<PAGE>
===============================================================================
DFA Investment Dimensions Group Inc.
and
The DFA Investment Trust Company
SEMI-ANNUAL REPORT
Period Ended May 31, 1996
(Unaudited)
===============================================================================
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
Page
---------
Schedules of Investments
The U.S. 9-10 Small Company Portfolio ............ 1-23
The U.S. 6-10 Small Company Portfolio ............ 24
The U.S. Large Company Portfolio ................. 24
The U.S. Small Cap Value Portfolio ............... 24
The U.S. Large Cap Value Portfolio ............... 24
The DFA/AEW Real Estate Securities Portfolio ..... 25-26
The Japanese Small Company Portfolio ............. 27-32
The Pacific Rim Small Company Portfolio .......... 33-42
The United Kingdom Small Company Portfolio ....... 43-49
The Emerging Markets Portfolio ................... 50
The RWB/DFA International High Book to Market
Portfolio ..................................... 50
The Continental Small Company Portfolio .......... 51-61
The Large Cap International Portfolio ............ 62-65
The DFA International Small Cap Value Portfolio .. 66-76
The DFA One-Year Fixed Income Portfolio .......... 77
The DFA Five-Year Government Portfolio ........... 77
The DFA Two-Year Global Fixed Income Portfolio ... 77
The DFA Global Fixed Income Portfolio ............ 78
The DFA Intermediate Government Fixed Income
Portfolio ..................................... 79
Statements of Assets and Liabilities .................. 80-82
Statements of Operations .............................. 83-88
Statements of Changes in Net Assets ................... 89-95
Financial Highlights .................................. 96-105
Notes to Financial Statements ......................... 106-112
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
Page
---------
Statements of Net Assets
The U.S. 6-10 Small Company Series ... 113-141
The U.S. Large Company Series ........ 142-146
The U.S. Small Cap Value Series ...... 147-159
The U.S. Large Cap Value Series ...... 160-161
The DFA One-Year Fixed Income Series . 162-163
The DFA Two-Year Global Fixed Income
Series ............................ 164-165
The DFA International Value Series ... 166-174
The Emerging Markets Series .......... 175-180
Statements of Operations .................. 181-182
Statements of Changes in Net Assets ....... 183-185
Financial Highlights ...................... 186-189
Notes to Financial Statements ............. 190-195
ii
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULE OF INVESTMENTS
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
COMMON STOCKS -- (97.5%)
*A Plus Network, Inc. .............. 57,100 $1,174,119
*AAON, Inc. ........................ 39,490 185,109
ABC Bancorp ....................... 1,700 26,350
*ABC Rail Products Corp. ........... 47,000 1,025,188
ABS Industries, Inc. .............. 114,200 85,650
*ACC Corp. ......................... 14,500 602,656
ADAC Laboratories ................. 16,400 266,500
ADCO Technologies, Inc. ........... 15,200 145,350
AEP Industries, Inc. .............. 22,350 568,528
*AER Energy Resources, Inc. ........ 120,200 781,300
*AFC Cable Systems, Inc. ........... 37,300 531,525
*AG Services America, Inc. ......... 9,500 123,500
*AM International, Inc. ............ 8,500 25,500
*ARI Holdings Corp. (in Liquidation) 2,200 0
*ARI Network Services, Inc. ........ 95,500 179,063
*ATS Medical, Inc. ................. 44,800 509,600
*AW Computer Systems, Inc.
Class A ......................... 3,950 8,888
Aaron Rents, Inc. Class A ......... 41,500 1,172,375
Aaron Rents, Inc. Class B ......... 52,100 1,465,313
*#Aasche Transportation Services,
Inc. ............................ 10,000 52,500
*Abaxis, Inc. ...................... 74,800 495,550
Abington Savings Bank MA .......... 18,400 285,200
*Abiomed, Inc. ..................... 16,400 283,925
*Able Telcom Holding Corp. ......... 28,700 200,900
Abrams Industries, Inc. ........... 12,900 50,794
*Abraxas Petroleum Corp. ........... 50,000 343,750
*Accell International Corp. ........ 97,293 297,960
*Access Health Marketing, Inc. ..... 80,250 4,373,625
*Ace Cash Express, Inc. ............ 5,800 89,175
Aceto Corp. ....................... 16,681 254,385
*Acme Electric Corp. ............... 19,484 241,115
*Acme Metals, Inc. ................. 98,500 1,674,500
*Acme United Corp. ................. 69,033 258,874
*Action Performance Companies, Inc. 36,800 653,200
*Active Voice Corp. ................ 4,500 59,625
*Activision, Inc. .................. 18,600 251,100
*Adage, Inc. ....................... 50,942 230,830
Adams Resources & Energy, Inc. .... 74,150 546,856
*Adflex Solutions, Inc. ............ 41,900 670,400
*Advanced Logic Research, Inc. ..... 31,300 305,175
*Advanced Magnetics, Inc. .......... 45,550 854,063
*Advanced Marketing Services, Inc. . 36,900 537,356
*Advanced Medical, Inc. ............ 51,600 122,550
*Advanced NMR Systems, Inc. ........ 33,172 52,350
*Advanced Photonix, Inc. Class A ... 4,950 20,264
*Advanced Polymer Systems, Inc. .... 71,000 710,000
*Advanced Promotion Technologies,
Inc. (Private Placement) ........ 135,290 45,657
*Advanced Technology Materials, Inc. 22,200 326,063
Advantage Bancorp, Inc. ........... 5,625 189,141
*Advest Group, Inc. ................ 20,200 217,150
*Advocat, Inc. ..................... 50,700 519,675
*Aequitron Medical, Inc. ........... 55,700 417,750
*Aeroflex, Inc. .................... 102,152 638,450
*Aerosonic Corp. DE ................ 200 500
<PAGE>
Shares Value+
--------- ------------
*Aerovox, Inc. ..................... 41,800 $ 331,788
*Aetrium, Inc. ..................... 20,300 389,506
Affiliated Community Bancorp ...... 3,600 61,425
*Agouron Pharmaceuticals, Inc. ..... 18,400 786,600
*Agri-Nutrition Group, Ltd. ........ 16,800 38,325
*Air & Water Technologies Corp.
Class A ............................ 30,600 195,075
*Air Methods Corp. ................. 28,300 120,275
*Air-Cure Environmental ............ 17,250 66,305
*Airsensors, Inc. .................. 19,800 217,800
*Airways Corp. ..................... 60,700 565,269
*Akorn, Inc. ....................... 23,900 65,725
*Alamco, Inc. ...................... 47,160 495,180
Alamo Group, Inc. ................. 25,000 450,000
*Alba-Waldensian, Inc. ............. 21,000 162,750
*Alcide Corp. ...................... 7,700 171,325
*Aldila, Inc. ...................... 58,700 269,653
*Alexander Energy Co. .............. 106,000 397,500
*Alfin, Inc. ....................... 165 423
Alico, Inc. ....................... 55,700 1,239,325
*Alkermes, Inc. .................... 136,000 2,116,500
*All American Semiconductor, Inc. .. 38,400 93,600
*Allcity Insurance Co. ............. 200 1,750
*Allegiant Physician Services, Inc. 25,000 12,250
Allen Organ Co. Class B ........... 200 7,725
*#Alliance Gaming Corp. ............. 113,300 439,038
*Alliance Pharmaceuticals Corp. .... 25,700 552,550
Allied Bankshares, Inc. ........... 16,750 198,906
*Allied Capital Advisers, Inc. ..... 58,500 424,125
Allied Capital Lending Corp. ...... 11,500 159,563
Allied Healthcare Products, Inc. .. 54,600 607,425
*Allied Holdings, Inc. ............. 75,000 740,625
Allied Life Financial Corp. ....... 20,000 420,000
Allied Products Corp. ............. 122,994 3,612,949
*Allied Research Corp. ............. 41,040 194,940
*Allied Waste Industries, Inc. ..... 43,100 431,000
*Allou Health & Beauty Care, Inc.
Class A ............................ 29,200 204,400
*Allstate Financial Corp. .......... 11,500 66,125
*Alltrista Corp. ................... 13,874 320,836
*Allwaste, Inc. .................... 24,200 102,850
*Aloette Cosmetics, Inc. ........... 7,200 29,250
*Alpha Beta Technology, Inc. ....... 108,000 1,282,500
*Alpha Industries, Inc. ............ 89,700 863,363
*#Alpha Microsystems, Inc. .......... 48,600 195,919
*Alpha Technologies Group, Inc. .... 107,200 726,950
*Alpharel, Inc. .................... 60,300 495,591
*Alpine Group, Inc. ................ 159,544 857,549
*#Alpine Lace Brands, Inc. .......... 28,500 171,000
*Alta Gold Co. ..................... 71,043 288,612
*Alteon, Inc. ...................... 102,000 1,504,500
*Amati Communications Corp. ........ 267,700 8,432,269
*#Ambar, Inc. ....................... 2,200 25,850
Amcast Industrial Corp. ........... 30,100 583,188
*#AmeriLink Corp. ................... 3,500 27,563
*America Services Group, Inc. ...... 29,000 534,688
American Bancorpation Ohio ........ 200 4,000
American Bank of Connecticut ...... 4,600 113,275
*American Banknote Corp. ........... 8,000 36,000
American Biltrite, Inc. ........... 97,800 1,943,775
</TABLE>
1
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
*#American Biogenetic Sciences, Inc.
Class A ........................... 28,700 $ 213,456
*American Buildings Co. ............ 50,000 1,528,125
*American Claims Evaluation, Inc. .. 3,100 8,525
American Classic Voyages Co. ...... 100,200 801,600
American Eagle Group, Inc. ........ 54,500 272,500
*American Eagle Outfitters, Inc. ... 34,500 599,438
*American Ecology Corp. ............ 62,800 109,900
*American Educational Products, Inc. 21,000 27,563
*American Exploration Co. .......... 20,500 269,063
American Federal Bank FSB
Greenville, SC ..................... 34,300 540,225
American Filtrona Corp. ........... 20,200 651,450
*American Healthcorp, Inc. ......... 68,700 790,050
*American Homepatient, Inc. ........ 21,000 931,875
*American Homestar Corp. ........... 23,750 532,891
American Indemnity Financial Corp. 16,700 212,925
American List Corp. ............... 21,615 545,779
*American Locker Group, Inc. ....... 8,800 110,000
*American Media, Inc. Class A ...... 121,200 575,700
*American Medical Electronics, Inc.
(Escrow-Bonus) .................... 102,100 0
*American Medical Electronics, Inc.
(Escrow-Earnings) ................. 102,100 0
*American Oilfield Divers, Inc. .... 48,600 479,925
*American Pacific Corp. ............ 73,500 473,156
*American Paging, Inc. ............. 147,200 1,324,800
*American Phoenix Group, Inc. ...... 20,000 27,000
*American Physicians Services Group,
Inc. .............................. 46,800 541,125
American Precision Industries, Inc. 160,375 2,024,734
American Recreation Centers, Inc. . 10,000 64,375
*American Safety Razor Co. ......... 19,900 237,556
*American Science & Engineering,
Inc. .............................. 75,000 796,875
*American Shared Hospital Services . 14,800 24,050
*American Software, Inc. Class A ... 140,800 756,800
American Studios, Inc. ............ 135,000 164,531
*American Superconductor Corp. ..... 31,500 448,875
*American Technical Ceramics Corp. . 13,300 128,013
*American United Global, Inc. ...... 1,000 9,000
*American Waste Services, Inc.
Class A ........................... 123,800 448,775
*American White Cross, Inc. ........ 69,700 159,003
*American Woodmark Corp. ........... 44,329 229,957
Americana Bancorp, Inc. ........... 18,200 240,012
*Amerihost Properties, Inc. ........ 63,600 584,325
*Ameriquest Technology, Inc. ....... 250,557 250,557
*Ameristar Casinos, Inc. ........... 35,550 388,828
*Ameriwood Industries International
Corp. ............................. 52,900 317,400
Ameron, Inc. ...................... 8,400 349,650
*Ames Department Stores, Inc. ...... 20,100 59,044
*Amistar Corp. ..................... 65,100 256,331
Ampco-Pittsburgh Corp. ............ 52,100 612,175
Amplicon, Inc. .................... 29,000 471,250
Amre, Inc. ........................ 129,300 3,458,445
*Amrep Corp. ....................... 63,610 310,099
*Amrion Corp. ...................... 17,400 308,850
*Amserv, Inc. ...................... 9,151 20,018
*Amtech Corp. ...................... 51,400 459,388
*Amtran, Inc. ...................... 78,200 742,900
Amtrol, Inc. ...................... 6,700 145,725
<PAGE>
Shares Value+
--------- ------------
Amvestors Financial Corp. ......... 113,268 $1,699,020
Amwest Insurance Group, Inc. ...... 46,850 585,625
Analysis & Technology, Inc. ....... 26,800 368,500
Analysts International Corp. ...... 1,100 46,888
*Anaren Microwave, Inc. ............ 69,400 490,138
Anchor Bancorp Wisconsin, Inc. .... 5,100 174,675
*Andersen Group, Inc. .............. 15,000 88,125
Andover Bancorp, Inc. DE .......... 13,900 357,056
*Andover Togs, Inc. ................ 3,562 2,226
*Andrea Electronics Corp. .......... 9,400 132,775
*Anergen, Inc. ..................... 82,300 442,363
*Anesta Corp. ...................... 2,900 55,463
*Anuhco, Inc. ...................... 24,600 230,625
*Apertus Technologies, Inc. ........ 126,300 509,147
*Aphton Corp. ...................... 17,500 415,625
*Apogee, Inc. ...................... 28,600 198,413
*Appliance Recycling Centers of
America, Inc. ..................... 14,000 63,000
*Applied Bioscience International,
Inc. .............................. 51,600 464,400
*Applied Digital Access, Inc. ...... 36,300 562,650
*Applied Extrusion Technologies,
Inc. .............................. 70,000 953,750
*Applied Innovation, Inc. .......... 11,600 143,550
*#Applied Microbiology, Inc. ........ 64,200 461,438
*Applied Science & Technology, Inc. 5,700 76,238
*Applied Signal Technologies, Inc. . 75,000 440,625
*#Aquagenix, Inc. ................... 9,600 48,000
Aquarion Co. ...................... 22,300 540,775
*Arabian Shield Development Co. .... 66,200 211,013
*Arbor Health Care Co. ............. 36,400 1,014,650
*Arch Communications Group, Inc. ... 40,200 924,600
*Arch Petroleum, Inc. .............. 31,926 68,840
*Arden Industrial Products, Inc. ... 18,700 95,838
*Arizona Instrument Corp. .......... 100 338
*Ark Restaurants Corp. ............. 5,800 63,075
Arkansas Best Corp. ............... 58,500 453,375
*Armatron International, Inc. ...... 68,500 47,060
*Aronex Pharmaceuticals, Inc. ...... 86,900 553,988
*Arrhythmia Research Technology,
Inc. .............................. 7,575 24,619
*Arris Pharmaceutical Corp. ........ 75,000 1,054,688
*Arrow Automotive Industries, Inc. . 44,800 257,600
Arrow Financial Corp. ............. 13,559 299,993
*Arrow Transportation Co. .......... 28,200 22,913
*Artisoft, Inc. .................... 42,500 440,938
*Artistic Greetings, Inc. .......... 8,900 33,653
*Artra Group, Inc. ................. 65,200 521,600
*Arts Way Manufacturing Co., Inc. .. 100 488
*Asante Technologies, Inc. ......... 12,900 104,006
*Aseco Corp. ....................... 20,100 238,688
*Ashworth, Inc. .................... 102,200 651,525
Aspen Bancshares, Inc. ............ 4,137 64,641
*Astec Industries, Inc. ............ 98,100 993,263
Astro-Med, Inc. ................... 58,175 509,031
*Astronics Corp. ................... 18,280 117,678
*Astrosystems, Inc. ................ 44,100 248,063
*Astrotech International Corp. ..... 31,900 225,294
*Asyst Technologies, Inc. .......... 9,800 229,075
Atalanta Sosnoff Capital Corp. .... 2,100 20,475
*Atchison Casting Corp. ............ 46,900 703,500
*Athena Neurosciences, Inc. ........ 5,000 91,875
*Athey Products Corp. .............. 31,085 137,940
*Atkinson (Guy F.) of California ... 17,600 234,300
*Atlantic American Corp. ........... 112,825 408,991
</TABLE>
2
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
*Atlantic Beverage, Inc. ........... 20,000 $ 72,500
*Atlantic Coast Airlines, Inc. ..... 65,000 950,625
*Atlantic Gulf Communities Corp. ... 44,300 268,569
*Atlantic Tele-Network, Inc. ....... 13,100 338,963
Atlantis Plastics, Inc. ........... 8,600 48,375
*Atlas Corp. ....................... 117,620 161,728
Atrion Corp. ...................... 39,900 987,525
*Atrix Labs, Inc. .................. 19,306 236,499
*Atwood Oceanics, Inc. ............. 24,600 1,017,825
*Au Bon Pain, Inc. Class A ......... 64,900 567,875
*#Audiovox Corp. Class A ............ 29,400 181,913
*Audits & Surveys Worldwide, Inc. .. 52,922 117,421
*Autocam Corp. ..................... 53,015 596,419
*Autoimmune, Inc. .................. 35,800 358,000
*Autoinfo, Inc. .................... 115,900 391,163
*Autologic Information
International, Inc. ............... 27,500 216,563
*Autote Corp. Class A .............. 247,000 787,313
*Avecor Cardiovascular, Inc. ....... 65,700 808,931
Avemco Corp. ...................... 67,100 1,048,438
*#Avert, Inc. ....................... 6,900 38,813
Aviall, Inc. ...................... 149,200 1,492,000
*Aviva Petroleum, Inc. Deposit
Shares (Representing 5 Shares) .... 5,000 17,500
*Avondale Industries, Inc. ......... 34,800 661,200
*Aydin Corp. ....................... 56,350 866,381
Aztec Manufacturing Co. ........... 55,826 341,934
*#BCT International, Inc. ........... 7,100 23,963
BEI Electronics, Inc. ............. 12,600 153,563
BGS Systems, Inc. ................. 6,400 316,800
BHA Group, Inc. Class A ........... 63,828 1,101,033
BHC Financial, Inc. ............... 52,050 725,447
*BI, Inc. .......................... 85,900 1,385,138
*BMC West Corp. .................... 23,600 413,000
BMJ Financial Corp. ............... 56,750 766,125
*BOK Financial Corp. ............... 3,145 66,045
*BPI Packaging Technologies, Inc. .. 19,800 66,206
*BRC Holdings, Inc. ................ 20,400 739,500
BSB Bancorp, Inc. ................. 74,375 1,924,453
BT Financial Corp. ................ 10,996 399,980
*BTG, Inc. ......................... 6,000 85,125
*BTU International, Inc. ........... 25,500 121,125
*BUM International, Inc. ........... 9,700 4,850
*BWAY Corp. ........................ 55,700 1,016,525
*Bachman Information Systems, Inc. . 91,600 749,975
*Back Bay Restaurant Group, Inc. ... 26,600 108,063
Badger Meter, Inc. ................ 12,000 325,500
Badger Meter, Inc. ................ 20,300 550,638
Badger Paper Mills, Inc. .......... 200 2,875
*Bailey Corp. ...................... 18,700 155,444
Bairnco Corp. ..................... 105,400 764,150
Baker (J.), Inc. .................. 97,000 945,750
*Baker (Michael) Corp. ............. 87,000 478,500
*Baker (Michael) Corp. Class B ..... 15,400 84,700
Balchem Corp. ..................... 4,200 41,475
*Baldwin Piano & Organ Co. ......... 37,900 547,181
*Baldwin Technology, Inc. Class A .. 135,000 523,125
*Bally Gaming International, Inc. .. 10,000 87,500
*Baltek Corp. ...................... 21,562 227,749
*BancTec, Inc. ..................... 8,722 176,621
*Bancinsurance Corp. ............... 16,200 54,675
Bancorp Connecticut, Inc. ......... 6,200 154,225
Bangor Hydro-Electric Co. ......... 52,600 558,875
Bank of Granite Corp. ............. 77 2,936
Bank of Southington ............... 210 2,743
<PAGE>
Shares Value+
--------- ------------
BankAtlantic Bancorp, Inc. ........ 14,812 $ 212,923
*Banner Aerospace, Inc. ............ 158,100 1,106,700
*Banyan System, Inc. ............... 115,000 1,063,750
Barefoot, Inc. .................... 72,300 795,300
*Barnwell Industries, Inc. ......... 11,800 195,438
*Barra, Inc. ....................... 75,400 2,035,800
*Barrett Business Services, Inc. ... 49,800 908,850
*Barrister Information Systems Corp. 7,866 24,581
*Barry (R.G.) Corp. ................ 142,588 2,816,113
*Barrys Jewelers, Inc. ............. 192 768
*Base Ten Systems, Inc. Class A .... 30,100 380,013
*Basin Exploration, Inc. ........... 87,000 500,250
Bay View Capital Corp. ............ 1,500 49,219
*Bayou Steel Corp. Class A ......... 13,300 51,538
*Bayport Restaurant Group, Inc. .... 29,800 118,269
*Be Aerospace, Inc. ................ 143,200 2,094,300
*Beard Co. ......................... 26,533 72,966
Beauticontrol Cosmetics, Inc. ..... 20,700 201,825
*Beazer Homes USA, Inc. ............ 15,900 272,288
*Bel Fuse, Inc. .................... 86,500 1,416,438
*Belden & Blake Corp. .............. 27,200 527,000
*Bell Industries, Inc. ............. 63,728 1,402,008
*Bell Microproducts, Inc. .......... 52,200 453,488
*Bell Sports Corp. ................. 109,112 1,063,842
*Bellwethwer Exporation Co. ........ 59,000 361,375
*Ben & Jerry's Homemade, Inc.
Class A .......................... 14,400 235,800
*Ben Franklin Retail Stores, Inc. .. 11,000 27,500
*Benchmark Electronics, Inc. ....... 44,100 1,411,200
*Benihana, Inc. .................... 9,100 133,656
*Benihana, Inc. Class A ............ 1,400 15,838
*Benson Financial Corp. ............ 7,400 144,763
*Bentley Pharmaceuticals, Inc. ..... 3,600 12,375
Berkshire Gas Co. ................. 7,200 109,800
*Berlitz International, Inc. ....... 67,100 1,283,288
*Bertuccis, Inc. ................... 46,500 296,438
*Bethlehem Corp. ................... 200 513
*Bettis Corp. ...................... 81,850 450,175
*Big O Tires, Inc. ................. 7,200 113,850
Bindley Western Industries, Inc. .. 16,000 274,000
Binks Manufacturing Co. ........... 61,300 1,448,213
*Bio Dental Technologies Corp. ..... 7,800 31,688
*Bio Technology General Corp. ...... 43,200 311,850
*Bio-Logic Systems Corp. ........... 23,400 77,513
*Biocircuits Corp. ................. 25,250 170,438
*Biocryst Pharmaceuticals, Inc. .... 76,900 1,062,181
*Biomagnetic Technologies, Inc. .... 11,400 17,100
*Biomatrix, Inc. ................... 85,000 1,434,375
*#Biomedical Waste Systems, Inc. .... 62,000 3,100
*Biomerica, Inc. ................... 48,500 110,641
*Biospecifics Technologies Corp. ... 2,700 14,006
*Biospherics, Inc. ................. 36,600 315,675
*Biosys, Inc. ...................... 60,052 352,806
*Biotechnica International, Inc. ... 146,500 100,719
*Biowhittaker, Inc. ................ 36,700 325,713
*Bird Corp. ........................ 55,800 223,200
*Biscayne Apparel, Inc. ............ 8,190 8,190
*Black Hawk Gaming & Development,
Inc. ............................. 3,600 32,175
Blessings Corp. ................... 161,912 1,760,793
Blimpie International ............. 15,850 250,628
*Bluegreen Corp. ................... 77,734 330,370
*Blyth Holdings, Inc. .............. 55,200 194,925
*Bobbie Brooks, Inc. ............... 300 417
</TABLE>
3
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
*Boca Research, Inc. ............... 22,400 $ 523,600
*Bon-Ton Stores, Inc. .............. 52,100 335,394
*Bone Care International, Inc. ..... 20,250 162,000
*Bonray Drilling Corp. ............. 4,985 65,428
*Books-a-Million, Inc. ............. 90,000 1,063,125
*Boole & Babbage, Inc. ............. 49,950 1,236,263
*Boomtown, Inc. .................... 74,000 425,500
*Borg-Warner Security Corp. ........ 48,800 573,400
*Borror Corp. ...................... 18,600 82,538
Boston Acoustics, Inc. ............ 37,300 750,663
Bowl America, Inc. Class A ........ 56,160 400,140
*Bowmar Instrument Corp. ........... 104,100 227,719
*#Bradlees, Inc. .................... 54,100 94,675
*Bradley Pharmaceuticals, Inc.
Class A .......................... 7,400 12,256
*Branford Savings Bank CT .......... 610 1,906
*Brauns Fashions Corp. ............. 13,500 18,984
Brenco, Inc. ...................... 142,500 1,852,500
*Brendle's, Inc. ................... 45,400 11,350
Brenton Banks, Inc. ............... 200 4,750
*Brewer (C.) Homes, Inc. Class A ... 64,000 220,000
Bridgford Foods Corp. ............. 60,200 534,275
*Brightpoint, Inc. ................. 17,150 444,828
*Brite Voice Systems, Inc. ......... 69,000 1,759,500
Broad National Bancorporation ..... 200 2,200
*Broadway & Seymour, Inc. .......... 66,600 1,015,650
*Brock International, Inc. ......... 14,700 113,006
#Brooke Group, Ltd. ................ 48,200 301,250
*Brookstone, Inc. .................. 57,800 643,025
*Brooktree Corp. ................... 41,100 493,200
*Brooktrout Technology, Inc. ....... 58,500 2,639,813
*Brothers Gourmet Coffees, Inc. .... 58,600 223,413
*Brown & Sharpe Manufacturing Co.
Class A .......................... 108,000 1,107,000
*Brown (Tom), Inc. ................. 27,100 467,475
Bryn Mawr Bank Corp. .............. 1,000 23,375
*Buckhead America Corp. ............ 1,700 12,325
*Buckle, Inc. ...................... 7,900 285,388
*Buffton Corp. ..................... 15,800 27,650
*Bugaboo Creek Steak House, Inc. ... 17,000 133,875
*Builders Transport, Inc. .......... 52,100 410,288
*Bull Run Corp. GA ................. 171,700 493,638
Bush Industries, Inc. Class A ..... 41,300 1,471,313
*Butler International, Inc. ........ 23,727 192,782
Butler Manufacturing Co. .......... 15,600 583,050
*Buttrey Food & Drug Stores Co. .... 51,000 404,813
*C-COR Electronics, Inc. ........... 43,700 1,026,950
*CAI Wireless Systems, Inc. ........ 6,835 73,049
CB Bancshares, Inc. HI ............ 818 26,483
*CCA Industries, Inc. .............. 31,000 107,531
*CE Software Holdings, Inc. ........ 10,900 26,569
*CEM Corp. ......................... 41,500 570,625
*CFI Industries, Inc. .............. 19,600 120,050
*CFI Proservices, Inc. ............. 11,700 292,500
CFSB Bancorp, Inc. ................ 5,370 111,428
CFX Corp. ......................... 26,015 364,210
*CIS Technologies, Inc. DE ......... 291,900 948,675
*CMC Industries, Inc. .............. 11,300 94,638
*CMI Corp. Class A ................. 264,699 1,555,107
CML Group, Inc. ................... 223,500 1,201,313
*CNS Income ........................ 12,100 265,444
*CPAC, Inc. ........................ 25,553 303,442
CPB, Inc. ......................... 2,400 77,400
*CSP, Inc. ......................... 59,300 555,938
*CTL Credit, Inc. .................. 4,100 72,519
<PAGE>
Shares Value+
--------- ------------
CTS Corp. ......................... 20,000 $ 902,500
CU Bancorp ........................ 39,440 423,980
CVB Financial Corp. ............... 22,569 341,356
*Cache, Inc. ....................... 80,125 435,680
*Caci International, Inc. Class A .. 1,000 13,000
*Cadiz Land, Inc. .................. 47,800 276,344
Cadmus Communications Corp. ....... 58,900 975,531
*Caere Corp. ....................... 42,700 565,775
Cagle's, Inc. Class A ............. 109,900 1,607,288
*Caire, Inc. ....................... 669 5,352
*Calgene, Inc. ..................... 20,000 122,500
*California Amplifier, Inc. ........ 52,400 2,292,500
*#California Culinary Academy, Inc. . 17,300 115,694
California Financial Holding Corp. 52,470 1,088,753
*California Micro Devices Corp. .... 36,300 387,956
California State Bank ............. 11,959 179,385
*Callon Petroleum Co. .............. 16,700 212,925
*Calloways Nursery, Inc. ........... 16,000 14,500
*Calprop Corp. ..................... 56,478 44,123
*Calumet Bancorp, Inc. ............. 3,950 110,600
*Cambex Corp. ...................... 82,300 524,663
*Cambridge Neuroscience, Inc. ...... 35,000 336,875
*Cambridge Soundworks, Inc. ........ 9,000 32,063
*Campo Eletronics, Appliances &
Computers, Inc. .................. 49,700 118,038
*Candela Laser Corp. ............... 28,200 220,313
*Candies, Inc. ..................... 11,600 29,725
*Canisco Resources, Inc. ........... 8,600 20,963
*Cannon Express, Inc. Class A ...... 3,250 36,156
*Cannondale Corp. .................. 22,900 498,075
*#Cantel Industries, Inc. Class B ... 26,000 273,000
*Canterbury Educational Services,
Inc. ............................. 12,100 24,389
*#Canyon Resources Corp. ............ 96,000 342,000
Cape Cod Bank & Trust Co. ......... 29,600 643,800
*Capital Associates, Inc. .......... 21,050 59,861
*Capital Pacific Holdings, Inc. .... 25,000 96,875
Capitol Bancorp, Ltd. ............. 4,400 46,200
Capitol Transamerica Corp. ........ 13,230 264,600
*Capstone Pharmacy Services, Inc. .. 24,900 250,556
*Cardinal Realty Services, Inc. .... 5,900 124,638
*Care Group, Inc. .................. 77,100 134,925
*Carlisle Plastics, Inc. Class A ... 47,400 319,950
Carolina First Corp. .............. 42,942 869,576
*Carr-Gottstein Foods Co. .......... 114,193 542,417
*Carrington Laboratories, Inc. ..... 164,300 6,448,775
*Carver Corp. WA ................... 94,700 278,181
Cascade Corp. ..................... 25,300 381,081
Cascade Natural Gas Corp. ......... 33,900 516,975
Cash America International, Inc. .. 66,800 384,100
*Casino America, Inc. .............. 97,500 901,875
*Casino Data Systems ............... 13,500 200,813
*Casino Magic Corp. ................ 34,500 204,844
*#Casino Resource Corp. ............. 10,700 20,397
*Catalina Lighting, Inc. ........... 53,600 314,900
*Catalyst Semiconductor, Inc. ...... 58,300 437,250
*Catalytica, Inc. .................. 120,500 572,375
*Catherines Stores Corp. ........... 54,400 530,400
Cavalier Homes, Inc. .............. 55,944 1,307,691
*#Cedar Group, Inc. ................. 39,700 161,281
*Cel-Sci Corp. ..................... 20,300 223,300
*Celadon Group, Inc. ............... 54,000 563,625
*Celebrity, Inc. ................... 16,900 79,219
*Celestial Seasonings, Inc. ........ 14,100 292,575
*Celex Group, Inc. ................. 10,400 84,500
4
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
</TABLE>
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
*Celgene Corp. ..................... 115,300 $1,837,594
*Cell Genesys, Inc. ................ 65,000 568,750
*Cellpro, Inc. ..................... 6,500 118,625
*Cellular Technical Services Co.,
Inc. ............................. 67,585 2,348,579
*Celtrix Pharmaceuticals, Inc. ..... 91,800 315,563
Cenfed Financial Corp. ............ 21,450 450,450
Cenit Bancorp, Inc. ............... 1,800 62,775
*Centennial Bancorp ................ 3,886 55,861
*Centennial Technologies, Inc. ..... 40,150 1,013,788
Center Banks, Inc. ................ 22,800 327,750
Center Financial Corp. ............ 81,583 1,733,639
*Centigram Communications Corp. .... 23,400 402,188
Central & Southern Holding Co. .... 19,700 169,913
*Central Co-Operative Bank
Somerville, MA ................... 2,700 42,525
*Central Garden & Pet Co. .......... 5,950 87,391
Central Jersey Financial Corp. .... 151 4,672
Central Reserve Life Corp. ........ 33,700 275,919
*Central Sprinkler Corp. ........... 41,600 956,800
*Central Tractor Farm & Country,
Inc. ............................. 18,100 235,300
Central Vermont Public Service
Corp. .............................. 23,400 324,675
Century Bancorp Income Class A .... 1,000 12,250
*Ceradyne, Inc. .................... 115,100 1,251,713
*Cerberonics, Inc. Class A ......... 3,500 25,594
*Cerplex Group, Inc. ............... 90,600 611,550
*Chad Therapeutics ................. 24,000 432,000
*Champion Healthcare Corp. ......... 10,400 117,650
#Champion Industries, Inc. ......... 14,600 270,100
*Champion Parts, Inc. .............. 25,200 25,988
*Chart House Enterprises, Inc. ..... 72,900 583,200
Chart Industries, Inc. ............ 17,500 247,188
*Charter Federal Savings Bank
(Escrow) ......................... 43,340 0
Charter Power Systems, Inc. ....... 35,800 1,221,675
*Chase Brass Industries, Inc. ...... 20,500 384,375
*Chattem, Inc. ..................... 19,200 170,400
*Chaus (Bernard), Inc. ............. 53,600 214,400
*Check Technology Corp. ............ 21,500 253,969
*Checkers Drive-In Restaurant, Inc. 55,100 80,067
*Checkmate Electronics, Inc. ....... 24,000 363,000
*Chemfab Corp. ..................... 141,300 1,907,550
*Chempower, Inc. ................... 8,600 36,550
*Chemtrak, Inc. .................... 25,050 115,856
*Cherry Corp. Class A .............. 3,600 42,300
*Cherry Corp. Class B .............. 9,900 124,988
Chesapeake Utilities Corp. ........ 16,975 280,088
Chester Valley Bancorp ............ 696 13,311
*Chic by His, Inc. ................. 80,000 480,000
Chicago Rivet & Machine Co. ....... 10,000 350,000
*Chicos Fas, Inc. .................. 66,900 677,363
*Children's Comprehensive Services,
Inc. ............................. 27,000 612,563
*Children's Discovery Centers of
America, Inc. Class A ............ 32,100 210,656
*Chips & Technologies, Inc. ........ 31,000 344,875
Chittenden Corp. .................. 15,429 334,611
*#Chock Full O' Nuts Corp. .......... 180,544 925,288
*Cholestech Corp. .................. 71,000 497,000
*Christiana Companies, Inc. ........ 16,600 356,900
*Chromcraft Revington, Inc. ........ 56,000 1,393,000
*Chronimed, Inc. ................... 64,800 1,336,500
*Chyron Corp. ...................... 75,061 356,540
<PAGE>
Shares Value+
--------- ------------
*Ciber, Inc. ....................... 30,000 $1,365,000
*#Cincinnati Microwave, Inc. ......... 103,700 466,650
*Cinergi Pictures Entertainment,
Inc. ............................. 39,200 77,788
*Ciprico, Inc. ..................... 41,895 926,927
*Circon Corp. ...................... 26,822 348,686
*Circuit Systems, Inc. ............. 15,600 103,350
*Citadel Holding Corp. ............. 5,000 11,875
*Citation Computer System, Inc. .... 30,000 541,875
*Citation Insurance Group .......... 9,450 42,525
Citfed Bancorp, Inc. .............. 21,000 795,375
*Citizens, Inc. Class A ............ 28,100 210,750
City Holding Co. .................. 220 5,280
*Civic Bancorp ..................... 37,800 316,575
*Clark (Dick) Productions, Inc. .... 11,600 171,100
*Clean Harbors, Inc. ............... 90,500 328,063
*Cliffs Drilling Co. ............... 39,300 1,048,819
*Clintrials Research, Inc. ......... 8,800 421,300
*Clothestime, Inc. ................. 123,400 177,388
Coachmen Industries, Inc. ......... 120,200 4,432,375
*Coast Distribution System ......... 43,600 321,550
Coastal Bancorp, Inc. ............. 29,400 542,063
*Coastcast Corp. ................... 22,700 581,688
*Cobra Electronic Corp. ............ 135,100 371,525
*Cobra Industries ,Inc. ............ 5,400 273
*Cocensys, Inc. .................... 38,600 325,688
*Code Alarm, Inc. .................. 39,100 195,500
*Cognitronics Corp. ................ 57,450 283,659
*Coherent Communications Systems
Corp. ............................ 28,300 746,413
*Coho Energy, Inc. ................. 99,000 643,500
Cohu, Inc. ........................ 106,000 2,557,250
*Cold Metal Products, Inc. ......... 45,400 300,775
*Cole National Corp. Class A ....... 78,400 1,587,600
*Collins Industries, Inc. .......... 86,325 383,067
Colonial Gas Co. .................. 5,150 116,519
*Columbia Banking System, Inc. ..... 7,980 125,685
*Columbia Laboratories, Inc. ....... 155,700 2,121,413
*Columbus Energy Corp. ............. 6,820 48,593
*Comarco, Inc. ..................... 47,200 961,700
*Comdial Corp. ..................... 151,433 1,665,763
*#Comforce Corp. .................... 25,300 638,825
Commercial Bancshares, Inc. ....... 17,200 240,800
*Communications Central, Inc. ...... 22,000 162,250
Communications Systems, Inc. ...... 118,500 1,896,000
Community Bank System, Inc. ....... 26,800 860,950
Community Banks, Inc. ............. 220 5,500
#Community Bankshares, Inc. NH ..... 3,400 59,288
Community First Bankshares, Inc. .. 7,900 184,663
*Community Health Computing Corp. .. 57,600 5,760
*Comnet Corp. ...................... 30,300 356,025
*Competitive Technologies, Inc. .... 109,100 1,295,563
*Complete Management, Inc. ......... 2,099 25,188
*#Comprehensive Care Corp. .......... 420 3,885
*Compression Laboratories, Inc. .... 66,100 516,406
*Comptek Research, Inc. ............ 95,100 606,263
*Compucom Systems, Inc. ............ 25,200 315,000
Computer Data Systems, Inc. ....... 104,700 2,309,944
*Computer Identics Corp. ........... 60,000 142,500
Computer Language Research, Inc. .. 83,800 1,152,250
*Computer Network Technology Corp. . 21,300 177,056
*Computer Outsourcing Services, Inc. 13,800 59,513
*Computer Products, Inc. ........... 227,600 4,637,350
</TABLE>
5
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
Computer Task Group, Inc. ......... 53,300 $1,512,388
*Computer Telephone Corp. Class 1 .. 53,600 874,350
*Computrac, Inc. ................... 73,400 201,850
*Comshare, Inc. .................... 63,150 1,886,606
*Comstock Resources, Inc. .......... 111,800 866,450
*Comtech Telecommunications Corp. .. 1,000 5,188
*Concord Camera Corp. .............. 5,800 19,938
*Concord Fabrics, Inc. Class A ..... 45,500 261,625
*Concord Fabrics, Inc. Class B ..... 45,700 262,775
*Concurrent Computer Corp. ......... 7,780 22,854
*Conductus, Inc. ................... 32,000 464,000
*Congoleum Corp. Class A ........... 7,200 78,300
*Conmed Corp. ...................... 37,699 1,244,067
Connecticut Energy Corp. .......... 2,200 44,825
Connecticut Water Services, Inc. .. 42,350 1,111,688
*Consep, Inc. ...................... 49,700 211,225
*Consilium, Inc. ................... 50,700 377,081
*Conso Products Co. ................ 26,000 445,250
*Consolidated Graphics, Inc. ....... 14,100 371,888
*Consolidated Products, Inc. ....... 53,119 929,583
*Consolidated Stainless, Inc. ...... 10,550 108,797
Consolidated Tokoma Land Co. ...... 6,100 123,525
*Consumer Portfolio Services, Inc. . 29,000 297,250
*Consumers Financial Corp. ......... 26,000 87,750
Consumers Water Co. ............... 12,300 218,325
*Continental Can, Inc. DE .......... 10,500 149,625
Continental Homes Holding Corp. ... 70,100 1,726,213
*Continental Materials Corp. ....... 9,700 150,350
*Continental Waste Industries, Inc. 119,166 2,241,810
*Converse, Inc. .................... 20,900 96,663
*Convest Energy Corp. .............. 11,000 58,094
Cooker Restaurant Corp. ........... 25,300 379,500
*Cooper Companies, Inc. ............ 30,533 389,296
*#Cooper Development Co. ............ 6,800 12,322
*Cooperative Bankshares, Inc. ...... 1,500 26,438
*Coram Healthcare Corp. ............ 15,200 74,100
*Corcom, Inc. ...................... 63,400 752,875
Core Industries, Inc. ............. 56,600 820,700
*Core, Inc. ........................ 12,400 204,600
*Cornerstone Imaging, Inc. ......... 24,200 223,850
Corpus Christi Bankshares, Inc. ... 1,900 30,875
*Corrpro Companies, Inc. ........... 9,500 89,063
*Cortech, Inc. ..................... 54,300 167,991
*Corvas International, Inc. ........ 22,100 129,838
*Corvel Corp. ...................... 6,200 204,600
*Cosmetic Centers, Inc. Class A .... 19,650 110,531
*Cosmetic Centers, Inc. Class B .... 20,050 115,288
*Cosmo Communications Corp. ........ 10,000 4,690
Cotton States Life Insurance Co. .. 6,400 70,000
Courier Corp. ..................... 31,700 590,413
*Covenant Transport, Inc. Class A .. 33,000 503,250
Craftmade International, Inc. ..... 30,000 241,875
*Craig Corp. ....................... 43,900 526,800
*Creative Biomolecules, Inc. ....... 153,300 1,552,163
*Creative Technologies Corp. ....... 5,000 4,844
*Cree Research, Inc. ............... 90,600 1,500,563
*Criticare Systems, Inc. ........... 39,300 146,761
*Crop Growers Corp. ................ 31,400 321,850
*Crosscomm Corp. ................... 20,450 232,619
*Crossman Communities, Inc. ........ 60,000 1,260,000
*Crowley, Milner & Co. ............. 12,200 74,725
*Crown Books Corp. ................. 11,900 150,238
*Crown Central Petroleum Corp.
