associated British Foods P.L.C. ......................... 141,100 1,429,096
Associated British Ports Holdings P.L.C. ............... 112,900 510,802
Bank of Scotland (Governor and Company of the) .......... 93,059 318,361
Barclays P.L.C. ......................................... 515,899 5,519,990
Bass P.L.C. ............................................. 275,000 2,545,159
Blenheim Group P.L.C. ................................... 26,200 106,477
Boddington Group P.L.C. ................................. 35,510 157,278
Britannic Assurance P.L.C. .............................. 10,800 96,526
British Aerospace P.L.C. ................................ 52,644 437,083
British Gas P.L.C. ...................................... 657,700 3,142,737
British Land Co. P.L.C. ................................. 113,640 748,675
British Petroleum Co. P.L.C. ............................ 868,904 6,117,573
British Steel P.L.C. .................................... 623,200 1,741,221
British Vita P.L.C. ..................................... 21,500 91,130
Brixton Estate P.L.C. ................................... 64,600 196,901
Bryant Group P.L.C. ..................................... 81,000 165,878
Burton Group P.L.C. ..................................... 415,200 576,739
Camas P.L.C. ............................................ 37,100 41,816
Charter P.L.C. .......................................... 23,600 333,064
Commercial Union P.L.C. ................................. 206,240 2,006,999
Courtaulds Textiles P.L.C. .............................. 10,200 81,286
English China Clays P.L.C. .............................. 95,900 583,084
First Leisure Corp. P.L.C. .............................. 16,900 80,486
Fisons P.L.C. ........................................... 92,200 259,070
Forte P.L.C. ............................................ 291,512 1,069,011
General Accident P.L.C. ................................. 139,900 1,374,745
Great Portland Estates P.L.C. ........................... 96,275 287,333
Great Universal Stores P.L.C. ........................... 310,600 3,022,565
Greenalls Group P.L.C. .................................. 62,400 470,535
Guardian Royal Exchange P.L.C. .......................... 264,300 851,740
Hambros P.L.C. .......................................... 69,600 224,295
Hillsdown Holdings P.L.C. ............................... 98,361 287,312
ICI (Imperial Chemical Industries P.L.C.) .............. 227,400 2,855,490
Invesco P.L.C. .......................................... 25,700 84,453
Ladbroke Group P.L.C. ................................... 359,284 1,043,765
Laird Group P.L.C. ...................................... 12,600 72,409
Lasmo P.L.C. ............................................ 292,735 762,136
Lex Service P.L.C. ...................................... 26,900 142,631
Lonrho P.L.C. ........................................... 243,133 582,820
Lucas Industries P.L.C. ................................. 107,863 325,342
MFI Furniture Group P.L.C. .............................. 175,300 353,427
Manweb P.L.C. ........................................... 34,900 373,975
Marley P.L.C. ........................................... 23,058 44,292
Mersey Docks & Harbour Co. P.L.C. ...................... 26,590 182,776
Meyer International P.L.C. .............................. 37,000 190,310
Mirror Group P.L.C. ..................................... 122,000 267,272
National Westminster Bank P.L.C. ........................ 545,233 4,661,026
North West Water Group P.L.C. ........................... 113,362 1,052,779
Northumbrian Water Group P.L.C. ......................... 20,507 299,179
Ocean Group P.L.C. ...................................... 43,600 227,025
Peel Holdings P.L.C. .................................... 32,500 137,755
279
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THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Pilkington P.L.C. ....................................... 246,424 $ 719,805
Racal Electronics P.L.C. ................................ 86,100 369,046
Rolls-Royce P.L.C. ...................................... 255,655 758,944
Royal Bank of Scotland Group P.L.C. .................... 64,756 416,341
Royal Insurance Holdings P.L.C. ......................... 190,673 1,007,969
Scottish & Newcastle P.L.C. ............................. 31,700 268,729
Sears P.L.C. ............................................ 458,500 797,016
Seeboard P.L.C. ......................................... 76,500 455,414
Severn Trent P.L.C. ..................................... 110,915 1,010,685
Shell Transport & Trading Co. P.L.C. ................... 972,100 11,913,572
Slough Estates P.L.C. ................................... 136,600 507,435
South West Water P.L.C. ................................. 39,479 338,434
South Western Electricity P.L.C. ........................ 35,400 380,457
Southern Water P.L.C. ................................... 50,494 507,408
Stakis P.L.C. ........................................... 133,000 185,801
Sun Alliance Group P.L.C. ............................... 254,640 1,414,844
T & N P.L.C. ............................................ 155,000 410,924
TSB Group P.L.C. ........................................ 116,400 467,506
Tarmac P.L.C. ........................................... 269,670 518,002
Tate & Lyle P.L.C. ...................................... 55,388 396,557
Taylor Woodrow P.L.C. ................................... 110,865 205,918
Telegraph P.L.C. ........................................ 10,900 69,042
Tesco P.L.C. ............................................ 640,743 2,985,422
Thames Water P.L.C. ..................................... 122,585 992,479
*Tiphook P.L.C. .......................................... 5,500 4,016
Trafalgar House P.L.C. .................................. 73,440 57,127
Transport Development Group P.L.C. ..................... 49,200 182,766
Unigate P.L.C. .......................................... 69,500 429,189
United Biscuits Holdings P.L.C. ......................... 162,616 841,578
Vaux Group P.L.C. ....................................... 44,000 171,133
Vickers P.L.C. .......................................... 16,000 52,070
WPP Group P.L.C. ........................................ 206,900 403,998
Warburg (S.G.) Group P.L.C. ............................. 50,000 583,406
Welsh Water P.L.C. ...................................... 43,500 445,413
Wessex Water P.L.C. ..................................... 84,996 415,588
Whitbread P.L.C. ........................................ 122,600 1,152,194
Wilson Bowden P.L.C. .................................... 27,000 151,733
Wimpey (George) P.L.C. .................................. 116,550 242,380
Wolverhampton & Dudley Breweries P.L.C. ................ 22,800 191,834
Yorkshire Water P.L.C. .................................. 59,691 567,609
------------------
TOTAL COMMON STOCKS (Cost $77,584,331) ................. 88,886,442
------------------
INVESTMENT IN CURRENCY -- (0.2%)
*British Pound Sterling (Cost $720,860) .................. 724,178
------------------
RIGHTS/WARRANTS -- (0.0%)
*Scottish & Newcastle P.L.C. Rights (Cost $0) ............ 4,528 2,480
------------------
TOTAL -- UNITED KINGDOM (Cost $78,305,191) ................ 89,613,100
------------------
FRANCE -- (8.3%)
COMMON STOCKS -- (7.5%)
Accor SA ................................................ 5,300 682,009
#Alcatel Alsthom Cie Generale d'Electricite SA .......... 31,400 2,861,339
Au Bon Marche SA ........................................ 2,500 435,155
#Axa SA .................................................. 34,400 1,823,380
280
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THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Cap Gemini Sogeti SA .................................... 5,850 $ 205,305
Carnaudmetalbox SA ...................................... 17,100 749,806
Chargeurs SA ............................................ 1,500 313,130
Christian Dior SA ....................................... 9,700 913,655
Ciments Vicat ........................................... 800 91,650
*Club Mediterranee SA .................................... 2,000 205,728
Credit Commercial de France ............................. 12,877 586,971
Credit Foncier de France ................................ 2,400 303,994
Credit National ......................................... 2,500 207,997
*Credit National Em 95 ................................... 75 5,918
Dassault Aviation SA .................................... 2,500 230,436
ECIA (Equipements et Composants pour l'Industrie
Automobile) .............................................. 1,100 166,620
Elf Aquitaine SA ........................................ 57,791 4,676,432
Eridania Beghin-Say SA .................................. 5,400 821,218
Financiere de Paribas SA Series A ....................... 24,844 1,594,466
Hutchinson SA ........................................... 22 6,660
Imetal .................................................. 1,219 138,914
LVMH (Louis Vuitton Moet Hennessy) ..................... 900 171,178
Labinal SA .............................................. 1,000 169,827
Navigation Mixte SA ..................................... 3,286 648,849
Pechiney International SA ............................... 16,950 432,468
*Peugeot SA .............................................. 10,750 1,632,664
Poliet SA ............................................... 5,222 496,079
Rhone-Poulenc SA Series A ............................... 26,800 643,243
Saint Louis (SLB) ....................................... 1,700 520,149
Saint-Gobain ............................................ 8,650 1,074,708
Schneider SA ............................................ 12,880 987,172
*Societe Centrale d'Investissements ...................... 100 27,834
*Societe Centrale des Assurances Generales de France SA . 29,800 1,060,851
#Societe Generale Paris .................................. 17,901 2,086,885
Sommer-Allibert SA ...................................... 300 114,966
Sophia SA ............................................... 400 37,088
Sovac SA ................................................ 2,500 203,711
Suez SA ................................................. 33,300 1,685,149
*Thomson CSF ............................................. 24,100 661,073
Total SA Series B ....................................... 48,650 3,031,058
#UAP SA .................................................. 64,300 1,797,495
------------------
TOTAL COMMON STOCKS (Cost $33,078,394) ................. 34,503,230
------------------
INVESTMENT IN CURRENCY -- (0.8%)
*French Francs (Cost $3,465,310) ......................... 3,486,116
------------------
RIGHTS/WARRANTS -- (0.0%)
*Chargeurs SA Rights 06/21/95 ............................ 1,500 30,647
*Sophia SA Warrants 03/31/99 ............................. 400 500
------------------
TOTAL RIGHTS/WARRANTS (Cost $0) ........................ 31,147
------------------
TOTAL -- FRANCE (Cost $36,543,704) ........................ 38,020,493
------------------
GERMANY -- (7.9%)
COMMON STOCKS -- (7.8%)
AGIV AG fuer Industrie & Verkehrswesen ................. 750 240,787
BASF AG ................................................. 11,450 2,454,731
#BHF Bank ................................................ 1,650 441,442
#BMW (Bayerische Motorenwerke AG), Muenchen .............. 2,086 1,125,790
Badenwerk AG ............................................ 950 337,987