Class A ......................... 12,900 222,525
<PAGE>
Shares Value+
--------- ------------
*Crown Central Petroleum Corp.
Class B ......................... 5,800 $ 93,525
Crown Crafts, Inc. ................ 35,500 372,750
*Crown Resources Corp. ............. 87,700 559,088
*Crown-Andersen, Inc. .............. 10,500 77,438
*Cruise America, Inc. .............. 37,100 250,425
*Cryenco Sciences, Inc. Class A .... 30,900 129,394
*Cryolife, Inc. .................... 22,100 798,363
*Cryomedical Sciences, Inc. ........ 27,800 68,631
*Crystal Oil Co. ................... 5,000 170,000
Cubic Corp. ....................... 19,100 639,850
*Culbro Corp. ...................... 62,600 3,607,325
Culp, Inc. ........................ 178,580 2,455,475
Cupertino National Bancorp ........ 220 2,998
*Curative Technologies, Inc. ....... 79,600 2,064,625
*Custom Chrome, Inc. ............... 13,200 347,325
*Customedix Corp. .................. 3,350 6,909
*Cyberonics, Inc. .................. 6,000 33,000
*Cyberoptics Corp. ................. 29,600 458,800
*Cycare Systems, Inc. .............. 54,400 2,699,600
*Cygne Designs, Inc. ............... 10,000 11,406
*Cygnus, Inc. ...................... 5,200 96,525
*Cypros Pharmaceutical Corp. ....... 140,300 806,725
*Cyrk, Inc. ........................ 60,200 763,788
*Cytel Corp. ....................... 170,500 1,342,688
*Cytogen Corp. ..................... 54,200 486,106
*Cytotherapeutics, Inc. ............ 97,700 1,196,825
*Cytrx Corp. ....................... 24,800 124,775
*D&N Financial Corp. ............... 27,800 338,813
*DBA Systems, Inc. ................. 27,500 139,219
*DDL Electronics, Inc. ............. 171,500 321,563
*DEP Corp. Class A ................. 66,025 74,278
*DEP Corp. Class B ................. 66,025 78,405
*DH Technology, Inc. ............... 47,850 1,256,063
*DIY Home Warehouse, Inc. .......... 70,000 371,875
*DM Management Co. ................. 15,000 70,313
*DMX, Inc. ......................... 205,800 257,250
*DNA Plant Technology Corp. ........ 54,000 39,656
*DNX Corp. ......................... 70,000 503,125
*DR Horten, Inc. ................... 110,425 1,159,463
*DRCA Medical Corp. ................ 45,000 180,000
DS Bancor, Inc. ................... 48,893 1,552,353
*DSP Group, Inc. ................... 33,000 383,625
*DSP Technology, Inc. .............. 3,800 24,463
DT Industries, Inc. ............... 52,000 994,500
*DVI, Inc. ......................... 68,100 944,888
*Daily Journal Corp. ............... 200 5,400
*Daisy Systems, Inc. ............... 317,500 0
*Daka International, Inc. .......... 13,267 334,992
*Daktronics, Inc. .................. 12,200 54,138
*Damark International, Inc. Class A 19,100 231,588
Daniel Industries, Inc. ........... 40,000 590,000
*Danielson Holding Corp. ........... 153 1,148
*Danskin, Inc. ..................... 18,900 63,788
*Darling International, Inc. ....... 17,800 465,025
Dart Group Corp. Class A .......... 200 16,925
*Data Broadcasting Corp. ........... 31,436 314,360
*Data I/O Corp. .................... 65,600 434,600
*Data Race, Inc. ................... 21,100 93,631
*Data Research Association, Inc. ... 9,400 220,900
*Data Systems & Software, Inc. ..... 23,400 195,975
*Data Translation, Inc. ............ 82,600 2,157,925
*Data Transmission Network Corp. ... 4,600 295,550
*Dataflex Corp. .................... 38,325 258,694
*Datakey, Inc. ..................... 11,100 87,413
</TABLE>
6
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
*Datamarine International, Inc. .... 200 $ 2,725
*Datametrics Corp. ................. 56,000 392,000
*#Datapoint Corp. ................... 129,100 193,650
*Dataram Corp. ..................... 11,400 69,825
*Dataware Technologies, Inc. ....... 46,000 310,500
*Datawatch Corp. ................... 58,600 593,325
*Datron Systems, Inc. .............. 23,200 305,950
*Datum, Inc. ....................... 72,600 984,638
*Davco Restaurants, Inc. ........... 56,300 429,288
*Davel Communications Group, Inc. .. 7,600 133,950
Davis Water & Waste Industries,
Inc. ............................. 48,900 1,460,888
*Davox Corp. ....................... 58,500 1,747,688
*Daw Technologies, Inc. ............ 100,600 609,888
*Dawson Geophysical Co. ............ 44,700 502,875
*Daxor Corp. ....................... 46,000 552,000
*Day Runner, Inc. .................. 12,850 366,225
*De Soto, Inc. ..................... 42,800 235,400
*De Tomaso Industries, Inc. ........ 7,000 70,000
Deb Shops, Inc. ................... 37,300 191,163
*Deckers Outdoor Corp. ............. 29,200 255,500
Decorator Industries, Inc. ........ 2,100 23,363
*Deeptech International, Inc. ...... 19,100 109,825
Defiance, Inc. .................... 65,200 387,125
*Deflecta-Shield Corp. ............. 7,700 45,238
*Del Electronics Corp. ............. 8,445 108,729
Del Laboratories, Inc. ............ 92,768 2,643,888
*Delaware Ostego Corp. ............. 1,011 10,236
Delchamps, Inc. ................... 15,500 362,313
*Delphi Information Systems, Inc. .. 7,000 13,781
Delta Natural Gas Co., Inc. ....... 18,800 307,850
Delta Woodside Industries, Inc. ... 144,000 828,000
*Denamerica Corp. .................. 1,500 8,063
*Designs, Inc. ..................... 129,600 858,600
*Detection Systems, Inc. ........... 44,124 631,525
*Detrex Corp. ...................... 9,500 58,188
*Devcon International Corp. ........ 25,100 247,863
*Devlieg-Bullard, Inc. ............. 105,000 288,750
*Dewolfe Companies, Inc. ........... 4,400 25,300
*Diagnostic Retrieval Systems, Inc. 9,400 102,225
*Diametrics Medical, Inc. .......... 54,300 356,344
*Dianon Systems, Inc. .............. 18,900 133,481
*Digicon, Inc. ..................... 38,966 652,681
*Digital Biometrics, Inc. .......... 72,000 495,000
*Digital Communications Technology
Corp. ............................ 3,675 12,863
*Digital Link Corp. ................ 72,700 1,263,163
*Digital Microwave Corp. ........... 41,300 647,894
*Digital Sound Corp. ............... 17,900 33,563
*Digital Systems International, Inc. 96,900 2,125,744
Dime Financial Corp. .............. 20,100 276,375
*Diodes, Inc. ...................... 31,400 286,525
*#Discovery Zone, Inc. .............. 12,000 5,250
*Dixie Yarns, Inc. ................. 42,319 222,175
*Dixon Ticonderoga Co. ............. 27,450 185,288
Donegal Group, Inc. ............... 13,900 243,250
Donnelly Corp. Class A ............ 47,800 758,825
*Donnkenny, Inc. ................... 12,200 231,800
*Dorsey Trailers, Inc. ............. 39,000 197,438
*Dotronix, Inc. .................... 97,000 169,750
Douglas & Lomason Co. ............. 37,550 502,231
*Dravo Corp. ....................... 5,000 65,000
*Drew Industries, Inc. ............. 42,100 720,963
*#Drexler Technology Corp. .......... 112,550 1,857,075
*Driver-Harris Co. ................. 27,000 216,000
<PAGE>
Shares Value+
--------- ------------
*Drug Emporium, Inc. ............... 39,500 $ 165,406
*Drypers Corp. ..................... 46,300 179,413
*Dual Drilling Co. ................. 15,800 302,175
*Duckwall-Alco Stores, Inc. ........ 37,200 490,575
*Ducommun, Inc. .................... 52,100 755,450
Duff & Phelps Credit Rating Co. ... 11,000 207,625
*Durakon Industries, Inc. .......... 54,500 728,938
*Duramed Pharmaceuticals, Inc. ..... 53,000 947,375
*Dwyer Group, Inc. ................. 14,700 36,750
*Dycom Industries, Inc. ............ 100,700 1,233,575
Dyersburg Corp. ................... 94,500 519,750
Dynamics Corp. of America ......... 86,300 2,200,650
*Dynamics Research Corp. ........... 53,984 411,628
*E & B Marine, Inc. ................ 200 2,150
*E-Z-Em, Inc. Class A .............. 37,000 522,625
*E-Z-Em, Inc. Class B .............. 50,120 664,090
*EA Engineering Science &
Technology, Inc. ................. 78,975 246,797
*EA Industries, Inc. ............... 63,600 310,050
*ECC International Corp. ........... 139,750 1,257,750
*ECCS, Inc. ........................ 6,900 23,288
*EFI Electronics Corp. ............. 91,400 114,250
*EIP Microwave, Inc. ............... 3,140 9,813
*EIS International, Inc. ........... 83,300 2,441,731
*ELXSI Corp. ....................... 8,300 53,431
EMC Insurance Group, Inc. ......... 20,300 276,588
*ERLY Industries, Inc. ............. 23,830 214,470
*ERO, Inc. ......................... 60,000 375,000
*ESCO Electronics Corp. Trust
Receipts ......................... 96,076 1,212,960
*ESSEF Corp. ....................... 48,700 827,900
*EXX, Inc. Class A ................. 300 1,538
*EXX, Inc. Class B ................. 100 488
Eagle Bancshares, Inc. ............ 7,900 130,350
*#Eagle Finance Corp. ............... 24,200 190,575
Eagle Financial Corp. ............. 7,655 174,151
*Eagle Food Centers, Inc. .......... 82,600 376,863
*Eastco Industrial Safety Corp. .... 83 93
Eastern Bancorp, Inc. ............. 6,800 164,050
Eastern Co. ....................... 56,500 656,813
*Eastern Environment Services, Inc. 1,000 5,188
*Eateries, Inc. .................... 11,200 56,000
*Ecogen, Inc. ...................... 35,200 179,300
Ecology & Environment, Inc.
Class A .......................... 11,400 96,900
*Edelbrock Corp. ................... 15,200 257,450
#Edison Brothers Stores, Inc. ...... 24,300 63,788
*Edison Control Corp. .............. 7,000 51,625
*Edisto Resources Corp. ............ 114,200 1,127,725
*#Editek, Inc. ...................... 74,436 102,350
*Edmark Corp. ...................... 12,400 365,800
*Edo Corp. ......................... 56,500 437,875
*Education Alternatives, Inc. ...... 49,100 190,263
*Educational Development Corp. ..... 2,800 28,000
*Educational Insights, Inc. ........ 50,900 181,331
*Egghead, Inc. ..................... 60,200 718,638
Ekco Group, Inc. .................. 119,800 733,775
*El Chico Restaurants, Inc. ........ 84,400 691,025
Elcor Corp. ....................... 9,600 212,400
Eldorado Bancorp CA ............... 13,677 205,155
*Electric & Gas Technology, Inc. ... 48,500 125,797
*Electric Fuel Corp. ............... 25,200 160,650
*Electro Rent Corp. ................ 133,225 3,230,706
*Electro Scientific Industries, Inc. 77,000 2,050,125
Electro Sensors, Inc. ............. 2,300 13,513
</TABLE>
7
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
*Electro-Catheter Corp. ............ 30,300 $ 67,228
*Electromagnetic Sciences, Inc. .... 129,449 1,860,829
*Electronic Fab Technology, Inc. ... 36,100 137,631
*Electronic Retailing System
International, Inc. .............. 16,400 34,850
Electronic Tele Communications,
Inc. Class A ..................... 15,500 40,688
*Elek-Tek, Inc. .................... 40,000 160,000
*Eljer Industries, Inc. ............ 21,400 243,425
Ellett Brothers, Inc. ............. 44,000 305,250
*Elsinore Corp. .................... 51,720 38,790
*Eltron International, Inc. ........ 20,000 550,000
*Embrex, Inc. ...................... 123,200 862,400
*Emcon ............................. 66,450 290,719
*#Emerson Radio Corp. ............... 62,200 134,119
*Emisphere Technologies, Inc. ...... 12,800 151,200
*Empi, Inc. ........................ 28,000 490,000
*Emulex Corp. ...................... 53,800 1,028,925
*Encad, Inc. ....................... 16,600 741,813
*Encore Computer Corp. ............. 363,100 1,265,177
*Encore Wire Corp. ................. 36,300 360,731
*Endosonics Corp. .................. 23,700 358,463
*Energy Biosystems Corp. ........... 89,000 578,500
*Energy Conversion Devices, Inc. ... 61,400 1,485,113
*Energy Research Corp. ............. 18,000 335,250
Energynorth, Inc. ................. 32,526 638,323
Engineered Support Systems, Inc. .. 22,000 166,375
*Engineering Measurements Co. ...... 28,400 88,750
#Engle Homes, Inc. ................. 26,000 234,000
Ennis Business Forms, Inc. ........ 7,400 80,475
*Ensys Environmental Products, Inc. 48,000 87,000
*Envirogen, Inc. ................... 11,900 45,369
*Environmental Elements Corp. ...... 47,800 89,625
*Environmental Technologies Corp. .. 11,200 112,000
*Environmental Tectonics Corp. ..... 3,300 17,531
*Enviroq Corp. ..................... 1,008 0
*Envirosource, Inc. ................ 370,700 1,482,800
*Envirotest Systems Corp. Class A .. 70,000 210,000
*Enzon, Inc. ....................... 95,100 374,456
*Epitope, Inc. ..................... 11,300 233,063
*Equinox Systems, Inc. ............. 12,000 167,250
*Equitex, Inc. ..................... 1,300 4,063
*Equitrac Corp. .................... 5,200 47,775
*Equity Marketing, Inc. ............ 15,900 226,575
*Equity Oil Co. .................... 134,100 796,219
*#Ernst Home Center, Inc. ........... 103,000 251,063
*Escalade, Inc. .................... 108,398 555,540
Eskimo Pie Corp. .................. 27,000 565,313
*Esmor Correctional Services, Inc. . 29,800 532,675
Espey Manufacturing & Electronics
Corp. ............................ 21,000 330,750
*Essex Corp. ....................... 1,000 3,250
Essex County Gas Co. .............. 1,400 34,475
*Esterline Technologies Corp. ...... 32,400 745,200
*Evans & Sutherland Computer Corp. . 15,400 358,050
*Evans Systems, Inc. ............... 3,900 24,741
*Evans, Inc. ....................... 107,900 229,288
Evergreen Bancorp, Inc. DE ........ 7,800 191,588
*Evergreen Resources, Inc. ......... 18,400 127,650
*Exar Corp. ........................ 49,400 790,400
*Excalibur Technologies Corp. ...... 8,900 169,100
Excel Industries, Inc. ............ 91,500 1,372,500
*#Excel Technology, Inc. ............ 26,222 294,998
*Executive Telecard, Ltd. .......... 46,796 640,520
<PAGE>
Shares Value+
--------- ------------
*Executone Information Systems, Inc. 100,900 $ 356,303
*Exide Electronics Group, Inc. ..... 48,709 724,546
*Express America Holdings Corp. .... 42,000 186,375
*Ezcorp, Inc. Class A Non-Voting ... 59,900 385,606
F & M Bancorp (MD) ................ 1,700 41,013
F & M Bancorporation, Inc. ........ 9,350 271,150
FCB Financial Corp. ............... 5,400 95,850
FDP Corp. ......................... 56,200 681,425
FFLC Bancorp ...................... 4,000 73,250
*FFO Financial Group, Inc. ......... 6,000 17,438
FFY Financial Corp. ............... 15,500 362,313
*FLIR Systems, Inc. ................ 32,350 456,944
*FM Properties, Inc. ............... 24,200 58,231
*FNB Rochester Corp. ............... 9,700 89,725
*#FPA Corp. ......................... 101,400 120,413
*FPA Medical Management, Inc. ...... 35,500 627,906
*FRP Properties, Inc. .............. 31,700 649,850
Fab Industries, Inc. .............. 2,900 84,463
*Fabri-Centers of America, Inc.
Class A .......................... 200 2,950
*Fabri-Centers of America, Inc.
Class B .......................... 200 2,875
*Failure Group, Inc. ............... 73,000 428,875
*Fairchild Corp. Class A ........... 125,800 1,839,825
*Fairfield Communities, Inc. ....... 40,000 410,000
*Falcon Building Products, Inc.
Class A .......................... 26,000 295,750
Falcon Products, Inc. ............. 30,990 515,209
Family Bancorp .................... 8,850 211,294
*Family Golf Centers, Inc. ......... 15,500 415,594
Fansteel, Inc. .................... 97,500 633,750
*Farah, Inc. ....................... 87,100 740,350
*Farmers & Mechanics Bank .......... 1,500 29,438
*Farr Co. .......................... 32,650 455,059
*Farragut Mortgage, Inc. ........... 39 0
Farrel Corp. ...................... 24,300 104,794
*Fastcomm Communications Corp. ..... 1,000 19,125
*Faulding Corp. .................... 33,900 220,350
Fay's, Inc. ....................... 78,700 639,438
*Featherlite Manufacturing, Inc. ... 8,300 45,650
Fed One Bancorp ................... 2,500 37,500
Fedders Corp. Class A ............. 23,712 142,272
Federal Screw Works ............... 21,600 583,200
*#Female Health Co. ................. 17,700 108,413
*Ferrofluidics Corp. ............... 36,700 628,488
*Fiberstars, Inc. .................. 10,100 49,869
*Fibreboard Corp. .................. 2,000 50,000
Fidelity Bancorp, Inc. ............ 220 3,685
Fidelity Bancorp, Inc. Delaware ... 10,500 176,531
Fidelity Federal Bancorp .......... 16,500 204,188
Fidelity Financial Bankshares Corp. 210 2,599
Fidelity National Financial, Inc. . 37,360 518,370
*Fifty-Off Stores, Inc. ............ 11,400 13,894
*Filenes Basement Corp. ............ 56,350 327,534
*Financial Federal Corp. ........... 73,500 1,203,563
*Financing for Science
International, Inc. .............. 14,200 86,531
*Finish Line, Inc. Class A ......... 12,200 308,813
*Finishmaster, Inc. ................ 27,600 315,675
First Albany Companies, Inc. ...... 2,415 25,358
*First Alert, Inc. ................. 79,200 524,700
*First American Health Concepts,
Inc. ............................. 4,200 19,950
First Bancorp ..................... 200 5,900
</TABLE>
8
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
*First Banks America, Inc. ......... 4,879 $ 51,230
*First Cash, Inc. .................. 11,900 70,656
First Central Financial Corp. ..... 100,400 589,850
First Charter Corp. ............... 2,800 52,150
*First Citizens Financial Corp. .... 9,411 172,918
First Defiance Financial Corp. .... 6,692 72,357
First Essex Bancorp ............... 31,700 336,813
First Federal Capital Corp. ....... 49,900 1,091,563
First Federal Savings & Loan
Association of East Hartford, CT . 24,100 427,775
First Financial Corp. of Western
Maryland ......................... 3,900 77,025
First Financial Holdings, Inc. .... 42,200 812,350
First Home Savings Bank FSB
Pennsville, NJ ................... 200 3,650
First Indiana Corp. ............... 73,960 1,830,510
First Liberty Financial Corp. ..... 7,100 158,863
*First Merchants Acceptance Corp. .. 29,100 643,838
First Merchants Corp. ............. 1,950 51,675
First Mutual Savings Bank ......... 264 3,498
First Northern Capital Corp. ...... 16,050 256,800
First Oak Brook Bancshares, Inc.
Class A .......................... 10,000 237,500
*First Pacific Networks, Inc. ...... 38,500 110,086
First Palm Beach Bancorp, Inc. .... 15,300 327,038
*First Republic Bancorp, Inc. ...... 157,149 2,337,591
First Savings Bancorp, Inc. North
Carolina ......................... 4,900 92,488
First Southeast Financial Corp. ... 8,600 155,875
First State Financial Services,
Inc. ............................. 300 3,150
*#First Team Sports, Inc. ........... 17,150 241,172
First United Bancorp .............. 18,000 179,719
First Western Bancorp, Inc. ....... 7,050 185,063
*First Years, Inc. ................. 34,000 561,000
*FirstFed Financial Corp. DE ....... 34,500 573,563
FirstFederal Financial Services
Corp. ............................ 12,826 314,237
Firstfed Bancshares, Inc. ......... 30,000 472,500
*Fischer Imaging Corp. ............. 23,300 307,269
Flag Financial Corp. .............. 200 2,600
*Flagstar Companies, Inc. .......... 50,200 178,838
Flamemaster Corp. ................. 200 838
*Flanigan's Enterprises, Inc. ...... 10,300 54,075
Flexsteel Industries, Inc. ........ 61,800 679,800
Florida First Bancorp, Inc. ....... 300 3,338
*#Florida Gaming Corp. .............. 15,550 111,766
Florida Public Utilities Co. ...... 4,500 87,188
*Flow International Corp. .......... 158,200 1,404,025
*Fluor Daniel/GTI, Inc. ............ 4,008 40,581
*Fluoroscan Imaging Systems, Inc. .. 4,000 37,750
*Foilmark, Inc. .................... 8,400 34,388
*Fonar Corp. ....................... 171,950 448,682
*Foodarama Supermarkets, Inc. ...... 22,000 464,750
*Foodbrands America, Inc. .......... 80,551 1,248,541
*Foothill Independent Bancorp ...... 5,570 48,738
Forest City Enterprises, Inc.
Class A .......................... 4,500 177,188
*Forest Oil Corp. .................. 44,993 573,661
*#Fortune Petroleum Corp. ........... 30,507 114,401
*Fossil, Inc. ...................... 24,400 388,875
Foster (L.B.) Co. Class A ......... 126,600 526,181
*#Fountain Oil, Inc. ................ 28,300 143,269
*Fountain Powerboat Industries, Inc. 8,800 87,450
*Four Kids Entertainment, Inc. ..... 19,900 50,994
*Fourth Shift Corp. ................ 29,400 260,925
<PAGE>
Shares Value+
--------- ------------
Framingham Savings Bank MA ........ 52,100 $ 208,400
Franklin Bank National Associaton
Southfield, MI ................... 8,835 97,737
Frederick's of Hollywood, Inc.
Class A .......................... 31,639 140,398
Frederick's of Hollywood, Inc.
Class B .......................... 83,878 366,966
Freds, Inc. Class A ............... 40,000 437,500
*Frequency Electronics, Inc. ....... 57,600 446,400
*Fresh America Corp. ............... 9,000 121,500
*Fresh Choice, Inc. ................ 50,000 350,000
*Fretter, Inc. ..................... 38,148 6,676
Friedman Industries, Inc. ......... 129,004 532,142
*Friedmans, Inc. Class A ........... 16,900 481,650
Frisch's Restaurants, Inc. ........ 62,085 721,738
Frontier Adjusters of America, Inc. 1,000 3,250
Frozen Food Express Industries,
Inc. ............................. 100,000 1,131,250
*#Fruehauf Trailer Corp. ............ 140,200 87,625
*Funco, Inc. ....................... 50,500 429,250
*Fuqua Enterprises, Inc. ........... 40,500 1,154,250
Furon Co. ......................... 43,100 1,029,013
*Future Healthcare, Inc. ........... 7,000 763
*G-III Apparel Group, Ltd. ......... 43,470 153,503
GBC Bancorp ....................... 56,700 1,318,275
*GMIS, Inc. ........................ 47,500 688,750
*GNI Group, Inc. ................... 76,800 374,400
*GRC International, Inc. ........... 131,600 5,625,900
*GTI Corp. ......................... 29,100 260,081
*GTS Duratek, Inc. ................. 26,900 464,025
*GZA Geoenvironmental Technologies,
Inc. ............................. 15,800 56,288
*Galey & Lord, Inc. ................ 95,000 1,080,625
*Galileo Electro-Optics Corp. ...... 69,300 1,979,381
*Galoob (Lewis) Toys, Inc. DE ...... 166,000 3,610,500
*Gametek, Inc. ..................... 5,000 16,250
Gamma Biologicals, Inc. ........... 46,000 192,625
*Gander Mountain, Inc. ............. 42,290 84,580
*Gantos, Inc. ...................... 20,200 140,138
Garan, Inc. ....................... 11,100 191,475
*Gardner Denver Machinery, Inc. .... 14,400 376,200
*Garnet Resources Corp. ............ 73,900 45,033
*Gasonics International, Inc. ...... 112,000 1,484,000
*Gateway Industries, Inc. .......... 11,120 58,380
*Geerling & Wade, Inc. ............. 11,900 66,194
*Gehl Co. .......................... 19,000 156,750
*Gelman Sciences, Inc. ............. 42,175 943,666
Gencor Industries, Inc. ........... 5,500 52,250
*Genelabs Technologies, Inc. ....... 27,500 237,188
*Genemedicine, Inc. ................ 76,400 496,600
General Employment Enterprises,
Inc. ............................. 5,230 84,988
*General Host Corp. ................ 53,520 180,630
General Housewares Corp. .......... 40,700 513,838
*General Kinetics, Inc. ............ 35,300 19,856
General Magnaplate Corp. .......... 4,200 26,775
*General Microwave Corp. ........... 8,600 68,263
General Physics Corp. ............. 73,000 301,125
*Genesco, Inc. ..................... 124,000 945,500
Genesee Corp. Class B ............. 200 9,025
*Genicom Corp. ..................... 109,900 652,531
*Genlyte Group, Inc. ............... 67,100 528,413
*Genome Therapeutics Corp. ......... 121,600 1,314,800
Genovese Drug Stores, Inc.
Class A .......................... 106,269 1,009,556
</TABLE>
9
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
*Genrad, Inc. ...................... 79,600 $1,353,200
*Gensia, Inc. ...................... 200,000 1,025,000
*Genta, Inc. ....................... 21,800 42,919
*Genus, Inc. ....................... 69,100 751,463
*Genzyme Transgenics Corp. ......... 50,000 440,625
George Mason Bankshares, Inc. ..... 30,300 628,725
*Georgia-Bonded Fibres, Inc. ....... 2,200 8,800
*Geriatric & Medical Companies, Inc. 214,513 455,840
Getty Petroleum Corp. ............. 13,900 189,388
*Giant Cement Holding, Inc. ........ 31,000 428,188
*Giant Group, Ltd. ................. 78,100 673,613
Giant Industries, Inc. ............ 67,500 1,004,063
*Gibraltar Packaging Group, Inc. ... 7,100 36,831
*Gibraltar Steel Corp. ............. 10,600 221,938
*Gibson Greetings, Inc. ............ 16,200 230,850
*Giga-Tronics, Inc. ................ 35,000 406,875
Gilbert Associates, Inc. Class A .. 15,000 200,625
*Gish Biomedical, Inc. ............. 74,750 523,250
Glacier Bancorp, Inc. ............. 6,587 142,444
*Glacier Water Services, Inc. ...... 30,600 589,050
Gleason Corp. ..................... 116,700 4,755,525
*Globalink, Inc. ................... 30,500 263,063
*Go Video, Inc. .................... 86,400 97,200
Golden Enterprises, Inc. .......... 7,200 69,750
*Golden Oil Co. DE ................. 1,369 1,455
Golden Poultry Co., Inc. .......... 32,400 295,650
*Goldwyn (Samuel) Co. .............. 53,855 259,177
*Golf Enterprises, Inc. ............ 17,500 203,438
*Good Guys, Inc. ................... 102,000 969,000
GoodMark Foods, Inc. .............. 90,400 1,367,300
*Goodrich Petroleum Corp. .......... 178,200 167,063
Goodys Family Clothing, Inc. ...... 134,500 1,328,188
Gorman-Rupp Co. ................... 30,200 419,025
*Gottschalks, Inc. ................. 57,700 389,475
*Government Technology Services,
Inc. ............................. 41,000 279,313
*Gradco Systems, Inc. .............. 151,411 662,423
*Graff Pay-per-View, Inc. .......... 71,600 210,325
*Graham Corp. ...................... 3,300 54,450
*Graham-Field Health Products, Inc. 56,000 399,000
Granite State Bankshares, Inc. .... 4,300 78,475
*Grant Geophysical, Inc. ........... 26,500 114,281
Graphic Industries, Inc. .......... 22,200 238,650
Great Southern Bancorp, Inc. ...... 1,800 48,038
*Greater New York Savings Bank NY .. 124,200 1,397,250
Green (A.P.) Industries, Inc. ..... 61,550 1,246,388
Green Mountain Power Corp. ........ 12,600 333,900
Greenbrier Companies, Inc. ........ 56,000 896,000
Greenwich Air Services, Inc.
Class A .......................... 7,600 286,900
*Greenwich Air Services, Inc.
Class B .......................... 7,600 243,200
*Grist Mill & Co. .................. 60,450 392,925
*Grossmans, Inc. ................... 231,300 397,547
*Ground Round Restaurants, Inc. .... 86,950 301,608
*Group 1 Software, Inc. ............ 31,400 286,525
*Group Technologies Corp. .......... 106,000 397,500
Grovebank for Savings ............. 12,700 327,025
*Grow Biz International, Inc. ...... 53,600 432,150
*Grubb & Ellis Co. ................. 39,552 158,208
*Gryphon Holdings, Inc. ............ 4,900 89,425
*Guest Supply, Inc. ................ 107,100 1,660,050
*Gulfmark International, Inc. ...... 25,800 938,475
<PAGE>
Shares Value+
--------- ------------
*Gull Laboratories, Inc. ........... 14,700 $ 71,663
*Gundle/SLT Environmental, Inc. .... 104,600 692,975
*Gupta Corp. ....................... 33,700 210,625
*HD Vest, Inc. ..................... 9,300 34,294
*HEI, Inc. ......................... 9,200 72,450
HF Financial Corp. ................ 4,700 70,500
*HMG Worldwide Corp. ............... 62,500 109,375
HMI Industries, Inc. .............. 84,200 694,650
*HMN Financial, Inc. ............... 15,900 247,444
*HPSC, Inc. ........................ 106,000 755,250
*HS Resources, Inc. ................ 91,000 1,092,000
*Ha-Lo Industries, Inc. ............ 2,100 73,238
Haggar Corp. ...................... 53,500 799,156
*Hahn Automotive Warehouse, Inc. ... 34,008 301,821
Halifax Corp. ..................... 4,700 45,825
Hallwood Energy Corp. ............. 200 2,275
*Hallwood Group, Inc. .............. 10,762 149,323
*Halsey Drug Co., Inc. ............. 53,922 350,493
*Hamburger Hamlet Restaurants, Inc. 30,700 31,659
*Hampshire Group, Ltd. ............. 4,900 57,575
*Hampton Industries, Inc. .......... 119,582 545,593
*Handex Environmental Recovery, Inc. 57,400 645,750
Handleman Co. ..................... 232,000 1,711,000
*Hanger Orthopedic Group, Inc. ..... 39,200 193,550
*Happiness Express, Inc. ........... 38,100 98,822
*Harcor Energy, Inc. ............... 24,800 113,925
*Harding Lawson Associates Group,
Inc. ............................. 72,800 464,100
*#Harken Energy Corp. ............... 50,000 140,625
Harleysville National Corp PA ..... 200 5,425
*Harlyn Products, Inc. ............. 42,581 46,573
Harmon Industries, Inc. ........... 54,300 923,100
*Harolds Stores, Inc. .............. 36,187 583,515
*Harris & Harris Group, Inc. ....... 31,600 219,225
*Harry's Farmers Market, Inc.
Class A .......................... 8,900 26,700
Harte-Hanks Communications, Inc. .. 27,765 732,302
*Hartmarx Corp. .................... 64,300 401,875
*Harvard Industries, Inc. .......... 12,900 201,563
*#Harvey Entertainment Co. .......... 30,000 285,000
Harvey's Casino Resorts ........... 39,300 844,950
Haskel International, Inc. ........ 13,100 90,063
Hastings Manufacturing Co. ........ 10,100 255,656
Hathaway Corp. .................... 34,580 95,095
*Hauser Chemical Research, Inc. .... 51,800 382,025
Haven Bancorp, Inc. ............... 10,900 307,244
Haverfield Corp. .................. 220 3,988
Haverty Furniture Co., Inc. ....... 68,200 920,700
Haverty Furniture Co., Inc. Class A 13,550 182,925
Hawkins Chemical, Inc. ............ 39,019 341,416
*Hawthorne Financial Corp. ......... 14,100 101,344
Health Images, Inc. ............... 31,400 302,225
*Health Management, Inc. ........... 18,600 102,300
*Health O Meter Products, Inc. ..... 20,100 118,716
*Health Power, Inc. ................ 4,600 34,500
*Health Professionals, Inc. ........ 4,923 23,384
*Health Risk Management, Inc. ...... 34,700 420,738
*Health-Chem Corp. ................. 174,500 359,906
*Healthcare Services Group, Inc. ... 78,800 704,275
*Healthdyne Information Enterprises,
Inc. ............................. 16,800 122,850
*Healthdyne Technologies, Inc. ..... 65,931 877,706
*Healthy Planet Products, Inc. ..... 3,500 24,500
</TABLE>
10
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
Hechinger Co. Class B ............. 1,800 $ 10,913
*Hector Communications Corp. ....... 21,300 162,413
*Heftel Broadcasting Corp. Class A . 7,900 171,825
Heico Corp. ....................... 110,079 2,187,820
*Hein-Werner Corp. ................. 37,052 296,416
*Heist (C.H.) Corp. ................ 10,600 80,825
Henry Jack & Associates, Inc. ..... 29,166 966,124
Heritage Financial Services, Inc. . 10,300 207,288
*Herley Industries, Inc. ........... 11,500 130,094
*Hi-Lo Automotive, Inc. ............ 104,800 497,800
*Hi-Shear Industries, Inc. ......... 100,075 625,469
*Hi-Shear Technology Corp. ......... 15,200 112,100
*Hi-Tech Pharmacal, Inc. ........... 37,500 342,188
Hibernia Savings Bank ............. 750 10,969
*High Plains Corp. ................. 137,576 511,611
*Hilite Industries, Inc. ........... 6,300 65,363
Hingham Institution for Savings MA 1,900 26,838
*Hinsdale Financial Corp. .......... 18,750 400,781
*Hirsch International Corp. Class A 5,200 94,575
*Hitox Corp. ....................... 24,700 92,625
Hoenig Group, Inc. ................ 15,200 68,400
*Holiday RV Superstores, Inc. ...... 9,600 19,050
Hollinger International, Inc.
Class A ......................... 17,450 215,944
*Hollywood Casino Corp. Class A .... 75,100 370,806
*Hologic, Inc. ..................... 100,600 4,011,425
*Holopak Technologies, Inc. ........ 32,000 140,000
Home Federal Bancorp .............. 14,800 382,950
Home Port Bancorp, Inc. ........... 600 8,175
*Home State Holdings, Inc. ......... 60,000 510,000
*Home Theater Products
International, Inc. .............. 9,800 921
*Homecorp, Inc. .................... 200 3,625
*Homeowners Group, Inc. ............ 115,600 220,363
*Hometown Bancorp., Inc. ........... 200 3,438
*Hometown Buffet, Inc. ............. 26,400 394,350
*Hondo Oil and Gas Co. ............. 7,000 96,250
Hooper Holmes, Inc. ............... 62,800 706,500
Horizon Bancorp, Inc. ............. 200 7,950
Horizon Financial Corp. ........... 23,573 303,502
*Horsehead Resource Development Co.,
Inc. ............................. 200 1,150
*Hospital Staffing Services, Inc. .. 34,200 123,975
*Hosposable Products, Inc. ......... 500 3,875
*Hovnanian Enterprises, Inc.
Class A .......................... 54,800 383,600
Howell Corp. ...................... 108,200 1,568,900
Howell Industries, Inc. ........... 14,400 421,200
*Howtek, Inc. ...................... 36,100 187,269
#Hudson General Corp. .............. 25,300 974,050
Huffy Corp. ....................... 105,800 1,441,525
Hughes Supply, Inc. ............... 57,950 2,332,488
*Hugoton Energy Corp. .............. 29,500 239,688
*Hurco Companies, Inc. ............. 46,900 310,713
*Hycor Biomedical, Inc. ............ 69,316 329,251
*Hyde Athletic Industries, Inc.
Class A .......................... 70,700 353,500
*Hyde Athletic Industries, Inc.
Class B .......................... 63,800 315,013
Hydron Technologies, Inc. ......... 97,500 268,125
*ICF Kaiser International, Inc. .... 208,500 651,563
#ICO, Inc. ......................... 68,580 454,343
*ICOS Corp. ........................ 48,100 432,900
*ICU Medical, Inc. ................. 21,650 479,006
*IDEC Pharmaceuticals Corp. ........ 12,400 320,075
*IDM Environmental Corp. ........... 8,000 61,500
<PAGE>
Shares Value+
--------- ------------
*IEC Electronics Corp. ............. 14,800 $ 118,400
*IFR Systems, Inc. ................. 62,935 944,025
*IGEN, Inc. ........................ 60,300 316,575
*IGI, Inc. ......................... 65,500 564,938
*II-VI, Inc. ....................... 8,600 130,075
*ILC Technology, Inc. .............. 54,600 675,675
*IMP, Inc. ......................... 252,100 3,891,794
*IPL Systems, Inc. Class A ......... 14,500 100,141
*IQ Software Corp. ................. 9,500 226,813
*IVF America, Inc. ................. 62,200 237,138
*IVI Publishing, Inc. .............. 65,000 621,563
IWC Resources Corp. ............... 7,900 153,063
*Ibah, Inc. ........................ 49,200 418,200
*Ikos Systems, Inc. ................ 20,450 584,103
*#Illinois Superconductor Corp. ..... 10,600 237,175
*Image Entertainment, Inc. ......... 107,600 699,400
*Image Industries, Inc. ............ 53,600 690,100
*Imatron, Inc. ..................... 95,600 358,500
*Imclone Systems, Inc. ............. 143,000 1,850,063
*Immucor, Inc. ..................... 26,900 329,525
*Immune Response Corp. DE .......... 130,100 1,626,250
*Immunogen, Inc. ................... 50,500 246,188
*Immunomedics, Inc. ................ 55,200 438,150
*Imo Industries, Inc. .............. 100,000 712,500
*Impact Systems, Inc. .............. 232,600 748,681
*Imperial Credit Industries, Inc. .. 57,750 1,703,625
*Imperial Holly Corp. .............. 23,800 288,575
*In Home Health, Inc. .............. 27,500 58,438
*Inacom Corp. ...................... 29,000 619,875
*Inbrand Corp. ..................... 22,200 639,638
*Inco Homes Corp. .................. 20,000 16,250
*Incstar Corp. ..................... 42,200 263,750
*Incyte Pharmaceuticals, Inc. ...... 16,500 558,938
*Indenet, Inc. ..................... 29,350 182,520
Independence Holding Co. .......... 20,839 97,683
Independent Bank Corp. MA ......... 108,100 844,531
Independent Bank East ............. 5,462 155,667
Independent Bankshares, Inc. ...... 786 8,351
Indiana Federal Corp. ............. 16,449 310,475
Industrial Acoustics Co., Inc. .... 900 9,788
*#Industrial Holdings, Inc. ......... 6,200 58,900
*Industrial Scientific Corp. ....... 3,700 69,375
*Industrial Training Corp. ......... 7,700 61,119
*Infodata Systems, Inc. ............ 2,138 21,915
*Information Resource Engineering,
Inc. ............................. 15,900 427,313
*Infrasonics, Inc. ................. 108,000 658,125
*Inhale Therapeutic Systems ........ 20,300 352,713
*Innerdyne, Inc. ................... 59,200 292,300
*Innodata Corp. .................... 8,050 31,697
*Innoserv Technologies, Inc. ....... 13,640 63,085
*#Innovative Gaming Corp of America . 17,900 185,713
Innovex, Inc. ..................... 101,900 1,732,300
*Insite Vision, Inc. ............... 78,300 533,419
Insituform East, Inc. ............. 12,100 46,131
Insteel Industries, Inc. .......... 59,944 412,115
Instron Corp. ..................... 118,200 1,610,475
*Insurance Auto Auctions, Inc. ..... 50,000 596,875
*Integrated Circuit Systems, Inc. .. 36,700 451,869
*Integrated Systems, Inc. .......... 28,400 951,400
*Integrated Waste Services, Inc. ... 12,500 28,125
*Intellicall, Inc. ................. 151,607 928,593
*Intellicorp, Inc. ................. 188,300 606,091
Intelligent Electronics, Inc. ..... 27,974 272,747
*Inter-Tel, Inc. ................... 51,200 1,417,600
</TABLE>
11
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
Intercargo Corp. .................. 20,000 $ 180,000
*Intercel, Inc. .................... 3,000 72,000
Interchange Financial Services
Corp. Saddle Brook ............... 14,280 282,030
Interface Systems, Inc. ........... 29,800 294,275
*Interferon Sciences, Inc. ......... 210,000 498,750
*#Interfilm, Inc. ................... 35,000 6,545
*Interim Services, Inc. ............ 32,988 1,554,560
*Interlake Corp. ................... 196,200 588,600
*Interleaf, Inc. ................... 44,100 350,044
*Interlink Electronics ............. 8,400 69,300
*Interlinq Software Corp. .......... 34,200 153,900
*Intermagnetics General Corp. ...... 155,825 2,512,678
*Intermedia Communications of
Florida, Inc. .................... 80,700 2,794,238
International Aluminum Corp. ...... 200 5,175
*International Imaging Materials,
Inc. ............................. 12,200 285,175
*International Jensen, Inc. ........ 13,400 136,513
*International Lottery & Totalizer
Systems, Inc. .................... 76,900 186,242
*International Lottery, Inc. ....... 8,600 101,050
*International Remote Imaging
Systems, Inc. .................... 14,550 150,956
*International Research &
Development Corp. ................ 48,000 2,400
International Shipholding Corp. ... 53,950 1,038,538
*International Technology Corp. .... 304,700 837,925
*International Thoroughbred
Breeders, Inc. ................... 29,000 116,000
*Interneuron Pharmaceuticals, Inc. . 134,948 5,262,972
*Interphase Corp. .................. 33,500 630,219
*Interpoint Corp. WA ............... 24,000 708,000
*Interpore International ........... 50,000 396,875
*Interscience Computer Corp. ....... 6,500 31,688
Interstate Johnson Lane, Inc. ..... 11,800 135,700
*Intersystems, Inc. ................ 52,700 95,519
*#Intertan, Inc. .................... 71,900 485,325
*Intervisual Books, Inc. Class A ... 1,500 3,609
Interwest Bancorp, Inc. ........... 19,200 464,400
*Investors Insurance Group, Inc. ... 42,700 2,669
Investors Title Co. ............... 24,000 291,000
Iroquois Bancorp .................. 400 6,150
Isco, Inc. ........................ 101,341 1,152,754
*Isis Pharmaceuticals, Inc. ........ 180,100 3,241,800
*Isomedix, Inc. .................... 51,100 772,888
*Iwerks Entertainment, Inc. ........ 20,324 212,132
*J & J Snack Foods Corp. ........... 40,000 532,500
*JG Industries, Inc. ............... 29,500 44,250
JLG Industries, Inc. .............. 50,000 3,950,000
*JPE, Inc. ......................... 5,500 51,563
*Jabil Circuit, Inc. ............... 60,000 795,000
Jackpot Enterprises, Inc. ......... 50,775 641,034
*Jaclyn, Inc. ...................... 49,627 223,322
*Jaco Electronics, Inc. ............ 11,873 149,155
*Jacobs Jay, Inc. .................. 45,500 88,156
Jacobson Stores, Inc. ............. 66,500 773,063
*Jalate, Ltd. ...................... 6,100 26,688
*Jan Bell Marketing, Inc. .......... 224,900 604,419
*Jason, Inc. ....................... 56,500 459,063
*Jean Philippe Fragrances, Inc. .... 69,000 646,875
Jeffbanks, Inc. ................... 7,740 177,053
Jefferson Savings Bancorp, Inc. ... 40,000 1,090,000
*Jennifer Convertibles, Inc. ....... 41,000 120,438
*Johnson Worldwide Associates, Inc.
Class A .......................... 43,100 748,863
<PAGE>
Shares Value+
--------- ------------
Johnston Industries, Inc. ......... 207,687 $1,791,300
*Johnstown American Industries, Inc. 71,700 300,244
Jones Medical Industries, Inc. .... 46,980 2,475,259
*Joule, Inc. ....................... 42,100 305,225
*Just Toys, Inc. ................... 28,300 38,913
K Swiss, Inc. Class A ............. 31,200 354,900
*K-Tel International, Inc. ......... 200 813
*K-Tron International, Inc. ........ 63,400 523,050
*K-V Pharmaceutical Co. Class A .... 22,250 300,375
*K-V Pharmaceutical Co. Class B .... 18,800 253,800
KCS Energy, Inc. .................. 12,900 324,113
*KLLM Transport Services, Inc. ..... 88,400 1,182,350
*KTI, Inc. ......................... 1,733 11,373
Kahler Realty Corp. ............... 12,700 209,550
*Kaiser Ventures, Inc. ............. 78,900 838,313
*Kaneb Services, Inc. .............. 39,200 142,100
Katy Industries, Inc. ............. 22,600 339,000
Kaye Group, Inc. .................. 41,000 266,500
Keithley Instruments, Inc. ........ 400 7,200
*Kelley Oil & Gas Corp. ............ 67,000 207,281
Kenan Transport Co. ............... 200 3,900
*#Kenetech Corp. .................... 2,000 1,313
*Kent Financial Services, Inc. ..... 14,278 99,054
*Kentucky Electric Steel, Inc. ..... 15,700 130,506
*Kenwin Shops, Inc. ................ 500 875
*Kerr Group, Inc. .................. 83,300 426,913
*Kewaunee Scientific Corp. ......... 44,800 196,000
*Key Energy Group, Inc. ............ 36,558 292,464
*Key Production Co., Inc. .......... 27,572 210,237
*Key Technology, Inc. .............. 27,000 685,125
*Key Tronic Corp. .................. 129,100 976,319
*Keystone Consolidated Industries,
Inc. ............................. 56,650 562,959
Keystone Heritage Group, Inc. ..... 29,600 621,600
*Kimmins Corp. ..................... 7,400 38,850
*Kinark Corp. ...................... 70,800 327,450
*Kinnard Investment, Inc. .......... 8,800 45,100
*Kit Manufacturing Co. ............. 12,000 138,750
*Kleer-Vu Industries, Inc. ......... 20,073 47,673
*Kleinert's, Inc. .................. 5,000 80,625
Knape & Vogt Manufacturing Co. .... 64,599 1,041,659
*Knight Transportation, Inc. ....... 9,100 166,075
*Knogo North America, Inc. ......... 72,800 709,800
*Koala Corp. ....................... 7,800 136,500
Kollmorgen Corp. .................. 25,600 368,000
*Koo Koo Roo, Inc. (Private
Placement) ....................... 120,000 945,000
*Kopin Corp. ....................... 29,300 291,169
*Koss Corp. ........................ 52,000 364,000
*Krauses Furniture, Inc. ........... 2,933 4,400
*Krug International Corp. .......... 21,465 114,033
*Krystal Co. ....................... 56,900 252,494
Kuhlman Corp. ..................... 231,276 3,989,511
Kysor Industrial Corp. ............ 27,200 717,400
*L.A. Gear, Inc. ................... 33,600 113,400
*LAT Sportswear, Inc. .............. 2,700 6,919
LCS Industries, Inc. .............. 12,660 212,055
LSB Bancshares, Inc. NC ........... 9,372 145,266
LSB Industries, Inc. .............. 108,900 612,563
LSI Industries, Inc. .............. 143,403 2,742,582
*LXE, Inc. ......................... 17,000 171,063
*#LXR Biotechnology, Inc. ........... 30,100 135,450
*La Jolla Pharmceutical Co. ........ 33,200 232,400
*LaBarge, Inc. ..................... 221,650 2,036,409
</TABLE>
12
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
LaCrosse Footwear, Inc. ........... 13,300 $ 137,988
*Laclede Steel Co. ................. 25,450 168,606
Ladd Furniture, Inc. .............. 33,333 372,913
Lafayette American Bank & Trust Co. 14,000 168,875
*Lakeland Industries, Inc. ......... 3,200 11,100
*Lamson & Sessions Co. ............. 143,800 1,671,675
*Lancer Corp. ...................... 44,100 1,006,031
*Lancit Media Productions, Ltd. .... 62,700 822,938
*Landair Services, Inc. ............ 16,400 233,700
Landauer, Inc. .................... 72,000 1,485,000
*Laser Pacific Media Corp. ......... 10,000 14,375
*Lasermaster Technologies, Inc. .... 96,700 477,456
*Laserscope ........................ 66,600 522,394
*Lawrence Savings Bank MA .......... 7,700 42,350
Lawyers Title Corp. ............... 28,900 484,075
*Layne, Inc. ....................... 3,900 49,725
*Lazare Kaplan International, Inc. . 71,300 1,033,850
*Leasing Solutions, Inc. ........... 19,100 310,375
*Leather Factory, Inc. ............. 200 400
*Lechters, Inc. .................... 44,900 311,494
*Lectec Corp. ...................... 13,080 153,690
Lesco, Inc. ....................... 87,100 1,382,713
*Leslie Building Products, Inc. .... 27,800 59,075
*Leslie's Poolmart ................. 44,992 843,600
*Levitz Furniture, Inc. ............ 63,200 276,500
Liberty Bancorp, Inc. Delaware .... 7,800 181,350
Liberty Homes, Inc. Class A ....... 200 2,800
*Liberty Technologies, Inc. ........ 6,900 44,850
*Lidak Pharmaceuticals Class A ..... 81,000 220,219
*Life Quest Medical, Inc. .......... 1,000 2,688
*Life USA Holdings, Inc. ........... 85,400 683,200
*Lifecore Biomedical, Inc. ......... 30,000 536,250
*Lifeline Systems, Inc. ............ 18,700 266,475
*Lifetime Hoan Corp. ............... 73,720 783,275
*Ligand Pharmaceuticals, Inc.
Class B .......................... 26,558 441,527
Lillian Vernon Corp. .............. 23,000 330,625
*Lindal Cedar Homes, Inc. .......... 40,777 168,205
Lindberg Corp. .................... 53,200 568,575
Lindsay Manufacturer Co. .......... 5,400 206,550
Litchfield Financial Corp. ........ 9,870 139,414
*Littlefield, Adams & Co. .......... 16,500 31,969
*Liuski International, Inc. ........ 3,300 15,263
*#Live Entertainment, Inc. .......... 2,000 13,250
*Lodgenet Entertainment Corp. ...... 63,000 901,688
*#Logic Devices, Inc. ............... 49,300 258,825
*Logic Works, Inc. ................. 94,000 1,427,625
Lomak Petroleum, Inc. ............. 79,145 1,098,137
*#Lomas Financial Corp. ............. 117,000 2,925
*Lone Star Technologies, Inc. ...... 15,700 172,700
*Longhorn Steaks, Inc. ............. 57,000 1,482,000
*Loronix Information Systems, Inc. . 11,200 39,200
*Lottery Enterprises, Inc. ......... 200 163
Lufkin Industries, Inc. ........... 20,300 431,375
*Lumex, Inc. ....................... 81,300 884,138
*Lunar Corp. ....................... 40,500 1,594,688
*Lund International Holdings, Inc. . 9,700 139,438
*Luria & Son, Inc. ................. 121,797 578,536
*Lynch Corp. ....................... 29,600 2,427,200
M A R C, Inc. ..................... 13,838 290,598
*M-Wave, Inc. ...................... 8,300 41,500
#MAF Bancorp, Inc. ................. 14,100 345,450
*MAI Systems Corp. ................. 207 1,915
MDC Holdings, Inc. ................ 59,300 415,100
<PAGE>
Shares Value+
--------- ------------
*MDL Information Systems, Inc. ..... 14,900 $ 453,519
*MDT Corp. ......................... 63,900 287,550
*MFRI, Inc. ........................ 9,300 65,100
*MGI Pharma, Inc. .................. 137,700 697,106
*MHM Services, Inc. ................ 7,275 10,913
*MI Schottenstein Homes, Inc. ...... 24,200 235,950
*MK Gold Corp. ..................... 58,500 111,516
*MLX Corp. ......................... 22,645 349,582
*MRS Technology, Inc. .............. 20,000 90,000
*MRV Communications, Inc. .......... 9,000 601,875
*MTI Technology Corp. .............. 18,500 49,719
MTS Systems Corp. ................. 18,700 345,950
MYR Group, Inc. ................... 39,200 445,900
MacDermid, Inc. ................... 200 13,750
*Macheezmo Mouse Restaurants, Inc. . 10,800 26,325
*Magainin Pharmaceuticals, Inc. .... 55,400 623,250
Magna Bancorp ..................... 7,700 273,350
*Magnetic Technologies Corp. ....... 3,100 11,431
*Mail Boxes, Etc. .................. 20,600 345,050
*Main Street & Main, Inc. .......... 2,850 9,619
Maine Public Service Co. .......... 32,700 592,688
Mainstreet Bankgroup, Inc. ........ 17,100 277,875
*Mallon Resources Corp. ............ 7,100 15,088
Managed Care Solutions, Inc. ...... 14,000 85,750
*Manatron, Inc. .................... 115 223
*Manugistic Group, Inc. ............ 10,950 169,725
*Mapinfo Corp. ..................... 16,500 280,500
*Marcam Corp. ...................... 35,900 462,213
*Marine Drilling Companies, Inc. ... 48,300 489,038
*Marisa Christina, Inc. ............ 11,800 318,600
Maritrans, Inc. ................... 29,900 179,400
*Mark VII, Inc. .................... 47,800 953,013
*Marlton Technologies, Inc. ........ 90,100 259,038
*Marquest Medical Products, Inc. ... 78,700 130,347
Marsh Supermarkets, Inc. Class A .. 6,600 84,150
Marsh Supermarkets, Inc. Class B .. 6,400 82,800
*Martek Biosciences Corp. .......... 8,400 302,400
*Marten Transport, Ltd. ............ 35,200 607,200
Maryland Federal Bancorp .......... 16,300 484,925
Massbank Corp. Reading, MA ........ 5,050 167,913
*Mastec, Inc. ...................... 58,000 1,823,375
*Matec Corp. DE .................... 74,600 456,925
*Mathsoft, Inc. .................... 25,000 200,000
*Matlack Systems, Inc. ............. 75,650 624,113
*Matria Healthcare, Inc. ........... 108,600 923,100
*Matrix Pharmaceutical, Inc. ....... 17,500 385,000
*Matrix Service Co. ................ 83,600 491,150
*Matthews Studio Equipment Group ... 6,500 13,609
*Mattson Technology, Inc. .......... 123,000 1,783,500
*Maverick Tube Corp. ............... 45,000 585,000
*Max & Ermas Restaurants, Inc. ..... 6,557 52,456
*Maxco, Inc. ....................... 7,600 70,300
*Maxim Group, Inc. ................. 17,400 266,438
*Maxwell Laboratories, Inc. ........ 29,246 413,100
*#Maxxim Medical, Inc. .............. 87,400 1,595,050
Mayflower Co-Operative Bank
Middleboro ....................... 200 2,750
*Maynard Oil Co. ................... 103,200 877,200
*Mays (J.W.), Inc. ................. 2,100 17,850
*McClain Industries, Inc. .......... 91,066 387,031
McDonald & Co. Investment, Inc. ... 3,400 66,300
*McFarland Energy, Inc. ............ 52,000 507,000
McGrath Rent Corp. ................ 25,200 526,050
*McWhorter Technologies, Inc. ...... 11,000 203,500
</TABLE>
13
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
*Medalist Industries, Inc. ......... 36,400 $ 514,150
*Medalliance, Inc. (in Liquidation) 25,000 0
*Medar, Inc. ....................... 105,500 1,035,219
*Medarex, Inc. ..................... 28,800 291,600
*Medco Research, Inc. .............. 36,100 365,513
Medex, Inc. ....................... 43,300 557,488
Medford Savings Bank MA ........... 37,900 843,275
*#Media Arts Group, Inc. ............ 25,500 74,109
*Media Logic, Inc. ................. 15,500 124,000
*Medical Action Industries, Inc. ... 33,300 74,925
*Medical Graphics Corp. ............ 12,700 93,663
*Medical Resources, Inc. ........... 9,100 79,625
*Medicalcontrol, Inc. .............. 9,300 55,509
*Medicore, Inc. .................... 19,200 111,600
Medicus Systems Corp. ............. 42,000 252,000
*Medimmune, Inc. ................... 70,000 1,295,000
*Mediq, Inc. ....................... 58,200 356,475
*#Medquist Inc. ..................... 7,800 156,000
*Medstone International, Inc. ...... 28,200 243,225
*Megacards, Inc. ................... 333 135
*Melamine Chemicals, Inc. .......... 103,100 953,675
*Mem Co., Inc. ..................... 53,300 203,206
Merchants Bancorp, Inc. ........... 10,000 316,250
*Merchants Bancshares, Inc. ........ 200 2,925
Merchants Group, Inc. ............. 7,300 139,613
Merchants New York Bancorp, Inc. .. 400 11,900
#Mercury Air Group, Inc. ........... 15,583 150,960
*Meridian Data, Inc. ............... 61,600 1,062,600
Meridian Diagnostics, Inc. ........ 116,754 1,393,751
Meridian Insurance Group, Inc. .... 16,600 228,250
*Meridian Sports, Inc. ............. 24,350 92,834
*Meris Laboratories, Inc. .......... 7,800 9,019
*Merisel, Inc. ..................... 152,800 658,950
*Merit Medical Systems, Inc. ....... 22,000 233,750
Merrill Corp. ..................... 13,400 333,325
Merrimac Industries, Inc. ......... 12,332 134,111
Mesaba Holdings, Inc. ............. 78,700 870,619
*Mestek, Inc. ...................... 118,750 1,603,125
*Met-Coil Systems Corp. ............ 27,500 63,594
Met-Pro Corp. ..................... 101,110 1,921,090
Metal Management, Inc. ............ 106,906 521,167
*Metalclad Corp. ................... 34,500 107,813
*Metatec Corp. Class A ............. 21,100 263,750
*Metricom, Inc. .................... 22,700 424,206
*Metrocall, Inc. ................... 27,500 531,094
*Metrologic Instruments, Inc. ...... 57,300 669,694
*Metropolitan Bancorp Washington ... 7,200 101,250
*Miami Subs Corp. .................. 7,500 12,891
*Michael Anthony Jewelers, Inc. .... 74,300 255,406
*Micom Communications Corp. ........ 37,800 448,875
*Micrel, Inc. ...................... 25,000 403,125
*Micrion Corp. ..................... 12,700 455,613
*Micro Bio-Medics, Inc. ............ 9,600 139,200
*Micro Linear Corp. ................ 60,000 652,500
*Microage, Inc. .................... 46,700 630,450
*Microcom, Inc. .................... 119,600 2,339,675
*Microdyne Corp. ................... 35,600 282,575
*Microfluidics International Corp. . 5,600 12,075
*Micrografx, Inc. .................. 62,000 1,042,375
*Microlog Corp. .................... 26,000 313,625
*Micronics Computers, Inc. ......... 107,600 341,294
*Micros Systems, Inc. .............. 15,800 474,000
*Microsemi Corp. ................... 135,875 1,290,813
*Microtek Medical, Inc. ............ 6,400 92,800
*Microtel International, Inc. ...... 107,508 161,262
<PAGE>
Shares Value+
--------- ------------
*Microtest, Inc. ................... 23,300 $275,231
*Microtouch Systems, Inc. .......... 23,800 499,800
Microwave Filter Co., Inc. ........ 5,894 10,683
Mid America Banccorp .............. 29,767 524,643
*MidAmerican Waste System, Inc. .... 53,000 49,688
Midconn Bank Kensington, CT ....... 45,200 694,950
*Middleby Corp. .................... 65,200 696,825
Middlesex Water Co. ............... 15,000 249,375
*Midisoft Corp. .................... 58,300 149,394
Midland Co. ....................... 14,700 712,950
Midland Financial Group, Inc. ..... 7,500 94,219
Midwest Grain Products, Inc. ...... 5,400 65,475
*Mikohn Gaming Corp. ............... 16,850 150,597
*Miller Building Systems, Inc. ..... 72,800 350,350
*Miltope Group, Inc. ............... 91,000 236,031
Minntech Corp. .................... 29,131 497,039
Minuteman International, Inc. ..... 15,000 142,500
*Mission West Properties, Inc. ..... 9,500 60,563
*Mity-Lite, Inc. ................... 28,100 219,531
Mobile Gas Service Corp. .......... 34,100 818,400
*Mobley Environmental Services, Inc.
Class A .......................... 1,000 875
Modern Controls, Inc. ............. 56,650 587,744
*Molecular Biosystems, Inc. ........ 28,800 280,800
*Molecular Dynamics, Inc. .......... 38,100 259,556
*Monaco Coach Corp. ................ 8,500 102,000
*Monaco Finance, Inc. Class A ...... 11,300 27,544
*Monarch Casino and Resort, Inc. ... 82,100 307,875
Monarch Machine Tool Co. .......... 53,900 619,850
*Monro Muffler Brake, Inc. ......... 30,555 592,003
*Monroc, Inc. ...................... 8,200 42,538
*Monterey Pasta Co. ................ 21,400 147,125
*Moog, Inc. Class A ................ 12,650 259,325
*Moog, Inc. Class B ................ 1,500 32,813
*Moore Handley, Inc. ............... 1,500 6,000
*Moore Medical Corp. ............... 44,600 613,250
*Moore Products Co. ................ 19,900 375,613
*Moovies, Inc. ..................... 30,200 311,438
*Morgan Products, Ltd. ............. 65,300 399,963
*Morningstar Group, Inc. ........... 44,300 520,525
*Morton's Restaurant Group, Inc. ... 54,900 988,200
Moscom Corp. ...................... 20,500 294,688
*Mother's Work, Inc. ............... 11,500 301,875
*Moto Photo, Inc. .................. 6,100 11,247
*Motor Car Parts & Accessories, Inc. 40,500 688,500
*Motor Club of America ............. 20,500 156,313
*Mountain Parks Financial Corp. .... 8,850 200,231
*Mountasia Entertainment
International, Inc. .............. 39,100 111,191
Movado Group, Inc. ................ 8,400 160,125
*Moviefone, Inc. Class A ........... 25,100 120,794
Mueller (Paul) Co. ................ 26,700 844,388
*Multi Color Corp. ................. 5,300 36,769
*Munsingwear, Inc. ................. 6,045 40,048
*Musicland Stores Corp. ............ 210,600 921,375
*Mutual Savings Bank FSB
Bay City, MI ..................... 8,000 45,500
*Mylex Corp. ....................... 11,600 300,150
*NABI, Inc. ........................ 17,850 243,206
*NAI Technologies, Inc. ............ 82,813 243,263
NBT Bancorp ....................... 6,300 107,100
*NBTY, Inc. ........................ 15,800 147,138
*NCI Building Systems, Inc. ........ 1,000 33,875
NHS Financial, Inc. ............... 200 2,188
</TABLE>
14
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
*NMR of America, Inc. .............. 27,200 $ 134,300
NN Ball & Roller, Inc. ............ 300 6,938
*NPC International, Inc. ........... 6,200 59,094
*NPS Pharmaceuticals, Inc. ......... 8,100 126,563
*NS Group, Inc. .................... 118,700 341,263
*NSA International, Inc. ........... 3,500 10,938
NSC Corp. ......................... 79,800 182,044
*NTN Communications, Inc. .......... 161,500 1,009,375
NUI Corp. ......................... 24,200 435,600
*Nantucket Industries, Inc. ........ 58,535 406,087
*Napco Security Systems, Inc. ...... 70,000 280,000
Nash Finch Co. .................... 14,500 248,313
Nashua Corp. ...................... 21,300 356,775
*Nathans Famous, Inc. .............. 14,300 48,709
*National Beverage Corp. ........... 300 4,050
*National City Bancorp ............. 4,752 97,416
*National Dentex Corp. ............. 6,500 145,438
National Gas & Oil Co. ............ 130,868 1,341,397
*National Home Centers, Inc. ....... 60,000 165,000
*National Home Health Care Corp. ... 13,700 95,044
*National Insurance Group .......... 45,200 259,900
*National Media Corp. .............. 4,399 81,935
*National Media Corp. (Escrow) ..... 9,750 0
*National Mercantile Bancorp. ...... 2,300 4,097
*National Patent Development Corp. . 19,050 216,694
*National Picture and Frame Co. .... 31,600 317,975
*National Record Mart, Inc. ........ 4,000 5,625
National Sanitary Supply Co. ...... 200 2,650
National Security Group, Inc. ..... 10,500 135,188
*National Standard Co. ............. 109,500 848,625
National Technical Systems, Inc. .. 47,184 166,619
*National Techteam, Inc. ........... 68,100 991,706
*National Vision Association, Ltd. . 68,800 305,300
*National Western Life Insurance Co.
Class A .......................... 3,200 213,200
*Natural Alternatives International,
Inc. ............................. 47,000 493,500
*Natural Microsystems Corp. ........ 9,900 371,250
*Natural Wonders, Inc. ............. 25,900 165,113
Natures Sunshine Products, Inc. ... 11,754 329,112
*Navarre Corp. ..................... 27,100 680,888
*Navigators Group, Inc. ............ 20,520 364,230
Nelson (Thomas), Inc. Class B ..... 3,993 70,876
*Neogen Corp. ...................... 4,500 35,156
*Neoprobe Corp. .................... 56,000 990,500
*Neorx Corp. ....................... 111,700 816,806
*Neostar Retail Group, Inc. ........ 50,000 265,625
*Nestor, Inc. ...................... 21,400 57,523
*Netframe Systems, Inc. ............ 87,200 436,000
*Netrix Corp. ...................... 83,200 800,800
*Network Computing Devices, Inc. ... 119,000 509,469
*Network Imaging Corp. ............. 42,600 190,369
*Network Peripherals, Inc. ......... 36,300 655,669
*Network Six, Inc. ................. 3,100 9,009
*Neurex Co. ........................ 82,300 1,718,013
*Neurogen Corp. .................... 11,100 320,513
*New Brunswick Scientific Co., Inc. 34,125 287,930
New England Community Bancorp, Inc.
Class A .......................... 4,100 45,100
New Hampsire Thrift BancShares,
Inc. ............................. 200 2,000
*New Image Industries, Inc. ........ 43,763 158,641
*New Jersey Steel Corp. ............ 29,800 249,575
*New Mexico & Arizona Land Co. ..... 27,311 416,493
*New World Power Corp. ............. 60,000 41,250
<PAGE>
Shares Value+
--------- ------------
Newcor, Inc. ...................... 82,025 $ 897,148
Newmil Bancorp, Inc. .............. 44,200 314,925
Newport Corp. ..................... 74,600 718,025
*Nexthealth, Inc. .................. 21,100 58,025
*Nichols Research Corp. ............ 42,767 1,395,263
*Nitches, Inc. ..................... 10,194 77,729
Nobility Homes .................... 4,500 87,469
*Noel Group, Inc. .................. 43,600 362,425
Noland Co. ........................ 500 10,063
*Noodle Kidoodle, Inc. ............. 115,400 771,738
*Norand Corp. ...................... 7,500 151,875
*Nord Resources Corp. .............. 125,700 754,200
*Norstan, Inc. ..................... 45,200 1,598,950
*Nortek, Inc. ...................... 28,600 407,550
*North American Recycling System,
Inc. ............................. 21,000 7,203
North Carolina Natural Gas Corp. .. 10,300 265,225
North Side Savings Bank NY ........ 15,638 559,059
*North Star Universal, Inc. ........ 17,900 136,488
Northern Technologies International 11,100 55,500
Northland Cranberries, Inc. Class A 7,150 198,413
*Northstar Health Services, Inc. ... 25,000 75,000
*Northwest Teleproductions, Inc. ... 15,800 33,575
*Northwestern Steel & Wire Co. ..... 20,500 125,563
*Norton McNaughton, Inc. ........... 55,000 563,750
Norwich Financial Corp. ........... 23,800 307,913
*Norwood Promotional Products, Inc. 31,200 639,600
*Novametrix Medical Systems, Inc. .. 79,700 488,163
*Novavax, Inc. ..................... 65,500 515,813
*Noven Pharmaceuticals, Inc. ....... 20,300 352,713
*Novitron Internarional, Inc. ...... 12,850 26,503
*Nu Horizons Electronics Corp. ..... 65,054 947,349
*Nuclear Metals, Inc. .............. 71,300 1,229,925
*Numar Corp. ....................... 15,150 266,072
Numerex Corp. Class A ............. 11,500 71,156
*Nutramax Products, Inc. ........... 44,000 437,250
*Nview Corp. ....................... 11,750 88,859
*Nycor, Inc. ....................... 43,885 246,853
*Nycor, Inc. Class A ............... 57,625 324,141
*Nycor, Inc. Class B ............... 29,140 163,913
*O Charleys, Inc. .................. 60,650 758,125
O'Sullivan Corp. .................. 6,100 71,675
*O'Sullivan Industries Holdings,
Inc. ............................. 131,400 1,001,925
*O.I. Corp. ........................ 13,800 66,413
*OEC Medical Systems, Inc. ......... 34,600 423,850
*OTR Express, Inc. ................. 16,600 88,188
*Oak Hill Sportswear Corp. ......... 21,600 44,550
*#Odwalla, Inc. ..................... 15,900 409,425
Oglebay Norton Co. ................ 25,000 1,090,625
Ohio Art Co. ...................... 1,000 18,000
Oil-Dri Corp. of America .......... 60,900 829,763
*Old America Stores, Inc. .......... 13,400 110,550
*Old Dominion Freight Lines, Inc. .. 68,600 780,325
*Olympic Steel, Inc. ............... 64,000 1,172,000
*Omega Environmental, Inc. ......... 76,600 234,588
*On Assignment, Inc. ............... 6,800 270,300
*Oncogene Science, Inc. ............ 31,700 368,513
*Oncor, Inc. ....................... 180,300 1,149,413
*One Price Clothing Stores, Inc. ... 65,600 369,000
One Valley Bancorp of West Virginia 1,354 44,090
Oneida, Ltd. ...................... 3,900 67,763
*Oneita Industries, Inc. ........... 70,420 290,483
*Opinion Research Corp. ............ 13,800 96,600
</TABLE>
15
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
*Opta Food Ingredients, Inc. ....... 86,100 $1,506,750
*Opti, Inc. ........................ 20,000 147,500
Optical Coating Laboratory, Inc. .. 53,092 925,792
*Option Care, Inc. ................. 43,400 314,650
Orange Co., Inc. .................. 91,747 745,444
*Orbit International Corp. ......... 27,600 31,913
*Orchard Supply Hardware Stores
Corp. ............................ 55,000 1,574,375
*Oregon Metallurgical Corp. ........ 27,700 863,894
*Oriole Homes Corp. Class A
Convertible ...................... 66,500 511,219
*Oriole Homes Corp. Class B ........ 23,000 176,813
*Oroamerica, Inc. .................. 45,200 220,350
*Ortel Corp. ....................... 28,300 689,813
*Orthologic Corp. .................. 8,200 361,825
*Osborn Communications Corp. ....... 79,800 857,850
Oshkosh Truck Corp. Class B ....... 14,800 218,300
*Oshman's Sporting Goods, Inc. ..... 129,500 1,133,125
*Osmonics, Inc. .................... 47,611 1,130,761
*Osteotech, Inc. ................... 54,100 392,225
*Ostex International, Inc. ......... 45,000 644,063
*Outlook Group Corp. ............... 37,900 213,188
Owosso Corp. ...................... 8,200 68,163
Oxford Industries, Inc. ........... 79,400 1,449,050
*Oxis International, Inc. .......... 89,800 204,856
*P&F Industries, Inc. Class A ...... 600 1,838
*PAM Transportation Services, Inc. . 11,750 76,375
*PC Quote, Inc. .................... 14,200 149,100
PCA International, Inc. ........... 10,000 165,000
*PCI Services, Inc. ................ 36,400 728,000
*PLM International, Inc. ........... 22,900 80,150
*PMR Corp. ......................... 6,900 79,350
*PMT Services, Inc. ................ 11,600 393,675
*PRI Automation, Inc. .............. 10,600 417,375
*PSC, Inc. ......................... 32,400 368,550
PXRE Corp. ........................ 25,200 618,975
*Pacific Rehabilitation & Sports
Medicine, Inc. ................... 23,600 120,950
*Pacific Rim Holding Corp. ......... 28,350 63,788
*Pacific Sunwear of California, Inc. 45,000 1,130,625
*Pages, Inc. ....................... 31,000 77,500
Palfed, Inc. ...................... 16,650 199,800
*Pamida Holdings Corp. ............. 52,000 130,000
Pamrapo Bancorp, Inc. ............. 11,000 215,875
*Panaco, Inc. ...................... 9,800 37,975
#Panatech Research and Development
Corp. ............................ 9,100 45,500
Pancho's Mexican Buffet, Inc. ..... 47,600 127,925
*Par Technology Corp. .............. 81,800 1,349,700
*#Parallel Petroleum Corp. .......... 74,200 285,206
*Parcplace Systems, Inc. ........... 36,500 479,063
*Paris Business Forms, Inc. ........ 200 888
*Park-Ohio Industries, Inc. ........ 141,225 3,151,083
*Parkervision, Inc. ................ 25,700 393,531
Parkvale Financial Corp. .......... 35,428 983,127
*Parlex Corp. ...................... 19,900 278,600
*Parlux Fragrances, Inc. ........... 13,400 154,100
*Patina Oil & Gas Corp. ............ 53,989 377,923
*Patlex Corp. ...................... 10,919 585,531
Patrick Industries, Inc. .......... 45,250 622,188
*#Patterson Energy, Inc. ............ 2,600 43,063
*Paul Harris Stores, Inc. .......... 55,675 400,164
*#Paul-Son Gaming Corp. ............. 9,200 77,050
*Payco American Corp. .............. 20,400 181,050
*Payless Cashways, Inc. ............ 12,000 57,000
<PAGE>
Shares Value+
--------- ------------
*Pediatric Services of America, Inc. 12,200 $ 301,188
Peerless Manufacturing Co. ........ 9,250 95,391
*Penederm, Inc. .................... 60,000 982,500
Penn Engineering & Manufacturing
Corp. Class A .................... 33,600 852,600
*Penn Engineering & Manufacturing
Corp. Non-voting ................. 100,800 2,570,400
*Penn National Gaming, Inc. ........ 21,000 522,375
*Penn Traffic Co. .................. 29,900 381,225
*Penn Treaty American Corp. ........ 44,400 854,700
Penn Virginia Corp. ............... 7,500 265,313
Penn-America Group, Inc. .......... 8,800 138,600
Pennfirst Bancorp, Inc. ........... 200 2,675
Penobscot Shoe Co. ................ 32,000 184,000
*#Penril Datacomm Networks, Inc. .... 89,033 823,555
*Pentech International, Inc. ....... 9,200 19,550
Penwest, Ltd. ..................... 3,500 67,375
Peoples Bancorp ................... 200 4,125
Peoples Bancshares, Inc.
Massachusetts .................... 6,845 68,022
*Peoples Choice TV Corp. ........... 3,396 58,581
Peoples Heritage Financial Group,
Inc. ............................. 46,600 929,088
Peoples Savings Financial Corp. ... 6,000 124,500
*Peoples Telephone Co., Inc. ....... 51,600 164,475
*Perceptron, Inc. .................. 16,750 606,141
*Performance Food Group Co. ........ 11,100 352,425
*Perfumania, Inc. .................. 43,700 228,059
*Perini Corp. ...................... 39,000 433,875
*Perseptive Biosystems, Inc. ....... 87,300 851,175
*Pet Food Warehouse, Inc. .......... 27,600 107,813
*Petrocorp, Inc. ................... 30,000 213,750
Petroleum Heat & Power Co., Inc.
Class A .......................... 37,300 261,100
*#Pharmaceutical Marketing Services,
Inc. ............................. 79,100 825,606
*Pharmaceutical Resources, Inc. .... 38,655 280,249
*Pharmchem Laboratories, Inc. ...... 47,800 167,300
*Pharmos Corp. ..................... 120,000 298,125
*Phildelphia Consolidated Holding
Corp. ............................ 27,000 534,938
*Phoenix Network, Inc. ............. 40,700 221,306
*Phoenix Technologies, Ltd. ........ 12,000 237,750
*Photo Control Corp. ............... 1,000 3,500
*#Physicians Clinical Laboratory,
Inc. ............................. 5,400 4,892
*Physicians Insurance Co. of Ohio
Class A .......................... 1,000 23,750
Piccadilly Cafeterias, Inc. ....... 33,000 338,250
*Pico Products, Inc. ............... 68,500 145,563
Pillowtex Corp. ................... 18,600 248,775
*Pinkertons, Inc. .................. 12,900 319,275
Pinnacle Bank Jasper, AL .......... 200 3,225
Pinnacle Financial Services, Inc. . 200 4,050
*#Pinnacle Micro, Inc. .............. 27,800 274,525
*Pinnacle Systems, Inc. ............ 10,400 250,900
#Pioneer Financial Services, Inc. .. 42,100 684,125
Pitt-Des Moines, Inc. ............. 24,300 1,093,500
*Pittencrieff Communications, Inc. . 41,000 325,438
Pittston Co. Minerals Group ....... 71,700 1,003,800
*Plains Resources, Inc. ............ 133,100 1,497,375
*Planar Systems, Inc. .............. 31,800 492,900
*Plasti-Line, Inc. ................. 10,000 86,250
*Platinum Software Corp. ........... 43,200 467,100
Plenum Publishing Corp. ........... 9,500 345,563
*Plexus Corp. ...................... 21,100 292,763
</TABLE>
16
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
*Plymouth Rubber, Inc. Class A ..... 100 $ 875
*Polk Audio, Inc. .................. 5,000 67,500
*Pollo Tropical, Inc. .............. 86,200 409,450
*Polymedica Industries, Inc. ....... 23,350 215,988
*#Polyphase Corp. ................... 11,900 43,881
*Polyvision Corp. .................. 72,370 122,124
*Pomeroy Computer Resource, Inc. ... 2,930 45,781
*Ponder Industries, Inc. ........... 14,050 64,981
*Pool Energy Services Co. .......... 35,200 495,000
*Porta Systems Corp. ............... 63,200 51,350
*Portec, Inc. ...................... 99,037 1,039,889
Portsmouth Bank Shares, Inc. ...... 16,161 233,324
*Positron Corp. .................... 6,500 25,594
*Possis Medical, Inc. .............. 97,800 1,827,638
Poughkeepsie Savings Bank FSB NY .. 40,600 220,763
*Powell Industries, Inc. ........... 44,000 503,250
*Pratt Hotel Corp. ................. 9,800 30,013
*Pre-Paid Legal Services, Inc. ..... 180,075 3,759,066
*Precision Standard, Inc. .......... 1,000 1,625
Premier Financial Services, Inc. .. 1,300 13,325
*Premiere Radio Networks, Inc. ..... 7,300 93,075
*Premiere Radio Networks, Inc.
Class A .......................... 3,650 44,941
*President Casinos, Inc. ........... 121,000 257,125
*Presley Companies Class A ......... 8,900 16,688
*Price Communications Corp. ........ 71,257 556,695
*Pride Petroleum Services, Inc. .... 98,800 1,716,650
*Prima Energy Corp. ................ 6,300 93,713
Prime Bancorp, Inc. ............... 15,042 270,756
*Prime Medical Services, Inc. ...... 77,200 1,461,975
Primesource Corp. ................. 21,843 136,519
*Prins Recycling Corp. ............. 88,000 225,500
*Printronix, Inc. .................. 44,700 1,139,850
*Procept, Inc. ..................... 50,800 160,338
*Procyte Corp. ..................... 41,500 168,594
*Professional Bancorp, Inc. ........ 10,721 123,286
*Professional Sports Care
Management, Inc. ................. 24,900 192,197
*Progress Financial Corp. .......... 6,600 44,550
Progressive Bank, Inc. ............ 29,100 847,538
*Progroup, Inc. .................... 33,700 162,181
Proler International Corp. ........ 44,900 325,525
*Pronet, Inc. ...................... 36,800 922,300
*Proteon, Inc. ..................... 40,750 229,219
*Protocol Systems, Inc. ............ 63,600 1,590,000
Provena Foods, Inc. ............... 200 525
Providence & Worcester Railroad Co. 2,300 18,400
Providence Energy Corp. ........... 61,950 1,068,638
Provident Bankshares Corp. ........ 59,204 1,968,533
*Proxim, Inc. ...................... 14,200 587,525
*Proxima Corp. ..................... 34,100 571,175
*Psychemedics Corp. ................ 55,900 412,263
*Publicker Industries, Inc. ........ 210,200 446,675
Pulaski Furniture Corp. ........... 15,400 279,125
Pulse Bancorp, Inc. ............... 7,700 131,381
*Pure Tech International, Inc.
(Private Placement) .............. 140,000 378,000
*Pure World, Inc. .................. 169,100 454,456
*Q Logic Corp. ..................... 53,800 574,988
*Q-Med, Inc. ....................... 48,300 489,038
*QMS, Inc. ......................... 72,300 433,800
*Quad Systems Corp. ................ 9,800 90,650
Quaker Chemical Corp. ............. 21,000 278,250
<PAGE>
Shares Value+
--------- ------------
*Quaker Fabric Corp. ............... 72,300 $ 668,775
*Quality Dining, Inc. .............. 57,000 1,884,563
*Quality Systems, Inc. ............. 20,500 607,313
*Quantum Health Resources, Inc. .... 24,600 433,575
*Quest Medical, Inc. ............... 98,928 1,236,600
*Quickresponse Services, Inc. ...... 10,000 331,250
*Quickturn Design Systems, Inc. .... 39,050 573,547
*Quidel Corp. ...................... 80,100 450,563
*Quiksilver, Inc. .................. 35,400 1,548,750
*Quipp, Inc. ....................... 200 2,325
Quixote Corp. ..................... 67,600 536,575
*R & B, Inc. ....................... 68,600 458,763
*RF Monolithics, Inc. .............. 10,700 108,338
RLI Corp. ......................... 7,750 180,188
*RMI Titanium Co. .................. 16,900 340,113
*RPC Energy Services, Inc. ......... 73,100 913,750
*RTI, Inc. ......................... 5,890 16,198
*Racotek, Inc. ..................... 56,600 346,675
*Radius, Inc. ...................... 149,550 509,405
*Rag Shops, Inc. ................... 32,000 74,500
*Ragan (Brad), Inc. ................ 40,900 1,308,800
*Rainbow Technologies, Inc. ........ 23,800 545,913
*#Rally's Hamburgers, Inc. .......... 16,300 52,975
*Ramapo Financial Corp. ............ 16,200 79,481
*Ramsay Health Care, Inc. .......... 36,166 127,711
*Ramsay Managed Care, Inc. ......... 1,608 2,864
*Ramtron International Corp. ....... 66,650 518,620
Raritan Bancorp, Inc. DE .......... 750 15,750
Raven Industries, Inc. ............ 99,150 2,032,575
*Rawlings Sporting Goods, Inc. ..... 48,700 453,519
*Raymond Corp. ..................... 97,003 1,709,678
*#Raytech Corp. DE .................. 80,300 411,538
*Readicare, Inc. ................... 182,800 879,725
*Reading Co. Class A ............... 16,000 172,000
*Recoton Corp. ..................... 18,916 331,030
*Recovery Engineering, Inc. ........ 11,700 188,663
*Reddi Brake Supply Corp. .......... 18,100 42,422
*Redwood Empire Bancorp ............ 9,900 103,950
*Reeds Jewelers, Inc. .............. 11,495 97,708
Refac Technology Development Corp. 76,350 639,431
*Reflectone, Inc. .................. 2,500 55,000
*Regency Health Services, Inc. ..... 39,200 396,900
*Regional Acceptance Corp. ......... 6,350 63,500
*Rehabcare Corp. ................... 18,600 292,950
*#Rehabilicare, Inc. ................ 8,000 32,000
*Reliability, Inc. ................. 85,000 637,500
Reliance Steel and Aluminum Co. ... 7,700 288,750
Reliv International, Inc. ......... 18,500 60,125
*#Reno Air, Inc. .................... 41,200 517,575
*Rentrak Corp. ..................... 30,300 156,234
*Repligen Corp. .................... 54,000 67,500
*Reptron Electronics, Inc. ......... 19,700 343,519
*Republic Automotive Parts, Inc. ... 39,200 597,800
Republic Bancorp, Inc. ............ 32,975 370,969
*Republic Environmental Systems,
Inc. ............................. 3,720 68,355
Republic Gypsum Co. ............... 101,640 1,435,665
Republic Savings Financial Corp. .. 5,232 30,738
*Res-Care, Inc. .................... 45,200 1,576,350
*Research Industries Corp. ......... 10,100 256,288
Research, Inc. .................... 20,200 143,925
*Resound Corp. ..................... 95,900 1,156,794
Resource America, Inc. ............ 224 10,584
*Response Oncology, Inc. ........... 9,000 174,375
</TABLE>
17
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
*Retirement Care Association, Inc. . 30,135 $ 399,289
*Retix, Inc. ....................... 70,300 628,306
*Rex Stores Corp. .................. 59,600 931,250
*Rexhall Industries, Inc. .......... 10,500 76,125
*Rexon, Inc. ....................... 96,600 0
*Rexworks, Inc. .................... 6,000 18,000
*Rheometrics, Inc. ................. 110 220
*Rhodes, Inc. ...................... 37,900 478,488
*Ribi Immunochem Research, Inc. .... 88,200 441,000
Richardson Electronics, Ltd. ...... 200 2,075
*Richton International Corp. ....... 1,500 6,188
*Riddell Sports, Inc. .............. 24,282 125,204
*Right Management Consultants, Inc. 8,500 301,750
*Right Start, Inc. ................. 10,700 71,556
*Rightchoice Managed Care, Inc.