Bankgesellschaft Berlin AG .............................. 2,600 664,833
281
<PAGE>
</TABLE>
<TABLE>
<CAPTION>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
<S> <C> <C>
Bayer AG ................................................ 13,550 $ 3,277,544
#Bayerische Hypotheken und Wechselbank AG ............... 4,600 1,229,709
Bayerische Hypotheken und Wechselbank AG Em 94 .......... 70 18,753
#Bayerische Vereinsbank AG ............................... 4,765 1,386,274
Berliner Kraft & Licht Bewag AG Series A ............... 1,550 334,497
*Bremer Vukan Verbund AG ................................. 2,750 156,308
CKAG Colonia Konzern AG ................................. 200 157,335
*CKAG Colonia Konzern AG Em 95 ........................... 15 11,481
#Commerzbank AG .......................................... 4,125 976,435
DBV Holding AG .......................................... 800 309,001
Daimler-Benz AG ......................................... 1,100 533,629
Deutsche Bank AG ........................................ 1,000 490,432
Deutsche Hypothekenbank Frankfurt AG ................... 300 184,975
*Deutsche Lufthansa AG ................................... 6,850 922,395
Deutsche Pfandbrief und Hypothekenbank AG .............. 550 268,958
#Dresdner Bank AG, Frankfurt ............................. 8,850 2,471,226
Hoechst AG .............................................. 11,500 2,488,270
Karstadt AG ............................................. 1,750 713,147
Koelnische Rueckversicherungs-Gesellschaft AG ........... 200 115,521
*Koelnische Rueckversicherungs-Gesellschaft AG Em 95 ..... 100 56,538
Linde AG ................................................ 100 58,824
#Man AG, Muenchen ........................................ 2,950 786,736
Mannesmann AG ........................................... 2,756 808,244
*Metallgesellschaft AG, Frankfurt ........................ 17,640 286,291
*PWA (Papierwerke Waldhof-Aschaffenburg AG) ............ 300 52,303
Preussag AG ............................................. 3,050 907,867
Ruetgerswerke AG ........................................ 467 89,693
#Siemens AG .............................................. 10,950 5,215,025
Thuega AG ............................................... 500 176,471
*Thuega AG Em94 .......................................... 57 19,391
*Thyssen AG .............................................. 2,450 463,260
*Thyssen Industrie AG, Essen ............................. 1,950 212,136
#Veba AG ................................................. 9,650 3,674,660
Vereins & Westbank AG ................................... 807 188,167
#Volkswagen AG ........................................... 5,350 1,507,176
------------------
TOTAL COMMON STOCKS (Cost $30,718,996) ................. 35,814,242
------------------
INVESTMENT IN CURRENCY -- (0.1%)
*German Marks (Cost $295,346) ............................ 303,036
------------------
RIGHTS/WARRANTS -- (0.0%)
*Deutsche Pfandbrief und Hypothekenbank AG Rights
06/08/95 ................................................. 550 11,499
*Metallgesellschaft AG, Frankfurt Rights 06/02/95 ........ 8 9
*Vereins & Westbank AG Rights 06/01/95 ................... 807 0
------------------
TOTAL RIGHTS/WARRANTS (Cost $0) ........................ 11,508
------------------
TOTAL -- GERMANY (Cost $31,014,342) ....................... 36,128,786
------------------
282
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
SWITZERLAND -- (5.9%)
COMMON STOCKS -- (5.9%)
BBC Brown Boveri AG, Baden .............................. 1,680 $ 1,716,757
Baer Holding AG, Zuerich ................................ 425 499,571
Baloise Holding, Basel .................................. 495 1,061,776
Banque Cantonale Vaudoise ............................... 500 253,110
Bobst SA, Prilly ........................................ 255 369,755
Ciba-Geigy SA, Basel .................................... 100 71,214
Ciba-Geigy SA, Basel (Namen) ............................ 13,700 9,732,819
Fischer (Georg) AG, Schaffhausen ........................ 275 340,948
Forbo Holding AG, Eglisau ............................... 680 347,147
Intershop Holding AG, Zuerich ........................... 850 437,580
Landis & Gyr AG, Zug .................................... 900 538,996
*Oerlikon-Buehrle Holding AG, Zuerich ................... 6,000 514,801
Pargesa Holding SA, Geneve .............................. 735 889,189
Rieter Holding AG, Winterthur ........................... 225 308,880
SBV (Schweizerischer Bankverein) ........................ 17,750 6,350,708
SBV (Schweizerischer Bankverein) (Namen) ............... 500 89,447
SIG (Schweizerische Industrie Gesellschaft Holding AG),
Neuhausen am Rheinfall .................................. 160 359,674
Sandoz AG, Basel ........................................ 1,400 958,559
*Saurer AG, Arbon ........................................ 400 134,535
Schindler Holding AG, Hergiswil ......................... 10 57,486
*Societe International Pirelli SA, Basel ................ 2,600 345,773
Sulzer AG, Winterthur ................................... 1,475 949,163
Sulzer AG, Winterthur (Participating) .................. 175 109,610
*Swissair Schweizerische Luftverkehr AG, Zuerich ........ 900 579,151
------------------
TOTAL COMMON STOCKS (Cost $23,639,076) ................. 27,016,649
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $105,892) ............................ 109,554
------------------
RIGHTS/WARRANTS -- (0.0%)
*Baloise Holding, Basel Warrants 08/30/95 ............... 345 2,960
*Banque Court Vaudoise Rights 06/13/95 .................. 2,500 10,082
*Forbo Holding AG, Eglisau Warrants 11/01/95 ............ 140 435
------------------
TOTAL RIGHTS/WARRANTS (Cost $1,001) .................... 13,477
------------------
TOTAL -- SWITZERLAND (Cost $23,745,969) ................... 27,139,680
------------------
NETHERLANDS -- (4.7%)
COMMON STOCKS -- (4.6%)
#ABN Amro Holding NV ..................................... 68,253 2,580,796
Akzo Nobel NV ........................................... 2,900 352,988
DSM NV .................................................. 23,000 1,956,054
Fortis Amev NV .......................................... 49,358 2,687,148
Gist-Brocades NV ........................................ 7,400 179,678
Hollandsche Beton Groep NV .............................. 2,410 400,778
Internationale Nederlanden Groep NV .................... 170,664 9,248,122
*KLM Royal Dutch Airlines NV ............................. 32,400 1,014,101
283
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Nedlloyd Groep NV, Rotterdam ............................ 17,100 $ 614,151
Oce Van der Grinten NV, Venlo ........................... 12,300 659,526
Philips Electronics NV .................................. 22,900 912,235
Royal Dutch Petroleum Co., Den Haag .................... 400 50,027
Stad Rotterdam .......................................... 22,162 563,334
------------------
TOTAL COMMON STOCKS (Cost $17,333,406) ................. 21,218,938
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $101,248) ..................... 103,753
------------------
RIGHTS/WARRANTS -- (0.0%)
*ABN Amro Holding NV Rights 06/01/95 .................... 60,953 0
*Hollandsche Beton Groep NV Rights 06/16/95 ............. 2,410 0
*Internationale Nederlanden Groep NV Rights 06/09/95 ..... 22 0
*Stad Rotterdam Rights 08/31/95 .......................... 22,162 7,567
------------------
TOTAL RIGHTS/WARRANTS (Cost $0) ........................ 7,567
------------------
TOTAL -- NETHERLANDS (Cost $17,434,654) ................... 21,330,258
------------------
HONG KONG -- (3.9%)
COMMON STOCKS -- (3.9%)
Allied Properties (Hong Kong), Ltd. ..................... 1,778,000 243,814
#Amoy Properties, Ltd. ................................... 1,771,000 1,592,296
CDL Hotels International, Ltd. .......................... 1,189,710 581,003
Century City International Holdings, Ltd. .............. 1,191,600 358,405
Great Eagle Holdings, Ltd. .............................. 334,600 731,532
#HKR International, Ltd. ................................. 719,200 618,716
Hang Lung Development Co., Ltd. ......................... 961,000 1,554,010
#Hong Kong & Shanghai Hotels, Ltd. ...................... 845,000 1,125,938
Lai Sun Development Co., Ltd. ........................... 1,940,000 235,912
Lai Sun Garment (International), Ltd. .................. 114,000 122,405
New World Development Co., Ltd. ......................... 1,240,739 3,868,281
*Orient Telecom & Technology Holdings, Ltd. ............. 1,178,000 415,272
Paliburg International Holdings, Ltd. ................... 712,500 488,519
Realty Development Corp., Ltd. Series A ................ 98,000 240,880
#Regal Hotels International Holdings, Ltd. .............. 2,142,000 448,906
Semi-Tech (Global) Co., Ltd. ............................ 237,870 381,576
*Sino Hotels (Holdings), Ltd. ............................ 449,300 93,580
#Sino Land Co., Ltd. ..................................... 1,797,200 1,325,232
Stelux Holdings International, Ltd. ..................... 601,552 165,368
#Wharf Holdings, Ltd. .................................... 986,000 3,239,897
------------------
TOTAL COMMON STOCKS (Cost $20,606,674) ................. 17,831,542
------------------
284
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $185,897) ....................... $ 185,943
------------------
RIGHTS/WARRANTS -- (0.0%)
*Century City International Holdings, Ltd. Warrants
12/31/95 (Cost $0) ...................................... 3,760 44
------------------
TOTAL -- HONG KONG (Cost $20,792,571) ..................... 18,017,529
------------------
AUSTRALIA -- (3.1%)
COMMON STOCKS -- (3.1%)
Australia and New Zealand Banking Group, Ltd. .......... 335,271 1,206,644
Australian Gas Light Co. ................................ 60,874 188,414
Boral, Ltd. ............................................. 252,700 632,991
Brambles Industries, Ltd. ............................... 20,400 201,170
Burns, Philp & Co., Ltd. ................................ 135,029 299,358
CSR, Ltd. ............................................... 228,412 721,767
#Commonwealth Bank of Australia .......................... 140,116 924,848
Fosters Brewing Group, Ltd. ............................. 753,600 667,206
Goodman Fielder, Ltd. ................................... 350,313 307,631
Hardie (James) Industries, Ltd. ......................... 105,756 162,904
MIM Holdings, Ltd. ...................................... 370,232 479,689
#National Australia Bank, Ltd ............................ 305,704 2,609,751
News Corp., Ltd. ........................................ 549,590 2,919,500
North, Ltd. ............................................. 50,011 118,794
*Pasminco, Ltd. .......................................... 75,500 76,627
Pioneer International, Ltd. ............................. 190,000 447,213
QCT Resources, Ltd. ..................................... 119,785 117,261
Renison Goldfields Consolidated, Ltd. .................. 37,169 115,044
#Santos, Ltd. ............................................ 129,925 320,775
Southcorp Holdings, Ltd. ................................ 117,608 239,572
Westpac Banking Corp. ................................... 440,810 1,621,383
------------------
TOTAL COMMON STOCKS (Cost $13,716,098) ................. 14,378,542
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $41,771) ........................ 41,113