Class A .......................... 7,400 126,725
*Rimage Corp. ...................... 29,000 264,625
*Ringer Corp. ...................... 76,600 157,988
Riser Foods, Inc. Class A ......... 104,800 2,227,000
Rival Co. ......................... 23,000 546,250
*River Oaks Furniture, Inc. ........ 39,000 238,875
*Riverside Group, Inc. ............. 1,300 4,388
Riverside National Bank CA ........ 19,300 261,756
*Roadmaster Industries, Inc. ....... 301,000 564,375
Roanoke Electric Steel Corp. ...... 33,000 480,563
Robbins & Myers, Inc. ............. 32,100 1,424,438
*Roberds, Inc. ..................... 4,200 42,525
*Robertson-Ceco Corp. .............. 28,457 149,399
Robinson Nugent, Inc. ............. 53,900 353,719
*Robotic Vision Systems, Inc. ...... 12,600 240,188
*Rock Bottom Restaurants, Inc. ..... 25,700 350,163
*Rocky Mountain Chocolate Factory .. 25,000 221,875
*Rocky Shoes & Boots, Inc. ......... 20,000 145,000
*Rodman & Renshaw Capital Group,
Inc. ............................. 19,000 38,000
*Rogers Corp. ...................... 128,800 3,139,500
*Rollins Environmental Services,
Inc. ............................. 160,500 561,750
*#Ross Systems, Inc. ................ 115,000 805,000
Roto-Rooter, Inc. ................. 200 7,950
Rotonics Manufacturing, Inc. ...... 11,300 16,950
*Rottlund, Inc. .................... 6,750 53,156
Rowe Furniture Corp. .............. 45,562 250,591
*#Royal Appliance Manufacturing Co. . 180,000 1,125,000
Royal Bancshares of Pennsylvania
Class A .......................... 224 2,366
*Royal Gold, Inc. .................. 114,700 1,620,138
*Royal Grip, Inc. .................. 6,500 34,531
*Royal International Optical Corp. . 14 12,250
Ryan Beck & Co. ................... 210 1,523
*Rymer Foods, Inc. ................. 65,133 54,956
*S&K Famous Brands, Inc. ........... 25,200 222,075
*SBE, Inc. ......................... 4,200 45,150
*SBM Industries, Inc. .............. 500 2,313
*SBS Technologies, Inc. ............ 5,900 94,031
*SC Bancorp ........................ 200 1,325
*SFX Broadcasting, Inc. Class A .... 8,100 299,700
SI Handling, Inc. ................. 27,750 275,766
SJW Corp. ......................... 16,600 617,313
SKI, Ltd. ......................... 11,625 202,711
SL Industries, Inc. ............... 176,685 1,811,021
*#SLM International, Inc. ........... 19,100 26,855
*SMT Health Services, Inc. ......... 5,100 44,944
*SPSS, Inc. ........................ 37,800 945,000
<PAGE>
Shares Value+
--------- ------------
*SSE Telecom, Inc. ................. 14,400 $ 207,000
*STB Systems, Inc. ................. 10,900 173,038
*STM Wireless, Inc. Class A ........ 36,500 453,969
*STV Engineers, Inc. ............... 17,500 111,563
*Safeguard Health Enterprises, Inc. 84,600 1,586,250
*Safety 1st, Inc. .................. 10,200 155,550
*Safety Components International,
Inc. ............................. 35,100 478,238
*Safetytek Corp. ................... 8,500 105,188
*Saga Communications, Inc.
Class A .......................... 54,062 1,108,271
Saint Francis Capital Corp. ....... 14,900 379,950
Saint Joseph Light & Power Co. .... 26,250 856,406
Saint Mary Land & Exploration Co. . 24,600 428,963
*Salant Corp. DE ................... 73,500 294,000
Salem Corp. ....................... 40,442 869,503
*Salton/Maxim Housewares, Inc. ..... 16,300 64,691
*Sam & Libby, Inc. ................. 6,100 4,766
*San Filippo (John B.) & Son, Inc. . 67,400 480,225
*San Francisco Co. Class A ......... 1,090 382
Sanderson Farms, Inc. ............. 25,900 349,650
Sands Regent Casino Hotel ......... 42,210 232,155
Sandwich Co-Operative Bank MA ..... 15,400 304,150
*Sangstat Medical Corp. ............ 19,200 382,800
*Santa Fe Gaming Corp. ............. 20,150 60,450
Santa Monica Bank CA .............. 20,000 255,000
*Satcon Technology Corp. ........... 14,400 140,400
*Savoy Pictures Entertainment, Inc. 42,000 249,375
*Scan-Optics, Inc. ................. 158,000 632,000
*Scanforms, Inc. ................... 100 347
Schawk, Inc. Class A .............. 26,200 219,425
*Scherer Healthcare, Inc. .......... 200 950
*Schieb (Earl), Inc. ............... 94,400 743,400
*Schuler Homes, Inc. ............... 58,700 410,900
Schult Homes Corp. ................ 35,800 689,150
Schultz Sav-O Stores, Inc. ........ 40,000 545,000
*Sciclone Pharmaceuticals, Inc. .... 125,800 1,556,775
*Science Dynamics Corp. ............ 28,300 28,300
Scientific Technologies, Inc. ..... 8,200 117,875
*Scios-Nova, Inc. .................. 267,700 1,932,459
Scope Industries, Inc. ............ 34,800 1,287,600
*Score Board, Inc. ................. 96,700 489,544
Scotsman Industries, Inc. ......... 22,400 456,400
*Scott's Liquid Gold, Inc. ......... 84,000 210,000
Seacoast Banking Corp. Class A .... 21,600 480,600
*Seacor Holdings, Inc. ............. 5,000 241,875
Sealright Co., Inc. ............... 16,000 212,000
*Seattle Filmworks, Inc. ........... 67,050 1,190,138
Seaway Food Town, Inc. ............ 8,000 133,000
*Secom General Corp. ............... 4,700 14,834
Second Bancorp, Inc. .............. 300 7,913
*Security Capital Corp. ............ 5 8
*Seda Specialty Packaging Corp. .... 16,600 363,125
*Seeq Technology, Inc. DE .......... 179,600 667,888
Selas Corp. of America ............ 29,800 320,350
*Selfix, Inc. ...................... 24,400 112,850
*Semiconductor Packaging Materials
Co., Inc. ........................ 16,600 191,938
*Semtech Corp. ..................... 15,000 173,438
*Seneca Foods Corp. ................ 3,200 54,400
*Seneca Foods Corp. Class A ........ 200 3,413
*Sequoia Systems, Inc. ............. 56,900 209,819
*Seragen, Inc. ..................... 45,400 215,650
*Serv-Tech, Inc. ................... 56,300 344,838
*Servico, Inc. ..................... 26,600 379,050
</TABLE>
18
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
*Servotronics, Inc. ................ 24,804 $ 120,921
Sevenson Environmental Services,
Inc. ............................. 8,300 159,775
*Shaman Pharmaceuticals ............ 34,100 281,325
*Shared Technologies Fairchild, Inc. 69,000 586,500
*Sharper Image Corp. ............... 67,300 353,325
*Shaw Group, Inc. .................. 25,450 443,784
*Sheffield Medical Technologies,
Inc. ............................. 30,300 164,756
Shelby Williams Industries, Inc. .. 39,600 450,450
*Sheldahl, Inc. .................... 84,650 2,174,447
Shelter Components, Inc. .......... 42,087 657,609
*Sherwood Group, Inc. .............. 19,700 211,775
*Shiloh Industries, Inc. ........... 71,500 1,130,594
*Shoe Carnival, Inc. ............... 85,000 398,438
*Sholodge, Inc. .................... 52,300 791,038
Shoreline Financial Corp. ......... 3,160 66,755
*Show Biz Pizza Time, Inc. ......... 125,550 2,024,494
*Showscan Corp. .................... 44,350 332,625
*#Shuffle Master, Inc. .............. 34,400 516,000
Sierra Tahoe Bancorp .............. 200 2,663
*Sifco Industries, Inc. ............ 46,275 371,646
*Sight Resource Corp. .............. 20,600 141,625
*Sigma Circuits, Inc. .............. 12,600 98,438
*Sigma Designs, Inc. ............... 53,400 694,200
*Sigmatron International, Inc. ..... 3,000 41,063
*#Signal Apparel Co., Inc. Class A .. 62,100 341,550
*Signal Technology Corp. ........... 62,000 527,000
*Silicon Valley Bancshares ......... 42,500 1,030,625
*Siliconix, Inc. ................... 8,300 222,025
*Silver King Communications, Inc. .. 6,300 206,325
*Silverado Foods, Inc. ............. 12,800 44,800
Simmons First National Corp.
Class A .......................... 4,900 162,925
Simpson Industries, Inc. .......... 122,400 1,193,400
*Simula, Inc. ...................... 77,250 1,545,000
*Sinter Metals, Inc. Class A ....... 24,300 413,100
*Sirena Apparel Group, Inc. ........ 14,300 59,881
Sizzler International, Inc. ....... 218,400 819,000
*Skolniks, Inc. .................... 23 7
Skywest, Inc. ..................... 49,300 936,700
*Sloane's Supermarkets, Inc. ....... 51,139 159,809
*Smith Environmental Technologies
Corp. ............................ 89,700 229,856
*Sodak Gaming, Inc. ................ 42,000 1,296,750
*Softdesk, Inc. .................... 48,000 528,000
*Softech, Inc. ..................... 86,700 270,938
*Softnet Systems, Inc. ............. 13,700 108,744
*Softnet Systems, Inc. (Private
Placement) ....................... 21,136 150,990
*Software Professionals, Inc. ...... 500 2,813
*Software Publishing Corp. ......... 107,700 282,713
*Software Spectrum, Inc. ........... 36,100 893,475
*Somatix Therapies Corp. ........... 75,190 578,023
Somerset Group, Inc. .............. 250 3,875
*Somerset Savings Bank ............. 440 674
Sonesta International Hotels Corp.
Class A .......................... 200 1,700
*Sonic Solutions ................... 21,350 181,475
*Sound Advice, Inc. ................ 65,100 168,853
Southern California Water Co. ..... 40,000 890,000
*Southern Electronics Corp. ........ 15,500 90,094
*Southern Energy Homes, Inc. ....... 71,750 1,511,234
*Southern Union Co. ................ 100,260 2,356,110
*Southwall Technologies, Inc. ...... 74,600 606,125
Southwest Bancorp, Inc. ........... 4,100 77,900
<PAGE>
Shares Value+
--------- ------------
Southwest Bancshares, Inc. DE ..... 3,700 $ 100,363
Southwest National Corp. .......... 6,000 198,000
Southwest Securities Group, Inc ... 9,400 107,513
Southwest Water Co. ............... 5,175 57,572
*Spaghetti Warehouse, Inc. ......... 51,900 285,450
Span-American Medical System, Inc. 50,500 261,969
Spartan Motors, Inc. .............. 124,800 994,500
Spartech Corp. .................... 34,405 348,351
*Sparton Corp. ..................... 90,400 406,800
*Spec's Music, Inc. ................ 89,566 184,730
*Special Devices, Inc. ............. 13,000 261,625
*Specialty Chemical Resources, Inc. 37,800 127,575
*Specialty Paperboard, Inc. ........ 10,850 155,969
*Spectran Corp. .................... 51,000 1,058,250
*Spectranetics Corp. ............... 31,002 197,638
*Spectrian Corp. ................... 4,600 89,125
*Spectrum Control, Inc. ............ 68,800 395,600
*Spectrum Holobyte, Inc. ........... 12,000 87,750
*Speizman Industries, Inc. ......... 28,900 137,275
*Spire Corp. ....................... 56,200 228,313
*Sport Chalet, Inc. ................ 55,000 134,063
Sport Supply Group, Inc. .......... 21,600 159,300
*Sportmart, Inc. ................... 16,300 77,425
*Sports & Recreation, Inc. ......... 56,400 535,800
*Sports Club Co., Inc. ............. 4,900 12,863
*Spreckels Industries, Inc. Class A 5,400 89,438
*Square Industries, Inc. ........... 100 1,175
*Staar Surgical Co. ................ 40,675 605,041
*Stacey's Buffet, Inc. ............. 142,600 95,809
*Staff Builders, Inc. Class A ...... 40,000 137,500
*Staff Builders, Inc. Class B ...... 118,100 405,969
*Stage II Apparel Corp. ............ 11,600 34,800
*Standard Commercial Corp. ......... 30,794 280,994
*Standard Management Corp. ......... 11,865 51,168
*Stanford Telecommunications, Inc. . 54,050 3,020,044
*Stanley Furniture, Inc. ........... 15,000 180,000
Stant Corp. ....................... 114,000 1,318,125
*Staodyn, Inc. ..................... 3,200 6,500
*Starcraft Corp. ................... 8,300 35,794
Starret Housing Corp. ............. 120,200 1,397,325
Starrett (L.S.) Co. Class A ....... 2,400 61,800
*Starsight Telecast, Inc. .......... 52,900 522,388
*State of the Art, Inc. ............ 23,400 447,525
*Steck-Vaughn Publishing Corp. ..... 20,000 257,500
Steel Technologies, Inc. .......... 38,700 561,150
*Steel of West Virginia, Inc. ...... 46,700 431,975
Stepan Co. ........................ 27,000 529,875
Stephan Co. ....................... 11,300 170,913
Sterile Concepts Holdings, Inc. ... 8,500 195,500
Sterling Bancorp .................. 150,400 1,710,800
Sterling Bancshares ............... 4,650 63,938
*Sterling Electronics Corp. ........ 52,815 798,827
*Sterling Financial Corp. WA ....... 6,450 87,075
*Stevens Graphics Corp. Class A .... 59,800 164,450
Stewart Information Services Corp. 21,750 443,156
Stifel Financial Corp. ............ 4,090 32,720
*Stimsonite Corp. .................. 19,100 168,319
*Stokely USA, Inc. ................. 92,200 334,225
*Storage Computer Corp. ............ 15,892 292,016
*Strategic Distribution, Inc. ...... 194,348 1,615,518
*Streamlogic Corp. ................. 137,800 878,475
*Strober Organization, Inc. ........ 29,100 121,856
*Strouds, Inc. ..................... 72,300 275,644
*Struthers Industries, Inc. ........ 28,000 112,000
</TABLE>
19
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
*Stuart Entertainment, Inc. ........ 13,400 $ 91,288
*#Styles On Video, Inc. ............. 1,500 1,335
*Submicron Systems Corp. ........... 102,700 1,046,256
*Sudbury, Inc. ..................... 23,664 210,018
Suffolk Bancorp ................... 3,700 117,938
*Sugen, Inc. ....................... 51,800 709,013
*Sulcus Computer Corp. ............. 45,400 158,900
Sullivan Dental Products, Inc. .... 82,500 933,281
*Summa Four, Inc. .................. 43,300 784,813
*Summa Industries, Inc. ............ 200 1,175
*Summagraphics Corp. ............... 19,600 58,188
*Summit Care Corp. ................. 6,400 153,600
*Summit Family Restaurants, Inc. ... 81,300 401,419
*Sun City Industries, Inc. ......... 150 431
*Sun Coast Plastics, Inc. .......... 24,000 120,000
*Sun Sportswear, Inc. .............. 55,700 181,025
Sun Television and Appliances, Inc. 48,000 240,000
*Sunair Electronics, Inc. .......... 49,200 178,350
*Sunbelt Nursery Group, Inc. ....... 6,800 10,413
*Suncoast Savings & Loan Association
FSA .............................. 16,700 103,331
*Sundance Homes, Inc. .............. 50,000 78,125
*Sunrise Bancorp CA ................ 5,341 14,688
*Sunrise Resources, Inc. ........... 12,400 41,850
*Sunstates Corp. DE ................ 18,399 34,498
Super Food Services, Inc. ......... 86,500 1,059,625
*Superconductor Technologies, Inc. . 15,850 121,847
*Supercuts, Inc. ................... 95,500 758,031
Superior Surgical Manufacturing
Co., Inc. ........................ 90,100 1,036,150
*Supertex, Inc. .................... 177,300 3,534,919
*Suprema Specialties, Inc. ......... 6,500 34,125
*Supreme Industries, Inc. .......... 58,529 460,916
*Supreme International Corp. ....... 14,600 240,900
*Surety Capital Corp. .............. 12,900 54,825
*Surgical Laser Technologies, Inc. . 16,500 46,406
*Surgical Technologies, Inc. ....... 3,800 22,800
*#Survival Technology, Inc. ......... 17,900 173,406
*Swift Energy Corp. ................ 58,320 1,042,470
*Swing-n-Slide Corp. ............... 24,194 87,703
*Swisher International, Inc. ....... 200 863
*Swiss Army Brands, Inc. ........... 65,500 876,063
*Sybron Chemicals, Inc. ............ 33,200 464,800
*Sylvan Foods Holdings, Inc. ....... 20,300 280,394
*Symix Systems, Inc. ............... 3,000 48,375
*Symmetricom, Inc. ................. 49,000 658,438
*Syms Corp. ........................ 65,300 514,238
Synalloy Corp. DE ................. 89,158 1,738,581
*Synbiotics Corp. .................. 18,500 82,094
*Syncor International Corp. DE ..... 24,400 338,550
*Syntellect, Inc. .................. 82,700 542,719
*#Syquest Technology, Inc. .......... 81,600 887,400
*Systemed, Inc. .................... 208,364 599,047
*Systemix, Inc. .................... 10,000 176,875
*Systemsoft Corp. .................. 15,050 706,409
*T Cell Sciences, Inc. ............. 114,800 430,500
*TBC Corp. ......................... 135,000 1,215,000
TCBY Enterprises, Inc. ............ 37,100 162,313
*TCC Industries, Inc. .............. 38,000 85,500
*TCI International, Inc. ........... 32,060 232,435
*TCSI Corp. ........................ 12,400 376,650
*TESSCO Technologies, Inc. ......... 15,300 548,888
*TFC Enterprises, Inc. ............. 101,000 252,500
*TII Industries, Inc. .............. 16,020 114,143
*TII Industries, Inc. Class B ...... 13,440 94,080
<PAGE>
Shares Value+
--------- ------------
*TMBR/Sharp Drilling, Inc. ......... 21,900 $ 171,094
*TPC Corp. ......................... 105,500 870,375
*TPI Enterprises, Inc. ............. 22,400 86,800
*TRC Companies, Inc. ............... 75,700 473,125
*TRM Copy Centers Corp. ............ 61,000 671,000
*TRO Learning, Inc. ................ 16,700 283,900
*TSF Communications Corp. .......... 500 8,750
TSI, Inc. MN ...................... 46,600 984,425
TSR, Inc. ......................... 25,500 306,000
Tab Products Co. DE ............... 71,350 535,125
*Taco Cabana Inc. .................. 113,200 990,500
*Talley Industries, Inc. ........... 89,700 728,813
*Tandy Brand Accessories, Inc. ..... 55,977 489,799
*Tandy Crafts, Inc. ................ 138,200 1,053,775
*Tanknology Environmental, Inc. .... 19,800 53,831
*Target Technologies, Inc. ......... 15,200 97,850
*Targeted Genetics Corp. ........... 100,000 537,500
Tasty Baking Co. .................. 53,200 605,150
*#Tatham Off-Shore, Inc. ............ 25,000 33,594
*Team, Inc. ........................ 61,100 152,750
*Tech-Sym Corp. .................... 67,300 2,296,613
Tech/Ops Sevcon, Inc. ............. 61,400 1,181,950
*Techne Corp. ...................... 5,600 164,500
*Technical Communications Corp. .... 7,300 138,700
Technitrol, Inc. .................. 150,300 5,373,225
*Technology Research Corp. ......... 9,800 52,675
*Technology Solutions Corp. ........ 21,500 763,250
Tejon Ranch Co. ................... 5,100 90,525
*Tekelec ........................... 124,400 1,912,650
*Telco Systems, Inc. ............... 88,300 1,589,400
*Telebit Corp. ..................... 111,200 1,264,900
*Telemundo Group, Inc. Class A ..... 1,700 35,806
*Televideo Systems, Inc. ........... 349,000 289,016
*Temtex Industries, Inc. ........... 34,100 149,188
*#Terex Corp. ....................... 29,700 267,300
*Tetra Technologies, Inc. .......... 107,500 2,244,063
*Texas Biotechnology Corp. ......... 78,000 424,125
*Texas Meridian Resources Corp. .... 45,200 485,900
Texas Regional Banchshares, Inc.
Class A .......................... 12,600 303,975
*Texfi Industries, Inc. ............ 142,400 338,200
*Thackeray Corp. ................... 123,700 432,950
*Theragenics Corp. ................. 44,400 660,450
*Theratech, Inc. UT ................ 55,000 1,265,000
*Theratx, Inc. ..................... 4,351 63,633
*Thermo Power Corp. ................ 105,100 1,471,400
Thermo Remediation, Inc. .......... 25,300 360,525
*Thermo Terratech, Inc. ............ 3,200 40,000
*#Thermo Voltek Corp. ............... 80,300 1,766,600
*Thermwood Corp. ................... 4,600 8,913
*Thomas Group, Inc. ................ 38,300 737,275
Thomas Industries, Inc. ........... 50,000 1,031,250
Thomaston Mills, Inc. ............. 11,400 128,250
Thor Industries, Inc. ............. 24,600 535,050
Thorn Apple Valley, Inc. .......... 62,100 861,638
Three D Department Stores, Inc.
Class A .......................... 32,500 61,953
Three D Department Stores, Inc.
Class B .......................... 17,300 28,113
*Three-Five Systems, Inc. .......... 17,600 242,000
*Tide West Oil Co. ................. 9,100 146,738
Timberline Software Corp. ......... 21,825 215,522
*Tipperary Corp. ................... 18,900 98,044
*Titan Corp. ....................... 234,600 1,612,875
Titan Holdings, Inc. .............. 54,085 851,839
</TABLE>
20
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
Toastmaster, Inc. ................. 39,600 $ 212,850
*#Todays Man, Inc. .................. 63,600 135,150
*Todd Shipyards Corp. .............. 26,200 199,775
Todd-AO Corp. Class A ............. 12,100 210,238
*Todhunter International, Inc. ..... 48,000 468,000
*Tokheim Corp. ..................... 64,800 615,600
*Tolland Bank ...................... 200 1,938
Tompkins County Trustco, Inc. ..... 220 6,463
*Top Source Technologies, Inc. ..... 24,500 177,625
*#Tops Appliance City, Inc. ......... 27,900 62,775
*Toreador Royalty Corp. ............ 41,700 112,069
*Torotel, Inc. ..................... 55,335 83,003
*Total Telephone USA Communications,
Inc. ............................. 550 14,163
Tower Air, Inc. ................... 126,000 756,000
*Tower Automotive, Inc. ............ 10,800 259,200
*Tracor, Inc. ...................... 38,600 810,600
*Tractor Supply Co. ................ 40,000 975,000
*Trak Auto Corp. ................... 92,000 1,529,500
Trans Financial, Inc. ............. 4,900 75,950
*Trans World Entertainment Corp. ... 80,000 460,000
*TransNet Corp. .................... 29,200 87,600
*Transaction Network Services, Inc. 8,400 211,050
*#Transamerica Waste Industries, Inc. 12,000 25,875
*Transcend Services, Inc. .......... 11,700 127,238
*Transcisco Industries, Inc. ....... 12,000 68,250
*Transmation, Inc. ................. 2,600 23,238
Transmedia Network, Inc. .......... 33,000 288,750
*Transport Industries, Inc. ........ 1,000 6,500
Transport Leasing International,
Inc. ............................. 4,600 16,244
Transport Lux Corp. ............... 14,245 206,553
Transtechnology Corp. ............. 99,100 1,944,838
*Transworld Home Healthcare, Inc. .. 5,000 44,375
Tranzonic Companies Class A ....... 54,800 661,025
Tranzonic Companies Class B ....... 30,350 369,891
*Travel Ports of America, Inc. ..... 11,000 30,938
Treadco, Inc. ..................... 43,900 310,044
*Tremont Corp. DE .................. 24,100 894,713
*Trend-Lines, Inc. Class A ......... 11,550 55,584
*Tri-Lite, Inc. .................... 109 1
*Triad Guaranty, Inc. .............. 14,400 512,100
*Triad Systems Corp. ............... 111,100 736,038
Triangle Bancorp, Inc. ............ 28,900 400,988
*Tricord Systems, Inc. ............. 43,100 270,722
*Tridex Corp. ...................... 39,300 451,950
*Trimark Holdings, Inc. ............ 6,400 38,400
*Trimedyne, Inc. ................... 34,200 283,219
*Trinitec Systems, Inc. Class A .... 18,500 92,500
Trion, Inc. ....................... 67,550 561,509
*Triple S Plastics, Inc. ........... 4,800 31,200
*Triquint Semiconductor, Inc. ...... 70,600 1,742,938
*Trism, Inc. ....................... 35,900 188,475
*Tristar Corp. ..................... 3,300 25,369
*Triton Group, Ltd. ................ 1,568 833
*Truevision, Inc. .................. 71,200 565,150
Tseng Laboratories, Inc. .......... 20,800 237,900
*Tuboscope Vetco International, Inc. 115,500 1,537,594
*Tucker Drilling Co., Inc. ......... 30,000 354,375
*Tuesday Morning Corp. ............. 36,000 472,500
*Tultex Corp. ...................... 62,000 333,250
*Turner Corp. ...................... 86,400 885,600
Tuscarora Plastics, Inc. .......... 6,800 167,450
Twin Disc, Inc. ................... 65,600 1,549,800
<PAGE>
Shares Value+
--------- ------------
*Tyco Toys, Inc. ................... 9,100 $ 48,344
*Tyler Corp. ....................... 152,800 420,200
U.S. Bancorp, Inc. ................ 6,325 205,177
*U.S. Bioscience, Inc. ............. 22,400 383,600
*UNC, Inc. ......................... 39,100 351,900
*URS Corp. ......................... 121,786 913,395
*US Can Corp. ...................... 11,300 193,513
*US Servis, Inc. ................... 14,000 70,438
*US Xpress Enterprises, Inc.
Class A .......................... 9,000 65,813
*USA Truck, Inc. ................... 5,600 66,500
*USData Corp. ...................... 32,900 715,575
*USMX, Inc. ........................ 36,600 108,656
USX-Delhi Group ................... 50,000 687,500
*UTI Energy Corp. .................. 8,200 100,450
*Ultimate Electronics, Inc. ........ 41,200 200,850
*Ultra Pacific, Inc. ............... 12,200 52,994
*Ultrak, Inc. ...................... 18,300 353,419
*#Ultralife Batteries, Inc. ......... 23,400 339,300
Uni-Marts, Inc. ................... 64,600 508,725
Unico American Corp. .............. 117,600 889,350
*Uniflex, Inc. ..................... 7,500 65,625
Uniforce Temporary Personnel, Inc. 92,200 1,671,125
*#Unigene Laboratories, Inc. ........ 39,400 154,522
*Unilab Corp. ...................... 34,800 67,425
*Unimed, Inc. ...................... 26,300 213,688
*Union Corp. DE .................... 20,000 397,500
*Union Switch & Signal, Inc. ....... 56,000 581,000
*Uniphase Corp. .................... 42,000 2,766,750
*Unique Mobility, Inc. ............. 23,500 102,813
*Uniroyal Technology Corp. ......... 21,400 78,244
*Unit Corp. ........................ 180,400 1,285,350
Unit Instruments, Inc. ............ 30,180 426,293
*United American Healthcare Corp. .. 52,350 602,025
*United Capital Corp. .............. 50,754 399,688
United Financial Corp. MN ......... 700 12,950
*United Foods, Inc. Class A ........ 27,900 57,544
*United Foods, Inc. Class B ........ 141,900 292,669
*United Guardian, Inc. ............. 47,720 143,160
United Industrial Corp. ........... 100,800 630,000
United National Bancorp ........... 3,850 120,313
*United Retail Group, Inc. ......... 25,600 112,000
*United States Alcohol Testing
America, Inc. .................... 71,400 214,200
*United States Energy Corp. ........ 20,570 425,542
United States Facilities Corp. .... 54,100 963,656
*United States Homecare Corp. ...... 17,400 36,975
United States Lime & Minerals, Inc. 14,300 174,281
*United Video Satellite Group, Inc.
Class A .......................... 6,600 129,525
*Unitel Video, Inc. ................ 51,200 307,200
Unitil Corp. ...................... 39,552 912,168
Unitog Co. ........................ 2,550 68,213
*Universal Electronics, Inc. ....... 16,900 195,406
Universal Forest Products, Inc. ... 125,700 1,335,563
*Universal Holding Corp. ........... 500 1,219
*Universal Hospital Services, Inc. . 43,800 366,825
*Universal International, Inc. ..... 6,300 30,909
*Universal Security Instruments,
Inc. ............................. 44,000 42,625
*Universal Seismic Association, Inc. 8,400 43,575
*Universal Standard Medical Labs,
Inc. ............................. 27,300 153,563
*University Genetics Co. Class A ... 76,100 0
*Uno Restaurant Corp. .............. 231,491 1,649,373
Upper Peninsula Energy Corp. ...... 20,400 390,150
</TABLE>
21
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
*Uranuim Resources, Inc. ........... 41,600 $ 629,200
*Uromed Corp. ...................... 38,000 456,000
*Utah Medical, Inc. ................ 31,900 476,506
*Utilx Corp. ....................... 144,800 416,300
*V Band Systems, Inc. .............. 5,300 15,900
*V Mark Software, Inc. ............. 19,764 229,757
*VTEL Corp. ........................ 38,800 463,175
*Valence Technology, Inc. .......... 170,100 1,100,334
*Vallen Corp. ...................... 61,400 1,212,650
Valley Forge Corp. ................ 2,350 34,956
Valley Resources, Inc. ............ 36,687 435,658
Vallicorp Holdings, Inc. .......... 23,000 313,375
*Valuevision International, Inc.
Class A .......................... 46,400 330,600
*Vans, Inc. ........................ 77,500 1,550,000
*Vari L Co., Inc. .................. 7,100 99,844
*Variflex, Inc. .................... 51,100 376,863
Varlen Corp. ...................... 16,208 355,563
Varsity Spirit Corp. .............. 4,700 76,375
*Vaughn Communications, Inc. ....... 3,000 51,750
*Vectra Technologies, Inc. ......... 34,500 112,125
*Ventura County National Bancorp ... 9,209 36,548
Venture Stores, Inc. .............. 46,100 334,225
*Venturian Corp. ................... 21,900 271,013
Vermont Financial Services Corp. .. 15,013 499,182
*Vermont Teddy Bear, Inc. .......... 10,300 28,325
Versa Technologies, Inc. .......... 60,550 824,994
*Versar, Inc. ...................... 46,100 161,350
*Vertex Communications Corp. ....... 43,300 771,281
*Vical, Inc. ....................... 80,000 1,545,000
*Vicon Industries, Inc. ............ 54,250 115,281
*Vicorp Restaurants, Inc. .......... 64,300 835,900
*Video Display Corp. ............... 41,750 258,328
*Video Lottery Technologies, Inc. .. 22,400 112,000
*Videonics, Inc. ................... 5,400 51,300
*Vie de France Corp. ............... 211,800 582,450
*Viral Testing Systems Corp. ....... 114,750 3,443
Virco Manufacturing Corp. ......... 63,025 614,494
Virginia Beach Federal Financial
Corp. ............................ 87,950 681,613
Virginia First Financial Corp. .... 10,270 123,240
*Vision Sciences, Inc. ............. 20,450 52,403
*Vitesse Semiconductor, Inc. ....... 101,000 2,840,625
*Vitronics Corp. ................... 64,800 129,600
*Volunteer Capital Corp. ........... 120,200 1,307,175
Vulcan International Corp. ........ 10,951 276,513
*WCI Steel, Inc. ................... 5,000 23,750
*WPI Group, Inc. ................... 16,650 171,703
*#WRT Energy Corp. .................. 8,300 2,332
*WSFS Financial Corp. .............. 12,200 92,263
*WSMP, Inc. ........................ 2,375 12,766
*WTD Industries, Inc. .............. 48,040 37,531
Wackenhut Corp. Class A ........... 31,697 863,743
Wackenhut Corp. Class B Non- Voting 80,092 1,852,128
*Wahlco Environmental System, Inc. . 19,400 19,400
*Wainoco Oil Corp. ................. 209,300 784,875
Wainwright Bank & Trust Co. ....... 200 950
Walden Bancorp, Inc. .............. 46,500 889,313
*Walker Interactive Systems, Inc. .. 109,000 1,301,188
*Wall Data, Inc. ................... 18,450 412,819
*Wall Street Deli, Inc. ............ 11,400 63,413
Walshire Assurance Co. ............ 17,603 268,446
*Warner Insurance Services, Inc. ... 88,445 453,281
*Warrantech Corp. .................. 42,500 185,938
<PAGE>
Shares Value+
--------- ------------
Warren Bancorp, Inc. .............. 101,400 $1,299,188
*Washington Construction Group, Inc. 139,300 1,445,238
*Washington Homes, Inc. ............ 59,600 253,300
Washington Savings Bank FSB
Waldorf, MD ...................... 28,912 153,595
*Washington Scientific Industries,
Inc. ............................. 61,100 248,219
#Waters Instruments, Inc. .......... 500 2,563
Watsco, Inc. Class A .............. 14,463 435,698
Watsco, Inc. Class B .............. 22,882 677,879
*Wave Technologies International,
Inc. ............................. 8,300 50,319
Waverly, Inc. ..................... 31,100 1,337,300
*Waxman Industries, Inc. ........... 19,500 90,188
*Waxman Industries, Inc. Class B ... 9,750 45,094
Webster Financial Corp. ........... 24,754 713,225
*Wedco Technology, Inc. ............ 36,246 675,082
*Wegener Corp. ..................... 5,500 54,313
*Weirton Steel Corp. ............... 14,400 55,800
*Weitek Corp. ...................... 87,200 119,900
*Welcome Home, Inc. ................ 15,000 38,438
*#Wellcare Management Group, Inc. ... 15,700 196,250
Wellco Enterprises, Inc. .......... 4,100 90,200
*#Wells-Gardner Electronics Corp. ... 79,500 327,938
*Westbridge Capital Corp. .......... 10,800 71,550
*Westerbeke Corp. .................. 20,000 55,000
Westerfed Financial Corp. ......... 7,400 107,763
*Western Beef, Inc. ................ 42,386 394,720
*Western Micro Technology, Inc. .... 37,500 393,750
*Western Water Co. ................. 32,500 658,125
*Westmoreland Coal Co. ............. 50,500 202,000
*Weston (Roy F.), Inc. Class A ..... 18,500 95,969
Westport Bancorp, Inc. ............ 2,250 12,938
*Wet Seal, Inc. Class A ............ 13,200 334,125
*Whitehall Corp. ................... 68,100 2,655,900
*Whittaker Corp. ................... 30,000 577,500
*Whole Foods Market, Inc. .......... 90,000 2,216,250
*Wholesome & Hearty Foods, Inc. .... 55,200 400,200
*Wichita River Holding Corp. ....... 7,095 929
*Wickes Lumber Co. ................. 16,800 90,300
*Williams Clayton Energy, Inc. ..... 11,300 73,450
*Williams Controls, Inc. ........... 56,700 120,488
Wilshire Oil Co. of Texas ......... 233,511 1,313,499
Windmere Corp. .................... 104,900 1,363,700
*Winston Resources, Inc. ........... 1,000 4,000
Winthrop Resources Corp. .......... 25,200 548,100
Wireless Telecom Group, Inc. ...... 55,600 820,100
Wiser Oil Co. ..................... 45,000 590,625
Wolf (Howard B.), Inc. ............ 6,000 44,625
Wolohan Lumber Co. ................ 47,700 515,756
Woodhead Industries, Inc. ......... 176,550 2,460,666
#Workingmens Capital Holdings, Inc. 200 4,000
*World Acceptance Corp. ............ 174,000 1,566,000
World Fuel Services Corp. ......... 41,647 744,440
*Worldcorp, Inc. ................... 116,000 899,000
*Worldtex, Inc. .................... 141,800 886,250
Worthington Foods, Inc. ........... 12,700 198,438
Wynns International, Inc. ......... 138,262 3,784,922
*Xicor, Inc. ....................... 50,000 606,250
*#Xoma Corp. ........................ 54,600 394,144
*Xpedite Systems, Inc. ............. 5,800 156,600
*Xytronyx, Inc. .................... 28,200 86,363
*Yes Clothing Co. .................. 22,600 42,375
York Financial Corp. .............. 15,950 265,169
</TABLE>
22
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ---------------
<S> <C> <C>
*York Research Corp. .................................................. 42,100 $ 410,475
*Youth Services International, Inc. ................................... 10,500 278,250
*Zaring Homes, Inc. ................................................... 10,000 122,500
*Zemex Corp. .......................................................... 36,672 339,216
Ziegler Co., Inc. .................................................... 500 9,438
*Zing Technologies, Inc. .............................................. 12,700 141,288
*Zitel Corp. .......................................................... 63,100 1,124,299
*Zoll Medical Corp. ................................................... 19,700 305,350
*Zycad Corp. .......................................................... 211,600 1,567,163
*Zygo Corp. ........................................................... 14,250 828,281
*Zynaxis, Inc. ........................................................ 51,000 54,188
*Zytec Corp. .......................................................... 7,600 329,650
---------------
TOTAL COMMON STOCKS (Cost $838,444,665) ................................ 1,229,480,378
---------------
PREFERRED STOCKS -- (0.0%)
*Alfin, Inc. 14.5% Cumulative Redeemable .............................. 24 0
*Fonar Corp. Class A .................................................. 34,390 0
---------------
TOTAL PREFERRED STOCKS (Cost $0) ....................................... 0
---------------
RIGHTS/WARRANTS -- (0.0%)
*Advanced NMR Systems, Inc. Warrants 08/30/00 ......................... 2,438 1,448
*Allied Capital Lending Corp. Rights 06/04/96 ......................... 11,500 0
*Amvestors Financial Corp. Warrants Class A 03/04/02 .................. 5,588 29,686
*Buell Industries, Inc. Contingent Payment Rights ..................... 59,800 0
*First Commercial Bancorp, Inc. Dividend Rights 06/07/96 .............. 17,168 0
*First Commercial Bancorp, Inc. Rights 06/07/96 ....................... 17,452 0
*Jamesway Corp. Warrants 01/28/10 ..................................... 3,296 330
*Krug International Corp. Warrants 01/31/98 ........................... 4,293 1,476
*Patina Oil & Gas Corp. Warrants 05/02/01 ............................. 26,994 47,239
*Sound Advice, Inc. Warrants 06/14/99 ................................. 4,675 0
---------------
TOTAL RIGHTS/WARRANTS (Cost $45,925) ................................... 80,179
---------------
Face
Amount
---------
(000)
TEMPORARY CASH INVESTMENTS -- (2.5%)
Repurchase Agreement, PNC Securities Corp. 5.05%, 06/03/96
(Collateralized by U.S. Treasury Notes 6.50%, 09/30/96)
(Cost $31,188,000) ................................................... $ 31,188 31,188,000
---------------
TOTAL INVESTMENTS -- (100.0%) (Cost $869,678,590) ....................... $1,260,748,557
===============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
23
<PAGE>
SCHEDULES OF INVESTMENTS
THE U.S. 6-10 SMALL COMPANY PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------ ---------------
<S> <C> <C>
Investment in The U.S. 6-10 Small Company Series of The DFA Investment
Trust Company ....................................................... 20,090,781 $260,087,080
---------------
Total Investments (100%) (Cost $182,456,499) .................... $260,087,080
===============
</TABLE>
THE U.S. LARGE COMPANY PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
----------- --------------
<S> <C> <C>
Investment in The U.S. Large Company Series of The DFA Investment Trust
Company ............................................................. 8,827,156 $130,671,442
--------------
Total Investments (100%) (Cost $93,528,586) ..................... $130,671,442
==============
</TABLE>
THE U.S. SMALL CAP VALUE PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------ --------------
<S> <C> <C>
Investment in The U.S. Small Cap Value Series of The DFA Investment Trust
Company ............................................................... 64,057,562 $1,021,208,587
--------------
Total Investments (100%) (Cost $798,667,316) ...................... $1,021,208,587
==============
</TABLE>
THE U.S. LARGE CAP VALUE PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------ --------------
<S> <C> <C>
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust
Company ............................................................... 27,524,348 $398,252,921
--------------
Total Investments (100%) (Cost $314,460,530) ...................... $398,252,921
==============
</TABLE>
- ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
24
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA/AEW REAL ESTATE SECURITIES PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
-------- -------------
<S> <C> <C>
COMMON STOCKS -- (95.6%)
AMLI Residential Properties Trust .. 10,900 $ 218,000
Agree Realty Corp. ................. 2,900 51,838
American Industrial Properties ..... 8,100 15,188
*American Realty Trust, Inc. ........ 6,400 61,600
Apartment Investment &
Management Co. Class A ............. 8,700 174,000
Arbor Property Trust ............... 13,400 100,500
Associated Estates Realty Corp. .... 16,700 342,350
Avalon Properties, Inc. ............ 31,300 669,038
BRE Properties, Inc. Class A ....... 15,030 557,989
Bay Apartment Communities, Inc. .... 10,400 266,500
Beacon Properties Corp. ............ 29,600 747,400
Bedford Property Investors, Inc. ... 3,450 47,438
Berkshire Realty Co. ............... 22,900 251,900
Boddie-Noell Properties, Inc. ...... 3,300 42,488
Bradley Real Estate, Inc. .......... 19,955 294,336
Burnham Pacific Properties, Inc. ... 20,900 232,513
CBL & Associates Properties, Inc. .. 20,200 431,775
Cali Realty Corp. .................. 13,000 290,875
*California Real Estate Investment
Trust .............................. 8,200 13,325
Camden Property Trust .............. 16,800 388,500
Carr Realty Corp. .................. 12,100 305,525
Centerpoint Properties Corp. ....... 10,300 244,625
Chateau Properties, Inc. ........... 5,500 127,875
Chelsea GCA Realty, Inc. ........... 11,700 345,150
Chicago Dock & Canal Trust III ..... 5,600 80,850
Clevetrust Realty Investors ........ 5,800 27,188
Colonial Properties Trust .......... 15,400 361,900
Columbus Realty Trust .............. 11,100 215,063
Commercial Net Lease Realty, Inc. .. 13,400 179,225
Copley Properties, Inc. ............ 3,800 58,425
Cousins Properties, Inc. ........... 30,900 602,550
Crescent Real Estate Equities, Inc. 20,900 723,663
*Crocker Realty Trust, Inc. ......... 25,000 284,375
Crown American Realty Trust ........ 26,600 202,825
Debartolo Realty Corp. ............. 58,600 952,250
Developers Diversified Realty Corp. 17,100 534,375
Duke Realty Investments, Inc. ...... 23,400 704,925
*EQK Realty Investors - 1- .......... 8,900 13,350
Eastgroup Properties ............... 3,800 84,075
*Equity Inns, Inc. .................. 12,700 150,813
Equity Residential Properties Corp. 38,500 1,193,500
Essex Property Trust ............... 7,600 157,700
*Evans Withycombe Residential, Inc. . 20,000 415,000
Excel Realty Trust, Inc. ........... 14,300 269,913
Factory Stores America, Inc. ....... 11,400 112,575
Federal Realty Investment Trust .... 48,300 1,044,488
*Felcor Suite Hotels, Inc. .......... 15,000 463,125
First Industrial Realty Trust, Inc. 18,300 432,338
First Union Real Estate Equity &
Mortgage Investments ............... 17,900 125,300
First Washington Realty Trust, Inc. 3,200 64,000
Gables Residential Trust ........... 14,700 338,100
General Growth Properties .......... 26,400 636,900
Glimcher Realty Trust .............. 19,800 324,225
HGI Realty, Inc. ................... 16,600 361,050
*HMG Courtland Properties, Inc. ..... 1,400 9,713
HRE Properties, Inc. ............... 5,700 88,350
<PAGE>
Shares Value+
-------- -------------
Haagen (Alexander) Properties, Inc. 11,600 $ 137,750
Highwood Properties, Inc. .......... 20,800 611,000
Home Properties of New York, Inc. .. 4,900 98,000
Hospitality Properties Trust ....... 23,000 598,000
IRT Property Co. ................... 35,800 335,625
*Innkeepers USA Trust ............... 2,000 20,000
Irvine Apartment Communities, Inc. . 31,300 633,825
JDN Realty Corp. ................... 9,700 203,700
JP Realty, Inc. .................... 15,300 317,475
Jameson Inns, Inc. ................. 2,500 23,906
Kahler Realty Corp. ................ 7,000 115,500
Kimco Realty Corp. ................. 33,100 906,113
*Koger Equity, Inc. ................. 16,000 202,000
Kranzco Realty Trust, Inc. ......... 9,700 150,350
*Landsing Pacific Fund .............. 6,500 959
Lexington Corp. Properties, Inc. ... 11,200 131,600
Liberty Property Trust ............. 26,900 548,088
MGI Properties ..................... 11,100 190,088
Macerich Co. ....................... 18,800 394,800
Malan Realty Investors, Inc. ....... 2,200 31,900
Manufactured Home Communities, Inc. 28,500 534,375
Mark Centers Trust ................. 12,800 137,600
Merry Land & Investment Co., Inc. .. 32,800 717,500
Mid-America Apartment
Communities, Inc. .................. 10,600 267,650
Mid-America Realty Investments, Inc. 8,000 69,000
Mid-Atlantic Realty Trust .......... 6,800 63,750
Mills Corp. ........................ 16,400 295,200
Monmouth Real Estate Investment
Corp. Class A ...................... 3,600 21,150
National Golf Properties, Inc. ..... 9,600 235,200
National Income Realty Trust ....... 3,728 53,124
New Plan Realty Trust .............. 62,800 1,271,700
Oasis Residential, Inc. ............ 19,800 420,750
One Liberty Properties, Inc. ....... 1,200 16,200
*Pacific Gateway Properties, Inc. ... 4,300 17,738
Pacific Gulf Properties, Inc. ...... 4,700 78,138
Paragon Group, Inc. ................ 17,000 269,875
Parkway Co. ........................ 2,250 36,000
Partners Preferred Yield, Inc.
Class A ............................ 3,200 52,800
Partners Preferred Yield II, Inc.
Class A ............................ 3,600 59,850
Partners Preferred Yield III, Inc.
Class A ............................ 1,600 29,200
*Patriot American Hospitality, Inc. . 14,000 397,250
Pennsylvania Real Estate Investment
Trust .............................. 9,400 185,650
Post Properties, Inc. .............. 20,500 686,750
Presidential Realty Corp. Class B .. 3,300 20,213
Price Real Estate Investment Trust,
Inc. Class B ....................... 9,100 279,825
Prime Retail, Inc. ................. 10,500 123,375
Property Capital Trust ............. 10,000 103,750
Public Storage Properties X, Inc.
Class A ............................ 1,700 32,088
Public Storage Properties XI, Inc.
Class A ............................ 2,000 36,500
</TABLE>
25
<PAGE>
THE DFA/AEW REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
Public Storage Properties XII, Inc.
Class A ............................ 2,000 $ 38,750
Public Storage Properties XIV, Inc.
Class A ............................ 2,100 38,325
Public Storage Properties XV, Inc.
Class A ............................ 2,400 43,800
Public Storage Properties XVI, Inc.
Class A ............................ 2,900 48,938
Public Storage Properties XVII, Inc.
Class A ............................ 3,200 54,800
Public Storage Properties XVIII,
Inc. Class A ....................... 1,900 32,775
Public Storage Properties XIX, Inc.
Class A ............................ 3,700 52,725
Public Storage Properties XX, Inc.
Class A ............................ 900 15,525
Public Storage, Inc. ............... 62,995 1,322,895
RFS Hotel Investors, Inc. .......... 20,000 341,250
ROC Communities, Inc. .............. 13,700 327,088
Realty Income Corp. ................ 20,600 430,025
Reckson Associates Realty Corp. .... 1,600 50,000
Regency Realty Corp. ............... 7,300 137,788
Saul Centers, Inc. ................. 11,500 155,250
Security Capital Industrial Trust .. 78,900 1,361,018
Security Capital Pacific Trust ..... 84,300 1,875,668
Shurgard Storage Centers, Inc.
Class A ............................ 16,500 404,250
Simon Property Group, Inc. ......... 54,200 1,314,350
Sizeler Property Investors, Inc. ... 9,700 83,663
Smith (Charles E.) Residential
Realty, Inc. ....................... 9,300 216,225
South West Property Trust, Inc. .... 21,400 296,925
Sovran Self Storage, Inc. .......... 3,600 94,050
Spieker Properties, Inc. ........... 25,900 712,250
*Storage Properties, Inc. ........... 4,200 29,925
Storage Trust Realty ............... 8,400 174,300
Storage USA, Inc. .................. 17,000 571,625
Summit Properties, Inc. ............ 14,800 290,450
Sun Communities, Inc. .............. 10,900 291,575
Sunstone Hotel Investors, Inc. ..... 300 3,263
<PAGE>
Shares Value+
-------- -------------
Tanger Factory Outlet Centers, Inc. 6,000 $ 145,500
Town & Country Trust ............... 14,100 190,350
Trinet Corporate Realty Trust, Inc. 12,500 375,000
United Dominion Realty Trust, Inc. . 68,100 995,963
United Mobile Homes, Inc. .......... 5,500 63,250
Urban Shopping Centers, Inc. ....... 13,400 318,250
Vornado Realty Trust ............... 21,900 843,150
Walden Residential Properties, Inc. 13,700 284,275
Washington Real Estate Investment
Trust .............................. 35,600 587,400
Weeks Corp. ........................ 8,600 221,450
Weingarten Realty Investors ........ 24,000 891,000
Wellsford Residential Property Trust 20,725 471,494
Western Investment Real Estate Trust 18,700 229,075
Winston Hotels, Inc. ............... 5,000 57,500
-------------
TOTAL COMMON STOCKS
(Cost $43,612,952) ................. 46,078,865
-------------
Face
Amount
--------
(000)
TEMPORARY CASH INVESTMENTS -- (4.4%)
Repurchase Agreement, PNC Securities
Corp. 5.05%, 06/03/96
(Collateralized by U.S. Treasury
Notes 6.50%, 09/30/96)
(Cost $2,146,000) .................. $ 2,146 2,146,000
-------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $45,758,952) ................. $48,224,865
=============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements.
26
<PAGE>
SCHEDULE OF INVESTMENTS
THE JAPANESE SMALL COMPANY PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
--------- -----------
<S> <C> <C>
COMMON STOCKS -- (96.6%)
*#ASK Corp., Yokohama ................ 66,000 $ 367,448
Achilles Corp. ..................... 181,000 759,546
Aica Kogyo Co., Ltd. ............... 102,000 727,559
Aichi Corp. ........................ 57,000 628,346
#Aichi Machine Industry Co., Ltd. ... 127,000 876,470
#Aichi Tokei Denki Co., Ltd. ........ 67,000 462,390
Aida Engineering, Ltd. ............. 134,000 1,101,047
*#Akai Electric Co., Ltd. ............ 258,000 1,147,198
#Akebono Brake Industry Co., Ltd. ... 130,200 750,203
Alpine Electronics, Inc. ........... 72,000 1,333,951
Amada Sonoike Co., Ltd. ............ 132,000 886,521
*#Amada Wasino Co., Ltd. ............. 122,000 552,645
Ando Corp. ......................... 120,000 678,092
Arai-Gumi, Ltd. .................... 46,600 772,709
Araya Industrial Co., Ltd. ......... 84,000 361,834
#Asahi Denka Kogyo KK ............... 105,000 956,137
Asahi Kogyosha Co., Ltd. ........... 48,000 341,936
*#Asahi Optical Co., Ltd. ............ 180,000 932,098
Asahi Organic Chemicals Industry
Co., Ltd. ......................... 135,000 1,066,744
Asahi Tec Corp. .................... 86,000 598,296
Asanuma Corp. ...................... 117,000 727,253
#Ashimori Industry Co., Ltd. ........ 84,000 513,571
*Asics Corp. ........................ 307,000 1,083,529
Bando Chemical Industries, Ltd. .... 182,000 1,018,323
Bank of Okinawa, Ltd. .............. 15,600 546,253
*Bank of Osaka, Ltd. ................ 275,000 1,062,297
Bank of the Ryukyus, Ltd. .......... 15,600 554,923
Bunka Shutter Co., Ltd. ............ 114,000 850,116
#CKD Corp. .......................... 91,000 876,702
CMK Corp. .......................... 76,000 1,189,810
Cabin Co., Ltd. .................... 67,000 471,700
Calpis Food Industry Co., Ltd. ..... 110,000 928,300
*Central Finance Co., Ltd. .......... 180,000 817,045
*Central Glass Co., Ltd. ............ 328,000 1,336,915
Chiba Kogyo Bank, Ltd. ............. 5,000 180,639
#Chino Corp. ........................ 70,000 449,375
*Chisan Tokan Co., Ltd. ............. 64,000 332,006
*#Chori Co., Ltd. .................... 137,000 666,281
*#Chuetsu Pulp and Paper Co., Ltd. ... 172,000 1,102,585
#Chugai Ro Co., Ltd. ................ 129,000 800,648
#Chugoku Marine Paints, Ltd. ........ 111,000 606,670
#Chugokukogyo Co., Ltd. ............. 45,000 275,544
Chukyo Coca-Cola Bottling Co., Ltd. 68,000 787,402
Chukyo Sogo Bank, Ltd. ............. 203,000 1,070,005
Chuo Paperboard Co., Ltd. .......... 62,000 293,488
Chuo Spring Co., Ltd., Nagoya ...... 90,000 575,266
*Clarion Co., Ltd. .................. 230,000 1,080,222
#Cleanup Corp. ...................... 72,000 987,124
*#Co-Op Chemical Co., Ltd. ........... 80,000 333,488
*#Copal Co., Ltd. .................... 78,000 830,940
*#D'urban, Inc. ...................... 114,000 612,506
#Dai Nippon Construction ............ 81,000 551,505
#Dai Nippon Toryo, Ltd. ............. 181,000 764,576
Dai-Ichi Hotel, Ltd., Tokyo ........ 52,000 370,431
Dai-Ichi Katei Denki Co., Ltd. ..... 91,000 624,650
Dai-Ichi Kogyo Seiyaku Co., Ltd. ... 47,000 291,709
*Dai-Ichi Securities Co., Ltd. ...... 228,000 1,049,708
<PAGE>
Shares Value+
--------- -----------
#Daido Concrete Co., Ltd. ........... 33,000 $ 171,190
Daido Hoxan, Inc. .................. 70,000 460,398
#Daido Kogyo Co., Ltd. .............. 60,000 449,097
Daidoh, Ltd. ....................... 54,000 488,726
Daiei OMC, Inc. .................... 13,000 75,266
Daihen Corp. ....................... 205,000 1,110,931
Daiho Corp. ........................ 96,000 698,101
Daiichi Cement Co., Ltd. ........... 33,000 192,589
*#Daiichi Chuo Kisen Kaisha .......... 390,000 1,112,737
#Daiichi Jitsugyo Co., Ltd. ......... 80,000 515,794
#Daimei Telecom Engineering Corp. ... 50,000 523,390
#Dainichiseika Colour & Chemicals
Manufacturing Co., Ltd. ........... 133,000 1,021,371
Daisan Bank, Ltd. .................. 166,000 921,112
Daiso Co., Ltd. .................... 112,000 558,184
#Daisue Construction Co., Ltd. ...... 185,000 898,008
Daito Kogyo Co., Ltd. .............. 71,000 399,231
*#Daito Woolen Spinning & Weaving Co.,
Ltd., Tokyo ....................... 42,000 219,046
*Daiwa Danchi Co., Ltd. ............. 172,000 1,112,145
#Daiwa Seiko, Inc. .................. 134,000 863,956
*Daiwabo Co., Ltd. .................. 70,000 411,765
Dantani Corp. ...................... 68,000 408,819
Danto Corp. ........................ 42,000 540,806
#Denki Kogyo Co., Ltd. .............. 104,000 1,021,214
Descente, Ltd. ..................... 113,000 804,975
*Dijet Industrial Co., Ltd. ......... 34,000 152,756
#Dynic Corp. ........................ 52,000 375,730
#Eagle Industry Co., Ltd. ........... 43,000 533,766
Ehime Bank, Ltd. ................... 221,000 1,248,819
*Enshu, Ltd. ........................ 69,000 357,943
*#FDK Corp. .......................... 94,000 783,696
First Baking Co., Ltd. ............. 67,000 376,119
#France Bed Co., Ltd. ............... 161,000 1,103,659
Fuji Car Manufacturing Co., Ltd. ... 36,000 217,767
Fuji Denki Reiki Co., Ltd. ......... 73,500 871,515
*#Fuji Kosan Co., Ltd. ............... 117,000 481,223
Fuji Kyuko Co., Ltd. ............... 174,000 931,654
Fuji Oil Co., Ltd. ................. 133,000 1,059,565
Fuji Spinning Co., Ltd., Tokyo ..... 151,000 805,706
*Fujii & Co., Ltd. .................. 44,000 249,041
#Fujiko Co., Ltd. ................... 55,000 259,843
#Fujirebio, Inc. .................... 60,000 495,229
Fujitec Co., Ltd. .................. 125,900 1,364,548
*Fujitsu General, Ltd. .............. 149,000 1,311,255
*#Fujiya Co., Ltd. ................... 178,000 943,177
Fukuda Corp. ....................... 65,000 632,237
#Fukusuke Corp. ..................... 95,000 585,225
*Fukutoku Bank, Ltd. ................ 177,000 593,553
*#Furukawa Battery Co., Ltd. ......... 45,000 339,741
*#Ga-jo-en Kanko K.K. ................ 37,000 105,225
*Gakken Co., Ltd. ................... 146,000 1,030,588
#Gastec Service, Inc. ............... 41,000 305,743
#Godo Shusei Co., Ltd. .............. 74,000 463,400
*Graphtec Corp. ..................... 39,000 330,570
Gun-Ei Chemical Industry Co., Ltd. . 154,000 825,994
Gunze Sangyo, Inc., Tokyo .......... 90,000 479,389
*#Hakone Tozan Railway Co., Ltd. ..... 52,000 260,120
Hakuyosha Co., Ltd. ................ 57,000 390,736
Hanshin Sogo Bank, Ltd. ............ 14,000 91,561
</TABLE>
27
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
Harima Chemicals, Inc. ............. 37,000 $ 383,881
*#Hayashikane Sangyo Co., Ltd. ....... 128,000 480,222
Hisaka Works, Ltd. ................. 48,000 591,385
Hisamitsu Pharmaceutical Co., Inc. . 69,000 645,577
Hitachi Electronics, Ltd. .......... 82,000 941,918
Hitachi Plant Engineering &
Construction Co., Ltd. ............ 157,000 1,221,677
*#Hitachi Seiki Co., Ltd. ............ 141,000 705,327
Hochiki Corp. ...................... 42,000 357,943
*#Hodogaya Chemical Co., Ltd. ........ 90,000 391,014
*Hohsui Corp. ....................... 56,000 247,967
Hokkai Can Co., Ltd., Tokyo ........ 93,000 766,744
#Hokkaido Gas Co., Ltd. ............. 87,000 419,083
#Hokko Chemical Industry Co., Ltd. .. 41,000 284,854
*#Hoko Fishing Co., Ltd. ............. 79,000 292,728
*#Hokuriku Electric Industry Co., Ltd. 112,000 810,301
#Hokuriku Electrical Construction
Co., Ltd. ......................... 36,000 272,459
#Honen Corp. ........................ 119,000 741,890
Horiba, Ltd. ....................... 44,000 639,926
Howa Machinery, Ltd. ............... 181,000 840,028
#Ibiden Co., Ltd. ................... 151,000 1,327,457
Ichida and Co., Ltd. ............... 78,000 480,500
Ichikawa Co., Ltd. ................. 49,000 296,860
Ichiken Co., Ltd. .................. 48,000 498,008
#Ichikoh Industries, Ltd. ........... 141,000 764,104
#Ihara Chemical Industry Co., Ltd. .. 73,000 598,472
*#Iino Kaiun Kaisha, Ltd. ............ 161,000 862,047
*#Ikegai Corp. ....................... 90,000 393,516
#Ikegami Tsushinki Co., Ltd. ........ 84,000 680,093
Inabata and Co., Ltd., Osaka ....... 78,000 581,658
Inageya Co., Ltd. .................. 68,000 938,583
*Ines Corp. ......................... 75,000 1,424,270
#Intec, Inc. ........................ 53,000 854,284
*Inui Steamship Co., Ltd. ........... 31,000 120,611
#Ishii Iron Works Co., Ltd. ......... 52,000 342,010
#Ishikawa Seisakusho, Ltd. .......... 75,000 372,395
Ishizuka Glass Co., Ltd. ........... 49,000 308,661
Itoki Crebio Corp. ................. 56,000 460,658
Iwasaki Electric Co., Ltd. ......... 110,000 593,052
Iwata Air Compressor Manufacturing
Co., Ltd. ......................... 74,000 466,827
*Iwatsu Electric Co., Ltd. .......... 145,000 807,272
*Izutsuya Co., Ltd. ................. 118,000 650,394
#JDC Corp. .......................... 256,000 1,190,477
*#Janome Sewing Machine Co., Ltd. .... 213,000 870,153
#Japan Aircraft Manufacturing Co.,
Ltd. .............................. 70,000 510,977
*#Japan Aviation Electronics Industry,
Ltd. .............................. 136,000 1,020,472
Japan Carlit Co., Ltd. ............. 28,000 204,132
*#Japan Coated Paper Manufacturing
Co., Ltd. ......................... 132,000 743,455
Japan Digital Laboratory Co., Ltd. . 45,000 1,012,969
*#Japan Metals & Chemicals Co., Ltd. . 201,000 1,079,944
#Japan Oil Transportation Co., Ltd. . 45,150 308,250
#Japan Paper Industry Co., Ltd. ..... 91,000 658,370
Japan Pulp and Paper Co., Ltd. ..... 168,000 1,044,261
#Japan Transcity Corp. .............. 90,000 591,941
Japan Vilene Co., Ltd. ............. 101,000 693,293
Japan Wool Textile Co., Ltd. ....... 80,000 822,603
*Jeol, Ltd. ......................... 91,000 683,659
#Joban Kosan Co., Ltd. .............. 101,000 533,302
Joshin Denki Co., Ltd. ............. 82,000 1,177,397
<PAGE>
Shares Value+
--------- -----------
*#Jujiya Co., Ltd. ................... 161,000 $ 695,007
Juken Sangyo Co., Ltd. ............. 72,000 840,389
*#Juki Corp. ......................... 141,000 709,245
Kagawa Bank, Ltd. .................. 89,000 890,412
#Kagome Co., Ltd. ................... 114,000 1,151,088
*Kaken Pharmaceutical Co., Ltd. ..... 23,000 194,738
#Kakuei (L.) Corp. .................. 100,000 412,228
Kamei Corp. ........................ 54,000 645,299
#Kanaden Corp. ...................... 50,000 449,745
Kanagawa Chuo Kotsu Co., Ltd. ...... 90,000 609,449
#Kanematsu Electronics, Ltd. ........ 38,000 373,136
*#Kansai Kisen Kaisha ................ 184,000 489,189
#Kansei Corp. ....................... 70,000 633,534
Kanto Auto Works, Ltd., Yokosuka ... 100,000 768,874
Kanto Bank, Ltd. ................... 13,400 453,080
*#Kanto Denka Kogyo Co., Ltd. ........ 83,000 512,070
Kanto Natural Gas Development Co.,
Ltd. .............................. 87,000 721,306
*#Kanto Special Steel Works, Ltd. .... 73,000 476,072
Kasho Co., Ltd., Tokyo ............. 46,000 447,429
#Kasumi Co., Ltd. ................... 80,000 741,084
#Katakura Industries Co., Ltd. ...... 49,000 558,314
Kato Works Co., Ltd. ............... 82,000 528,689
#Katsumura Construction Co., Ltd. ... 37,600 228,839
Kawada Industries, Inc. ............ 76,000 701,918
Kawai Musical Instruments
Manufacturing Co., Ltd. ........... 99,000 487,893
Kawashima Textile Manufacturers,
Ltd. .............................. 126,000 595,276
*Kawasho Corp. ...................... 169,000 845,391
#Keihin Co., Ltd. ................... 100,000 528,022
Keiyo Co., Ltd. .................... 88,000 1,149,421
#Kimmon Manufacturing Co., Ltd. ..... 41,000 258,268
*Kimura Chemical Plants Co., Ltd. ... 27,000 158,824
*#Kinki Nippon Tourist Co., Ltd. ..... 94,000 803,724
#Kinki Sharyo Co., Ltd., Nagaokakyo . 91,000 650,783
#Kinseki, Ltd. ...................... 46,000 728,671
*Kinsho-Mataichi Corp. .............. 42,000 221,769
*Kinugawa Rubber Industrial Co., Ltd. 83,000 397,508
*Kioritz Corp. ...................... 96,000 426,864
Kita-Nippon Bank, Ltd. ............. 8,400 473,886
Kitagawa Iron Works Co., Ltd. ...... 124,000 852,321
Kitano Construction Corp. .......... 110,000 755,072
Kitz Corp. ......................... 193,000 956,508
Koa Corp. .......................... 62,000 970,635
#Koatsu Gas Kogyo Co., Ltd. ......... 78,000 556,369
*#Kobe Kiito Co., Ltd. ............... 53,000 186,568
#Kokune Corp. ....................... 42,000 236,554
#Kokusai Kogyo Co., Ltd. ............ 56,000 830,014
Komai Tekko, Inc. .................. 46,000 390,755
Komatsu Construction Co., Ltd. ..... 29,000 181,334
Komatsu Forklift Co., Ltd. ......... 127,000 884,706
Komatsu Seiren Co., Ltd. ........... 63,000 723,668
#Komatsu Zenoah Co. ................. 75,000 464,104
Konami Co., Ltd. ................... 45,200 1,348,254
Kosei Securities Co., Ltd. ......... 137,000 805,882
*#Krosaki Corp. ...................... 96,000 569,152
Kumiai Chemical Industry Co., Ltd.,
Tokyo ............................. 122,000 773,025
#Kyodo Shiryo Co., Ltd. ............. 145,000 685,039
Kyoei Tanker Co., Ltd. ............. 53,000 223,881
*Kyokuyo Co., Ltd. .................. 167,000 1,124,678
Kyosan Electric Manufacturing Co.,
Ltd. .............................. 87,000 644,743
</TABLE>
28
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
*Kyotaru Co., Ltd. .................. 68,000 $ 479,370
Kyowa Leather Cloth Co., Ltd. ...... 32,000 355,720
#Kyushu Bank, Ltd. .................. 135,000 625,289
Life Corp. ......................... 77,000 684,761
Magara Construction Co., Ltd. ...... 61,000 389,903
Makino Milling Machine Co., Ltd. ... 131,000 1,286,336
Maruei Department Store Co., Ltd. .. 72,000 456,211
Marusan Securities Co., Ltd. ....... 119,700 1,208,643
#Maruwn Corp. ....................... 38,000 258,027
#Maruyama Manufacturing Co., Inc. ... 73,000 402,362
#Maruzen Co., Ltd. .................. 151,000 1,049,097
Maruzen Showa Unyu Co., Ltd. ....... 148,000 906,234
Matsui Construction Co., Ltd. ...... 40,000 319,037
#Matsuo Bridge Co., Ltd. ............ 37,000 258,777
Matsuya Co., Ltd. .................. 74,000 479,852
*Meiji Shipping Co., Ltd. ........... 47,000 252,524
#Meisei Industrial Co., Ltd. ........ 29,000 206,855
Meito Sangyo Co., Ltd. ............. 38,000 573,784
*Meiwa Trading Co., Ltd. ............ 55,000 281,241
Mikuni Coca-Cola Bottling Co., Ltd. 82,000 1,222,974
#Misawa Resort Co., Ltd. ............ 32,000 367,578
#Mitsuba Electric Manufacturing Co.,
Ltd. .............................. 51,000 609,449
#Mitsubishi Kakoki Kaisha, Ltd. ..... 117,000 905,002
Mitsubishi Pencil Co., Ltd. ........ 49,000 494,766
*#Mitsubishi Shindoh Co., Ltd. ....... 82,000 460,324
*Mitsubishi Steel Manufacturing Co.,
Ltd. .............................. 201,000 1,100,426
Mitsuboshi Belting, Ltd. ........... 153,000 975,118
Mitsui Construction Co., Ltd. ...... 291,000 1,213,062
#Mitsui High-Tec, Inc. .............. 46,000 1,061,047
Mitsui Matsushima Co., Ltd. ........ 90,000 410,190
*#Mitsui Mining Co., Ltd. ............ 225,000 1,225,567
Mitsui Sugar Co., Ltd. ............. 116,000 554,479
Mitsuuroko Co., Ltd. ............... 98,000 780,732
#Miyaji Iron Works Co. Ltd. ......... 90,000 523,576
*Miyakoshi Corp. .................... 18,000 62,696
Miyazaki Bank, Ltd. ................ 162,000 1,140,528
*#Miyoshi Oil & Fat Co., Ltd. ........ 120,000 619,176
#Miyuki Keori Co., Ltd. ............. 50,000 583,604
Morita Fire Pump Manufacturing Co.,
Ltd. .............................. 72,000 546,253
*Morozoff, Ltd., Osaka .............. 50,000 291,802
Mory Industries, Inc. .............. 66,000 440,204
*Mutoh Industries, Ltd. ............. 61,000 410,245
Mutow Co., Ltd. .................... 38,000 292,172
#NEC System Integration &
Construction, Ltd. ................ 42,900 1,033,256
*#Nabco, Ltd. ........................ 120,000 719,222
*#Nagasakiya Co., Ltd. (Tokyo) ....... 219,000 1,906,994
Nagatanien Co., Ltd. ............... 53,000 486,058
Naigai Co., Ltd. ................... 109,000 586,651
#Nakabayashi Co., Ltd. .............. 83,000 599,722
Nakamuraya Co., Ltd. ............... 85,000 565,354
Nakano Corp. ....................... 66,000 354,609
Nakayama Steel Works, Ltd. ......... 135,000 887,911
#Neturen Co., Ltd., Tokyo ........... 58,000 506,123
Nichia Steel Works, Ltd. ........... 59,000 503,372
#Nichias Corp. ...................... 188,000 1,053,636
#Nichiban Co., Ltd. ................. 58,000 420,157
*Nichiboshin, Ltd. .................. 107,000 390,533
Nichiei Construction Co., Ltd. ..... 89,000 1,030,570
*Nichimo Co., Ltd. .................. 54,000 280,130
Nichimo Corp. ...................... 85,000 494,488
Nichireki Co., Ltd. ................ 44,000 485,039
<PAGE>
Shares Value+
--------- -------------
Nichiro Corp. ...................... 243,000 $1,042,233
Nifco, Inc. ........................ 88,000 1,084,206
*Nihon Kentetsu Co., Ltd. ........... 27,000 195,090
#Nihon Kohden Corp. ................. 68,000 680,315
#Nihon Matai Co., Ltd. .............. 50,000 314,961
Nihon Nohyaku Co., Ltd. ............ 91,000 762,899
#Nihon Nosan Kogyo K.K. ............. 188,000 884,706
Nihon Parkerizing Co., Ltd. ........ 92,000 615,322
*#Nihon Spindle Manufacturing Co.,
Ltd. .............................. 56,000 305,549
Nihon Tokushu Toryo Co., Ltd. ...... 35,000 207,503
Niigata Chuo Bank, Ltd. ............ 130,000 556,369
*Nikkatsu Corp. ..................... 191,000 14,155
#Nikken Chemicals Co., Ltd. ......... 109,000 815,859
#Nikkiso Co., Ltd. .................. 105,000 886,105
Nikko Co., Ltd., Akashi ............ 65,000 552,154
Nippon Beet Sugar Manufacturing Co.,
Ltd. .............................. 226,000 1,228,921
#Nippon Carbide Industries Co., Inc.,
Tokyo ............................. 93,000 583,242
*#Nippon Carbon Co., Ltd. ............ 165,000 745,901
*Nippon Chemi-Con Corp. ............. 173,000 1,152,265
#Nippon Chemical Industrial Co., Ltd. 110,000 1,171,839
Nippon Chemiphar Co., Ltd. ......... 49,000 350,421
#Nippon Chutetsukan KK .............. 44,000 251,079
*#Nippon Columbia Co., Ltd. .......... 99,000 647,466
#Nippon Concrete Industries Co., Ltd. 65,000 397,406
Nippon Conlux Co., Ltd. ............ 63,000 583,604
#Nippon Conveyor Co., Ltd. .......... 43,000 280,028
Nippon Denko Co., Ltd. ............. 159,000 681,955
Nippon Densetsu Kogyo Co., Ltd. .... 99,000 1,137,193
*#Nippon Electric Industry Co., Ltd. . 67,000 412,737
Nippon Felt Co., Ltd. .............. 28,000 213,988
#Nippon Formula Feed Manufacturing
Co., Ltd. ......................... 100,000 524,317
#Nippon Gas Co., Ltd. ............... 62,000 476,702
*#Nippon Housing Loan Co., Ltd. ...... 62,000 1,723
Nippon Hume Pipe Co., Ltd. ......... 38,000 306,253
*#Nippon Kasei Chemical Co., Ltd. .... 113,000 511,876
#Nippon Kinzoku Co., Ltd. ........... 93,000 498,814
Nippon Koei Co., Ltd., Tokyo ....... 110,000 980,269
*Nippon Koshuha Steel Co., Ltd. ..... 151,000 763,742
*#Nippon Lace Co., Ltd. .............. 26,000 137,767
Nippon Metal Industry Co., Ltd. .... 241,000 1,239,046
#Nippon Pipe Manufacturing Co., Ltd. 35,000 213,340
#Nippon Piston Ring Co., Ltd. ....... 108,000 555,257
Nippon Road Co., Ltd. .............. 20,000 170,079
#Nippon Shinyaku Co., Ltd. .......... 88,000 864,104
#Nippon Signal Co., Ltd. ............ 90,000 1,092,172
*#Nippon Soda Co., Ltd. .............. 129,000 1,030,088
*Nippon Steel Chemical Co., Ltd. .... 137,000 781,769
Nippon Synthetic Chemical Industry
Co., Ltd. ......................... 127,000 752,941
#Nippon Thompson Co., Ltd. .......... 109,000 959,240
Nippon Valqua Industries, Ltd. ..... 119,000 640,472
*Nippon Yakin Kogyo Co., Ltd. ....... 224,000 1,076,943
*#Nippon Yusoki Co., Ltd. ............ 49,000 318,648
#Nissan Construction Co., Ltd. ...... 119,000 804,724
#Nisseki House Industry Co., Ltd. ... 130,900 640,252
#Nissha Printing Co., Ltd. .......... 66,000 990,459
#Nissin Corp. ....................... 150,000 1,056,044
Nissin Electric Co., Ltd. .......... 150,000 1,031,033
</TABLE>
29
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
Nittetsu Mining Co., Ltd. .......... 116,000 $1,182,029
*Nitto Boseki Co., Ltd. ............. 355,000 1,200,324
Nitto Chemical Industry Co., Ltd. .. 50,000 634,553
#Nitto Flour Milling Co., Ltd. ...... 54,000 345,160
*#Nitto Seiko Co., Ltd. .............. 56,000 334,599
*Nitto Seimo Co., Ltd. .............. 32,000 158,592
Nittoc Construction Co., Ltd. ...... 61,000 556,035
Nohmi Bosai, Ltd. .................. 59,000 683,187
Noritz Corp. ....................... 28,000 477,258
North Pacific Bank, Ltd. ........... 198,000 1,072,997
*Nozaki and Co., Ltd. ............... 56,000 274,423
*#O-M, Ltd. .......................... 46,000 208,800
*OKK Corp. .......................... 101,000 514,590
OSG Manufacturing Co., Ltd. ........ 141,000 1,136,359
Obayashi Road Corp. ................ 65,000 493,145
Odakyu Construction Co., Ltd. ...... 29,000 220,287
#Odakyu Real Estate Co., Ltd. ....... 58,000 332,043
#Ohki Corp. ......................... 73,000 462,547
*Ohkura Electric Co., Ltd. .......... 34,000 274,961
Okabe Co., Ltd. .................... 39,000 379,342
*Oki Electric Cable Co., Ltd. ....... 56,000 291,024
*Okuma and Howa Machinery, Ltd. ..... 69,000 332,376
Okura Industrial Co., Ltd. ......... 96,000 684,761
*Okura and Co., Ltd. ................ 183,000 1,118,851
*Ono Sokki Co., Ltd. ................ 43,000 329,023
#Optec Dai-Ichi Denko Co., Ltd. ..... 149,000 759,148
Organo Corp. ....................... 85,000 889,764
#Origin Electric Co., Ltd. .......... 49,000 462,992
Osaka Oxygen Industries, Ltd. ...... 123,000 524,132
#Osaki Electric Co., Ltd. ........... 50,000 341,362
Pacific Industrial Co., Ltd. ....... 78,000 439,314
#Parco Co., Ltd. .................... 67,000 775,822
*#Pasco Corp. ........................ 138,000 920,426
*Pilot Corp. ........................ 32,000 216,396
#Pokka Corp. ........................ 44,000 529,875
#Press Kogyo Co., Ltd. .............. 143,000 635,850
Prima Meat Packers, Ltd. ........... 230,000 1,012,043
#Rasa Industries, Ltd. .............. 93,450 644,931
Renown Look, Inc. .................. 50,000 384,437
Rheon Automatic Machinery Co., Ltd. 40,000 452,061
#Rhythm Watch Co., Ltd. ............. 213,000 1,026,031
Riken Corp. ........................ 144,000 816,378
Riken Vinyl Industry Co., Ltd. ..... 98,000 980,454
Rohto Pharmaceutical Co., Ltd. ..... 76,000 774,433
Royal Co., Ltd. .................... 61,000 1,181,010
Ryobi, Ltd. ........................ 147,000 762,575
Ryoden Trading Co., Ltd. ........... 73,000 615,377
Ryoyo Electro Corp. ................ 47,000 1,071,051
S.T. Chemical Co., Ltd. ............ 48,000 511,348
#SMK Corp. .......................... 116,000 757,573
#SXL Corp. .......................... 95,000 968,041
#Saeki Kensetsu Kogyo Co., Ltd. ..... 71,000 440,667
Sagami Co., Ltd. ................... 60,000 497,453
Sakai Chemical Industry Co., Ltd. .. 150,000 993,516
#Sakai Heavy Industries, Ltd. ....... 60,000 733,673
#Sakai Ovex Co., Ltd. ............... 85,000 497,638
#Sakata Inx Corp. ................... 92,000 725,262
Sakurada Co., Ltd. ................. 38,000 250,987
#San-Ai Oil Co., Ltd. ............... 111,000 816,434
#Sankei Building Co., Ltd. .......... 77,000 777,490
Sanko Metal Industrial Co., Ltd.,
Tokyo ............................. 54,000 351,163
*#Sankyo Seiki Manufacturing Co., Ltd. 125,000 1,000,463
<PAGE>
Shares Value+
--------- -------------
Sankyo Seiko Co., Ltd. ............. 86,000 $ 665,215
*#Sansui Electric Co., Ltd. .......... 317,000 822,233
Sanyo Industries, Ltd., Tokyo ...... 48,000 316,146
Sanyo Shokai, Ltd. ................. 190,000 1,425,660
Sanyo Special Steel Co., Ltd. ...... 258,000 1,147,198
*Sasaki Glass Co., Ltd. ............. 56,000 291,542
Sasebo Heavy Industries Co., Ltd.,
Tokyo ............................. 235,000 835,943
Sata Construction Co., Ltd., Gumma . 61,000 361,084
Sato Shoji Corp. ................... 31,000 255,581
*Sawafugji Electric Co., Ltd. ....... 31,000 172,876
#Seika Corp. ........................ 135,000 839,138
*#Seikitokyu Kogyo Co., Ltd. ......... 86,000 497,916
#Seiko Corp. ........................ 16,000 154,145
Seiren Co., Ltd. ................... 81,000 556,007
Seiyo Food Systems, Inc. ........... 116,000 1,257,249
#Sekisui Jushi Co., Ltd. ............ 70,000 966,188
#Sekisui Plastics Co., Ltd. ......... 150,000 971,283
Senko Co., Ltd. .................... 125,000 810,560
*Settsu Corp. ....................... 324,000 1,167,541
Shibaura Engineering Works Co., Ltd. 45,000 340,991
#Shibusawa Warehouse Co., Ltd. ...... 112,000 752,200
Shibuya Kogyo Co., Ltd. ............ 45,000 721,167
*Shikibo, Ltd. ...................... 155,000 524,085
#Shikoku Chemicals Corp. ............ 89,000 547,439
Shimizu Bank, Ltd. ................. 14,300 992,191
Shimura Kako Co., Ltd. ............. 55,000 351,552
Shin Nippon Air Technologies Co.,
Ltd. .............................. 33,800 547,939
#Shin-Etsu Polymer Co., Ltd. ........ 120,000 802,594
Shin-Kobe Electric Machinery Co.,
Ltd. .............................. 71,000 496,572
Shinagawa Refractories Co., Ltd. ... 95,000 1,047,244
Shindengen Electric Manufacturing
Co., Ltd. ......................... 107,000 879,194
#Shinko Shoji Co., Ltd. ............. 32,000 444,650
#Shinsho Corp. ...................... 110,000 540,065
*#Shintom Co., Ltd. .................. 53,000 294,581
*#Shinwa Kaiun Kaisha, Ltd. .......... 238,000 866,457
*#Shinyei Kaisha ..................... 54,000 272,626
#Shiroki Co., Ltd. .................. 124,000 712,182
Shochiku Co., Ltd. ................. 92,000 988,606
#Shoko Co., Ltd. .................... 156,000 803,483
*#Shokusan Jutaku Sogo Co., Ltd. ..... 207,000 843,724
#Showa Highpolymer Co., Ltd. ........ 73,000 716,813
*#Showa Line, Ltd. ................... 438,000 921,038
#Showa Manufacturing Co., Ltd. ...... 90,000 875,405
*#Silver Seiko, Ltd. ................. 87,000 315,924
Sintokogio, Ltd., Nagoya ........... 87,000 838,166
Soda Nikka Co., Ltd. ............... 35,000 210,746
*Sogo Co., Ltd. ..................... 211,000 1,182,538
Sokkisha Co., Ltd. ................. 40,000 500,232
Sotetsu Rosen Co., Ltd. ............ 37,000 301,621
Star Micronics Co., Ltd. ........... 79,000 746,457
Subaru Enterprise Co., Ltd. ........ 36,000 323,483
Sumikin Bussan Kaisha, Ltd. ........ 17,600 90,486
Sumisho Computer Systems Corp. ..... 49,000 721,723
Sumitomo Coal Mining Co., Ltd. ..... 107,000 601,658
*Sumitomo Corporation's Leasing, Ltd. 35,000 256,137
Sumitomo Precision Products Co.,
Ltd., Amagasaki City .............. 78,000 707,383
</TABLE>
30
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
#Sumitomo Seika Chemicals Co., Ltd. . 91,000 $ 571,542
*#Sumitomo Special Metals Co., Ltd.,
Osaka ............................. 62,000 1,079,759
Sun Telephone Co., Ltd. ............ 65,000 472,673
Sun Wave Corp. ..................... 74,000 1,055,674
*Suzutan Co., Ltd. .................. 62,000 445,113
#TOC Co., Ltd. ...................... 100,000 1,204,261
#TYK Corp. .......................... 67,000 515,146
Tabai Espec Corp. .................. 34,000 497,638
#Tada Construction Co., Ltd. ........ 54,000 317,647
Taihei Dengyo Kaisha, Ltd. ......... 66,000 1,008,800
#Taihei Kogyo Co., Ltd. ............. 100,000 588,235
*Taiheiyo Bank, Ltd. ................ 96,000 889
*Taiheiyo Kaiun Co., Ltd. ........... 72,000 203,428
#Taiheiyo Kouhatsu, Inc. ............ 90,000 414,358
*Taiheiyo Securities Co., Ltd. ...... 156,000 757,239
Taikisha, Ltd. ..................... 53,000 986,846
Taisei Fire & Marine Insurance Co.,
Ltd. .............................. 118,000 721,445
Taisei Prefab Construction Co., Ltd. 101,000 739,138
#Taisei Rotec Corp. ................. 127,000 958,824
#Taito Co., Ltd. .................... 70,000 472,719
Taiyo Toyo Sanso Co., Ltd. ......... 193,000 1,013,719
*#Taka-Q Co., Ltd. ................... 77,000 401,584
Takada Kiko Co., Ltd. .............. 31,000 321,630
#Takaoka Electric Manufacturing Co.,
Ltd., Tokyo ....................... 156,000 894,525
Takara Co., Ltd. ................... 39,000 353,692
Takarabune Corp. ................... 52,000 366,095
#Takasago International Corp. ....... 145,000 1,047,707
*#Takasaki Paper Manufacturing Co.,
Ltd. .............................. 157,000 567,207
#Takashima & Co., Ltd. .............. 60,000 315,702
Takiron Co., Ltd. .................. 110,000 746,920
Tamura Corp. ....................... 114,000 714,942
*#Tamura Electric Works, Ltd. ........ 74,000 740,343
#Tasaki Shinju Co., Ltd. ............ 53,000 623,529
*#Tateho Chemical Industries Co., Ltd. 106,000 570,505
Tatsuta Electric Wire & Cable Co.,
Ltd. .............................. 102,000 601,890
*Tayca Corp. ........................ 74,000 329,041
*#Teac Corp. ......................... 102,000 664,252
#Teijin Seiki Co., Ltd. ............. 81,000 578,518
Teikoku Hormone Manufacturing Co.,
Ltd. .............................. 33,000 492,172
*#Teikoku Sen-I Co., Ltd. ............ 39,000 305,642
#Teikoku Tsushin Kogyo Co., Ltd. .... 73,000 549,106
#Teisan Kabushiki Kaisha ............ 182,000 1,433,071
Tenma Corp. ........................ 40,000 1,000,463
#Tesac Corp. ........................ 92,000 472,997
Titan Kogyo Kabushiki Kaisha ....... 36,000 236,776
Toa Doro Kogyo Co., Ltd. ........... 85,000 582,677
Toa Steel Co., Ltd. ................ 205,000 1,169,801
*Toa Wool Spinning & Weaving Co.,
Ltd. .............................. 73,000 337,443
#Tobu Store Co., Ltd. ............... 71,000 509,727
Tochigi Fuji Industrial Co., Ltd. .. 51,000 420,472
Tochigi Sogo Bank, Ltd. ............ 106,000 1,089,949
#Toda Kogyo Corp. ................... 70,000 583,604