------------------
TOTAL -- AUSTRALIA (Cost $13,757,869) ..................... 14,419,655
------------------
ITALY -- (2.6%)
COMMON STOCKS -- (2.6%)
#Banca Commerciale Italiana SpA .......................... 933,000 2,160,752
*Banca Nazionale dell'Agricoltura SpA ................... 75,000 69,248
*Banca Toscana ........................................... 302,500 695,944
*#Banca di Roma ........................................... 1,278,000 1,195,611
*#Banco di Napoli ......................................... 160,000 107,547
*#CIR SpA (Cie Industriale Riunite), Torino .............. 885,000 724,115
#Credito Italiano ........................................ 1,770,000 2,031,201
*FERFIN (Ferruzzi Finanziaria SpA) ....................... 435 271
*Fiat SpA ................................................ 163,000 644,928
285
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Fidis SpA ............................................... 19,500 $ 46,948
*GAIC SpA ................................................ 61,000 18,600
*#Gemina SpA, Milano ...................................... 559,000 321,771
Italcementi Fabbriche Riunite Cemento SpA, Bergamo ..... 157,000 1,040,910
Italmobiliare SpA, Milano ............................... 14,330 264,446
*#Olivetti (Ing C & C) SpA, Ivrea ......................... 1,617,000 1,607,613
*#Pirelli SpA ............................................. 74,000 106,263
Stet SpA (Financiaria Telefonica Torino) ............... 59,000 170,348
Telecom Italiana SpA .................................... 183,500 482,157
Unipol SpA .............................................. 37,870 296,666
------------------
TOTAL COMMON STOCKS (Cost $11,829,173) ................. 11,985,339
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira (Cost $50,395) ............................. 52,728
------------------
TOTAL -- ITALY (Cost $11,879,568) ......................... 12,038,067
------------------
SPAIN -- (2.1%)
COMMON STOCKS -- (2.0%)
Asland SA ............................................... 17,900 278,250
Banco Central Hispanoamericano SA ...................... 69,600 1,590,208
*Banco Espanol de Credito SA ............................. 11,599 79,693
Dragados y Construcciones SA ............................ 23,000 353,774
Fabricacion de Automoviles Renault de Espana SA ........ 9,146 273,149
Fuerzas Electricas de Cataluna SA Series A ............. 88,700 505,203
Iberdrola SA ............................................ 385,700 2,684,636
Sevillana de Electricidad ............................... 125,100 709,461
Telefonica de Espana SA ................................. 155,800 2,053,178
Union Electrica Fenosa SA ............................... 122,200 540,452
Vallehermoso SA ......................................... 17,200 301,754
------------------
TOTAL COMMON STOCKS (Cost $8,585,006) .................. 9,369,758
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $28,470) ........................... 28,842
------------------
TOTAL -- SPAIN (Cost $8,613,476) .......................... 9,398,600
------------------
SWEDEN -- (2.0%)
COMMON STOCKS -- (2.0%)
#Avesta Sheffield AB Series B ............................ 51,500 502,868
Celsius Industrier AB Series B .......................... 2,400 35,234
#Electrolux AB Series B .................................. 8,900 412,031
Gullspangs Kraft AB Series B ............................ 6,200 72,817
Marieberg Tidnings AB Series A .......................... 7,400 157,651
#Mo Och Domsjoe AB Series B .............................. 8,800 465,688
NCC AB Series B ......................................... 31,000 245,545
SSAB Swedish Steel Series A ............................. 10,400 426,084
Skandinaviska Enskilda Banken Series A ................. 202,400 1,124,982
Stora Kopparbergs Bergslags AB Series A ................ 24,800 1,557,938
Svenka Cellulosa AB Series B ............................ 78,900 1,433,076
286
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
#Svenska Handelsbanken Series A .......................... 88,600 $1,300,716
Trelleborg AB Series B .................................. 14,400 169,123
#Trygg-Hansa AB Series B ................................. 28,200 296,538
Volvo AB Series B ....................................... 50,000 880,847
------------------
TOTAL COMMON STOCKS (Cost $8,687,445) .................. 9,081,138
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $40,146) ............................ 40,090
------------------
TOTAL -- SWEDEN (Cost $8,727,591) ......................... 9,121,228
------------------
SINGAPORE -- (1.9%)
COMMON STOCKS -- (1.9%)
Hotel Properties, Ltd. .................................. 333,000 641,812
Industrial & Commercial Bank, Ltd. ...................... 13,000 47,681
Marco Polo Developments, Ltd. ........................... 265,000 352,571
Natsteel, Ltd. .......................................... 38,000 81,165
Neptune Orient Lines, Ltd. .............................. 593,000 724,991
Shangri-La Hotel, Ltd. .................................. 123,000 486,516
Singapore Land, Ltd. .................................... 298,000 2,046,674
Straits Steamship Land, Ltd. ............................ 328,000 1,146,408
Straits Trading Co., Ltd. ............................... 243,000 622,136
United Industrial Corp., Ltd. ........................... 1,368,000 1,426,537
United Overseas Land, Ltd. .............................. 458,000 978,252
------------------
TOTAL COMMON STOCKS (Cost $7,353,328) .................. 8,554,743
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost $149) ........................... 151
------------------
TOTAL -- SINGAPORE (Cost $7,353,477) ...................... 8,554,894
------------------
BELGIUM -- (1.3%)
COMMON STOCKS -- (1.3%)
#Banque Bruxelles Lambert ................................ 4,900 781,062
Banque Bruxelles Lambert (Precompte Reduit) ............ 128 20,425
CMB (Cie Martime Belge) ................................. 2,300 187,868
Electrafina SA .......................................... 6,600 693,779
Generale de Banque SA ................................... 400 125,728
Gevaert Photo-Producten NV .............................. 6,600 361,675
Glaverbel SA ............................................ 900 130,122
Groupe Bruxelles Lambert SA, Bruxelles ................. 800 107,255
#Powerfin SA ............................................. 6,200 685,921
Societe Generale de Belgique SA ......................... 19,080 1,380,941
Sofina SA ............................................... 500 249,871
Solvay SA ............................................... 2,200 1,215,061
*Union Miniere SA ........................................ 600 41,255
------------------
TOTAL COMMON STOCKS (Cost $5,021,835) .................. 5,980,963
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs (Cost $21,731) ........................... 21,163
------------------
TOTAL -- BELGIUM (Cost $5,043,566) ........................ 6,002,126
------------------
</TABLE>
287
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
Face
Amount Value+
-------- --------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (1.7%)
Repurchase Agreement, PNC Securities Corp. 5.85%, 06/01/95
(Collateralized by U.S. Treasury Bills 5.57%, 08/03/95)
(Cost $7,555,000) ........................................................ $7,555 $ 7,555,000
--------------
TOTAL INVESTMENTS -- (103.4%) (Cost $454,077,846) ............................. 473,221,606
--------------
OTHER ASSETS AND LIABILITIES -- (-3.4%)
Other Assets ................................................................ 7,101,256
Payable for Investment Securities Purchased ................................. (22,066,502)
Other Liabilities ........................................................... (475,937)
--------------
(15,441,183)
--------------
NET ASSETS -- (100.0%) Applicable to 43,572,003 Outstanding $.01 Par Value
Shares
(Unlimited Number of Shares Authorized) ..................................... $457,780,423
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE ...................... $ 10.51
==============
</TABLE>
- - ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan.
See accompanying Notes to Financial Statements
288
<PAGE>
STATEMENT OF NET ASSETS
THE EMERGING MARKETS SERIES
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
MALAYSIA -- (14.5%)
COMMON STOCKS -- (13.5%)
AMMB Holdings Berhad ..................................... 9,000 $ 115,150
AMMB Holdings Berhad 7.5% Unsecured Loan Stock 1999 ...... 2,000 1,121
Amsteel Corp. Berhad ..................................... 15,000 20,715
Aokam Perdana Berhad ..................................... 10,000 27,011
Asiatic Development Berhad ............................... 17,000 19,610
Berjaya Leisure Berhad ................................... 10,000 8,530
Commerce Asset Holding Berhad ............................ 10,000 54,021
DCB Holdings Berhad ...................................... 7,000 21,040
Edaran Otomobil Nasional Berhad .......................... 8,000 69,537
Ekran Berhad ............................................. 4,000 12,754
Genting Berhad ........................................... 29,000 306,255
Golden Hope Plantations Berhad ........................... 38,000 70,382
Guiness Anchor Berhad .................................... 9,000 16,523
Highlands and Lowlands Berhad ............................ 25,000 46,914
Hong Leong Credit Berhad ................................. 15,000 77,376
Hong Leong Industries Berhad ............................. 2,000 12,266
Hume Industries (Malaysia) Berhad ........................ 6,000 34,362
Kamunting Corp. Berhad ................................... 11,000 9,159
Kedah Cement Holdings Berhad ............................. 7,000 9,610
Kuala Lumpur Kepong Berhad ............................... 20,000 63,769
Leader Universal Holdings Berhad ......................... 6,000 20,959
*Leader Universal Holdings Berhad Issue 94 ................ 4,000 13,647
*Lion Land Berhad ......................................... 1,000 1,182
*Magnum Corp. Berhad ...................................... 38,000 89,521
Malayan Banking Berhad ................................... 48,000 395,776
Malayan Cement Berhad .................................... 6,000 9,456
Malayan United Industries Berhad ......................... 25,000 43,867
Malaysia Mining Corp. Berhad ............................. 6,000 11,064
Malaysian Airlines System ................................ 25,000 89,866
Malaysian International Shipping Corp. (Foreign) ......... 23,666 75,939
Nestle (Malaysia) Berhad ................................. 8,000 62,063
New Straits Times Press (M) Berhad ....................... 3,000 9,139
Oriental Holdings Berhad ................................. 2,000 10,479
Perusahaan Otomobil Nasional Berhad ...................... 21,000 75,487
Public Bank Berhad (Foreign) ............................. 8,000 17,222
Resorts World Berhad ..................................... 48,000 313,891
Rothmans of Pall Mall Malaysia Berhad .................... 11,000 84,890
Shell Refining Co. Federation of Malaysia Berhad ......... 13,000 42,506
Sime Darby Berhad (Malaysia) ............................. 93,800 266,694
Sime UEP Properties Berhad ............................... 9,000 17,327
Tan Chong Motor Holdings Berhad .......................... 12,000 13,599
Telekom Malaysia Berhad .................................. 88,000 675,548
Tenaga Nasional Berhad ................................... 135,000 559,301
UMW Holdings Berhad ...................................... 6,800 18,367
United Engineers (Malaysia) Berhad ....................... 24,000 158,896
------------------
TOTAL COMMON STOCKS (Cost $3,812,090) ..................... 4,072,791
------------------
INVESTMENT IN CURRENCY -- (1.0%)
*Malaysian Ringetts (Cost $323,898) ....................... $ 324,278
------------------
TOTAL -- MALAYSIA (Cost $4,135,988) ....................... 4,397,069
------------------
289
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
------------------ ------------------
TURKEY -- (13.5%)
COMMON STOCKS -- (13.5%)
Akbank ................................................... 1,437,000 $ 401,023
*Akbank Issue 94 .......................................... 413,500 112,991
*Akcimento ................................................ 11,000 16,628
Aksa ..................................................... 158,800 162,493
Alarko Holding ........................................... 54,500 41,826
*Arcelik A.S. ............................................. 597,840 177,266
Aygaz .................................................... 128,000 78,884
*Bekoteknik Sanayi A.S. ................................... 50,000 12,209
Brisa Bridgestone Sanbanci Lastik San & Tic A.S. ......... 210,000 70,814
*CIMSA A.S. (Cimento Sanayi ve Ticaret) ................... 7,000 35,814
Cimentas A.S. ............................................ 33,000 24,558
*Cukurova Elektrik A.S. ................................... 119,000 40,820
*Dogan Sirketler Grubu Holdings AS ........................ 312,000 81,628
*Doktas ................................................... 17,000 6,029
*EGE Biracilik ve Malt Sanayii A.S. ....................... 142,800 179,330
Eczacibasi Ilac .......................................... 209,150 48,153
*Erciyas Biracilik ........................................ 73,400 112,660
Eregli Demir ve Celik Fabrikalari Turk A.S. .............. 1,518,000 218,874
Good Year Lastikleri A.S. ................................ 120,000 62,791
*Guney Biracilik .......................................... 58,000 28,326
*Hurriyet Gazette ......................................... 473,000 45,100
Izmir Demir Celik ........................................ 1,816,704 77,104
Koc Holding A.S. ......................................... 475,000 408,721
*Migros Turk A.S. ......................................... 17,000 57,326
Netas Northern Electric Telekomunikasyon A.S. ............ 296,000 104,977
Otosan Otomobil A.S. ..................................... 192,000 58,047
*Tat Konserve ............................................. 95,000 75,116
*Teletas .................................................. 25,000 7,849
*Tofas Turk Otomobil Fabrikasi A.S. ....................... 287,000 220,256
Trakya Cam Sanayii A.S. .................................. 254,840 43,856
*Trayka Cam Sanayii Issue 94 .............................. 254,840 39,708
Tuborg Bira ve Malt Sanayi A.S. .......................... 13,000 8,314
Turcas Petrolculuk A.S. .................................. 123,450 37,322
Turk Demir Dokum ......................................... 72,000 17,163
Turk Siemens Kablo ve Elektrik Sanayi A.S. ............... 60,000 18,140
Turk Sise Cam ............................................ 551,025 131,348
Turkiye Garanti Bankasi A.S. ............................. 958,000 245,070
Turkiye Is Bankasi A.S. Series C ......................... 624,000 118,995
*Turkiye Is Bankasi A.S. Series C Issue 95 ................ 1,747,200 320,981
*USAS (Ucak Servisi A.S.) ................................. 3,000 16,047
Yapi ve Kredi Bankasi A.S. ............................... 905,700 128,482
------------------
TOTAL -- TURKEY (Cost $2,688,661) ......................... 4,093,039
------------------
290
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
------------------ ------------------
INDONESIA -- (12.7%)
COMMON STOCKS -- (12.7%)
*PT Astra International (Foreign) ......................... 234,000 $ 420,485
PT Charoen Pokphand Indonesia (Foreign) .................. 22,000 43,733
*PT Dankos Laboratories (Foreign) ......................... 10,500 32,842
*PT Gadjah Tunggal (Foreign) .............................. 149,000 187,421
*PT Hadtex Indosyntec (Foreign) ........................... 37,000 22,855
*PT Hanjaya Mandala Sampoerna (Foreign) ................... 116,250 832,968
*PT Hero Supermarket (Foreign) ............................ 17,000 33,221
PT Indah Kiat Pulp & Paper Corp. (Foreign) ............... 266,700 371,415
*PT Indocement Tunggal Prakarsa ........................... 30,000 110,512
*PT Indocement Tunggal Prakarsa (Foreign) ................. 21,000 77,358
*PT Indorama Synthetics (Foreign) ......................... 38,250 111,262
*PT Inti Indorayon Utama (Foreign) ........................ 120,000 280,323
*PT Jakarta International Hotel and Development (Foreign) . 145,000 166,105
*PT Japfa Comfeed Indonesia ............................... 16,000 12,579
*PT Japfa Comfeed Indonesia (Foreign) ..................... 13,000 10,220
*PT Kabelmetal Indonesia (Foreign) ........................ 53,000 91,071
PT Kalbe Farma (Foreign) ................................. 56,000 237,107
PT Lippo Land Development ................................ 53,000 48,214
*PT Mayora Indah (Foreign) ................................ 48,120 191,853
*PT Modern Photo Film Co. (Foreign) ....................... 34,000 175,651
*PT Pakuwon Jati .......................................... 54,000 40,633
*PT Pakuwon Jati (Foreign) ................................ 102,000 76,752
PT Polysindo Eka Perkasa ................................. 56,000 30,189
PT Polysindo Eka Perkasa (Foreign) ....................... 84,000 45,283
*PT Semen Cibinong (Foreign) .............................. 33,000 103,774
*PT Summarecon Agung ...................................... 41,000 32,234
PT Tigaraksa Satria (Foreign) ............................ 4,000 11,860
PT Unggul Indah Corp. .................................... 15,400 13,319
PT Unggul Indah Corp. (Foreign) .......................... 39,600 34,245
------------------
TOTAL COMMON STOCKS (Cost $3,442,633) ................... 3,845,484
------------------
RIGHTS/WARRANTS -- (0.0%)
*PT Indorama Synthetics (Foreign) Rights 07/07/95 ......... 1,375 0
------------------
TOTAL -- INDONESIA (Cost $3,442,633) ...................... 3,845,484
------------------
PORTUGAL -- (12.3%)
COMMON STOCKS -- (11.1%)
BCP (Banco Comercial Portugues SA) ....................... 53,600 709,624
BIC (Banco Internacional de Credito) ..................... 2,700 40,917
BPI (Banco Portugues de Investimentos SA) ................ 16,900 309,493
Banco Totta & Acores SA .................................. 3,900 85,575
Corticeira Amorim Sociedad Gestora Participacoes Sociais
SA ....................................................... 5,600 88,441
EFACEC (Empresa Fabril de Maquinas Electricas) ........... 2,200 26,317
Filmes Lusomundo SA ...................................... 300 3,528
Jeronimo Martins (Estabelecimentos Jeronimo Martins &
Filho Administracao e Participacoes Financeiros SA) ...... 6,300 317,540
*Lusotur Sociedad Financeira de Turismo SA ................ 1,500 31,250
291
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
------------------ ------------------
Mague-Gestao e Participacoes SA .......................... 1,300 $ 35,733
Modelo Continente SGPS SA ................................ 4,600 426,613
Modelo Sociedade Gestora de Participacoes Sociais SGPS SA 6,800 234,892
Mota & Companhia SA Empreiteiros de Obras Publicas e
Construcao e Civil ....................................... 2,900 61,196
Radio Marconi SA (Cia Portuguesa) ........................ 6,000 250,000
Salvador Caetano Industrias Metalurgicas e Veiculos de
Transporte SA ............................................ 2,200 39,239
Sociedad Construcoes Soares da Costa SA .................. 3,930 77,834
Sonae Investimentos Sociedade Gestora de Participacoes
Sociais SA ............................................... 19,600 478,804
Uniceruniao Cervejeira SA ................................ 9,000 153,629
------------------
TOTAL COMMON STOCKS (Cost $3,318,916) ................... 3,370,625
------------------
INVESTMENT IN CURRENCY -- (1.2%)
*Portuguese Escudos (Cost $384,650) ....................... 375,557
------------------
TOTAL -- PORTUGAL (Cost $3,703,566) ....................... 3,746,182
------------------
THAILAND -- (11.6%)
COMMON STOCKS -- (11.5%)
Adkinson Securities Public Co., Ltd. (Foreign) ........... 2,100 5,805
Advanced Info Service Public Co., Ltd. ................... 8,000 124,228
Advanced Info Service Public Co., Ltd. (Foreign) ......... 11,400 173,780
Amarin Plaza Public Co., Ltd. (Foreign) .................. 7,400 8,724
Asia Credit Public Co., Ltd. (Foreign) ................... 2,500 19,207
Asia Securities Trading Public Co., Ltd. (Foreign) ....... 5,300 18,313
Ayudhya Insurance Public Co., Ltd. (Foreign) ............. 1,000 7,805
*Bangkok Bank of Commerce Public Co., Ltd. ................ 41,100 33,415
Bangkok Insurance Public Co., Ltd. (Foreign) ............. 1,400 26,179
Bangkok Land Public Co., Ltd. (Foreign) .................. 47,200 99,772
Bangkok Metropolitan Bank Public Co., Ltd. (Foreign) ..... 45,400 41,755
Bangkok Rubber Public Co., Ltd. (Foreign) ................ 14,600 14,837
Bank of Asia Public Co., Ltd. (Foreign) .................. 12,870 34,529
Bank of Ayudhya Public Co., Ltd. (Foreign) ............... 15,400 82,634
*Banpu Public Co., Ltd. ................................... 2,000 44,715
Banpu Public Co., Ltd. (Foreign) ......................... 1,800 39,951
*CMIC Finance and Securities Public Co., Ltd. ............. 7,000 26,037
CMIC Finance and Securities Public Co., Ltd. (Foreign) ... 6,300 24,073
Capital Nomura Securities Public Co., Ltd. (Foreign) ..... 3,000 8,902
292
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
------------------ ------------------
Charoen Pokphand Feedmill Public Co., Ltd. (Foreign) ..... 6,000 $ 42,683
Christiani and Nielson (Thai) Public Co., Ltd. (Foreign) . 4,000 12,195
Dhana Siam Finance and Securities Public Co., Ltd.
(Foreign) Rights ......................................... 8,000 44,878
Dusit Thani Public Co., Ltd. (Foreign) ................... 13,400 11,439
First Asia Securities Public Co., Ltd. (Foreign) ......... 2,600 13,951
First Bangkok City Bank Public Co., Ltd. ................. 66,000 61,037
First Bangkok City Bank Public Co., Ltd. (Foreign) ....... 69,100 51,965
First City Investment Public Co., Ltd. (Foreign) ......... 11,900 18,866
Five Stars Property Public Co., Ltd. (Foreign) ........... 3,800 13,285
*GSS Array Technology Public Co., Ltd. (Foreign) .......... 3,200 14,959
*General Finance and Securities Public Co., Ltd. .......... 5,400 26,122
General Finance and Securities Public Co., Ltd. (Foreign) 2,700 13,061
Hana Microelectronics Co., Ltd. (Foreign) ................ 1,000 4,878
*ITF Finance and Securities Public Co., Ltd. (Foreign) .... 10,700 16,963
International Broadcasting Corp. Public Co., Ltd.
(Foreign) ................................................ 2,900 12,967
International Engineering Public Co., Ltd. (Foreign) ..... 2,000 14,228
Juldis Develop Public Co., Ltd. (Foreign) ................ 1,000 4,106
Kiatnakin Finance and Securities Public Co., Ltd.