#Todentu Corp. ...................... 57,000 480,500
*Toho Rayon Co., Ltd. ............... 128,000 675,868
Toho Real Estate Co., Ltd. ......... 80,000 726,262
#Toho Zinc Co., Ltd. ................ 159,000 994,210
<PAGE>
Shares Value+
--------- -------------
Tohpe Corp. ........................ 36,000 $ 204,761
Tohto Suisan Co., Ltd. ............. 54,000 295,137
Tokai Corp. ........................ 100,000 718,851
*#Tokai Kanko Co., Ltd. .............. 132,000 281,241
*Tokai Maruman Securities Co., Ltd. . 99,000 615,368
#Tokai Pulp Co., Ltd. ............... 84,000 1,089,393
Tokai Rika Co., Ltd. ............... 108,000 1,050,486
*#Tokai Senko K.K. Nagoya ............ 47,000 262,103
Tokico, Ltd. ....................... 189,000 961,195
*Tokimec, Inc. ...................... 119,000 694,488
#Tokin Corp. ........................ 76,000 1,020,843
Toko Electric Corp. ................ 39,000 276,378
Toko, Inc. ......................... 143,000 978,944
Tokushu Paper Manufacturing Co.,
Ltd. .............................. 72,000 793,701
Tokuyo City Bank, Ltd. ............. 115,000 362,205
Tokyo Denki Komusho Co., Ltd. ...... 57,200 593,460
#Tokyo Kikai Seisak ................. 100,000 817,971
*Tokyo Nissan Auto Sales Co., Ltd. .. 63,000 484,975
Tokyo Rakutenchi Co., Ltd. ......... 92,000 528,393
Tokyo Rope Manufacturing Co., Ltd. . 158,000 873,793
*Tokyo Securities Co., Ltd. ......... 193,000 992,265
#Tokyo Seimitsu Co., Ltd. ........... 46,000 728,671
#Tokyo Tanabe Co., Ltd., Tokyo ...... 95,000 779,713
*Tokyo Tekko Co., Ltd. .............. 67,000 466,735
Tokyo Theatres Co., Inc., Tokyo .... 100,000 365,910
Tokyu Car Corp. .................... 177,000 1,059,213
Tokyu Hotel Chain Co., Ltd. ........ 59,000 453,636
#Tokyu Store Chain Corp. ............ 98,000 880,593
*Tokyu Tourist Corp. ................ 38,000 191,848
Toli Corp. ......................... 101,000 678,323
Tomoe Corp. ........................ 56,000 411,894
*Tomoegawa Paper Co., Ltd. .......... 55,000 329,134
#Tomoku Co., Ltd. ................... 157,000 913,349
Tonami Transportation Co., Ltd. .... 141,000 973,089
*#Topcon Corp. ....................... 68,000 951,181
Topre Corp. ........................ 80,000 681,797
Torishima Pump Manufacturing Co.,
Ltd., Osaka ....................... 40,000 370,171
Toshiba Engineering & Construction
Co., Ltd. ......................... 105,000 972,673
*Toshiba Tungaloy Co.,Ltd. .......... 111,000 709,495
Tosho Printing Co., Ltd. ........... 94,000 630,440
Tostem Viva Corp. .................. 95,000 809,634
#Totenko Co., Ltd. .................. 35,000 225,012
Totetsu Kogyo Co., Ltd. ............ 53,000 357,425
#Totoku Electric Co., Ltd., Tokyo ... 62,000 519,778
Towa Bank, Ltd. .................... 36,000 239,778
*#Towa Real Estate Development Co.,
Ltd. .............................. 160,000 733,673
Toyama Chemicals Co., Ltd. ......... 221,000 1,099,370
#Toyo Aluminium K.K. ................ 81,000 855,396
#Toyo Chemical Co., Ltd. ............ 45,000 295,970
#Toyo Corp. ......................... 38,000 767,392
*#Toyo Electric Co., Ltd. ............ 67,000 335,155
*Toyo Information System Co., Ltd. .. 59,000 814,358
#Toyo Kanetsu K.K. .................. 206,000 1,055,285
#Toyo Kohan Co., Ltd. ............... 141,000 1,029,254
Toyo Radiator Co., Ltd. ............ 104,000 659,935
*#Toyo Securities Co., Ltd. .......... 113,000 518,157
#Toyo Shutter Co., Ltd. ............. 67,000 676,517
#Toyo Sugar Refining Co., Ltd. ...... 60,000 260,676
*Toyo Tire & Rubber Co., Ltd. ....... 196,000 904,196
#Toyo Umpanki Co., Ltd. ............. 135,000 700,324
</TABLE>
31
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
Toyo Warehouse Co., Ltd. ........... 43,000 $ 199,963
Toyo Wharf & Warehouse Co., Ltd. ... 118,000 648,208
#Toyoda Boshoku Corp. ............... 86,000 387,976
Toyoda Gosei Co., Ltd. ............. 61,000 525,521
Toyota Auto Body Co., Ltd. ......... 99,000 1,100,509
#Tsubaki Nakashima Co., Ltd. ........ 64,000 818,157
Tsubakimoto Machinery & Engineering
Co., Ltd. ......................... 44,000 290,616
Tsudakoma Corp. .................... 101,000 753,173
Tsugami Corp. ...................... 124,000 632,923
Tsukamoto Co., Ltd. ................ 44,000 283,279
Tsukishima Kikai Co., Ltd. ......... 63,000 1,336,452
#Tsurumi Manufacturing Co., Ltd. .... 38,000 454,099
Tsutsunaka Plastic Industry Co.,
Ltd. .............................. 71,000 730,060
Uchida Yoko Co., Ltd. .............. 72,000 500,232
Ueki Corp. ......................... 47,000 248,170
Utoc Corp. ......................... 38,000 230,922
#Wakachiku Construction Co., Ltd. ... 176,000 1,126,596
Wakamoto Pharmaceutical Co., Ltd. .. 48,000 327,263
#Yahagi Construction Co., Ltd. ...... 59,000 480,963
*Yahagi Iron Co., Ltd. .............. 40,000 163,780
#Yamagata Bank, Ltd. ................ 185,000 1,012,830
Yamamura Glass Co., Ltd. ........... 176,000 1,051,598
#Yamatane Corp. ..................... 92,000 742,307
*#Yamatane Securities Co., Ltd. ...... 203,000 902,640
Yamato International, Inc. ......... 43,000 250,950
*#Yamazen Co., Ltd. .................. 131,000 775,442
Yokogawa Bridge Corp. .............. 64,000 883,372
*Yokohama Matsuzakaya, Ltd. ......... 27,000 126,559
Yokohama Reito Co., Ltd. ........... 62,000 861,510
Yomeishu Seizo Co., Ltd. ........... 46,000 451,691
<PAGE>
Shares Value+
--------- -----------
#Yomiuri Land Co., Ltd. ............. 132,000 $ 1,137,193
Yondenko Corp. ..................... 56,000 529,134
*Yoshihara Oil Mill, Ltd. ........... 36,000 205,095
#Yoshimoto Kogyo Co., Ltd. .......... 35,000 528,485
#Yuasa Trading Co., Ltd. ............ 165,000 932,376
*#Yuken Kogyo Co., Ltd. .............. 60,000 359,055
#Zenchiku Co., Ltd. ................. 126,000 589,440
Zenitaka Corp. ..................... 105,000 773,275
-----------
TOTAL COMMON STOCKS
(Cost $355,141,522) ................. 402,020,512
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $46,147) ........ 46,468
-----------
Face
Amount
---------
(000)
TEMPORARY CASH INVESTMENTS -- (3.4%)
Repurchase Agreement, PNC Securities
Corp. 5.05%, 06/03/96 (Collateralized
by U.S. Treasury Notes 6.50%,
09/30/96)
(Cost $14,121,000) .................. $ 14,121 14,121,000
------------
TOTAL INVESTMENTS -- (100.0%)
Cost $369,308,669) ....................... $416,187,980
============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
32
<PAGE>
SCHEDULE OF INVESTMENTS
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------ ---------
<S> <C> <C>
MALAYSIA -- (24.6%)
COMMON STOCKS -- (24.5%)
Actacorp Holdings Berhad ............ 26,000 $ 71,803
*Advance Synergy Berhad .............. 260,400 373,117
*Ajinimoto (Malaysia) Berhad ......... 44,000 117,991
Aluminum Co. of Malaysia ............ 139,000 214,745
Amalgamated Industrial Steel Berhad . 125,000 350,210
*Anakku Corp. Berhad ................. 10,000 51,631
*Anson Perdana Berhad ................ 77,000 211,107
Antah Holding Berhad ................ 280,000 354,132
Arab Malaysia Development Berhad .... 710,000 463,198
Arensi Holdings (Malaysia) Berhad ... 22,000 84,531
*Asia Pacific Land Berhad ............ 602,100 347,018
Austral Amalgamated Berhad .......... 94,000 159,520
Austral Enterprises Berhad .......... 192,000 378,083
Autoways Holdings Berhad ............ 10,000 23,414
Ayer Hitam Planting Syndicate Berhad 50,000 920,552
*Ayer Hitam Tin Dredging Malaysia
Berhad ............................. 36,000 80,688
*Ayer Molek Rubber Co. Berhad ........ 1,000 44,227
Ban Hin Lee Bank Berhad ............. 47,000 191,875
Bandar Raya Developments Berhad ..... 266,000 457,795
Batu Kawan Berhad ................... 354,000 835,942
Berjaya Group Berhad ................ 928,500 642,908
Berjaya Industrial Berhad ........... 614,000 403,026
Berjaya Leisure Berhad .............. 500,000 460,276
*Berjuntai Tin Dredging Berhad ....... 36,000 210,366
*Best World Land Berhad .............. 100,100 88,942
Bolton Properties Berhad ............ 150,000 246,148
Bukit Katil Rubber Estates Berhad ... 7,000 133,780
CI Holdings Berhad .................. 64,000 263,838
Carlsberg Brewery Malaysia Berhad ... 117,250 741,465
Cement Industries of Malaysia Berhad 160,000 544,327
Chase Perdana Berhad ................ 28,000 78,447
Chemical Co. of Malaysia Berhad ..... 212,000 640,624
Chin Teck Plantations Berhad ........ 66,000 236,422
Chocolate Products (Malaysia) Berhad 149,600 104,783
Cold Storage (Malaysia) Berhad ...... 90,000 131,119
Computer Forms Malaysia Berhad ...... 16,000 118,471
Concrete Engineering Products Berhad 24,000 80,688
Cycle & Carriage Bintang Berhad ..... 117,000 782,029
DNP Holdings Berhad ................. 185,000 144,387
*DNP Holdings Berhad Issue 96 ........ 185,000 136,982
Daibochi Plastic & Packaging Industry
Berhad ............................. 32,200 86,348
*Dataprep Holdings Berhad ............ 31,000 61,045
*Denko Industrial Corp. Berhad ....... 16,000 34,901
*Diperdana Corp. Berhad .............. 38,000 299,620
Dutch Baby Milk Industry (Malaysia)
Berhad ............................. 19,000 142,966
Eastern & Oriental Berhad ........... 67,500 143,186
*FA Peninsular Berhad ................ 84,000 113,636
<PAGE>
Shares Value+
------------ ---------
*FACB Berhad ......................... 696,000 $328,709
FCW Holdings Berhad ................. 224,000 461,717
Far East Holdings Berhad ............ 66,000 105,663
Federal Flour Mills Berhad .......... 271,250 716,530
Fima Corp. Berhad ................... 34,000 95,938
Gadek (Malaysia) Berhad ............. 126,000 796,798
*Gadek Capital Berhad ................ 42,000 127,757
*General Corp. Berhad ................ 386,000 268,817
George Kent (Malaysia) Berhad ....... 102,500 201,021
George Town Holdings Berhad ......... 147,000 258,875
Glenealy Plantations (Malaysia)
Berhad ............................. 76,000 288,973
Goh Ban Huat Berhad ................. 67,000 140,784
Gold Coin (Malaysia) Berhad ......... 46,000 143,606
Golden Frontier Berhad .............. 29,000 62,097
Golden Plus Holdings Berhad ......... 160,000 336,202
Gopeng Berhad ....................... 94,500 158,099
Guinness Anchor Berhad .............. 240,000 518,711
*Gula Perak Berhad ................... 180,000 163,538
Guthrie Ropel Berhad ................ 142,000 284,171
Hap Seng Consolidated Berhad ........ 377,000 645,811
Hexza Corp. Berhad .................. 163,000 136,350
Hil Industries Berhad ............... 22,000 43,146
Ho Hup Construction Co. Berhad ...... 71,000 211,707
*Hock Hua Bank Berhad (Foreign) ...... 98,000 288,293
IGB Corp. Berhad .................... 561,000 563,582
IOI Properties Berhad ............... 52,700 165,577
Inchcape Timuran Berhad ............. 50,000 130,078
*Insas Berhad ........................ 601,600 421,373
Island & Peninsular Berhad .......... 139,000 397,779
Jaya Netting Industries Berhad ...... 18,000 61,597
Johan Holdings Berhad ............... 374,000 350,274
*Kampong Lanjut Tin Dredging Berhad .. 28,000 129,998
Kanzen Berhad ....................... 93,000 151,123
Keck Seng (Malaysia) Berhad ......... 289,500 456,526
Kedah Cement Holdings Berhad ........ 150,000 292,976
Kelang Container Terminal Berhad .... 152,000 374,144
Kemayan Corp. Berhad ................ 301,000 496,346
Kentucky Fried Chicken Holding
(Malaysia) Berhad .................. 76,000 428,897
Khong Guan Holdings (Malaysia) Berhad 21,000 104,223
Kian Joo Can Factory Berhad ......... 94,000 522,954
Kluang Rubber Co. (Malaysia) Berhad . 2,000 100,060
Kretam Holdings Berhad .............. 97,500 232,189
Kuala Sidim Berhad .................. 109,000 268,301
*Kuantan Flour Mills Berhad .......... 19,000 40,684
Kulim Malaysia Berhad ............... 220,200 380,734
Kumpulan Belton Berhad .............. 44,100 114,729
Kumpulan Emas Berhad ................ 134,000 124,963
Larut Consolidated Berhad ........... 181,250 251,001
Leisure Management Berhad ........... 80,000 451,471
Lien Hoe Corp. Berhad ............... 215,000 219,432
Lim Kim Hai Holdings Berhad ......... 43,000 171,243
Lion Corp. Berhad ................... 94,000 253,952
Lion Land Berhad .................... 123,375 146,164
Long Huat Group Berhad .............. 33,000 66,040
MBF Holdings Berhad ................. 738,500 360,604
</TABLE>
33
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------ ---------
<S> <C> <C>
*MBF Holdings Berhad -A- ............. 369,250 $176,607
MCB Holdings Berhad ................. 177,000 146,644
MMC Engineering Group Berhad ........ 38,000 115,589
MUI Properties Berhad ............... 483,000 305,439
MWE Holdings Berhad ................. 164,000 177,883
Malayan Cement Berhad ............... 260,000 603,562
Malayan Flour Mills Berhad .......... 92,400 153,106
Malayawata Steel Berhad ............. 163,000 277,919
Malaysia Aica Berhad ................ 70,000 353,012
Malaysia Assurance Alliance Berhad .. 104,625 515,064
Malaysia British Assurance Berhad ... 47,000 167,420
Malaysian Mosaics Berhad ............ 331,000 453,080
Malaysian Oxygen Berhad ............. 112,000 573,784
Malaysian Pacific Industries ........ 160,000 659,596
Malaysian Packaging Industry ........ 14,000 35,021
Malaysian Tobacco Co. Berhad ........ 247,000 395,437
Malex Industries Berhad ............. 13,000 149,590
Mancon Berhad ....................... 33,000 278,687
Matsushita Electric Co. (Malaysia)
Berhad ............................. 39,000 394,136
Mechmar Corp. ....................... 84,000 138,515
Mega First Corp. Berhad ............. 236,000 193,636
*Menang Corp. ........................ 248,000 179,660
Mentiga Corp. Berhad ................ 41,000 108,305
Metacorp Berhad ..................... 176,000 479,007
Metrojaya Berhad .................... 34,000 104,102
Muda Holdings Berhad ................ 190,625 199,895
Mun Loong Berhad .................... 35,000 204,523
Nam Fatt Berhad ..................... 100,000 300,180
Nanyang Press (Malaya) Berhad ....... 67,200 180,204
Negara Properties (Malaysia) Berhad . 74,000 242,866
Negri Sembilan Oil Palms Berhad ..... 34,000 124,515
Nylex (Malaysia) Berhad ............. 182,000 721,153
PJ Development Holdings Berhad ...... 310,800 274,912
PSC Industries Berhad ............... 46,666 224,131
PWE Industries Berhad ............... 14,000 616,370
*Palmco Holdings Berhad .............. 179,000 272,243
Paramount Corp. Berhad .............. 73,000 87,653
Parit Perak Holdings Berhad ......... 17,000 328,297
Park May Berhad ..................... 48,000 103,742
Pelangi Berhad ...................... 393,500 423,660
*Pengkalen Industrial Holdings Berhad . 39,000 107,705
Pernas International Hotels &
Properties Berhad .................. 454,500 518,441
Petaling Garden Berhad .............. 232,000 278,567
Petaling Tin Berhad ................. 20,000 92,856
Pilecon Engineering Berhad .......... 261,500 318,175
Poly Glass Fibre (Malaysia) Berhad .. 40,000 70,762
*Promet Berhad ....................... 648,000 622,453
Putera Capital Berhad ............... 73,000 139,660
RJ Reynolds Berhad .................. 200,000 608,365
Rahman Hydraulic Tin Berhad ......... 33,000 237,743
SCB Developments Berhad ............. 240,500 365,779
*SPK Sentosa Corp. Berhad ............ 51,000 83,690
Samanda Holdings Berhad ............. 73,000 327,236
*Sanda Plastics Industries Berhad .... 11,000 32,359
Sanyo Industries (Malaysia) Berhad .. 33,600 168,101
Sapura Telecommunications Berhad .... 168,000 346,288
*Sarawak Oil Palms Berhad ............ 104,400 202,240
*Sateras Resources (Malaysia) Berhad . 167,000 143,706
<PAGE>
Shares Value+
------------ -----------
Scientex, Inc. Berhad ............... 66,000 $ 149,250
Selangor Dredging Berhad ............ 324,000 229,530
Selangor Properties Berhad .......... 419,000 486,332
Setegap Berhad ...................... 26,666 46,960
*Setron (Malaysia) Berhad ............ 54,666 138,935
Shanghai Chong Kee Berhad ........... 19,000 76,806
Siah Brothers Corp. Berhad .......... 55,000 123,274
*Sin Heng Chan Berhad ................ 17,000 277,266
Sitt Tatt Berhad .................... 76,000 211,407
*South East Asia Lumber, Inc. Berhad . 58,000 141,605
South Johore Amalgamated Holding
Berhad ............................. 27,000 59,976
*South Johore Amalgamated Holding
Berhad Issue 96 ...................... 13,500 28,367
South Malaysia Industries Berhad .... 157,500 138,053
Southern Acids (Malaysia) Berhad .... 72,000 149,349
Sriwani Holdings Berhad ............. 127,400 221,299
Sungei Bagan Rubber Co. (Malaysia)
Berhad ............................. 2,000 105,663
Sungei Way Holdings Berhad .......... 66,000 287,933
*Tai Wah Garments Manufacturing Berhad
(Foreign) .......................... 30,000 72,644
Taiping Consolidated Berhad ......... 103,000 98,115
*Taiping Consolidated Berhad -A- ..... 103,000 97,084
Tajo Berhad ......................... 16,000 33,620
*Tajo Berhad -A- ..................... 16,000 29,202
Tasek Cement Berhad ................. 182,000 513,548
Tenggara Capital Berhad ............. 62,000 116,630
Timah Langat Berhad ................. 22,000 86,292
*Timah Langat Berhad -A- ............. 21,999 86,112
Tiong Nam Transport Holdings Berhad . 17,000 40,824
*Trengganu Development & Management
Berhad ............................. 66,000 92,455
Tronoh Mines Malaysia Berhad ........ 36,000 165,699
UAC Berhad .......................... 61,000 116,702
UMW Holdings Berhad ................. 160,000 525,115
*Union Paper Holdings Berhad ......... 17,000 55,113
Uniphoenix Corp. Berhad ............. 228,000 293,840
Uniphone Telecommunications Berhad .. 170,000 213,648
United Chemical Industries Berhad ... 18,000 54,753
United Malacca Rubber Estates Berhad 86,000 671,203
United Malayan Land Berhad .......... 22,000 113,588
United Plantations Berhad ........... 185,000 429,458
Westmont Industries Berhad .......... 28,800 51,641
*Westmont Industries Berhad -A- ...... 40,320 67,778
Westmont Land (Asia) Berhad ......... 180,600 315,155
Wing Tiek Holdings Berhad ........... 85,800 314,217
*Worldwide Holdings Berhad ........... 192,000 324,291
-----------
TOTAL COMMON STOCKS
(Cost $30,799,336) ................... 51,768,639
-----------
INVESTMENT IN CURRENCY -- (0.1%)
*Malaysian Ringetts (Cost $75,938) ... 76,102
------------
RIGHTS/WARRANTS -- (0.0%)
*Chemical Co.of Malaysia Berhad
Warrants 11/07/00 .................. 53,000 18,052
*Tajo Berhad Warrants 12/28/00 ....... 12,800 10,861
-----------
</TABLE>
34
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------ ---------
<S> <C> <C>
TOTAL RIGHTS/WARRANTS
(Cost $20,596) ....................... $ 28,913
------------
TOTAL -- MALAYSIA
(Cost $30,895,870) ................... 51,873,654
------------
AUSTRALIA -- (20.3%)
COMMON STOCKS -- (19.5%)
AAPC, Ltd. .......................... 673,063 440,648
Aberfoyle, Ltd. ..................... 168,750 485,030
Adelaide Brighton, Ltd. ............. 215,309 225,193
*Agen, Ltd. .......................... 71,000 10,204
*Airboss, Ltd. ....................... 246,250 17,695
Allgas Energy, Ltd. ................. 18,800 180,870
Amalgamated Holdings, Ltd. .......... 47,400 760,671
Ashton Mining, Ltd. ................. 475,500 831,413
Atkins Carlyle, Ltd. ................ 55,683 148,933
*Auridiam Consolidated NL ............ 63,097 43,324
Australian Chemical Holdings, Ltd. .. 56,200 161,533
Australian Oil & Gas Corp., Ltd. .... 76,500 51,916
Australian Provincial Newspaper
Holdings, Ltd. ..................... 282,637 512,244
*Awa, Ltd. ........................... 335,000 192,575
Ballarat Brewing Co. Ltd. ........... 51,392 90,269
Bank of Melbourne, Ltd. ............. 85,000 515,768
Bank of Queensland, Ltd. ............ 101,526 449,065
*Beach Petroleum NL .................. 165,200 13,190
*Biota Holdings, Ltd. ................ 82,600 293,469
Blackmores, Ltd. .................... 26,914 68,762
*Boulder Group NL .................... 66,500 14,335
*Brash Holdings, Ltd. ................ 51,810 93,486
Bridgestone Australia, Ltd. ......... 47,600 107,551
Buderim Ginger, Ltd. ................ 7,300 4,604
Caltex Australia, Ltd. .............. 90,000 352,814
Campbell Brothers, Ltd. ............. 25,815 65,954
*Campbell Brothers, Ltd. Issue 95 .... 6,282 15,047
*Cape Range, Ltd. .................... 217,000 50,244
Capral Aluminium, Ltd. .............. 331,567 921,240
*Carrington Cotton Corp., Ltd. ....... 19,300 33,746
Central Equity, Ltd. ................ 109,635 75,278
Central Norseman Gold Corp., Ltd. ... 374,000 346,379
Centro Properties, Ltd. ............. 206,218 335,876
*Climax Mining, Ltd. ................. 134,600 169,795
Clyde Industries, Ltd. .............. 178,893 269,946
Coal & Allied Industries, Ltd. ...... 11,250 123,054
*Command Petroleum, Ltd. ............. 411,300 183,895
Computer Power Group, Ltd. .......... 47,260 128,291
*Consolidated Rutile, Ltd. ........... 83,300 146,315
*Coolgardie Gold NL .................. 173,200 34,571
*Coolgardie Gold NL Issue 96 ......... 49,485 9,877
*Coplex Resources NL ................. 203,500 33,307
*Cortecs International, Ltd. ......... 67,400 376,687
Country Road, Ltd. .................. 87,996 106,790
Coventry Group, Ltd. ................ 57,738 193,612
Crane (G.E) Holdings, Ltd. .......... 60,705 390,160
Croesus Mining NL ................... 97,100 73,649
*Crusader, Ltd. ...................... 141,700 188,933
*Cudgen RZ, Ltd. ..................... 30,300 41,126
*DJL, Ltd. ........................... 277,900 1,109
Danks Holdings, Ltd. ................ 6,150 55,485
Datacraft, Ltd. ..................... 127,018 50,706
Defiance Mills, Ltd. ................ 69,200 63,537
*Delta Gold NL ....................... 338,100 917,796
*Denehurst, Ltd. ..................... 82,700 21,129
*Devex, Ltd. ......................... 206,100 62,529
<PAGE>
Shares Value+
------------ ---------
*Discovery Petroleum NL .............. 163,600 $ 69,228
*Dominion Mining, Ltd. ............... 153,075 91,662
ERG, Ltd. ........................... 263,819 328,589
Eltin, Ltd. ......................... 93,597 180,842
*Emporer Mines, Ltd. ................. 109,000 295,888
Energy Resources of Australia, Ltd.
Series A ........................... 231,589 961,487
Equatorial Mining NL ................ 864,290 127,660
#Evans Deakin Industries, Ltd. ....... 90,000 219,880
*Exicom, Ltd. ........................ 171,700 14,394
*FAI Insurances, Ltd. ................ 522,238 233,496
Fai Life, Ltd. ...................... 178,304 116,734
Faulding (F.H.) & Co., Ltd. ......... 65,000 407,385
Finemore Holdings, Ltd. ............. 53,500 97,389
Foodland Associated, Ltd. ........... 86,863 303,760
*Forrestania Gold NL ................. 130,050 197,281
Futuris Corp., Ltd. ................. 550,690 677,096
GUD Holdings, Ltd. .................. 61,061 138,941
Galore Group, Ltd. .................. 83,500 20,000
Gibson Chemical Industries, Ltd. .... 32,500 146,607
*Gold Mines of Australia, Ltd. ....... 494,022 155,799
*#Golden Shamrock Mines, Ltd. ......... 320,900 292,077
*Goldfields, Ltd. .................... 132,934 329,018
*Great Central Mines NL .............. 85,000 274,172
Gunns, Ltd. ......................... 39,400 81,788
Gwalia Consolidated, Ltd. ........... 90,900 224,982
Hardie (James) Industries, Ltd. ..... 121,213 248,716
Harvey Norman Holdings, Ltd. ........ 110,294 607,608
*Helix Resources NL .................. 25,000 8,583
Henry Walker Group, Ltd. ............ 148,965 236,679
Herald Resources, Ltd. .............. 62,628 96,005
Hills Industries, Ltd. .............. 31,500 163,473
*ISR Group, Ltd. ..................... 85,500 53,928
Iama, Ltd. .......................... 35,392 83,358
#Incitec, Ltd. ....................... 176,432 895,894
Ipoh, Ltd. .......................... 107,500 124,451
*Jennings Group, Ltd. ................ 1,010,500 0
*Johnson's Well Mining NL ............ 10,000 30,339
Joyce Corp., Ltd. ................... 11,413 9,568
Jupiters, Ltd. ...................... 159,200 303,783
Kalamazoo Holdings, Ltd. ............ 90,300 175,914
Kidston Gold Mines, Ltd. ............ 224,800 351,783
Kurts (Peter) Properties, Ltd. ...... 122,036 123,741
Lanes, Ltd. ......................... 21,539 42,992
Leighton Holdings, Ltd. ............. 143,207 481,358
Lemarne Corp., Ltd. ................. 17,930 49,388
*Loscam, Ltd. ........................ 214,000 55,529
MacMahon Holdings, Ltd. ............. 182,100 123,581
Magellan Petroleum Australia, Ltd. .. 31,200 68,503
*Matrix Telecommunications Group
Series A ........................... 82,300 157,701
McIntosh Securities, Ltd. ........... 118,300 80,283
*McPherson's, Ltd. ................... 219,000 73,437
*Meekatharra Minerals, Ltd. .......... 35,000 19,840
Memtec, Ltd. ........................ 13,710 421,413
Metal Manufactures, Ltd. ............ 272,200 673,709
Metway Bank, Ltd. ................... 246,319 943,977
Mirvac, Ltd. ........................ 265,900 339,673
*Mount Edon Gold Mines (Australia),
Ltd. ............................... 101,937 187,190
*Mount Kersey Mining NL .............. 65,900 194,675
Mount Leyshon Gold Mines, Ltd. ...... 123,900 366,012
National Can Industries, Ltd. ....... 75,960 148,584
National Consolidated, Ltd. ......... 361,789 225,306
National Foods, Ltd. ................ 458,249 552,460
</TABLE>
35
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------ ---------
<S> <C> <C>
OPSM Protector, Ltd. ................ 265,450 $ 453,543
Oil Company of Australia, Ltd. ...... 51,800 74,443
*Orbital Engine Corp., Ltd. .......... 509,358 504,275
*Oroton International, Ltd. .......... 31,400 31,337
Pacific BBA, Ltd. ................... 249,434 621,345
#Pacific Magazines and Printing, Ltd. 356,610 894,016
*Pan Pacific Petroleum NL ............ 298,000 32,120
Parbury, Ltd. ....................... 128,345 55,334
*Payce Consolidated, Ltd. ............ 18,000 6,180
Penfold (W.C.), Ltd. ................ 14,100 18,012
*Peptide Technology, Ltd. ............ 158,000 119,840
*Perilya Mines NL .................... 123,500 73,952
Permanent Trustee Co., Ltd. ......... 14,000 45,828
*Petroleum Securities Australia, Ltd. 86,300 265,273
*Petroz NL ........................... 205,940 139,760
*Portman Mining, Ltd. ................ 150,480 182,618
*Power Pacific, Ltd. ................. 264,900 23,265
Prime Television, Ltd. .............. 122,686 225,292
QUF Industries, Ltd. ................ 140,039 245,977
*Queensland Metals Corp., Ltd. ....... 176,000 147,545
Reece Australia, Ltd. ............... 28,600 165,549
Resolute Samantha, Ltd. ............. 291,257 767,384
Ridley Corp., Ltd. .................. 506,603 598,621
#Rothmans Holdings, Ltd. ............. 191,300 1,079,833
Rural Press, Ltd. ................... 180,300 590,204
Savage Resources, Ltd. .............. 733,082 678,942
Schaffer Corp., Ltd. ................ 11,800 19,596
Scott Corp., Ltd. ................... 43,000 72,782
Siddons Ramset, Ltd. ................ 82,724 363,259
Simsmetal, Ltd. ..................... 121,343 716,917
*Sipa Resources International NL ..... 81,000 18,108
Sons of Gwalia, Ltd. ................ 153,116 1,161,359
*Southern Pacific Petroleum NL ....... 389,400 715,066
Spicers Paper, Ltd. ................. 224,700 403,653
Spotless Group, Ltd. ................ 184,000 251,210
Spotless Services, Ltd. ............. 271,100 389,605
St. Barbara Mines, Ltd. ............. 339,400 249,300
Stanilite Pacific, Ltd. ............. 124,103 25,762
Steamships Trading Co., Ltd. ........ 5,128 13,920
Sunraysia Television, Ltd. .......... 13,000 59,162
Tassal, Ltd. ........................ 328,201 52,407
*Ticor, Ltd. ......................... 38,902 51,248
*Titan Resources NL .................. 50,000 28,743
*Tooth & Co., Ltd. ................... 153,000 45,198
*Transcom International, Ltd. ........ 223,200 16,038
*Union Gold Mining Co. NL ............ 127,600 157,908
VA Holdings, Ltd. ................... 189,000 14,788
Villa World, Ltd. ................... 121,500 87,305
*Waco Kwikform, Ltd. ................. 209,308 29,245
Wattyl, Ltd. ........................ 133,337 537,606
Webster, Ltd. ....................... 29,100 17,890
Wesfi, Ltd. ......................... 30,000 46,707
*Wesfi, Ltd. Issue 96 ................ 30,000 48,383
Weston (George) Foods, Ltd. ......... 20,100 117,150
Westralian Sands, Ltd. .............. 141,443 451,714
White (Joe) Maltings, Ltd. .......... 20,066 68,889
Wills (W.D. & H.O.) Holdings,
Ltd. ............................... 237,000 423,856
*Wiluna Mines, Ltd. .................. 240,000 226,108
------------
TOTAL COMMON STOCKS
(Cost $31,398,135) ................... 41,178,584
------------
<PAGE>
Shares Value+
------------ ------------
INVESTMENT IN CURRENCY -- (0.7%)
*Australia Dollar (Cost $1,365,782) .. $ 1,371,338
------------
PREFERRED STOCK -- (0.1%)
Rural Press, Ltd. 10%
(Cost $135,614) .................... 90,150 269,910
------------
RIGHTS/WARRANTS -- (0.0%)
*Auridiam Consolidated NL Warrants
01/31/98 ........................... 7,887 1,889
*Savage Resources, Ltd. Warrants
11/30/98 ........................... 72,520 19,686
------------
TOTAL RIGHTS/WARRANTS
(Cost $27,007) ....................... 21,575
------------
TOTAL -- AUSTRALIA
(Cost $32,926,538) ................... 42,841,407
------------
KOREA -- (19.1%)
COMMON STOCKS -- (19.1%)
Aluminum of Korea ................... 7,257 59,961
*Anam Electronics Co. ................ 6,000 59,779
Asia Cement Co., Ltd. ............... 5,226 215,567
*Asia Motors Co., Inc. ............... 27,068 280,677
*BIF Co., Ltd. ....................... 5,000 18,150
Bank of Pusan ....................... 15,700 199,264
Bing Grae Co., Ltd. ................. 5,425 122,560
*Bing Grae Co., Ltd. Issue 96 ........ 2,170 41,037
Boo Kook Securities Co., Ltd. ....... 4,635 65,887
Boram Bank Co., Ltd. ................ 22,649 296,084
Boram Securities Co., Ltd. .......... 5,610 84,730
Boryung Pharmaceutical Co., Ltd. .... 3,619 94,620
Byuck San Corp. ..................... 6,580 99,381
Byuck San Engineering and
Construction Co., Ltd. ............. 3,360 53,306
Central Investment & Finance ........ 4,600 96,332
Cheil Industrial, Inc. .............. 20,731 452,561
*Cho Kwang Leather Co., Ltd. ......... 2,224 51,087
*Cho Kwang Leather Co., Ltd. Issue 96 110 2,097
Chon Bang Co., Ltd. ................. 3,255 219,782
Chong Kun Dang ...................... 3,277 151,809
*Choong Wae Pharmaceutical ........... 2,110 87,035
*Choongnam Spinning Co., Ltd. ........ 15,800 274,730
*Chosun Brewery Co., Ltd. ............ 13,240 470,517
Chosun Refractories Co., Ltd. ....... 1,100 41,465
*Chung Chong Bank Co., Ltd. .......... 11,370 109,530
Coryo Securities Co., Ltd. .......... 13,920 199,640
Crown Confectionery Co., Ltd. ....... 1,500 49,499
Dae Chang Industrial Co. ............ 1,600 20,104
Dae Dong Industrial Co., Ltd. ....... 6,233 93,349
Dae Han Fire and Marine Insurance
Co., Ltd. .......................... 6,735 300,891
Dae Han Jung Suok Co., Ltd. ......... 18,673 545,080
*Dae Han Pulp Co., Ltd. .............. 1,000 41,883
Dae Ryung Industries, Inc. .......... 2,060 120,269
Dae Sung Electric Wire Co., Ltd. .... 1,164 23,638
Dae Won Kang Up Co., Ltd. ........... 6,586 162,999
*Daeduck Industries Co., Ltd. ........ 560 28,288
*Daehan Flour Mills Co., Ltd. ........ 620 39,188
*Daehan Synthetic Fiber Co., Ltd. .... 630 73,563
Daelim Industrial Co., Ltd. ......... 14,462 282,669
Daesung Industrial Co., Ltd. ........ 4,657 320,959
*Daesung Industrial Co., Ltd. Issue 96 1,599 108,981
</TABLE>
36
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------ ---------
<S> <C> <C>
Daewoo Electronic Components Co.,
Ltd. ............................... 10,979 $119,140
*Daewoo Metal Co., Ltd. .............. 1,660 24,650
*Daewoo Precision Industries, Ltd. ... 4,870 67,373
*Daewoo Telecom Co., Ltd. ............ 19,890 270,114
*Daewoo Telecom Co., Ltd. Issue 96 ... 967 11,844
*Daewoong Pharmaceutical Co., Ltd. ... 770 35,084
Daeyu Securities Co., Ltd. .......... 4,860 89,440
Dai Han Paint & Ink Manufacturing
Co., Ltd. .......................... 680 28,999
*Dai Han Wool Textile Corp. .......... 1,100 17,033
*Daishin Securities Co., Ltd. ........ 17,020 259,221
Dong Ah Securities Co., Ltd. ........ 6,720 86,996
Dong Shin Construction Co., Ltd. .... 2,240 20,612
Dong Shin Paper Manufacturing Co.,
Ltd. ............................... 6,900 59,989
Dong Shin Pharmaceutical Co., Ltd. .. 1,326 52,172
Dong Wha Pharmaceutical Industries
Co., Ltd. .......................... 4,239 133,415
Dong Yang Tin Plate Industrial Co.,
Ltd. ............................... 3,079 105,121
Dong-A Pharmaceutical Co., Ltd. ..... 16,660 454,614
Dong-Il Corp. ....................... 2,266 112,164
*Dongbu Chemical Co., Ltd. ........... 12,600 153,522
Dongbu Construction Co., Ltd. ....... 2,623 51,268
*Dongbu Industrial Co., Ltd. ......... 4,700 66,214
Dongbu Steel Co., Ltd. .............. 11,000 259,678
*Donghae Pulp ........................ 19,605 373,239
Dongkuk Steel Mill Co., Ltd. ........ 13,220 317,119
*Dongsuh Securities Co., Ltd. ........ 8,020 131,309
Dongsung Chemical Industries ........ 5,800 146,491
Dongwon Industries Co., Ltd. ........ 15,100 339,218
*Doosan Foods Co., Ltd. .............. 2,600 27,059
Doosan Glass Co., Ltd. .............. 6,000 60,921
*Doosan Glass Co., Ltd. Issue 96 ..... 1,066 9,741
Doosan Industrial Co., Ltd. ......... 11,388 109,125
*Doosan Manufacturing Co., Ltd. ...... 4,551 67,003
Haedong Fire and Marine Insurance
Co., Ltd. .......................... 3,677 172,673
*Hai Tai Electronics Co., Ltd. ....... 8,950 180,613
*Hai Tai Stores Co., Ltd. ............ 2,850 24,054
*Haitai Confectionery Co., Ltd. ...... 13,270 170,107
*Han Il Iron & Steel Co., Ltd. ....... 720 29,060
*Han Jin Shipping Co., Ltd. .......... 11,671 319,956
*Han Kook Tire Manufacturing Co., Ltd. 2,170 116,501
*Han Kook Tire Manufacturing Co., Ltd.