(Foreign) ................................................ 2,800 12,293
*Krisda Mahanakorn Public Co., Ltd. ....................... 11,000 26,382
Krung Thai Bank Public Co., Ltd. ......................... 22,600 81,305
Krung Thai Bank Public Co., Ltd. (Foreign) ............... 90,970 323,572
Land and House Public Co., Ltd. (Foreign) ................ 1,000 20,163
MK Real Estate Development Public Co., Ltd. (Foreign) .... 2,600 8,772
Mutual Fund Public Co., Ltd. (Foreign) ................... 500 12,439
NTS Steel Group Public Co., Ltd. (Foreign) ............... 8,500 17,190
Nakornthon Bank Public Co., Ltd. ......................... 9,000 26,707
Nakornthon Bank Public Co., Ltd. (Foreign) ............... 3,400 10,089
National Finance and Securities Public Co., Ltd. ......... 3,000 14,512
National Finance and Securities Public Co., Ltd. (Foreign) 3,000 14,756
*Natural Park Public Co., Ltd. ............................ 5,000 28,455
*Natural Park Public Co., Ltd. (Foreign) .................. 5,000 28,455
*Nava Finance and Securities Public Co., Ltd. ............. 5,000 16,565
Nava Finance and Securities Public Co., Ltd. (Foreign) ... 13,900 45,203
*Padaeng Industry Public Co., Ltd (Foreign) ............... 5,200 7,398
293
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
------------------ ------------------
Phatra Thanakit Public Co., Ltd. (Foreign) ............... 10,000 $ 86,179
*Phoenix Pulp and Paper Public Co., Ltd. .................. 8,200 44,333
Poonipat Finance and Securities Public Co., Ltd. (Foreign) 1,900 16,374
Power P (Foreign) ........................................ 1,600 7,154
Premier Enterprises Public Co., Ltd. (Foreign) ........... 6,000 13,049
Property Perfect Public Co., Ltd. (Foreign) .............. 1,300 12,207
*Quality Houses Public Co., Ltd. .......................... 7,000 30,163
Quality Houses Public Co., Ltd. (Foreign) ................ 5,000 17,886
Robinson Department Store Public Co., Ltd. (Foreign) ..... 24,700 53,215
Saha-Union Public Co. Ltd. (Foreign) ..................... 12,000 19,756
*Securities One Public Co., Ltd. .......................... 6,000 55,610
Securities One Public Co., Ltd. (Foreign) ................ 1,500 13,902
Serm Suk Public Co., Ltd. (Foreign) ...................... 1,000 11,382
*Shinawatra Computer and Communications Public Co., Ltd. .. 3,000 80,000
Shinawatra Computer and Communications Public Co., Ltd.
(Foreign) ................................................ 7,500 201,220
Siam Cement Public Co., Ltd. (Foreign) ................... 2,000 128,618
Siam City Bank Public Co., Ltd. (Foreign) ................ 64,000 81,301
*Siam City Cement Public Co., Ltd. ........................ 3,000 51,707
Siam City Cement Public Co., Ltd. (Foreign) .............. 6,200 108,374
Siam Commercial Bank Public Co., Ltd. (Foreign) .......... 5,000 52,439
Siam Pulp & Paper Co., Ltd. (Foreign) .................... 4,500 15,274
Sino-Thai Engineering and Construction Public Co., Ltd.
(Foregin) ................................................ 900 10,683
Somprasong Land Public Co., Ltd. (Foreign) ............... 5,400 14,049
Srithai Superware Public Co., Ltd. (Foreign) ............. 1,400 10,870
TPI Polene Public Co., Ltd. .............................. 8,000 53,659
TPI Polene Public Co., Ltd. (Foreign) .................... 10,275 68,919
Tanayong Public Co., Ltd. (Foreign) ...................... 11,000 23,028
Thai German Ceramic Industry Public Co., Ltd. (Foreign) .. 3,000 8,720
Thai Glass Industries Public Co., Ltd. (Foreign) ......... 3,000 14,024
Thai Military Bank Public Co., Ltd. (Foreign) ............ 19,200 76,488
Thai Plastic and Chemicals Public Co., Ltd. (Foreign) .... 6,000 48,537
Tipco Asphalt Public Co., Ltd. (Foreign) ................. 6,200 25,455
*Tuntex (Thailand) Public Co., Ltd. (Foreign) ............. 11,428 33,680
Union Asia Finance Public Co., Ltd. ...................... 1,400 7,797
Union Asia Finance Public Co., Ltd. (Foreign) ............ 3,000 16,707
294
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
------------------ ------------------
Wattachak Public Co., Ltd. ............................... 16,000 $ 32,520
*Wattachak Public Co., Ltd. (Foreign) ..................... 8,300 16,871
------------------
TOTAL COMMON STOCKS (Cost $3,285,080) ................... 3,468,650
------------------
INVESTMENT IN CURRENCY -- (0.1%)
*Thailand Baht (Cost $17,679) ............................. 17,720
------------------
RIGHTS/WARRANTS -- (0.0%)
*Bangkok Metropolitan Bank Public Co., Ltd. (Foreign)
Rights 06/16/95 .......................................... 7,566 0
*CMIC Finance and Securities Public Co., Ltd. (Foreign)
Rights ................................................... 2,100 0
*Kiatnakin Finance and Securities Public Co., Ltd.
(Foreign) Rights ......................................... 2,800 0
*Kiatnakin Finance and Securities Public Co., Ltd. Warrants
03/30/00 ................................................. 70 0
------------------
TOTAL RIGHTS/WARRANTS (Cost $0) ......................... 0
------------------
TOTAL -- THAILAND (Cost $3,302,759) ....................... 3,486,370
------------------
BRAZIL -- (11.1%)
COMMON STOCKS -- (2.8%)
Belgo Mineira ............................................ 730,000 72,702
*Brahma Cia Cervej ........................................ 19,482 6,220
Lojas Americanas SA ...................................... 6,220,000 137,307
Mannesmann SA ............................................ 149,000 42,759
Souza Cruz Industria e Comercio .......................... 20,000 131,347
Telecomunicacoes Brasileiras SA .......................... 13,450,000 417,158
VSMA (Cia Vidraria Santa Marina) ......................... 10,000 40,287
------------------
TOTAL COMMON STOCKS (Cost $790,640) ..................... 847,780
------------------
PREFERRED STOCK -- (8.3%)
Aracruz Celulose SA Series B ............................. 79,999 181,013
Banco Bradesco SA ........................................ 31,559,888 271,708
Banco Itau SA ............................................ 710,000 198,267
*Banco do Brasil SA ....................................... 11,920,000 140,777
Brasmotor SA ............................................. 410,000 89,150
COFAP (Cia Fabricadora De Pecas) ......................... 5,100,000 48,692
Cervejaria Brahma ........................................ 1,130,000 365,442
Duratex SA ............................................... 980,000 54,095
Embraco SA ............................................... 130,000 10,044
Ericsson Telecomunicacoes SA ............................. 6,500,000 34,078
IKPC Industrias Klabin de Papel e Celulose SA ............ 29,500 39,724
Investimentos Itau SA .................................... 530,000 292,494
Multibras Eletrodomesticos SA ............................ 59,000 42,785
*Paranapanema SA .......................................... 2,120,000 33,602
Sadia Concordia SA ....................................... 70,000 71,082
Telecomunicacoes Brasileiras SA .......................... 137,922 4,811
USIMINAS (Usinas Siderurgicas de Minas Gerais SA) ........ 121,390,000 133,985
Vale do Rio Doce ......................................... 2,830,000 427,967
*White Martins SA ......................................... 66,000,000 57,550
------------------
TOTAL PREFERRED STOCK (Cost $2,245,195) ................. 2,497,266
------------------
TOTAL -- BRAZIL (Cost $3,035,835) ......................... 3,345,046
------------------
295
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
------------------ ------------------
ARGENTINA -- (10.8%)
COMMON STOCKS -- (10.8%)
*Acindar Industria Argentina de Aceros SA Series A ........ 12,000 $ 7,321
*Alpargatas SA Industrial y Comercial ..................... 23,000 10,696
Astra Cia Argentina de Petroleos SA ...................... 124,840 196,018
Bagley y Cia, Ltd. SA Series B ........................... 17,900 40,279
Banco Frances del Rio de la Plata SA ..................... 25,000 165,017
Banco de Galicia y Buenos Aires SA Series A .............. 40,250 165,847
*Buenos Aires Embotelladora SA Series B ................... 100 149,015
*CIADEA SA ................................................ 13,000 65,657
*Celulosa Argentina SA Series B ........................... 22,000 6,755
*Corcemar Corporacion Cementera Argentina SA Series B ..... 4,078 19,454
*Indupa SA Industrial y Comercial ......................... 129,000 62,571
*Industrias Petroq Koppers ................................ 18,000 84,248
*Irsa Inversiones y Representaciones SA ................... 22,000 52,805
Juan Minetti SA .......................................... 10,200 39,447
Ledesma SA ............................................... 42,000 46,625
Molinos Rio de la Plata SA Series B ...................... 13,447 75,311
Naviera Perez Companc SA Series A ........................ 22,420 95,967
Naviera Perez Companc SA Series B ........................ 23,600 101,254
Nobleza-Piccardo Sdad Industrial Comercial y Financiera
Pica ..................................................... 15,542 63,340
*Sevel Argentina SA Series C .............................. 20,034 35,824
Siderca SA Series A ...................................... 203,000 146,784
*Sociedad Comercial del Plata ............................. 34,000 82,628
Telecom Argentina Stet-France SA Series B ................ 87,000 432,433
Telefonica de Argentina SA Series B ...................... 204,000 550,855
YPF Sociedad Anonima Yacimientos Petroliferos Fiscales
Series D ................................................. 29,000 569,907
------------------
TOTAL -- ARGENTINA (Cost $3,598,496) ...................... 3,266,058
------------------
MEXICO -- (10.6%)
COMMON STOCKS -- (10.6%)
*Apasco S.A. de C.V. ...................................... 8,000 27,384
CEMEX (Cementos de Mexico S.A. de C.V.) Series B ......... 100,000 324,368
*COMERCI (Controladora Comercial Mexicana S.A. de C.V.)
Series B ................................................. 75,000 46,210
Cifra S.A. de C.V. Series C .............................. 290,000 359,251
El Puerto de Liverpool S.A. Series C1 .................... 80,000 46,683
Empresas ICA Sociedad Controladora S.A. de C.V. .......... 11,000 78,712
*Empresas la Moderna S.A. de C.V. Series A ................ 38,000 118,924
Fomento Economico Mexicano S.A. de C.V. Series B ......... 58,000 135,192
*Grupo Carso S.A. de C.V. Series A-1 ...................... 78,000 364,254
Grupo Financiero Banamex Accival S.A. de C.V. Series B ... 105,000 157,457
*Grupo Financiero Bancomer S.A. de C.V. Series B .......... 210,380 45,608
*Grupo Financiero Bancomer S.A. de C.V. Series L .......... 7,791 1,651
*Grupo Financiero GBM Atlantico S.A. de C.V. Series B ..... 20,000 26,732
*Grupo Financiero GBM Atlantico S.A. de C.V. Series C ..... 10,000 18,582
</TABLE>
296
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- --------------
<S> <C> <C>
Grupo Financiero Invermexico S.A. de C.V. Series B .............................. 25,000 $ 9,780
*Grupo Financiero Invermexico S.A. de C.V. Series L .............................. 500 196
*Grupo Financiero Serfin S.A. de C.V. Series B ................................... 10,000 6,471
*Grupo Gigante S.A. Series B ..................................................... 30,000 5,575
*Grupo Industrial Alfa S.A. Series A ............................................. 15,000 170,171
Grupo Industrial Bimbo S.A. de C.V. Series A .................................... 30,000 105,623
Grupo Televisa S.A. (Certificate Representing Series A, Series D, + Series L) ... 20,000 160,391
Kimberly Clark de Mexico S.A. de C.V. Series A .................................. 17,000 177,620
*Telefonos de Mexico S.A. Series A ............................................... 50,000 70,579
Telefonos de Mexico S.A. Series L ............................................... 384,000 540,792
Tolmex S.A. de C.V. Series B-2 .................................................. 16,000 59,984
Vitro S.A. ...................................................................... 51,600 145,506
--------------
TOTAL -- MEXICO (Cost $4,499,282) ................................................ 3,203,696
--------------
Face
Amount
---------
(000)
TEMPORARY CASH INVESTMENTS -- (7.0%)
Repurchase Agreement, Chase Manhattan Bank, N.A. 5.80%, 06/01/95 (Collateralized
by U.S. Treasury Notes 9.25%, 01/15/96) (Cost $2,122,000) ...................... $ 2,122 2,122,000
--------------
TOTAL INVESTMENTS -- (104.1%) (Cost $30,529,220) ................................. 31,504,944
--------------
OTHER ASSETS AND LIABILITIES -- (-4.1%)
Other Assets ..................................................................... 748,164
Payable for Investment Securities Purchased ...................................... (1,925,586)
Other Liabilities ................................................................ (76,758)
--------------
(1,254,180)
--------------
NET ASSETS -- (100.0%) ........................................................... $30,250,764
==============
</TABLE>
- - ------
+See Note B to Financial Statements.
* Non-Income Producing Securities
See accompanying Notes to Financial Statements
297
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1995 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The U.S. The U.S. The U.S. The U.S.
6-10 Small Large Small Cap Large Cap
Company Company Value Value
Series Series Series Series
------------ ---------- ----------- -----------
<S> <C> <C> <C> <C>
Investment Income
Dividends .................................... $ 1,065 $ 844 $ 3,059 $ 3,644
Interest ..................................... 143 24 374 216
------------ ---------- ----------- -----------
Total Investment Income ................... 1,208 868 3,433 3,860
------------ ---------- ----------- -----------
Expenses
Investment Advisory Services ................. 25 8 403 124
Accounting & Transfer Agent Fees ............. 70 38 168 103
Custodian's Fee .............................. 16 18 37 23
Legal Fees ................................... 5 2 5 3
Audit Fees ................................... 3 1 5 4
Shareholders' Reports ........................ 4 2 5 4
Trustees' Fees and Expenses .................. 2 1 2 1
Other ........................................ 9 1 10 6
------------ ---------- ----------- -----------
Total Expenses ............................ 134 71 635 268
Less: Expenses Reimbursed .................... -- (63) -- --
------------ ---------- ----------- -----------
Net Expenses ................................. 134 8 635 268
------------ ---------- ----------- -----------
Net Investment Income ........................ 1,074 860 2,798 3,592
------------ ---------- ----------- -----------
Net Realized and Unrealized Gain (Loss) on
Investments
Net Realized Gain on Investment Securities ..... 3,632 3 3,944 4,997
Change in Unrealized Appreciation (Depreciation)
of Investment Securities ..................... 16,368 10,371 47,341 40,700
------------ ---------- ----------- -----------
Net Gain on Investment Securities ............ 20,000 10,374 51,285 45,697
------------ ---------- ----------- -----------
Net Increase in Net Assets Resulting from
Operations ................................... $21,074 $11,234 $54,083 $49,289
============ ========== =========== ===========
</TABLE>
See accompanying Notes to Financial Statements
298
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1995 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA The DFA The
One-Year International Emerging
Fixed Income Value Markets
Series Series Series
-------------- --------------- ----------
<S> <C> <C> <C>
Investment Income
Dividends, (Net of Foreign Taxes Withheld of $0,
$656 and $22, respectively) ................... -- $ 5,781 $267
Interest ......................................... $18,835 269 73
Income from Securities Lending ................... -- 90 --
-------------- --------------- ----------
Total Investment Income ....................... 18,835 6,140 340
-------------- --------------- ----------
Expenses
Investment Advisory Services ..................... 150 393 10
Accounting & Transfer Agent Fees ................. 82 213 31
Custodian's Fee .................................. 37 171 48
Legal Fees ....................................... 5 8 5
Audit Fees ....................................... 7 9 11
Shareholders' Reports ............................ 5 7 3
Directors' Fees and Expenses ..................... 2 3 2
Other ............................................ 11 71 9
-------------- --------------- ----------
Total Expenses ................................ 299 875 119
-------------- --------------- ----------
Net Investment Income ............................ 18,536 5,265 221
-------------- --------------- ----------
Net Realized and Unrealized Gain (Loss) on
Investments and Foreign Currency
Net Realized Gain (Loss) on Investment Securities .. (763) (183) 106
Net Realized Loss on Foreign Currency Transactions . -- (92) (18)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ....... 9,541 15,264 522
Translation of Foreign Currency Denominated
Amounts ....................................... -- 53 3
-------------- --------------- ----------
Net Gain on Investment Securities and Foreign
Currency ...................................... 8,778 15,042 613
-------------- --------------- ----------
Net Increase in Net Assets Resulting from Operations $27,314 $20,307 $834
============== =============== ==========
</TABLE>
See accompanying Notes to Financial Statements
299
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The U.S. 6-10 Small The U.S. Large
Company Series Company Series
------------------------------ ------------------------------
Six Months Year Ended Six Months Year Ended
Ended Nov. 30, Ended Nov. 30,
May 31, 1995 1994 May 31, 1995 1994
-------------- ------------ -------------- ------------
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income .................... $ 1,074 $ 1,709 $ 860 $ 1,224
Net Realized Gain (Loss) on Investment
Securities ............................ 3,632 10,407 3 (43)
Change in Unrealized Appreciation
(Depreciation) of Investment Securities 16,368 (10,836) 10,371 (687)
-------------- ------------ -------------- ------------
Net Increase in Net Assets Resulting from
Operations ............................ 21,074 1,280 11,234 494
-------------- ------------ -------------- ------------
Distributions From:
Net Investment Income .................... (195) (1,700) (408) (1,252)
Net Realized Gain ........................ (8,273) (12,200) (169) (33)
-------------- ------------ -------------- ------------
Total Distributions ................... (8,468) (13,900) (577) (1,285)
-------------- ------------ -------------- ------------
Capital Share Transactions (1):
Shares Issued ............................ 29,861 30,430 18,757 16,588
Shares Issued in Lieu of Cash
Distributions ......................... 8,231 12,416 529 1,173
Shares Redeemed .......................... (4,117) (48,521) (782) (6,166)
-------------- ------------ -------------- ------------
Net Increase (Decrease) From Capital
Share Transactions .................. 33,975 (5,675) 18,504 11,595
-------------- ------------ -------------- ------------
Total Increase (Decrease) ............. 46,581 (18,295) 29,161 10,804
Net Assets .................................
Beginning of Period ...................... 143,630 161,925 48,657 37,853
-------------- ------------ -------------- ------------
End of Period ............................ $190,211 $143,630 $77,818 $48,657
============== ============ ============== ============
(1) Shares Issued and Redeemed:
Shares Issued ............................ 3,211 3,052 1,736 1,612
Shares Issued in Lieu of Cash
Distributions ......................... 918 1,284 51 114
Shares Redeemed .......................... (445) (4,868) (73) (597)
-------------- ------------ -------------- ------------
3,684 (532) 1,714 1,129
============== ============ ============== ============
</TABLE>
See accompanying Notes to Financial Statements
300
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The U.S. Small Cap The U.S. Large Cap
Value Series Value Series
------------------------------ ------------------------------
Six Months Year Ended Six Months Year Ended
Ended Nov. 30, Ended Nov. 30,
May 31, 1995 1994 May 31, 1995 1994
-------------- ------------ -------------- ------------
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ...................... $ 2,798 $ 3,442 $ 3,592 $ 5,301
Net Realized Gain (Loss) on Investment
Securities .............................. 3,944 2,206 4,997 (5,273)
Change in Unrealized Appreciation
(Depreciation) of Investment Securities . 47,341 (10,764) 40,700 (5,746)
-------------- ------------ -------------- ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations ............. 54,083 (5,116) 49,289 (5,718)
-------------- ------------ -------------- ------------
Distributions From:
Net Investment Income ...................... (546) (3,415) (1,858) (5,305)
Net Realized Gain .......................... (1,189) (1,292) -- --
-------------- ------------ -------------- ------------
Total Distributions ................... (1,735) (4,707) (1,858) (5,305)
-------------- ------------ -------------- ------------
Capital Share Transactions (1):
Shares Issued .............................. 96,833 264,190 134,547 124,500
Shares Issued in Lieu of Cash Distributions 1,627 3,765 1,615 4,545
Shares Redeemed ............................ (5,250) (3,536) (72,843) (9,445)
-------------- ------------ -------------- ------------
Net Increase From Capital Share
Transactions .......................... 93,210 264,419 63,319 119,600
-------------- ------------ -------------- ------------
Total Increase .......................... 145,558 254,596 110,750 108,577
Net Assets ...................................
Beginning of Period ........................ 350,277 95,681 198,848 90,271
-------------- ------------ -------------- ------------
End of Period .............................. $495,835 $350,277 $309,598 $198,848
============== ============ ============== ============
(1) Shares Issued and Redeemed:
Shares Issued .............................. 8,101 22,720 12,781 11,986
Shares Issued in Lieu of Cash Distributions 147 340 157 446
Shares Redeemed ............................ (460) (304) (7,024) (900)
-------------- ------------ -------------- ------------
7,788 22,756 5,914 11,532
============== ============ ============== ============
</TABLE>
See accompanying Notes to Financial Statements
301
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA
The DFA One-Year International
Fixed Income Series Value Series
------------------------------ ---------------------------------
Six Months Year Ended Six Month Feb. 15
Ended Nov. 30, Ended to
May 31, 1995 1994 May 31, 1995 Nov. 30, 1994
-------------- ------------ -------------- ---------------
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income .............. $ 18,536 $ 27,413 $ 5,265 $ 3,478
Net Realized Gain (Loss) on
Investment Securities ........... (763) (5,023) (183) 465
Net Realized Loss on Foreign
Currency Transactions ........... -- -- (92) (279)
Change in Unrealized Appreciation ..