Second Issue 96 .................... 36 1,736
*Han-Il Synthetic Fiber Industrial
Co., Ltd. .......................... 29,000 246,605
*Hanbo Steel & General Construction
Co., Ltd. .......................... 10,020 87,114
Hanil Cement Manufacturing Co., Ltd. 650 40,094
*Hanjin Engineering and Construction
Co., Ltd. .......................... 9,290 214,593
*Hanjin Transportation Co., Ltd. ..... 2,790 84,985
Hankook Caprolactam Corp. ........... 3,400 276,177
Hankook Core Co., Ltd. .............. 1,236 21,962
Hankook Cosmetics Co., Ltd. ......... 3,000 97,094
Hankuk Paper Manufacturing Co., Ltd. 2,236 58,177
<PAGE>
Shares Value+
------------ ------------
Hanmi Pharmaceutical Co., Ltd. ...... 2,769 $ 84,346
Hannong Corp. ....................... 1,000 45,056
*Hanshin Construction ................ 7,540 52,634
*Hansol Paper Co., Ltd ............... 6,790 289,560
*Hanwha Corp. ........................ 30,161 562,720
*Hanwha Energy Co., Ltd. ............. 26,000 224,394
*Hanwha Machinery Co., Ltd. .......... 16,320 246,488
Heesung Cable, Ltd. ................. 29,448 897,007
Heung Ah Tire & Rubber .............. 5,000 122,477
*Hwacheon Machiney Works, Ltd. ....... 1,050 25,587
*Hyosung Corp. ....................... 19,600 169,656
Hyosung Motors & Machinery, Inc. .... 6,500 77,135
Hyundai Cement Co., Ltd. ............ 5,600 227,440
*Hyundai Corp. ....................... 13,055 364,526
*Hyundai Corp. Issue 96 .............. 5,220 123,229
Hyundai International Merchant Bank . 3,510 118,041
Hyundai Mipo Dockyard Co., Ltd. ..... 14,000 287,854
Hyundai Pharmaceutical Co., Ltd. .... 3,427 103,519
Hyundai Pipe Co., Ltd. .............. 4,500 67,965
Hyundai Precision Industry Co., Ltd. 12,890 292,843
*Hyundai Securities Co., Ltd. ........ 3,750 107,564
*Hyundai Wood Industry ............... 12,472 120,304
Il Dong Pharmaceutical Co., Ltd. .... 960 37,406
*Il Jin Co., Ltd. .................... 1,100 69,666
*Il Jin Electronics & Machinery Co.,
Ltd. ............................... 1,000 44,422
Il Shin Spinning .................... 3,021 277,983
Il Yang Pharmaceutical Co., Ltd. .... 4,371 148,122
Inchon Iron & Steel Co., Ltd. ....... 1,760 55,398
*Inchon Iron & Steel Co., Ltd. Issue
96 ................................. 755 20,890
Inkel Corp. ......................... 6,900 92,829
*Isu Chemical Co., Ltd. .............. 17,600 243,483
*Jeil Moolsan Co., Ltd. .............. 560 49,326
Jindo Corp. ......................... 9,644 182,378
Jinro, Ltd. ......................... 7,000 186,572
*Jinro, Ltd. Issue 96 ................ 2,213 51,962
Kang Won Industrial, Ltd. ........... 19,500 341,541
Kangwon Bank Co., Ltd. .............. 42,412 441,399
Keang Nam Enterprises Co., Ltd. ..... 4,860 66,001
*Keun Wha Pharmaceutical Co., Ltd. ... 2,000 11,550
*Keyang Electric Machinery Co., Ltd. . 1,480 41,513
*Kia Precision Works Co., Ltd. ....... 2,550 29,452
*Kia Steel Co., Ltd. ................. 32,677 197,829
*Kia Steel Co., Ltd. Issue 96 ........ 7,140 42,229
Kohap Co., Ltd. ..................... 36,812 439,184
Kolon Construction Co., Ltd. ........ 3,502 60,448
Kolon International Corp. ........... 10,795 149,341
*Kony Precision Co., Ltd. ............ 2,000 32,745
*Koram Bank, Ltd. .................... 19,150 328,119
Korea Computer Co., Ltd. ............ 1,400 56,327
Korea Electronics Co., Ltd. ......... 7,220 246,501
*Korea Export Packing Industries Co.,
Ltd. ............................... 1,120 32,695
Korea Express Co., Ltd. ............. 6,720 277,193
*Korea First Securities Co., Ltd. .... 8,490 115,298
*Korea Green Cross Co., Ltd. ......... 1,110 135,950
Korea Iron & Steel Co., Ltd. ........ 23,133 320,028
Korea Kumho Petrochemical ........... 31,600 322,056
Korea Zinc Co., Ltd. ................ 2,750 73,296
*Korean Reinsurance Co., Ltd. ........ 3,810 188,590
</TABLE>
37
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------ ---------
<S> <C> <C>
*Koryo Cement Manufacturing Co., Ltd. 2,000 $ 20,307
*Kuk Dong Construction Co., Ltd. ..... 7,305 108,480
Kum Yang Co., Ltd. .................. 1,700 67,965
Kumho Construction & Engineering Co.,
Ltd ................................ 57,137 739,684
*Kumho Electric Co., Ltd. ............ 1,240 57,601
*Kumho Tire Co., Ltd. ................ 26,420 308,496
*Kun Young Co., Ltd. ................. 1,980 15,329
Kunsul Chemical Industrial Co., Ltd. 620 44,853
*Kwang Myung Electric Engineering Co.,
Ltd. ............................... 900 21,589
Kwangju Bank ........................ 20,248 197,880
*Kyong Nam Bank ...................... 16,460 236,068
Kyungnam Wool Textile Co., Ltd. ..... 4,172 72,013
Kyungwon-Century Co., Ltd. .......... 1,380 57,274
LG Cable & Machinery, Ltd. .......... 9,330 201,307
LG Construction, Ltd. ............... 23,618 593,523
LG International Corp. .............. 41,893 590,192
LG Metals Corp. ..................... 24,400 433,558
*Lotte Chilsung Beverage Co., Ltd. ... 90 10,909
Maxon Electronics Co., Ltd. ......... 1,250 44,422
Midopa Department Store ............. 16,536 230,862
Miwon Petrochemical Corp. ........... 14,328 221,858
*Namhan Paper Manufacturing Co., Ltd. 6,500 34,649
Nasan Co., Ltd. ..................... 5,951 177,495
*Nasan Co., Ltd. Issue 95 ............ 1,427 36,947
Nong Shim Co., Ltd. ................. 4,028 167,173
On Yang Pulp ........................ 2,621 22,953
Oriental Chemical Industries Co.,
Ltd. ............................... 14,753 565,479
*Oriental Chemical Industries Co.,
Ltd. Issue 96 ...................... 567 20,150
*Oriental Fire & Marine Insurance Co.,
Ltd. ............................... 4,800 163,879
Orion Electric Co., Ltd. ............ 8,538 188,553
Pacific Chemical Co., Ltd. .......... 14,000 310,953
Pang Rim Spinning ................... 5,000 278,589
Poong San Corp. ..................... 32,000 499,556
Posco Chemical Co., Ltd. ............ 13,000 194,695
Pyung Wha Industrial Co., Ltd. ...... 2,000 53,306
STC Corp. ........................... 12,400 289,580
Saehan Media Corp. .................. 11,800 326,488
*Sam Ick Construction Co., Ltd. ...... 18,972 122,804
*Sam Jin Chemical Co., Ltd. .......... 1,000 3,617
Sam Yang Co., Ltd. .................. 12,200 433,558
*Sam Yang Co., Ltd. Issue 95 ......... 2,293 77,122
*Sambu Construction Co., Ltd. ........ 3,693 135,458
Samchully Co., Ltd. ................. 700 59,881
*Samchully Co., Ltd. First Issue 96 .. 52 4,409
*Samchully Co., Ltd. Second Issue 96 . 132 11,176
*Samick Musical Instruments
Manufacturing Co., Ltd. ............ 9,136 76,414
*Samlip Foods Industries Co., Ltd. ... 4,060 103,059
*Sammi Corp. ......................... 29,600 139,002
*Sammi Steel Co., Ltd. ............... 49,800 309,709
Samsung Aerospace Industrial Co.,
Ltd. ............................... 17,875 383,408
*Samsung Aerospace Industrial Co.,
Ltd. Issue 96 ...................... 8,493 161,689
Samsung Electro-Mechanics Co., Ltd. . 62 2,510
<PAGE>
Shares Value+
------------ ------------
*Samsung Electro-Mechanics Co., Ltd.
Issue 96 ........................... 525 $ 19,657
Samsung Fine Chemicals .............. 1,441 186,549
*Samsung Fine Chemicals Issue 96 ..... 690 89,107
Samsung Securities Co., Ltd. ........ 6,720 252,458
Samwhan Corp. Co., Ltd. ............. 17,164 501,043
Samyang Foods Co., Ltd. ............. 2,000 71,583
*Samyang Tong Sang Co., Ltd. ......... 1,440 23,211
*Samyoung Chemical Co., Ltd. ......... 4,000 59,398
*Se Poong Corp. ...................... 8,500 141,325
Seah Steel Corp. .................... 323 11,479
*Seah Steel Corp. Issue 96 ........... 32 1,056
*Seoul Securities Co., Ltd. .......... 10,650 168,962
Seyang Shipping Co., Ltd. ........... 2,360 53,915
*Shin Dong-Ah Fire & Marine Insurance
Co. ................................ 5,670 179,189
Shin Han Investment & Finance Co.,
Ltd. ............................... 2,835 58,650
*Shin Han Securities Co., Ltd. ....... 5,870 75,247
Shin Heung Securities Co., Ltd. ..... 4,100 56,720
*Shin Ho Petrochemical Co., Ltd. ..... 4,700 33,405
*Shin Ho Petrochemical Co., Ltd. Issue
96 ................................. 2,383 16,937
*Shin Poong Paper Manufacturing Co.,
Ltd. ............................... 960 35,944
Shin Sung Corp. ..................... 12,771 202,611
Shin Wha Engineering & Construction
Co., Ltd. .......................... 12,597 287,785
Shin Young Securities Co., Ltd. ..... 2,300 61,302
Shindongbang Corp. .................. 3,935 128,853
*Shinho Steel Co., Ltd. .............. 2,999 46,437
*Shinsung Tongsang Co., Ltd. ......... 9,600 95,037
*Song Woun Industries Co., Ltd. ...... 380 24,259
*Soosan Heavy Industries Co., Ltd. ... 1,550 32,656
Ssang Bang Wool Co., Ltd. ........... 5,589 280,195
Ssangyong Corp. ..................... 9,023 105,358
*Ssangyong Fire & Marine Insurance
Co., Ltd. .......................... 2,630 83,783
*Ssangyong Heavy Industry Co., Ltd. .. 5,700 51,364
*Ssangyong Investment Securities Co.,
Ltd. ............................... 7,380 151,740
*Ssangyong Motor Co. ................. 32,600 272,253
*Ssangyong Paper Co., Ltd. ........... 2,040 54,372
Sung Chang Enterprise Co., Ltd. ..... 1,680 172,712
Sung Shin Cement Co., Ltd. .......... 6,515 223,258
*Sunkyong Industries, Ltd. ........... 5,030 138,534
Sunkyong Securities Co., Ltd. ....... 6,700 94,390
Sunkyong, Ltd. ...................... 23,348 548,214
Tae Il Media Co., Ltd. .............. 4,729 108,637
Tai Han Electric Wire Co., Ltd. ..... 9,403 217,203
Taihan Sugar Industrial Co., Ltd. ... 3,080 120,010
*Taihan Sugar Industrial Co., Ltd.
Issue 96 ........................... 246 9,398
Tong Yang Cement Corp. .............. 16,890 520,913
Tong Yang Investment and Finance Co.,
Ltd. ............................... 4,120 78,436
Tong Yang Mool San Co., Ltd. ........ 6,145 91,251
Tong Yang Nylon Co., Ltd. ........... 14,930 509,731
*Tongil Heavy Industries Co., Ltd. ... 65,180 376,404
Tongkook Corp. ...................... 7,400 59,170
Tongyang Confectionery Co. .......... 1,537 42,526
Trigem Computer, Inc. ............... 8,000 282,269
Union Steel Manufacturing Co., Ltd. . 3,000 266,531
</TABLE>
38
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------ ---------
<S> <C> <C>
Youngchang Akki Co., Ltd. ........... 3,200 $ 131,996
Youngpoong Corp. .................... 2,000 243,686
Yuhan Corp. ......................... 3,417 221,179
*Yuhan Corp. First Issue 96 .......... 397 23,654
*Yuhan Corp. Second Issue 96 ......... 381 20,960
------------
TOTAL COMMON STOCKS
(Cost $39,311,336) ................... 40,323,737
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Korean Won (Cost $36,719) ........... 36,243
------------
RIGHTS/WARRANTS -- (0.0%)
*Chosun Refractories Co., Ltd. Rights
06/27/96 ........................... 211 0
*Dae Ryung Industries, Inc. Rights
06/20/96 ........................... 595 0
*Kolon Contruction Co., Ltd. Rights
06/28/96 ........................... 835 3,285
------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................ 3,285
------------
TOTAL -- KOREA
(Cost $39,348,055) ................... 40,363,265
------------
HONG KONG -- (18.8%)
COMMON STOCKS -- (18.8%)
ABC Communications (Holdings), Ltd. . 338,000 60,295
ALCO Holdings, Ltd. ................. 314,000 46,272
ASM Pacific Technology, Ltd. ........ 310,000 280,507
AWT World Transport Holdings, Ltd. .. 167,200 15,129
Allied Group, Ltd. .................. 4,928,000 369,473
*Allied Industries International, Ltd. 1,698,000 89,992
Anex International Holdings, Ltd. ... 152,000 9,235
*Applied International Holdings, Ltd. 1,110,000 100,440
*Asia Commercial Holdings, Ltd. ...... 3,640,000 57,875
Asia Financial Holdings, Ltd. ....... 1,000,000 391,029
Associated International Hotels, Ltd. 828,000 631,488
Beauforte Investors Corp., Ltd. ..... 66,000 101,099
Beijing Development (Hong Kong), Ltd. 164,000 30,951
Benelux International, Ltd. ......... 30,000 1,163
*Berjaya Holdings (Hong Kong), Ltd. .. 1,420,000 50,478
Burwill Holdings, Ltd. .............. 1,332,000 154,964
*CDW International, Ltd. ............. 178,000 18,177
*CEF Concord Holdings, Ltd. .......... 148,500 20,540
*CIL Holdings, Ltd. .................. 122,000 4,889
CNT Group, Ltd. ..................... 980,000 57,006
Cafe de Coral Holdings, Ltd. ........ 384,000 117,890
Capital Asia, Ltd. .................. 903,361 159,980
Century City International Holdings,
Ltd. ............................... 3,363,202 804,281
Champion Technology Holdings, Ltd. .. 1,265,511 147,229
Chen Hsong Holdings, Ltd. ........... 1,156,000 620,140
Cheuk Nang Properties (Holdings),
Ltd. ............................... 708,400 173,987
Cheung Wah Development Co., Ltd. .... 1,286,000 35,907
Chevalier (OA) International, Ltd. .. 1,604,000 109,891
*Chevalier Construction Holdings, Ltd. 98,000 7,854
Chevalier International Holdings,
Ltd. ............................... 1,419,585 264,245
<PAGE>
Shares Value+
------------ ------------
China Aerospace International
Holdings, Ltd. ....................... 1,620,000 $190,564
China Foods Holdings, Ltd. .......... 1,128,000 186,639
China Merchants Hai Hong Holdings
Co., Ltd. .......................... 574,000 174,367
China Motor Bus Co., Ltd. ........... 105,000 987,428
China Travel International Investment
Hong Kong, Ltd. .................... 1,360,000 318,201
*China Treasure Telecom Holdings, Ltd. 230,000 9,365
*China United (Holdings), Ltd. ....... 115,000 8,027
Chow Sang Sang Holdings
International, Ltd. ................ 1,012,000 372,828
*Chuang's China Investments, Inc. .... 820,000 27,559
Chun Wo Holdings, Ltd. .............. 154,000 24,685
Climax International Co., Ltd. ...... 296,000 54,716
Companion Building Material
(Holdings), Ltd. ................... 351,360 58,136
*Companion Marble (Holdings), Ltd. ... 47,912 7,804
*Continental Holdings, Ltd. .......... 54,000 3,420
*Continental Mariner Investment Co.,
Ltd. ............................... 395,000 68,931
Cosmos Machinery Enterprises, Ltd. .. 500,000 45,243
Crocodile Garments, Ltd. ............ 1,419,000 102,720
Cross Harbour Tunnel Co., Ltd. ...... 328,103 657,393
Culturecom Holdings, Ltd. ........... 1,950,000 74,360
Dah Sing Financial Holdings, Ltd. ... 215,200 617,559
Daido Concrete (Hong Kong), Ltd. .... 194,000 22,570
Dransfield Holdings, Ltd. ........... 190,000 11,421
Dynamic Holdings, Ltd. .............. 158,000 28,594
*East Asiatic Co. (Hong Kong), Ltd. .. 919,000 119,983
Egana International Holdings, Ltd. .. 861,600 104,693
Elec & Eltek International Holdings,
Ltd. ............................... 2,371,159 484,285
Emporer International Holdings, Ltd. 124,800 34,281
*Englong International, Ltd. ......... 130,000 24,367
FPB Bank Holding Co., Ltd. .......... 1,399,520 470,366
*Fairwood Holdings, Ltd. ............. 284,000 27,901
Far East Consortium International,
Ltd. ............................... 1,352,403 209,783
*Far East Holdings International, Ltd. 70,000 6,605
*Far East Hotels & Entertainment, Ltd. 1,762,000 626,356
*Fong's Industries Co., Ltd. ......... 174,000 8,772
Fortei Holdings, Ltd. ............... 242,000 13,451
Four Seas Mercantile Holdings, Ltd. . 242,000 101,668
Frankie Dominion International, Ltd. 452,000 28,630
*Fu Hui Jewelry Co. (Hong Kong), Ltd. 232,000 6,658
Furama Hotel Enterprises, Ltd. ...... 436,530 744,855
Giordano International, Ltd. ........ 536,000 481,541
Gold Peak Industries (Holdings), Ltd. 950,000 546,471
Golden Resources Development
International, Ltd. ................ 878,000 120,305
#Goldlion Holdings, Ltd. ............. 620,000 508,919
Grand Hotel Holdings, Ltd.
Series A ........................... 1,212,000 485,677
Grande Holdings, Ltd. ............... 370,000 162,616
*Great Wall Electronic International,
Ltd. ............................... 2,038,000 155,432
</TABLE>
39
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THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------ ---------
<S> <C> <C>
Guangzhou Investment Co., Ltd. ...... 1,026,000 $271,885
HKCB Bank Holding Co., Ltd. ......... 450,000 149,787
*Hanny Holdings, Ltd. ................ 109,600 25,502
Harbour Centre Development, Ltd. .... 314,000 409,953
Harbour Ring International Holdings,
Ltd. ............................... 1,456,000 169,390
*High Fashion International, Ltd. .... 178,000 8,744
#Hon Kwok Land Investment Co., Ltd. .. 1,892,682 642,230
Hong Kong Ferry (Holdings) Co., Ltd. 757,500 802,933
Hong Kong Parkview Group, Ltd. ...... 1,026,000 278,516
Hong Kong Toy Centre International,
Ltd. ............................... 508,000 27,580
Hop Hing Holdings, Ltd. ............. 592,048 94,134
Hsin Chong Construction Group, Ltd. . 426,000 61,125
Hung Hing Printing Group, Ltd. ...... 390,000 110,910
Hwa Kay Thai Holdings, Ltd. ......... 2,269,205 258,131
IDT International, Ltd. ............. 372,061 44,728
IMC Holdings, Ltd. .................. 531,000 299,271
Innovative International (Holdings),
Ltd. ............................... 438,000 142,961
International Pipe, Ltd. ............ 108,000 17,451
*Island Dyeing & Printing Co., Ltd. .. 135,000 130,882
JCG Holdings, Ltd. .................. 56,000 45,967
Jinhui Holdings Co., Ltd. ........... 370,000 55,481
Joyce Boutique Holdings, Ltd. ....... 628,000 209,036
K Wah International Holdings, Ltd. .. 1,827,847 295,348
KPI Co., Ltd. ....................... 220,000 47,777
Ka Wah Bank, Ltd. ................... 1,762,560 575,293
*Kader Holdings Co., Ltd. ............ 402,000 19,227
Keck Seng Investments (Hong Kong),
Ltd. ............................... 520,800 188,501
Kee-Shing Holdings Co., Ltd. ........ 886,000 100,786
King Fook Holdings, Ltd. ............ 1,000,000 80,145
*Kosonic International Holdings, Ltd. 198,000 5,887
Kumagai Gumi Hong Kong, Ltd. ........ 647,000 643,988
Kwong Sang Hong International, Ltd. . 544,000 151,189
Lai Sun Garment (International), Ltd. 440,000 503,361
Lam Soon (Hong Kong), Ltd. .......... 1,114,740 217,588
Lam Soon Food Industries, Ltd. ...... 311,000 28,141
Lamex Holdings, Ltd. ................ 202,000 65,279
Lap Heng Co., Ltd. .................. 128,000 129,059
*Laws International Holdings, Ltd. ... 410,000 47,169
Le Saunda Holdings, Ltd. ............ 236,000 31,422
Leefung-Asco Printers Holdings, Ltd. 144,000 18,614
Li & Fung, Ltd. ..................... 466,000 469,855
Lippo, Ltd. ......................... 710,160 426,867
Liu Chong Hing Bank, Ltd. ........... 324,600 438,479
Liu Chong Hing Investment, Ltd. ..... 572,000 565,641
Luks Industrial Co., Ltd. ........... 1,636,000 186,101
M.C. Packaging (Hong Kong), Ltd. .... 524,000 186,272
*Magnum International Holdings, Ltd. . 300,000 13,185
Mansion Holdings, Ltd. .............. 151,800 10,204
*Mansion House Group, Ltd. ........... 640,200 57,102
*Megga (S.) International Holdings,
Ltd. ............................... 970,000 39,497
Melbourne Enterprises, Ltd. ......... 38,000 226,939
Melco International Development, Ltd. 180,000 55,843
<PAGE>
Shares Value+
------------ ---------
Min Xin Holdings, Ltd. .............. 558,000 $105,310
Mingly Corp., Ltd. .................. 3,298,000 754,584
*Morning Star Holdings, Ltd. ......... 410,000 27,559
Nanyang Holdings, Ltd. .............. 115,000 136,763
National Electronics Holdings, Ltd. . 1,082,000 58,744
New Island Printing Holdings, Ltd. .. 160,000 25,646
Ngai Lik Industrial Holdings, Ltd. .. 280,000 131,205
Ocean Information Holdings, Ltd. .... 122,000 6,702
Ocean-Land Development, Ltd. ........ 182,000 170,566
Oxford Properties & Finance, Ltd. ... 110,000 231,774
Pacific Concord Holding, Ltd. ....... 1,554,000 301,319
*Paramount Publishing Group, Ltd. .... 574,000 32,276
Paul Y. ITC Construction Holdings,
Ltd. ............................... 700,941 155,845
Peace Hill Enterprise Group, Ltd. ... 96,000 24,819
Perfectech International Holdings,
Ltd. ............................... 150,000 17,257
Playmate Toys Holdings, Ltd. ........ 837,000 229,915
Playmates Properties Holdings, Ltd. . 837,000 127,671
Pokfulam Development Co., Ltd. ...... 212,000 108,247
*Poly Investments Holdings, Ltd. ..... 2,432,000 89,597
*Prod-Art Technology (Holdings), Ltd. 322,000 7,409
QPL International Holdings, Ltd. .... 318,000 314,465
Raymond Industrial, Ltd. ............ 558,000 73,573
*Rhine Holdings, Ltd. ................ 160,000 15,719
*Rivera Holdings, Ltd. ............... 2,916,000 79,157
Safety Godown Co., Ltd. ............. 310,000 260,471
San Miguel Brewery Hong Kong, Ltd. .. 858,000 402,049
*Seapower International Holdings, Ltd. 260,000 111,750
Seapower Resources International,
Ltd. ............................... 2,290,000 254,576
Semi-Tech (Global) Co., Ltd. ........ 305,501 460,068
*Shanghai International (Hong Kong),
Ltd. ............................... 215,000 20,288
Shaw Brothers Hong Kong, Ltd. ....... 100,000 116,339
Shell Electric Manufacturing
(Holdings) Co., Ltd. ............... 756,000 493,511
*Shenzhen International Holdings, Ltd. 1,865,000 35,921
Shougang Concord Century Holdings,
Ltd. ............................... 302,000 25,375
Shougang Concord Grand (Group), Ltd. 1,416,000 113,485
Shougang Concord International
Enterprises Co., Ltd. .............. 1,320,000 187,694
*Shougang Concord Technology Holdings,
Ltd. ............................... 867,000 42,028
*Shun Ho Construction (Holdings), Ltd. 846,000 46,478
*Shun Ho Resources Holdings, Ltd. .... 460,000 24,677
*Shun Shing Holdings, Ltd. ........... 408,000 12,183
Silver Grant International
Industries, Ltd. ................... 255,000 55,048
Sime Darby Hong Kong, Ltd. .......... 418,000 440,370
Sincere Co., Ltd. ................... 394,000 59,589
Sing Tao Holdings, Ltd. ............. 693,000 398,636
Singamas Container Holdings, Ltd. ... 246,000 25,122
South China Brokerage Co., Ltd. ..... 112,000 10,279
South China Industries, Ltd. ........ 1,020,000 134,488
*South China Strategic, Ltd. ......... 1,320,000 29,007
*South Sea Development Co., Ltd. ..... 466,400 13,264
</TABLE>
40
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------ ---------
<S> <C> <C>
Southeast Asia Properties & Finance,
Ltd. ............................... 159,720 $ 62,971
Star Telecom International Holdings,
Ltd. ............................... 388,000 94,793
Starlight International Holdings, Ltd 645,356 56,727
Stelux Holdings International, Ltd. . 735,702 161,672
*Styland Holdings, Ltd. .............. 808,000 24,336
Sum Cheong International, Ltd. ...... 230,000 170,954
Sun Fook Kong Holdings, Ltd. ........ 1,372,000 66,507
Sun Hung Kai & Co., Ltd. ............ 1,170,000 412,132
*Suwa International Holdings, Ltd. ... 1,062,000 44,616
Swank International Manufacturing
Co., Ltd. .......................... 568,000 101,324
Tack Hsin Holdings, Ltd. ............ 148,000 21,618
Tai Sang Land Development, Ltd. ..... 417,259 202,265
Tak Sing Alliance Holdings, Ltd. .... 563,200 227,508
Tak Wing Investment Holdings, Ltd. .. 388,000 58,180
Techtronic Industries Co., Ltd. ..... 856,000 106,225
#Tem Fat Hing Fung (Holdings), Ltd. .. 1,868,000 217,322
Termbray Industries International
(Holdings), Ltd. ................... 102,033 160,910
Texwinca Holdings, Ltd. ............. 278,000 87,145
Tian An China Investments Co., Ltd. . 2,007,000 272,408
Tian Teck Land, Ltd. ................ 1,006,000 245,778
Tomei International (Holdings), Ltd. 2,445,713 124,878
Tristate Holdings, Ltd. ............. 113,000 80,339
Truly International Holdings, Ltd. .. 214,000 38,175
Tse Sui Luen Jewellry
(International), Ltd. .............. 1,065,664 330,609
*Tung Fong Hung (Holdings), Ltd. ..... 388,800 23,370
Tungtex (Holdings) Co., Ltd. ........ 904,000 78,294
Tysan Holdings, Ltd. ................ 336,000 68,190
UDL Holdings, Ltd. .................. 474,000 47,179
USI Holdings, Ltd. .................. 1,668,000 159,555
*Ultronics International Holdings,
Ltd. ............................... 112,000 2,896
Union Bank of Hong Kong, Ltd. ....... 543,600 551,611
Uniworld Holdings, Ltd. ............. 14,880,000 48,087
Varitronix International, Ltd. ...... 442,000 888,456
Wah Ha Realty Co., Ltd. ............. 240,000 49,018
Wah Kwong Shipping Holdings, Ltd. ... 113,000 201,577
Wah Nam Group, Ltd. ................. 1,700,000 28,348
Wai Kee Holdings, Ltd. .............. 459,473 144,031
Wing On Co. International, Ltd. ..... 507,000 521,025
Wing On International Holdings, Ltd. 50,000 85,962
Wing Shan International, Ltd. ....... 406,000 53,532
Winsor Industrial Corp., Ltd. ....... 447,000 398,694
Wo Kee Hong (Holdings), Ltd. ........ 1,430,000 205,184
Wong's International (Holdings), Ltd. 1,012,000 176,603
*Wong's Kong King International
(Holdings), Ltd. ................... 717,000 29,659
World Houseware (Holdings), Ltd. .... 418,028 47,552
YGM Trading, Ltd. ................... 70,000 72,841
Yangtzekiang Garment Manufacturing
Co., Ltd. .......................... 323,000 62,629
Yaohan Food Processing & Trading Co.,
Ltd. ............................... 124,000 13,945
*Yaohan Hong Kong Corp., Ltd. ........ 690,000 37,015
Yaohan International Caterers, Ltd. . 452,000 111,013
Yaohan International Holdings, Ltd. . 888,000 109,049
Yau Lee Holdings, Ltd. .............. 360,000 15,822
<PAGE>
Shares Value+
------------ ------------
Yeebo (International Holdings), Ltd. 408,000 $ 26,370
Yiu Wing International Holdings, Ltd. 188,000 23,330
*Yoshiya International Corp., Ltd. ... 370,000 32,523
Yue Yuen Industrial (Holdings), Ltd. 1,982,000 484,227
------------
TOTAL COMMON STOCKS
(Cost $48,281,885) ................... 39,705,704
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $44,173) .... 44,177
------------
RIGHTS/WARRANTS -- (0.0%)
*Chun Wo Holdings, Ltd. Warrants
03/31/98 ........................... 30,800 1,115
*Emporer International Holdings, Ltd.
Warrants 03/31/98 .................. 24,960 2,646
*Far East Hotels & Entertainment, Ltd.
Warrants 06/30/97 .................. 176,200 0
*Far East Hotels & Entertainment, Ltd.
Warrants 12/31/98 .................. 176,200 0
*Hanny Holdings, Ltd. Warrants
06/30/97 ........................... 21,920 1,006
*K Wah International Holdings, Ltd.
Warrants 12/31/97 .................. 1 0
*Melco International Development, Ltd.
Warrants 03/31/98 .................. 36,000 4,188
*Shell Electric Manufacturing
(Holdings) Co., Ltd. Warrants
10/31/97 ........................... 151,200 0
*Shougang Concord Technology Holdings,
Ltd. Rights 06/20/96 ............... 433,500 0
*Tai Sang Land Development, Ltd.
Warrants 06/30/98 .................. 41,725 0
*Wo Kee Hong (Holdings), Ltd. Warrants
06/01/98 ........................... 286,000 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................ 8,955
------------
TOTAL -- HONG KONG
(Cost $48,326,058) ................... 39,758,836
------------
SINGAPORE -- (13.6%)
COMMON STOCKS -- (13.6%)
AV Jennings Homes, Ltd. ............. 30,800 13,762
Acma, Ltd. .......................... 213,600 621,106
*Alliance Technology & Development,
Ltd. ............................... 48,000 33,021
Amtek Engineering, Ltd. ............. 169,500 299,330
*Ana Hotels Singapore, Ltd. .......... 81,000 171,191
Apollo Enterprises, Ltd. ............ 162,000 162,000
Auric Pacific Group, Ltd. ........... 149,000 210,291
Avimo Group, Ltd. ................... 174,625 175,863
Bonvests Holdings, Ltd. ............. 359,000 346,270
British-American Tobacco Co.
(Singapore), Ltd. .................. 101,000 411,879
Bukit Sembawang Estates, Ltd. ....... 44,000 1,123,404
*CK Tang, Ltd. ....................... 76,000 91,631
CSA Holdings, Ltd. .................. 153,000 150,830
*CWT Distribution, Ltd. .............. 180,000 186,383
Carnaudmetalbox Asia, Ltd. .......... 95,000 384,043
*Causeway Investment, Ltd. ........... 122,000 98,638
Central Properties, Ltd. ............ 37,000 514,326
Chemical Industries (Far East), Ltd. 72,000 189,957
Chuan Hup Holdings, Ltd. ............ 361,000 273,950
Cosco Investment (Singapore), Ltd. .. 134,400 162,996
*Focal Finance, Ltd. ................. 88,200 178,277
</TABLE>
41
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------ ---------
<S> <C> <C>
Fuji Offset Plates Manufacturing,
Ltd. ................................. 33,750 $ 15,798
GB Holdings, Ltd. ................... 90,000 77,872
GK Goh Holdings ..................... 429,000 544,618
GP Batteries International, Ltd. .... 12,000 25,191
General Magnetics, Ltd. ............. 94,000 49,667
Goldtron, Ltd. ...................... 424,000 360,851
Guthrie GTS, Ltd. ................... 452,000 222,794
*Guthrie GTS, Ltd. Issue 96 .......... 90,400 44,302
HTP Holdings, Ltd. .................. 297,000 199,053
Hai Sun Hup Group, Ltd. ............. 556,000 421,929
Haw Par Brothers International, Ltd. 331,100 821,879
Hind Hotels International, Ltd. ..... 102,000 120,085
#Hitachi Zosen (Singapore), Ltd. ..... 455,000 319,468
Hong Kok Corp., Ltd. ................ 231,000 373,532
Hotel Grand Central, Ltd. ........... 309,400 309,400
*Hotel Plaza, Ltd. ................... 520,000 339,291
Hotel Royal, Ltd. ................... 54,000 147,830
Hour Glass, Ltd. .................... 122,000 111,617
Hwa Hong Corp., Ltd. ................ 189,000 285,511
*Inno-Pacific Holdings, Ltd. ......... 265,500 120,511
Insurance Corp. of Singapore, Ltd. .. 85,000 266,454
Intraco, Ltd. ....................... 160,000 255,319
Isetan (Singapore), Ltd. ............ 56,000 125,504
Jack Chia-MPH, Ltd. ................. 308,000 266,496
Jaya Holdings, Ltd. ................. 122,400 118,060
Jurong Cement, Ltd. ................. 73,750 251,064
Jurong Engineering, Ltd. ............ 80,000 276,879
Keppel Finance, Ltd. ................ 233,000 305,709
Khong Guan Flour Milling, Ltd. ...... 7,000 23,730
Kim Eng Holdings, Ltd. .............. 580,200 563,740
L & M Group Investments, Ltd. ....... 209,100 424,132
LC Development, Ltd. ................ 81,000 64,340
Lee Kim Tah Holdings, Ltd. .......... 147,000 109,468
*Lim Kah Ngam, Ltd. .................. 249,333 268,785
Low Keng Huat Singapore, Ltd. ....... 144,000 64,851
Lum Chang Holdings, Ltd. ............ 456,000 410,723
Marco Polo Developments, Ltd. ....... 480,000 905,532
Metalock (Singapore), Ltd. .......... 20,000 21,986
Metro Holdings, Ltd. ................ 192,960 651,411
Orchard Parade Holdings, Ltd. ....... 140,000 575,887
Overseas Union Trust (Foreign) ...... 63,000 168,894
PCI, Ltd. ........................... 206,000 140,255
*Pacific Can Investment Holdings, Ltd. 90,000 69,574
Pacific Carriers, Ltd. .............. 390,000 326,383
Pan Malayan Holdings, Ltd. .......... 30,000 59,574
Pan Pacific Public Co., Ltd. ........ 46,500 27,702
Pentex-Schweizer Circuits, Ltd. ..... 79,200 134,809
Pertama Holdings, Ltd. .............. 68,750 26,817
Prima, Ltd. ......................... 69,000 249,574
Provisions Suppliers Corp. .......... 158,000 129,986
QAF, Ltd. ........................... 567,000 760,021
Republic Hotels and Resorts, Ltd. ... 371,000 478,879
Resources Development Corp., Ltd. ... 30,000 98,936
*Resources Development Corp., Ltd.
Issue 96 ........................... 7,500 24,419
Robinson & Co., Ltd. ................ 109,000 436,773
SNP Corp., Ltd. ..................... 68,000 54,496
*SPP, Ltd. ........................... 83,000 42,972
ST Capital, Ltd. .................... 171,200 276,834
<PAGE>
Shares Value+
------------ ---------
San Teh, Ltd. ....................... 273,000 $ 253,638
Scotts Holdings, Ltd. ............... 284,000 267,887
Sea View Hotel, Ltd. ................ 40,000 357,447
Sembawang Maritime, Ltd. ............ 119,450 335,477
Shangri-La Hotel, Ltd. .............. 147,000 504,596
Sime Singapore, Ltd. ................ 706,000 493,199
Sing Investments & Finance, Ltd.
(Foreign) .......................... 81,900 102,230
Singapore Finance, Ltd. ............. 313,600 551,580
Singapore Reinsurance Corp., Ltd. ... 93,500 140,582
Singapore Technologies Automotive,
Ltd. (Foreign) ..................... 173,000 429,433
Singapura Building Society, Ltd. .... 57,500 58,316
Singatronics, Ltd. .................. 200,000 104,965
*Singmarine Industries, Ltd. ......... 188,500 370,316
Ssangyong Cement (Singapore), Ltd. .. 122,500 333,617
Stamford Tyres Corp., Ltd. .......... 62,000 50,128
Steamers Maritime Holding, Ltd. ..... 283,750 237,465
Superior Metal Printing, Ltd. ....... 157,000 94,089
Tibs Holdings, Ltd. ................. 54,000 128,681
Tiger Medicals, Ltd. ................ 90,000 159,574
Times Publishing, Ltd. .............. 191,000 452,440
Tuan Sing Holdings, Ltd. ............ 2,084,000 864,638
*#United Engineers, Ltd. .............. 283,000 568,007
United Overseas Finance, Ltd. ....... 123,750 188,697
United Overseas Insurance, Ltd. ..... 69,000 136,043
United Pulp & Paper Co., Ltd. ....... 105,000 140,745
Van Der Horst, Ltd. ................. 151,800 732,085
Van Der Horst, Ltd. 3.5% Unsecured
Loan Stock 08/31/98 ................ 23,400 15,932
WBL Corp., Ltd. ..................... 209,000 492,113
Wearnes International (1994), Ltd. .. 33,000 31,128
-------------
TOTAL COMMON STOCKS
(Cost $21,799,543) ................... 28,762,363
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost $28) ........ 29
-------------
RIGHTS/WARRANTS -- (0.0%)
*Sing Investments & Finance, Ltd.