(Depreciation) of:
Investment Securities and Foreign
Currency ...................... 9,541 (6,783) 15,264 (5,057)
Translation of Foreign Currency
Denominated Amounts ........... -- -- 53 44
-------------- ------------ -------------- ---------------
Net Increase (Decrease) in Net
Assets Resulting from
Operations .................... 27,314 15,607 20,307 (1,349)
-------------- ------------ -------------- ---------------
Distributions From:
Net Investment Income .............. (18,163) (26,524) (777) (3,176)
Net Realized Gain .................. -- (3,154) -- (480)
-------------- ------------ -------------- ---------------
Total Distributions ............. (18,163) (29,678) (777) (3,656)
-------------- ------------ -------------- ---------------
Capital Share Transactions (1):
Shares Issued ...................... 90,814 205,242 171,991 355,615
Shares Issued in Lieu of Cash
Distributions ................... 13,462 23,866 777 3,656
Shares Redeemed .................... (90,926) (231,179) (82,899) (5,885)
-------------- ------------ -------------- ---------------
Net Increase (Decrease) From
Capital Share Transactions .... 13,350 (2,071) 89,869 353,386
-------------- ------------ -------------- ---------------
Transactions in Interest
Contributions ...................... -- -- -- --
Withdrawals ........................ -- -- -- --
-------------- ------------ -------------- ---------------
Net Increase from Transactions
in Interest ................ -- -- -- --
-------------- ------------ -------------- ---------------
Total Increase (Decrease) ..... 22,501 (16,142) 109,399 348,381
Net Assets
Beginning of Period ................ 592,286 608,428 348,381 --
-------------- ------------ -------------- ---------------
End of Period ...................... $614,787 $ 592,286 $457,780 $348,381
============== ============ ============== ===============
1) Shares Issued and Redeemed:
Shares Issued ...................... 921 2,064 17,294 34,842
Shares Issued in Lieu of Cash
Distributions ................... 136 241 78 355
Shares Redeemed .................... (922) (2,332) (8,423) (574)
-------------- ------------ -------------- ---------------
135 (27) 8,949 34,623
============== ============ ============== ===============
See accompanying Notes to Financial Statements
302
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
</TABLE>
<TABLE>
<CAPTION>
The Emerging
Markets Series
-----------------------------------
Six Months April 25
Ended to
May 31, 1995 Nov. 30, 1994
-------------- ---------------
(Unaudited)
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income .............. $ 221 $ 32
Net Realized Gain (Loss) on
Investment Securities ........... 106 20
Net Realized Loss on Foreign
Currency Transactions ........... (18) (6)
Change in Unrealized Appreciation ..
(Depreciation) of:
Investment Securities and Foreign
Currency ...................... 522 453
Translation of Foreign Currency
Denominated Amounts ........... 3 1
------------- ---------------
Net Increase (Decrease) in Net
Assets Resulting from
Operations .................... 834 500
------------- ---------------
Distributions From:
Net Investment Income ............. -- --
Net Realized Gain .................. -- --
------------- ---------------
Total Distributions ............. -- --
------------- ---------------
Capital Share Transactions (1):
Shares Issued ...................... -- --
Shares Issued in Lieu of Cash
Distributions ................... -- --
Shares Redeemed .................... -- --
------------ --------------
Net Increase (Decrease) From
Capital Share Transactions .... -- --
------------- --------------
Transactions in Interest
Contributions ...................... 14,210 15,298
Withdrawals ........................ (517) (74)
------------- --------------
Net Increase from Transactions
in Interest ................ 13,693 15,224
------------- --------------
Total Increase (Decrease) ..... 14,527 15,724
Net Assets
Beginning of Period ................ 15,724 --
------------- ---------------
End of Period ...................... $ 30,251 $ 15,724
============= ===============
1) Shares Issued and Redeemed:
Shares Issued ...................... NA NA
Shares Issued in Lieu of Cash
Distributions ...................
Shares Redeemed ....................
See accompanying Notes to Financial Statements
303
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
</TABLE>
<TABLE>
<CAPTION>
The U.S. 6-10 Small Company Series The U.S. Large Company Series
--------------------------------------- ----------------------------------------
Six Months Year Feb. 3 Six Months Year Feb. 8
Ended Ended to Ended Ended to
May 31, Nov. 30, Nov. 30, May 31, Nov. 30, Nov. 30,
1995 1994 1993 1995 1994 1993
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ....................... $ 9.54 $ 10.39 $ 10.00 $ 10.11 $ 10.27 $ 10.00
------------ ---------- ---------- ------------ ---------- -----------
Income From Investment
Operations
Net Investment Income ....... 0.06 0.12 0.10 0.14 0.28 0.24
Net Gains (Losses) on
Securities (Realized and
Unrealized) .............. 1.11 (0.07) 0.54 1.77 (0.14) 0.26
------------ ---------- ---------- ------------ ---------- -----------
Total From Investment
Operations .......... 1.17 0.05 0.64 1.91 0.14 0.50
Less Distributions
Net Investment Income ....... (0.01) (0.11) (0.10) (0.07) (0.29) (0.23)
Net Realized Gains .......... (0.55) (0.79) (0.15) (0.03) (0.01) --
------------ ---------- ---------- ------------ ---------- -----------
Total Distributions ........... (0.56) (0.90) (0.25) (0.10) (0.30) (0.23)
Net Asset Value, End of Period $ 10.15 $ 9.54 $ 10.39 $ 11.92 $ 10.11 $ 10.27
Total Return .................. 13.07%# 0.59% 6.35%# 19.13%# 1.30% 5.05%#
Net Assets, End of Period
(thousands) ................. $190,211 $143,630 $161,925 $77,818 $48,657 $37,853
Ratio of Expenses to Average
Net Assets .................. 0.16%* 0.17% 0.17%* 0.02%*(a) 0.02%(a) 0.02%*(a)
Ratio of Net Investment Income
to Average Net Assets ....... 1.27%* 1.11% 1.18%* 2.76%*(a) 2.83%(a) 2.87%*(a)
Portfolio Turnover Rate ....... 14.47%* 27.65% 32.88%* 0.91%* 8.52% 34.36%*
</TABLE>
*Annualized
#Non-annualized
(a) Had certain reimbursements not been in effect the ratios of expenses to
average net assets for the periods ended May 31, 1995 and November 30,
1994 and 1993 would have been 0.23%, 0.33% and 0.48%, respectively, and
the ratios of net investment income to average net assets for the periods
ended May 31, 1995 and November 30, 1994 and 1993, would have been 2.56%,
2.52% and 2.41%, respectively.
See accompanying Notes to Financial Statements
304
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The U.S. Small Cap Value Series The U.S. Large Cap Value Series
--------------------------------------- ---------------------------------------
Six Months Year March 2 Six Months Year Feb. 19
Ended Ended to Ended Ended to
May 31, Nov. 30, Nov. 30, May 31, Nov. 30, Nov. 30,
1995 1994 1993 1995 1994 1993
(Unaudited) (Unaudited)
------------ ---------- ---------- ------------ ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $ 11.15 $ 11.04 $ 10.00 $ 9.92 $ 10.59 $ 10.00
------------ ---------- ---------- ------------ ---------- ----------
Income From Investment
Operations
Net Investment Income . 0.07 0.12 0.08 0.15 0.33 0.20
Net Gains (Losses) on
Securities (Realized
and Unrealized) .... 1.48 0.16 1.09 1.93 (0.65) 0.58
------------ ---------- ---------- ------------ ---------- ----------
Total From
Investment
Operations ....... 1.55 0.28 1.17 2.08 (0.32) 0.78
------------ ---------- ---------- ------------ ---------- ----------
Less Distributions
Net Investment Income . (0.02) (0.12) (0.07) (0.08) (0.35) (0.18)
Net Realized Gains .... (0.04) (0.05) (0.06) -- -- (0.01)
------------ ---------- ---------- ------------ ---------- ----------
Total Distributions ..... (0.06) (0.17) (0.13) (0.08) (0.35) (0.19)
------------ ---------- ---------- ------------ ---------- ----------
Net Asset Value, End of
Period ................ $ 12.64 $ 11.15 $ 11.04 $ 11.92 $ 9.92 $ 10.59
============ ========== ========== ============ ========== ==========
Total Return ............ 13.92%# 2.52% 11.69%# 21.13%# (3.13)% 7.79%#
------------ ---------- ---------- ------------ ---------- ----------
Net Assets, End of Period
(thousands) ........... $495,835 $350,277 $95,681 $309,598 $198,848 $90,271
Ratio of Expenses to
Average Net Assets .... 0.32%* 0.32% 0.33%* 0.22%* 0.22% 0.23%*
Ratio of Net Investment
Income to Average Net
Assets ................ 1.39%* 1.50% 1.35%* 2.90%* 3.72% 3.75%*
Portfolio Turnover Rate . 29.37%* 8.22% 1.07%* 24.15%* 39.33% 0.75%*
------------ ---------- ---------- ------------ ---------- ----------
</TABLE>
*Annualized
#Non-annualized
See accompanying Notes to Financial Statements
305
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The DFA One-Year The DFA
Fixed Income Series International Value Series The Emerging Markets Series
--------------------------------------- --------------------------- ---------------------------
Six Months Year Feb. 8 Six Months Feb. 15 Six Months April 25
Ended Ended to Ended to Ended to
May 31, Nov. 30, Nov. 30, May 31, Nov. 30, May 31, Nov. 30,
1995 1994 1993 1995 1994 1995 1994
(Unaudited) (Unaudited) (Unaudited)
------------ ---------- ---------- ------------ ----------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ... $ 98.35 $ 100.58 $ 100.00 $ 10.06 $ 10.00 N/A+ N/A+
------------ ---------- ---------- ------------ ----------- ------------ -----------
Income From Investment
Operations
Net Investment Income 3.04 4.41 3.09 0.12 0.13 -- --
Net Gains (Losses) on
Securities
(Realized and
Unrealized) ....... 1.44 (1.86) 0.26 0.35 0.07 -- --
------------ ---------- ---------- ------------ ----------- ------------ -----------
Total From
Investment
Operations ...... 4.48 2.55 3.35 0.47 0.20 --
------------ ---------- ---------- ------------ ----------- ------------ -----------
Less Distributions
Net Investment Income (2.99) (4.26) (2.77) (0.02) (0.13) -- --
Net Realized Gains ... -- (0.52) -- -- (0.01) -- --
------------ ---------- ---------- ------------ ----------- ------------ -----------
Total Distributions .... (2.99) (4.78) (2.77) (0.02) (0.14) -- --
------------ ---------- ---------- ------------ ----------- ------------ -----------
Net Asset Value, End of
Period ............... $ 99.84 $ 98.35 $ 100.58 $ 10.51 $ 10.06 N/A+ N/A+
============ ========== ========== ============ =========== ============ ===========
Total Return ........... 4.64%# 2.61% 3.39%# 4.69%# 1.99%# N/A+ N/A+
------------ ---------- ---------- ------------ ----------- ------------ -----------
Net Assets, End of
Period (thousands) ... $614,787 $592,286 $608,428 $457,780 $348,381 $30,251 $15,724
Ratio of Expenses to
Average Net Assets ... 0.10%* 0.10% 0.10%* 0.45%* 0.45%*(a) 1.18%*(b) 1.49%*(b)
Ratio of Net Investment
Income to Average Net
Assets ............... 6.18%* 4.41% 3.80%* 2.68%* 1.84%*(a) 2.20%*(b) 0.56%*(b)
Portfolio Turnover Rate 95.70%* 140.82% 111.67%* 1.85%* 1.90%* 4.79%* 1.28%*
------------ ---------- ---------- ------------ ----------- ------------ -----------
</TABLE>
*Annualized
#Non-annualized
(a) Had certain waivers not been in effect the ratio of expenses to average
net assets for the period ended November 30, 1994 would have been 0.48%,
and the ratio of net investment income to average net assets for the
period ended November 30, 1994 would have been 1.81%.
(b) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
+ Not applicable as The Emerging Markets Series is organized as a
partnership.
See accompanying Notes to Financial Statements
306
<PAGE>
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. At
May 31, 1995, The Trust consisted of seven investment portfolios: The U.S.
6-10 Small Company Series, The U.S. Large Company Series, The U.S. Small Cap
Value Series, The U.S. Large Cap Value Series (the "Domestic Equity
Portfolios"), The DFA One-Year Fixed Income Series (the "Fixed Income
Portfolio"), The DFA International Value Series and The Emerging Markets
Series (the "International Equity Portfolios") (collectively, "the Series").
On February 3, 1993 and February 8, 1993, three portfolios of DFA
Investment Dimensions Group Inc. (the "Fund"); The U.S. 6-10 Small Company
Portfolio, The U.S. Large Company Portfolio and The DFA One-Year Fixed Income
Portfolio, respectively, transferred their investable assets for shares with
equal values of a corresponding Series of the Trust. On February 15, 1994,
the DFA International High Book to Market Portfolio transferred its
investable assets for shares with equal value of The DFA International Value
Series (the "Exchanges"). These four Portfolios, along with The U.S. Small
Cap Value Portfolio, The U.S. Large Cap Value Portfolio and The Emerging
Markets Portfolio of the Fund (collectively, the "Feeder Funds") invest
solely in a corresponding Series in the Trust. Although these portfolios of
the Fund invest in the Trust, the Trust also issues its shares to other
investors.
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.
1. Security Valuation: Securities held by the Domestic Equity Portfolios
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. Securities held by the International Equity Portfolios which
are listed on a securities exchange are valued at the last quoted sale price.
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 Directors.
Securities held by the Fixed Income Portfolio are valued on the basis of
prices provided by a pricing service when such prices are believed to reflect
the fair market value of such securities.
2. Foreign Currency: Securities, other assets and liabilities of The
International Equity Portfolios whose values are initially expressed in
foreign currencies are translated to U.S. dollars at the bid price of such
currency against U.S. dollars last quoted by a major bank. Dividend and
interest income and certain expenses are translated to U.S. dollars at the
rate of exchange on their respective accrual dates. Receivables and payables
denominated in foreign currencies are marked to market daily based on daily
exchange rates and exchange gains or losses are realized upon ultimate
receipt or disbursement.
The International Equity Portfolios do not generally isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and between amounts of interest, dividends and
foreign withholding taxes recorded on the books of the International Equity
Portfolios and the U.S. dollar equivalent amounts actually received or paid.
307
<PAGE>
3. Federal Income Taxes: It is each Series' intention, except for The
Emerging Markets Series, 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.
The Emerging Markets Series is treated as a partnership for federal income
tax purposes. Any interest, dividends and gains or losses of the Series will
be deemed to have been "passed through" to its Feeder Funds.
4. Repurchase Agreements: The Series may purchase money market instruments
subject to the seller's agreement to repurchase them at an agreed upon date
and price. The seller will be required on a daily basis to maintain the value
of the collateral subject to the agreement at not less than the repurchase
price (including accrued interest). The agreements are conditioned upon the
collateral being deposited under the Federal Reserve book-entry system or
with the Fund's custodian or a third party sub-custodian. All repurchase
agreements were entered into on May 31, 1995.
5. Reclassifications: As of December 1, 1993, the Series implemented AICPA
Statement of Position 93-2 -- Determination, Disclosure and Financial
Statement Presentation of Income, Capital Gain, and Return of Capital
Distributions by Investment Companies. Adoption of this standard results in
the reclassification to paid-in capital of permanent differences between tax
and financial reporting of net investment income and net realized
gain/(loss). The change has had no material effect on paid in capital or
other components of net assets at December 1, 1993. Distributions to
shareholders and net asset values were not affected by this change.
6. 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 an 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 Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides investment
advisory services to the Trust. For the period ended May 31, 1995, the
Series' advisory fees were computed daily and paid monthly to the Advisor
based on the following effective annual rates:
<TABLE>
<CAPTION>
<S> <C>
The U.S. 6-10 Small Company Series ..... .03 of 1%
The U.S. Large Company Series .......... .025 of 1%
The U.S. Small Cap Value Series ........ .20 of 1%
The U.S. Large Cap Value Series ........ .10 of 1%
The DFA One-Year Fixed Income Series ... .05 of 1%
The DFA International Value Series ..... .20 of 1%
The Emerging Markets Series ............ .10 of 1%
</TABLE>
The Advisor has agreed to bear all of the ordinary operating expenses of
The U.S. Large Company Series except for the advisory fee. With respect to
The DFA International Value Series, the Advisor has also agreed to waive its
advisory fees to the extent necessary to keep the cumulative annual expenses
to not more than 0.45% of average daily net assets.
Beginning December 1, 1994, The DFA International Value Series began to
reimburse the Advisor for fees waived over the preceding twelve month period.
For the six months ended May 31, 1995, this reimbursement to the Advisor
amounted to $52,864. No additional previously waived fees are subject to
future reimbursement as of May 31, 1995.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
308
<PAGE>
D. PURCHASE AND SALES OF SECURITIES:
For the six months ended May 31, 1995, the Series made the following
purchases and sales of investment securities:
<TABLE>
<CAPTION>
Other
U.S. Government Investment
Securities Securities
------------------------ ------------------------
Purchases Sales Purchases Sales
----------- --------- ----------- ---------
(000) (000) (000) (000)
<S> <C> <C> <C> <C>
The U.S. 6-10 Small Company Series .. -- -- $ 36,462 $ 12,044
The U.S. Large Company Series ....... -- -- 17,139 281
The U.S. Small Cap Value Series ..... -- -- 108,918 57,522
The U.S. Large Cap Value Series ..... -- -- 87,598 29,077
The DFA One-Year Fixed Income Series $38,002 $77,712 153,739 146,284
The DFA International Value Series .. -- -- 97,813 3,606
The Emerging Markets Series ......... -- -- 14,078 448
</TABLE>
E. INVESTMENT TRANSACTIONS:
At May 31, 1995, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities
and foreign currencies for each Series were as follows:
<TABLE>
<CAPTION>
Gross Unrealized Gross Unrealized
Appreciation Depreciation Net
---------------- ---------------- ---------
(000) (000) (000)
<S> <C> <C> <C>
The U.S. 6-10 Small Company Series . $43,777 $(17,973) $25,804
The U.S. Large Company Series ...... 17,954 (415) 17,539
The U.S. Small Cap Value Series .... 71,012 (26,472) 44,540
The U.S. Large Cap Value Series .... 39,906 (3,018) 36,888
The DFA One-Year Fixed Income Series 3,172 (540) 2,632
The DFA International Value Series . 37,382 (18,238) 19,144
The Emerging Markets Series ........ 3,495 (2,519) 976
</TABLE>
At November 30, 1994, the following Series had capital loss carryovers for
federal income tax purposes:
<TABLE>
<CAPTION>
Expires on November 30
----------------------------
(Amounts in thousands)
2001 2002 Total
------ -------- -------
<S> <C> <C> <C>
The U.S. Large Company Series ...... $364 -- $ 364
The U.S. Large Cap Value Series .... -- $5,273 5,273
The DFA One-Year Fixed Income Series -- 5,023 5,023
</TABLE>
At May 31, 1995, the unrealized appreciation (depreciation) of investment
securities for The U.S. 6-10 Small Company Series, The U.S. Large Company
Series, The DFA One-Year Fixed Income Series and The DFA International Value
Series includes approximately $23,641,000, $6,616,000, $(1,705,000) and
$8,937,000, respectively, of unrealized appreciation (depreciation) at time
of tax-free Exchange.
309
<PAGE>
F. COMPONENTS OF NET ASSETS:
At May 31, 1995, net assets consisted of (amounts in thousands):
<TABLE>
<CAPTION>
The U.S. The U.S. The U.S.
6-10 Small Large Small Cap
Company Company Values
Series Series Series
------------ ---------- -----------
<S> <C> <C> <C>
Paid-In Capital .............................................. $159,891 $60,823 $445,259
Undistributed Net Investment Income .......................... 941 470 2,319
Undistributed Net Realized Gain (Loss) ....................... 3,575 (1,014) 3,717
Unrealized Appreciation (Depreciation) of Investment
Securities .................................................. 25,804 17,539 44,540
------------ ---------- -----------
$190,211 $77,818 $495,835
============ ========== ===========
</TABLE>
<TABLE>
<CAPTION>
The U.S. The DFA The DFA
Large Cap One-Year International
Value Fixed Income Value
Series Series Series
----------- -------------- ---------------
<S> <C> <C> <C>
Paid-In Capital .............................................. $271,134 $614,780 $434,318
Undistributed Net Investment Income .......................... 1,881 3,169 4,511
Accumulated Net Realized Loss ................................ (305) (5,794) (198)
Accumulated Net Realized Foreign Exchange Loss ............... -- -- (92)
Unrealized Appreciation (Depreciation) of Investment
Securities and Foreign Currency ............................. 36,888 2,632 19,144
Unrealized Net Foreign Exchange Gain ......................... -- -- 97
----------- -------------- ---------------
$309,598 $614,787 $457,780
=========== ============== ===============
</TABLE>
G. SECURITIES LENDING:
Security loans are required at all times to be secured by collateral at
least equal to 105% 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. For The DFA International Value Series, the market value of
securities on loan to brokers was $52,628,465 and the related collateral cash
and indemnification received was $57,018,340 at May 31, 1995.
310