Warrants 12/29/98 (Cost $0) ........ 19,500 8,574
-------------
TOTAL -- SINGAPORE
(Cost $21,799,571) ................... 28,770,966
-------------
Face
Amount
------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.6%)
Repurchase Agreement, PNC Securities
Corp. 5.05%, 06/03/96 (Collateralized
by U.S. Treasury Notes 6.50%,
09/30/96)
(Cost $7,581,000) .................. $ 7,581 7,581,000
-------------
TOTAL INVESTMENTS -- (100.0%) (Cost
$180,877,092) ........................ $211,189,128
=============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
42
<PAGE>
SCHEDULE OF INVESTMENTS
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
----------- ----------
<S> <C> <C>
COMMON STOCKS -- (96.9%)
600 Group P.L.C. .................. 135,000 $572,235
*AAF Industries P.L.C. ............. 53,256 24,716
ABI Leisure Group P.L.C. .......... 73,000 117,448
AIM Group P.L.C. .................. 36,475 196,930
API Group P.L.C. .................. 51,500 537,776
ASDA Property Holdings P.L.C. ..... 94,000 212,310
ASW Holdings P.L.C. ............... 165,900 202,751
Abbeycrest P.L.C. ................. 61,590 115,288
Abbott Mead Vickers P.L.C. ........ 70,875 668,826
Aberdeen Trust P.L.C. ............. 38,500 61,942
Acatos & Hutcheson P.L.C. ......... 79,000 312,865
Adam & Harvey Group P.L.C. ........ 10,500 62,537
Admiral P.L.C. .................... 135,000 559,705
Adscene Group P.L.C. .............. 67,000 258,086
Adwest Group P.L.C. ............... 204,250 464,483
Aerospace Engineering P.L.C. ...... 79,904 46,972
African Lakes Corp. P.L.C. ........ 6,208 4,226
Airflow Streamlines P.L.C. ........ 20,500 88,164
Airsprung Furniture Group P.L.C. .. 58,000 223,418
Alba P.L.C. ....................... 115,625 533,038
Alexanders Holdings P.L.C. ........ 188,000 49,442
Alexandra Workwear P.L.C. ......... 91,243 197,614
*Alexon Group P.L.C. ............... 154,500 358,517
*Allied Leisure P.L.C. ............. 265,166 188,697
Allied London Properties P.L.C. ... 182,000 199,903
Allied Textile Companies P.L.C. ... 188,238 617,353
Alphameric P.L.C. ................. 1,637 823
Alumasc Group P.L.C. .............. 85,000 598,302
Alvis P.L.C. ...................... 150,000 278,460
Amber Day Holdings P.L.C. ......... 392,530 133,594
Amber Industrial Holdings P.L.C. .. 42,000 103,958
Amey P.L.C. ....................... 50,000 242,106
Amstrad P.L.C. .................... 19,702 47,395
Andrews Sykes Group P.L.C. ........ 38,727 221,070
*Anglesey Mining P.L.C. ............ 55,000 3,403
Anglian Group P.L.C. .............. 157,850 410,246
Anglo Eastern Plantations P.L.C. .. 57,166 123,810
*Anglo United P.L.C. ............... 826,666 6,394
Appleyard Group P.L.C. ............ 179,627 302,892
Arcadian International P.L.C. ..... 234,669 166,995
Archer Group Holding P.L.C. ....... 99,000 120,991
Arcolectric Holdings P.L.C. Class A
Non-Voting ....................... 10,000 16,244
Arlen P.L.C. ...................... 200,728 152,158
Armitage Brothers P.L.C. .......... 4,000 13,923
Armour Trust P.L.C. ............... 98,500 71,618
Ash & Lacy P.L.C. ................. 101,098 278,390
*Ashley (Laura) Holdings P.L.C. .... 270,000 839,557
Ashtead Group P.L.C. .............. 175,998 509,143
Associated British Engineering
P.L.C. ........................... 534,500 31,008
*Aukett Associates P.L.C. .......... 33,500 6,478
Austin Reed Group P.L.C. .......... 77,000 270,400
*Automated Security Holdings P.L.C. 258,537 127,986
Avesco P.L.C. ..................... 18,666 72,191
Avon Rubber P.L.C. ................ 69,874 684,242
Avonside Group P.L.C. ............. 50,000 29,393
BM Group P.L.C. ................... 276,000 121,687
BNB Resources P.L.C. .............. 59,000 158,815
<PAGE>
Shares Value+
----------- -----------
BPP Holdings P.L.C. ............... 62,450 $ 356,491
BSG International P.L.C. .......... 684,597 852,553
Babcock International Group P.L.C. 122,557 195,284
Baggeridge Brick P.L.C. ........... 110,000 188,889
Bailey (Ben) Construction P.L.C. .. 26,000 11,865
*Bailey (C.H.) P.L.C. .............. 109,500 11,858
*Bailey (C.H.) P.L.C. Class B ...... 10,000 4,177
Baldwin P.L.C. .................... 51,000 100,199
*Bandt P.L.C. ...................... 115,000 46,255
*Bank Leumi (U.K.), Ltd. ........... 5,767 38,363
Banks (Sidney C.) P.L.C. .......... 13,507 67,910
Barbour Index P.L.C. .............. 46,000 302,439
Bardon Group P.L.C. ............... 966,879 572,129
Barlows P.L.C. .................... 50,000 34,808
Barr & Wallace Arnold Trust P.L.C. 16,000 58,910
Barr Transport P.L.C. ............. 53,000 281,229
*Barton Transport P.L.C. (Deferred) 1,250 5,318
Baynes (Charles) P.L.C. ........... 341,378 718,232
Beales Hunter P.L.C. .............. 22,254 70,575
Bearing Power International P.L.C. 81,757 29,722
Beattie (James) P.L.C. ............ 107,247 225,639
Beauford P.L.C. ................... 1,312 710
Bellway P.L.C. .................... 214,142 1,060,089
*Bellwinch P.L.C. .................. 163,266 50,515
Bemrose Corp. P.L.C. .............. 94,500 552,604
*Benchmark Group P.L.C. ............ 11,480 3,197
*Benson Group P.L.C. ............... 64,880 45,166
Bentalls P.L.C. ................... 113,500 219,481
Beradin Holdings P.L.C. ........... 37,000 34,343
*Berkeley Business Group P.L.C. .... 25,000 10,056
Bespak P.L.C. ..................... 60,718 381,359
*Betacom P.L.C. .................... 195,000 30,167
Bett Brothers P.L.C. .............. 41,000 88,798
Betterware P.L.C. ................. 228,870 384,157
*Beverley Group P.L.C. ............. 86,820 2,350
Bibby (J.) & Sons P.L.C. .......... 262,300 511,280
Bilton P.L.C. ..................... 30,000 103,494
Birkby P.L.C. ..................... 119,513 327,249
*Birkdale Group P.L.C. ............. 33,600 4,028
*Birse Group P.L.C. ................ 515,900 183,562
Black (A & C) P.L.C. .............. 2,250 11,486
Black (Peter) Holdings P.L.C. ..... 149,495 640,614
Black Arrow Group P.L.C. .......... 56,500 39,332
Blacks Leisure Group P.L.C. ....... 69,959 180,738
Blagden Industries P.L.C. ......... 188,875 461,660
Blick P.L.C. ...................... 74,555 636,658
Blockleys P.L.C. .................. 73,678 64,969
Bodycote International P.L.C. ..... 106,000 903,541
*Bolton Group (International), Ltd. 23,000 6,760
Boosey & Hawkes P.L.C. ............ 47,500 554,793
Boot (Henry) & Sons P.L.C. ........ 65,000 236,304
Booth Industries Group P.L.C. ..... 5,000 3,094
Borthwicks P.L.C. ................. 157,500 80,405
Bostrom P.L.C. .................... 43,000 232,824
Bourne End Properties P.L.C. ...... 110,454 78,601
Bradstock Group P.L.C. ............ 130,000 144,799
Brammer (H.) P.L.C. ............... 111,000 920,403
Brasway P.L.C. .................... 196,560 68,418
Breedon P.L.C. .................... 75,428 107,352
Brent International P.L.C. ........ 239,531 405,757
</TABLE>
43
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------ ---------
<S> <C> <C>
*Brent Walker Group P.L.C. ......... 128,571 $ 5,967
Bridgend Group P.L.C. ............. 93,000 30,213
Bridon P.L.C. ..................... 180,000 334,152
Bridport-Gundry P.L.C. ............ 22,000 51,051
Bristol Evening Post P.L.C. ....... 40,500 255,626
Bristol Scotts P.L.C. ............. 7,000 17,868
Bristol Water Holdings P.L.C. ..... 12,000 241,332
Britannia Group P.L.C. ............ 50,000 19,338
British Borneo Petroleum Syndicate
P.L.C. ........................... 95,498 877,548
*British Building and Engineering
Appliances, Ltd. ................. 32,000 21,287
British Data Management P.L.C. .... 25,000 62,654
British Dredging P.L.C. ........... 45,600 91,001
British Fittings Group P.L.C. ..... 62,658 109,533
British Mohair Holdings P.L.C. .... 31,500 69,197
British Polythene Industries P.L.C. 72,736 852,921
British Steam Specialties Group
P.L.C. ........................... 88,505 862,579
British Thornton Holdings P.L.C. .. 35,000 16,785
Britton Group P.L.C. .............. 372,200 915,512
Brockhampton Holdings P.L.C. ...... 12,000 38,984
Brockhampton Holdings P.L.C. Series
A Non-Voting ..................... 48,000 83,909
Brooke Tool Engineering Holdings
P.L.C. ........................... 77,875 16,264
Brooks Service Group P.L.C. ....... 25,500 40,237
*Brown & Jackson P.L.C. ............ 22,019 7,494
Budgens P.L.C. .................... 399,285 287,228
Bulgin (A.F.) & Co. P.L.C. ........ 4,000 3,032
Bulgin (A.F.) & Co. P.L.C. Class A
Non-Voting ....................... 52,000 13,474
*Bullers P.L.C. .................... 97 0
Bullough P.L.C. ................... 327,000 546,339
Bulmer (H.P.) Holdings P.L.C. ..... 110,500 991,472
Burn Stewart Distillers P.L.C. .... 161,500 276,074
Burndene Investments P.L.C. ....... 285,500 172,251
Burnfield P.L.C. .................. 85,475 173,221
Burtonwood Brewery P.L.C. ......... 52,000 130,319
CRT Group P.L.C. .................. 149,251 369,426
Caffyns P.L.C. .................... 6,000 26,454
*Cairn Energy P.L.C. ............... 190,000 734,825
Cala P.L.C. ....................... 98,400 149,180
Calderburn P.L.C. ................. 107,636 66,605
Camellia P.L.C. ................... 2,950 93,555
*Campari International P.L.C. ...... 25,000 10,829
Canning (W.) P.L.C. ............... 68,354 265,417
Cantors P.L.C. .................... 40,750 107,799
Cape P.L.C. ....................... 132,000 341,021
Capita Group P.L.C. ............... 121,000 690,720
Capital Corp. P.L.C. .............. 10,000 33,879
Capital Industries P.L.C. ......... 67,500 201,535
Carclo Engineering Group P.L.C. ... 159,777 763,771
*Carlisle Group P.L.C. ............. 100,000 33,261
Carr's Milling Industries P.L.C. .. 19,000 92,588
Castings P.L.C. ................... 102,000 350,303
*Castle Mill International P.L.C. .. 31,500 1,096
Cater Allen Holdings P.L.C. ....... 84,833 517,072
*Cathay International P.L.C. ....... 439,600 74,807
Cattle's Holdings P.L.C. .......... 202,280 841,774
Caverdale Group P.L.C. ............ 74,924 172,703
Central Motor Auctions P.L.C. ..... 33,000 47,477
Chamberlin & Hill P.L.C. .......... 18,000 41,769
Channel Holdings P.L.C. ........... 130,500 70,659
Chemring Group P.L.C. ............. 49,000 325,953
<PAGE>
Shares Value+
----------- -----------
Chesterfield Properties P.L.C. .... 25,000 $178,292
Chloride Group P.L.C. ............. 571,500 258,602
*Christie Group P.L.C. ............. 50,000 24,752
Chrysalis Group P.L.C. ............ 72,036 590,630
Church & Co. P.L.C. ............... 29,500 205,364
City Centre Restaurants P.L.C. .... 465,500 842,550
*City Site Estates P.L.C. .......... 20,000 10,829
Claremont Garments (Holdings)
P.L.C. ........................... 135,700 489,132
Clarkson (Horace) P.L.C. .......... 60,489 98,255
Clayhithe P.L.C. .................. 41,500 46,866
*Clinical Computing P.L.C. ......... 40,000 43,316
Clinton Cards P.L.C. .............. 46,000 107,455
*Cliveden P.L.C. ................... 27,140 0
Close Brothers Group P.L.C. ....... 13,600 79,739
*Clubhaus P.L.C. ................... 208,000 20,111
Clyde Blowers P.L.C. .............. 11,781 49,937
Clyde Petroleum P.L.C. ............ 997,500 979,889
*Coal Investments P.L.C. ........... 1,102 426
Cohen (A.) & Co. P.L.C. ........... 2,100 20,954
Cohen (A.) & Co. P.L.C. Class A
Non-Voting ....................... 1,500 14,503
Colefax & Fowler Group P.L.C. ..... 60,000 60,333
Colorvision P.L.C. ................ 50,000 20,885
Community Hospitals Group P.L.C. .. 89,333 403,539
Computer People Group P.L.C. ...... 50,999 373,175
Concentric P.L.C. ................. 133,026 388,945
*Conrad P.L.C. ..................... 30,000 1,508
Conrad Ritblat Group P.L.C. ....... 26,800 101,576
*Consolidated Coal P.L.C. .......... 9,166 6,381
Cook (William) P.L.C. ............. 53,750 220,351
Cooper (Frederick) P.L.C. ......... 86,954 61,878
*Cordiant P.L.C. ................... 41,000 77,381
Cornwell Parker P.L.C. ............ 8,000 22,277
Cornwell Parker P.L.C. Class A
Non-Voting ....................... 65,000 135,749
Cosalt P.L.C. ..................... 30,700 85,487
*Costain Group P.L.C. .............. 112,060 136,952
Country Casuals Holdings P.L.C. ... 5,040 13,956
Countryside Property P.L.C. ....... 209,454 243,019
Courts P.L.C. ..................... 60,542 856,975
Coutts Consulting Group P.L.C. .... 92,000 74,008
Cradley Group Holdings P.L.C. ..... 80,000 66,830
Cray Electronic Holdings P.L.C. ... 250,000 177,905
Crest Nicholson P.L.C. ............ 231,250 271,885
Crestacare P.L.C. ................. 381,864 177,223
*Creston Land & Estates P.L.C. ..... 50,000 7,348
Cropper (James) P.L.C. ............ 22,000 94,955
Cullen's Holdings P.L.C. .......... 38,645 9,266
Culver Holdings P.L.C. ............ 8,471 786
Cussins Property Group P.L.C. ..... 43,750 57,529
Daejan Holdings P.L.C. ............ 23,000 424,481
Dagenham Motors Group P.L.C. ...... 65,000 163,905
Dalepak Foods P.L.C. .............. 31,500 43,370
Dart Group P.L.C. ................. 37,000 130,505
Davis Service Group P.L.C. ........ 249,360 952,827
Dawson Group P.L.C. ............... 100,674 328,617
Dawson International P.L.C. ....... 297,721 409,911
Debenham Tewson & Chinnocks
Holdings P.L.C. .................. 89,500 65,075
Delaney Group P.L.C. .............. 270,000 17,752
Delyn Group P.L.C. . .............. 22,500 28,194
Dencora P.L.C. .................... 23,000 53,727
Densitron International P.L.C. .... 42,386 41,310
Derwent Valley Holdings P.L.C. .... 65,000 370,042
</TABLE>
44
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------ ---------
<S> <C> <C>
Development Securities P.L.C. ..... 62,000 $183,196
Dewhirst Group P.L.C. ............. 344,760 970,686
Dewhurst P.L.C. ................... 9,000 12,809
Dewhurst P.L.C. Class A
Non-Voting ....................... 15,500 20,382
Diploma P.L.C. .................... 96,000 573,256
Dixon Motors P.L.C. ............... 1,167 4,694
Doeflex P.L.C. .................... 25,762 107,207
Dolphin Packaging P.L.C. .......... 63,110 162,068
Domino Printing Sciences P.L.C. ... 132,187 834,333
*Donelon Tyson P.L.C. .............. 322,588 0
Dowding & Mills P.L.C. ............ 400,875 431,007
Drummond Group P.L.C. ............. 26,250 12,589
Dyson (J.& J.) P.L.C. Class A
Non-Voting ....................... 28,500 35,712
EBC Group P.L.C. .................. 30,000 24,133
EIS Group P.L.C. .................. 124,333 746,291
ERA Group P.L.C. .................. 400,000 55,692
ERF Holdings P.L.C. ............... 24,000 109,156
Eadie Holdings P.L.C. ............. 118,000 58,415
East Surrey Holdings P.L.C. ....... 18,400 136,631
Eclipse Blinds P.L.C. ............. 103,670 173,208
Edinburgh Fund Managers ........... 68,000 758,463
*Elbief P.L.C. ..................... 23,500 7,271
*Eleco Holdings P.L.C. ............. 104,685 27,531
Electron House P.L.C. ............. 70,000 224,160
Electronic Data Processing P.L.C. . 55,200 83,687
Elliott (B.) & Co. P.L.C. ......... 6,087 9,040
Ellis & Everard P.L.C. ............ 216,742 938,840
Emess P.L.C. ...................... 288,250 160,532
English & Overseas Properties
P.L.C. ........................... 190,000 55,847
Epwin Group P.L.C. ................ 58,000 202,781
Etam P.L.C. ....................... 159,500 431,806
Eurocamp P.L.C. ................... 93,439 342,584
Eurocopy P.L.C. ................... 131,000 178,338
Euromoney Publications P.L.C. ..... 30,000 561,561
European Colour P.L.C. ............ 82,090 100,325
European Motor Holdings P.L.C. .... 245,000 379,015
Evans Halshaw Holdings P.L.C. ..... 84,454 480,793
Evans of Leeds P.L.C. ............. 80,000 144,799
Ewart P.L.C. ...................... 30,000 28,310
Ex-Lands Properties P.L.C. ........ 208,000 35,395
Excalibur Group P.L.C. ............ 228,630 79,580
Expamet International P.L.C. ...... 170,749 256,224
FII Group P.L.C. .................. 41,166 168,762
Faber Prest P.L.C. ................ 29,500 207,646
Falcon Holdings P.L.C. ............ 5,500 10,636
*Farringford P.L.C. ................ 30,000 7,890
Fenner P.L.C. ..................... 215,276 532,851
Ferguson International Holdings
P.L.C. ........................... 110,000 398,198
Fife Indmar P.L.C. ................ 24,000 18,564
Finlay (James) P.L.C. ............. 269,500 346,041
First Choice Holidays ............. 598,500 722,186
First Technology P.L.C. ........... 36,750 269,480
Firth (G.M.) Holdings P.L.C. ...... 151,000 140,158
*Fitch P.L.C. ...................... 15,500 9,472
Five Oaks Investments P.L.C. ...... 150,000 61,493
*Flare Group P.L.C. ................ 16,000 36,385
*Flare Group P.L.C. Issue 96 ....... 4,600 10,461
Fletcher King P.L.C. .............. 17,500 6,227
Folkes Group P.L.C. ............... 28,000 28,155
Folkes Group P.L.C. Non-Voting .... 65,500 62,824
Forminster P.L.C. ................. 32,500 36,703
<PAGE>
Shares Value+
----------- -----------
Forth Ports P.L.C. ................ 51,000 $ 445,768
Forward Technology Industries
P.L.C. ........................... 84,260 101,673
*Foster (John) & Son P.L.C. ........ 27,500 4,680
French (Thomas) & Sons P.L.C. ..... 32,000 28,712
Friendly Hotels P.L.C. ............ 49,415 137,601
Frogmore Estates P.L.C. ........... 51,000 407,109
Frost Group P.L.C. ................ 175,080 300,642
*Futura Holdings P.L.C. ............ 9,000 0
GBE International P.L.C. .......... 134,666 122,914
GEI International P.L.C. .......... 87,000 200,538
GWR Group P.L.C. .................. 35,698 116,524
Galliford P.L.C. .................. 239,500 79,659
Gardiner Group P.L.C. ............. 310,500 141,701
Garton Engineering P.L.C. ......... 10,248 29,646
Gaskell P.L.C. .................... 9,000 20,606
Geest P.L.C. ...................... 85,000 273,510
Gent (S.R.) P.L.C. ................ 98,000 128,865
Gerrard & National Holdings P.L.C. 97,000 553,718
Gibbs & Dandy P.L.C. .............. 4,500 6,057
Gibbs & Dandy P.L.C. Class A
Non-Voting ....................... 11,000 11,572
Gieves Group P.L.C. ............... 60,000 75,184
Gleeson (M.J.) Group P.L.C. ....... 25,000 331,832
Gold Greenlees Trott P.L.C. ....... 78,432 277,856
Goldsmiths Group P.L.C. ........... 50,000 252,935
Goode Durrant P.L.C. .............. 122,500 693,597
Goodhead Group P.L.C. ............. 36,000 15,594
*Graham Wood P.L.C. ................ 9,000 0
Grainger Trust, Ltd. .............. 22,000 99,379
Grampian Holdings P.L.C. .......... 166,937 346,057
Grampian Television P.L.C. ........ 70,000 279,388
Graseby P.L.C. .................... 174,480 342,799
Graystone P.L.C. .................. 774,964 158,850
Greene King P.L.C. ................ 78,000 807,256
Greenway Holdings P.L.C. .......... 60,197 61,462
*Greenwich Resources P.L.C. ........ 219,332 52,593
Greggs P.L.C. ..................... 26,000 545,008
Greycoat P.L.C. ................... 135,000 304,914
Guiness Peat Group P.L.C. ......... 134,209 85,125
HTV Group P.L.C. .................. 237,000 1,345,565
Haden Maclellan Holdings P.L.C. ... 296,914 454,733
Haggas (John) P.L.C. .............. 59,000 118,655
Hall Engineering (Holdings) P.L.C. 110,528 458,245
Halstead (James) Group P.L.C. ..... 74,955 463,822
Hambro Countrywide P.L.C. ......... 920,000 1,010,500
Hampson Industries P.L.C. ......... 185,832 169,614
Hardy Oil & Gas P.L.C. ............ 281,750 1,024,288
Hardys & Hansons P.L.C. ........... 48,000 224,253
Harris (Philip) P.L.C. ............ 25,866 107,239
Hartstone Group P.L.C. ............ 981,819 189,859
Havelock Europa P.L.C. ............ 64,250 336,948
Hawtal Whiting Holdings P.L.C. .... 22,588 59,404
Hawtin P.L.C. ..................... 146,500 122,383
*Hay (Norman) P.L.C. ............... 48,000 19,307
Haynes Publishing Group P.L.C. .... 38,635 196,040
Headlam Group P.L.C. .............. 99,696 427,216
*Healthcare Holdings P.L.C. ........ 2,820 0
Heath (C.E.) P.L.C. ............... 75,000 120,666
Heath (Samuel) & Sons P.L.C. ...... 7,500 14,503
Helene P.L.C. ..................... 416,326 54,745
Helical Bar P.L.C. ................ 35,000 212,248
Hemingway Properties P.L.C. ....... 200,000 89,726
Henderson Administration Group
P.L.C. ........................... 52,000 892,928
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
Henlys Group P.L.C. ............... 10,931 $109,578
Hewden-Stuart P.L.C. .............. 240,000 555,064
Hewetson P.L.C. ................... 20,000 18,564
*Hi-Tech Sports P.L.C. ............. 132,446 104,496
Hicking Pentecost P.L.C. .......... 49,096 273,425
Higgs & Hill P.L.C. ............... 109,500 152,457
*High-Point P.L.C. ................. 13,500 8,354
Hill & Smith Holdings P.L.C. ...... 105,101 183,728
Hodder Headline P.L.C. ............ 61,000 205,720
Hogg Robinson P.L.C. .............. 228,000 931,170
Hollas Group P.L.C. ............... 354,000 38,335
*Holmes & Marchant Group P.L.C. .... 54,000 10,025
Holt (Joseph) P.L.C. .............. 6,000 294,704
Home Counties Newspapers Holdings
P.L.C. ........................... 25,000 56,079
Hopkinsons Group P.L.C. ........... 210,557 114,006
*Horace Small Apparel P.L.C. ....... 82,500 111,036
How Group P.L.C. .................. 88,000 55,816
Howard Holdings P.L.C. ............ 57,730 17,862
Howden Group P.L.C. ............... 700,168 758,212
Hunting P.L.C. .................... 218,695 622,511
*Huntingdon International Holdings
P.L.C. ........................... 138,000 204,947
ISA International P.L.C. .......... 95,214 260,714
*Ibstock Funding P.L.C. Issue 96 ... 416,800 38,687
Ibstock P.L.C. .................... 625,200 657,685
*Incepta Group P.L.C. .............. 176,000 50,370
Industrial Control Services Group
P.L.C. ........................... 20,000 43,007
*Industrial Control Services Group
P.L.C. Issue 96 .................. 6,666 14,334
*Innovations Group P.L.C. .......... 32,757 96,283
Intereurope Technology Services
P.L.C. ........................... 23,500 35,627
International Business
Communications Holdings P.L.C. ... 96,470 464,134
*International Tool & Supply P.L.C. 141,500 9,851
Ipeco Holdings P.L.C. ............. 74,931 90,416
Isle of Man Steam Packet Co., Ltd. 72,000 172,645
Isotron P.L.C. .................... 30,500 145,325
Ivory & Sime P.L.C. ............... 78,125 308,191
JBA Holdings P.L.C. ............... 50,000 409,182
JIB Group P.L.C. .................. 298,500 544,900
JLI Group P.L.C. .................. 103,000 84,451
Jackson Group P.L.C. .............. 78,000 57,920
Jacobs (John I.) P.L.C. ........... 46,000 58,709
*Jarvis P.L.C. ..................... 89,788 126,401
Jarvis Porter Group P.L.C. ........ 99,894 395,612
Jerome (S.) & Sons Holdings P.L.C. 18,375 23,878
Johnson & Firth Brown P.L.C. ...... 379,666 343,596
Johnson Group Cleaners P.L.C. ..... 133,535 594,946
Johnston Group P.L.C. ............. 30,000 176,358
Johnston Press P.L.C. ............. 135,176 407,779
*Jones & Shipman P.L.C. ............ 29,500 26,469
Jones Stroud Holdings P.L.C. ...... 46,500 341,694
Joseph (Leopold) Holdings P.L.C. .. 14,000 92,696
Jourdan (Thomas) P.L.C. ........... 40,000 21,658
Kalamazoo Computer Group P.L.C. ... 46,000 101,762
Kelsey Industries P.L.C. .......... 7,500 52,559
*Kendell P.L.C. .................... 568,260 6,593
Kenwood Appliances P.L.C. ......... 120,000 408,408
King & Shaxson Holdings P.L.C. .... 39,500 104,492
*Knox D'Arcy Trust P.L.C. Issue 96 . 38,000 441
Kode International P.L.C. ......... 43,100 84,678
<PAGE>
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----------- -----------
Kunick P.L.C. ..................... 600,000 $ 287,742
*LEP Group P.L.C. .................. 2,115,000 0
Laing (John) P.L.C. ............... 107,438 526,875
Lambert Howarth Group P.L.C. ...... 34,000 62,066
*Lambert Smith Hampton P.L.C. ...... 3,591 5,055
Lamont Holdings P.L.C. ............ 72,231 362,042
Leeds Group P.L.C. ................ 86,938 326,818
Leigh Interests P.L.C. ............ 156,499 249,367
Leslie Wise Group P.L.C. .......... 107,000 91,041
Liberty P.L.C. .................... 51,875 283,285
Life Sciences International P.L.C. 381,662 590,431
Lilleshall P.L.C. ................. 80,564 92,228
Linton Park P.L.C. ................ 44,000 247,087
Linx Printing Technologies P.L.C. . 36,000 69,615
*Lionheart P.L.C. .................. 20,997 3,411
Lister & Co. P.L.C. ............... 41,000 23,468
Lloyd Thompson Group P.L.C. ....... 154,000 450,270
Locker (Thomas) Holdings P.L.C. ... 95,250 51,573
London Scottish Bank P.L.C. ....... 281,000 452,095
Lookers P.L.C. .................... 53,160 116,779
Lopex P.L.C. ...................... 154,948 47,941
*Lovell (Y.J.) Holdings P.L.C. ..... 70,932 17,283
Lowe (Robert H.) & Co. P.L.C. ..... 1,551 456
Lowndes Lambert Group Holdings
P.L.C. ........................... 212,000 475,548
*Lyles (S.) P.L.C. ................. 16,000 13,614
M & W P.L.C. ...................... 7,200 15,705
M.R. Data Management Group P.L.C. . 136,158 185,360
ML Holdings P.L.C. ................ 431,132 280,124
MS International P.L.C. ........... 71,500 34,289
MTM P.L.C. ........................ 142,250 211,258
MacAllan-Glenlivet P.L.C. ......... 155,000 405,237
MacDonald Martin Distillies P.L.C.
Class A .......................... 20,000 199,563
MacFarlane Group Clansman P.L.C. .. 328,687 1,327,130
Macro 4 P.L.C. .................... 54,000 400,982
Mallett P.L.C. .................... 37,437 49,807
Manchester United P.L.C. .......... 62,500 352,909
Manders P.L.C. .................... 81,025 376,037
Manganese Bronze Holdings P.L.C. .. 46,184 216,483
Mansfield Brewery P.L.C. .......... 168,500 912,343
Marling Industries P.L.C. ......... 478,398 192,421
Marshalls P.L.C. .................. 322,741 863,755
Martin Internationl Holdings P.L.C. 97,000 34,514
Matthews (Bernard) P.L.C. ......... 323,000 524,665
Maunders (John) Group P.L.C. ...... 68,000 221,964
Mayflower Corp. P.L.C. ............ 538,272 965,940
McAlpine (Alfred) P.L.C. .......... 171,111 455,299
McCarthy & Stone P.L.C. ........... 227,968 313,873
McKay Securities P.L.C. ........... 70,000 137,528
McLeod Russel Holdings P.L.C. ..... 149,524 430,243
Meggitt P.L.C. .................... 572,190 885,178
*Mentmore Abbey P.L.C. ............. 240,900 30,745
Menvier-Swain Group P.L.C. ........ 6,358 29,016
*Merchant Retail Group P.L.C. ...... 263,766 70,388
Merrydown P.L.C. .................. 35,000 67,140
Metal Bulletin P.L.C. ............. 24,000 364,968
Metalrax Group P.L.C. ............. 304,745 598,729
*Micro Focus Group P.L.C. .......... 34,500 492,619
Microgen Holdings P.L.C. .......... 105,000 277,764
Mitie Group P.L.C. ................ 50,000 293,930
Molins P.L.C. ..................... 76,500 1,198,840
More O'Ferrall P.L.C. ............. 79,193 796,325
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
Morland & Co. P.L.C. .............. 72,380 $699,824
Mosaic Investments P.L.C. ......... 33,000 22,462
Moss Brothers Group P.L.C. ........ 40,500 676,658
Mowlem (John) & Co. P.L.C. ........ 454,990 633,483
Mucklow (A & J) Group P.L.C. ...... 175,000 384,430
NSM P.L.C. ........................ 58,474 48,848
Narborough Plantations P.L.C. ..... 63,829 31,598
Neepsend P.L.C. ................... 66,250 49,195
Neotronics Technology P.L.C. ...... 68,000 62,066
Nestor -- BNA P.L.C. .............. 202,200 297,163
Newman Tonks Group P.L.C. ......... 300,834 632,931
*Newmarket Venture Capital P.L.C. .. 80,000 9,901
Nichols (JN) (Vimto) P.L.C. ....... 98,750 348,307
Nightfreight P.L.C. ............... 125,000 160,501
Nobo Group P.L.C. ................. 41,107 77,583
*Norcros P.L.C. .................... 292,857 439,458
Northamber P.L.C. ................. 44,444 206,265
Novo Group P.L.C. ................. 113,000 68,176
Nurdin & Peacock, Ltd. ............ 84,000 198,820
*OEM P.L.C. ........................ 12,000 7,426
*OMI International P.L.C. .......... 173,158 38,842
Ocean Wilson Holdings, Ltd. ....... 84,250 122,515
Oceana Consolidated Co. P.L.C. .... 16,000 44,306
*Oceonics Group P.L.C. ............. 52,760 15,916
Ockham Holdings P.L.C. ............ 137,000 197,103
Oliver Group P.L.C. ............... 68,000 49,442
Olives Property P.L.C. ............ 126,208 54,668
Osborne & Little P.L.C. ........... 17,500 146,192
*Osprey Communications P.L.C. ...... 23,524 14,193
*Owen & Robinson P.L.C. ............ 9,485 1,761
Oxford Instruments P.L.C. ......... 122,000 892,712
P & P P.L.C. ...................... 129,250 333,916
PSIT P.L.C. ....................... 180,000 403,767
PWS Holdings P.L.C. ............... 134,428 56,149
Page (Michael) Group P.L.C. ....... 153,975 743,182
Park Food Group P.L.C. ............ 382,500 639,066
Parkland Group P.L.C. ............. 30,000 84,002
Partridge Fine Arts P.L.C. ........ 58,000 71,781
Paterson Zochonis P.L.C. .......... 22,000 157,577
Paterson Zochonis P.L.C.
Non-Voting ....................... 27,000 165,405
Peek P.L.C. ....................... 291,608 577,430
Pemberstone P.L.C. ................ 9,000 11,556
Pendragon P.L.C. .................. 103,750 544,099
*Pentos P.L.C. (In Receivership) ... 839,262 0
Perkins Foods P.L.C. .............. 333,000 406,969
Perpetual P.L.C. .................. 6,500 255,209
Perry Group P.L.C. ................ 68,666 208,204
Persimmon P.L.C. .................. 113,800 404,912
*Pex P.L.C. ........................ 47,500 3,674
*Phoenix Timber Group P.L.C. ....... 31,000 10,551
Photo-Me International P.L.C. ..... 145,000 363,390
Pifco Holdings P.L.C. ............. 20,000 73,637
Pifco Holdings P.L.C. Class A ..... 20,000 70,543
Pittards P.L.C. ................... 60,985 58,493
Pittencrieff Resources P.L.C. ..... 74,000 54,949
Pizza Express P.L.C. .............. 84,508 483,715
Plantation & General Investment
P.L.C. ........................... 96,224 84,849
Plysu P.L.C. ...................... 117,800 331,671
Polypipe P.L.C. ................... 60,000 183,784
*Porter Chadburn P.L.C. ............ 256,000 150,492
Portmeirion Potteries (Holdings)
P.L.C. ........................... 28,000 236,072
<PAGE>
Shares Value+
----------- -----------
Portsmouth & Sunderland Newspapers
P.L.C. ........................... 30,000 $ 293,775
Porvair P.L.C. .................... 35,000 233,365
Premier Consolidated Oilfields
P.L.C. ........................... 2,450 1,118
Pressac Holdings P.L.C. ........... 94,000 257,390
*Prestwick Holdings P.L.C. ......... 90,000 65,438
Property Partnerships P.L.C. ...... 10,000 39,449
Prospect Industries P.L.C. ........ 372,477 36,014
Protean P.L.C. .................... 71,076 289,181
Proudfoot P.L.C. .................. 202,646 112,858
Prowting P.L.C. ................... 173,630 362,618
QS Holdings P.L.C. ................ 126,775 92,177
Quadrant Group P.L.C. ............. 113,253 26,280
Quality Care Homes P.L.C. ......... 20,208 99,412
Quality Software Products Holdings
P.L.C. ........................... 5,000 23,050
Quick Group P.L.C. ................ 72,165 195,369
RCO Holdings P.L.C. ............... 27,000 112,359
REA Holdings P.L.C. ............... 14,658 69,162
Radamec Group P.L.C. .............. 35,000 51,438
*Raine P.L.C. ...................... 467,965 117,641
Ransom (William) & Son P.L.C. ..... 30,000 26,454
*Ransomes P.L.C. ................... 308,000 319,239
Rea Brothers Group P.L.C. ......... 106,562 95,614
Readicut International P.L.C. ..... 499,263 478,863
*Rebus Group P.L.C. ................ 75,000 124,147
Record Holdings P.L.C. ............ 89,727 104,106
*Reece P.L.C. ...................... 283,750 10,974
Reed Executive P.L.C. ............. 116,500 248,711
Reg Vardy P.L.C. .................. 134,597 680,884
*Regent Corp. P.L.C. ............... 2,488 154
Relyon Group P.L.C. ............... 45,777 245,735
Renishaw P.L.C. ................... 147,339 1,182,975
Renold P.L.C. ..................... 180,000 824,242
Rexmore P.L.C. .................... 32,500 42,736
Ricardo Group P.L.C. .............. 119,709 253,710
Richards Group P.L.C. ............. 16,000 6,188
Richards P.L.C. ................... 61,500 62,793
Richardsons Westgarth P.L.C. ...... 96,928 116,959
*Richmond Oil & Gas P.L.C. ......... 220,000 15,315
*Rodime P.L.C. ..................... 261,000 13,122
Rolfe & Nolan P.L.C. .............. 24,000 119,923
Ropner P.L.C. ..................... 63,300 126,323
*Ross Group P.L.C. ................. 13,200 664
Rotork P.L.C. ..................... 235,000 890,685
Rowe Evans Investments P.L.C. ..... 114,417 233,644
*Roxspur P.L.C. .................... 585,225 40,740
Rubicon Group P.L.C. .............. 47,890 140,022
Russell (Alexander) P.L.C. ........ 47,500 91,853
Rutland Trust P.L.C. .............. 645,000 523,853
S & U P.L.C. ...................... 29,040 199,466
Sage Group P.L.C. ................. 75,000 537,196
Sanderson Bramall Motor Group
P.L.C. ........................... 79,166 355,162
Sanderson Electrons P.L.C. ........ 90,000 239,476
Saville (J.) Gordon Group P.L.C. .. 247,761 210,807
Savills P.L.C. .................... 104,000 114,230
Scholl P.L.C. ..................... 166,250 681,550
*Scottish Ice Rink Co. (1928) P.L.C. 13,000 0
Scottish Metropolitan Property
P.L.C. ........................... 340,266 400,058
Scottish Television P.L.C. ........ 50,000 539,903
Secure Trust Group P.L.C. ......... 40,000 337,246
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------ ---------
<S> <C> <C>
*Seet P.L.C. ....................... 7,000 $ 6,281
Sennah Rubber Co., Ltd. (Guernsey) 1,214 84,513
Serco Group P.L.C. ................ 130,000 1,071,916
Servomex P.L.C. ................... 30,000 196,778
Seton Healthcare Group P.L.C. ..... 88,366 680,777
Shaftesbury P.L.C. ................ 75,000 168,236
Shandwick P.L.C. .................. 302,640 255,160
Shanks & McEwan Group P.L.C. ...... 192,000 323,756
Sharpe & Fisher P.L.C. ............ 44,563 132,363
Sheffield Insulations Group P.L.C. 200,900 721,038
Sherwood Group P.L.C. ............. 303,000 520,303
Shiloh P.L.C. ..................... 14,500 26,469
*ShopRite Group P.L.C. ............. 204,780 52,271
Sidlaw Group P.L.C. ............... 176,071 275,106
*Signet Group P.L.C. ............... 736,900 319,196
Silentnight Holdings P.L.C. ....... 141,000 539,864
*Simon Engineering P.L.C. .......... 409,333 462,264
Sims Food Group P.L.C. ............ 99,000 50,540
Sinclair (William) Holdings P.L.C. 53,000 167,262
Sindall (William) P.L.C. .......... 50,500 90,623
Singapore Para Rubber Estates
P.L.C. ........................... 26,000 82,455
Singer & Friedlander Group P.L.C. . 514,000 846,843
Sirdar P.L.C. ..................... 145,266 170,792
Sketchley P.L.C. .................. 141,800 258,850
Smart (J.) & Co. (Contractors)
P.L.C. ........................... 22,500 73,792
South Staffordshire Water Holdings
P.L.C. ........................... 11,600 453,116
Southend Property Holdings P.L.C. . 250,000 158,568
Spring Ram Corp. P.L.C. ........... 616,000 171,531
St. Modwen Properties P.L.C. ...... 50,000 47,184
Stanley Leisure Organisation P.L.C. 125,129 927,222
Stat-Plus Group P.L.C. ............ 58,000 213,548
Staveley Industries P.L.C. ........ 276,000 956,417
Steel Burrill Jones Group P.L.C. .. 165,682 116,621
Sterling Industries P.L.C. ........ 76,000 373,879
Stirling Group P.L.C. ............. 336,000 296,281
Stoddard Sekers International
P.L.C. ........................... 179,100 66,496
Stratagem Group P.L.C. ............ 70,315 135,972
Stylo P.L.C. ...................... 117,000 204,529
Sutcliffe Speakman P.L.C. ......... 418,864 194,395
Suter P.L.C. ...................... 405,376 1,066,098
Swallowfield P.L.C. ............... 15,000 48,731
Swan (John) and Sons P.L.C. ....... 1,000 6,157
*Sycamore Holdings P.L.C. .......... 4,316 734
Syltone P.L.C. .................... 50,400 133,327
T & S Stores P.L.C. ............... 283,910 961,867
TGI P.L.C. ........................ 59,560 94,903
Takare P.L.C. ..................... 25,000 54,919
*Talbex Group P.L.C. (In
Receivership) .................... 385,000 0
Tamaris P.L.C. .................... 206,460 10,380
*Tandem Group P.L.C. ............... 127,365 25,612
Tay Homes P.L.C. .................. 76,266 179,335
Taylor Nelson AGB P.L.C. .......... 546,475 388,883
Telemetrix P.L.C. ................. 246,722 358,778
*Tex Holdings P.L.C. ............... 14,000 11,695
Thorntons P.L.C. .................. 237,000 549,959
Thorpe (F.W.) P.L.C. .............. 24,000 84,652
Tibbett & Britten Group P.L.C. .... 98,400 955,972
Tie Rack P.L.C. ................... 139,000 348,353
Tilbury Douglas P.L.C. ............ 97,183 721,642
<PAGE>
Shares Value+
----------- ----------
Time Products P.L.C. .............. 124,000 $705,927
Tinsley Robor P.L.C. .............. 60,000 134,589
Tomkinsons P.L.C. ................. 14,800 51,286
Tops Estates P.L.C. ............... 10,050 20,523
*Torday & Carlisle P.L.C. .......... 65,000 47,261
Town Centre Securities P.L.C. ..... 150,000 222,768
*Toye & Co. P.L.C. ................. 2,000 3,403
Trace Computers P.L.C. ............ 33,552 12,457
Trafford Park Estates P.L.C. ...... 50,000 97,461
Transtec P.L.C. ................... 251,525 466,931
Trinity Holdings P.L.C. ........... 54,000 298,231
Trinity International Holdings
P.L.C. ........................... 82,000 580,991
Triplex Lloyd P.L.C. .............. 160,933 415,769
Try Group P.L.C. .................. 243,407 56,483
Tunstall Group P.L.C. ............. 89,000 519,065
UDO Holdings P.L.C. ............... 71,000 265,806
UK Estates P.L.C. ................. 50,000 16,244
UK Safety P.L.C. .................. 135,833 49,381
Ugland International Holdings
P.L.C. ........................... 65,850 76,402
Ulster Television, Ltd. ........... 25,000 490,399
Unigroup P.L.C. ................... 77,163 83,560
Union P.L.C. ...................... 47,000 71,255
United Industries P.L.C. .......... 611,460 141,889
*Usborne P.L.C. .................... 111,066 25,773
Vardon P.L.C. ..................... 188,000 354,820
*Verson International Group P.L.C. . 401,163 102,399
Vert (Jacques) P.L.C. ............. 20,000 22,586
Vibroplant P.L.C. ................. 113,500 152,759
Victoria Carpet Holdings P.L.C. ... 12,000 14,851
*Videologic Group P.L.C. ........... 311,666 496,612
Vinten Group P.L.C. ............... 4,500 50,680
Volex Group P.L.C. ................ 85,206 593,162
Vosper Thornycroft Holdings P.L.C. 20,000 253,399
WSP Group P.L.C. .................. 50,000 40,996
Wace Group P.L.C. ................. 195,000 606,347
Waddington (John) P.L.C. .......... 253,285 944,315
Wagon Industrial Holdings P.L.C. .. 30,000 177,750
*Wakebourne P.L.C. ................. 27,850 12,494
Walker Greenbank P.L.C. ........... 313,000 489,053
Ward Holdings P.L.C. .............. 130,000 85,472
Wardle Storeys P.L.C. ............. 58,000 410,048
Warner Estate Holdings P.L.C. ..... 70,000 214,414
Warner Howard P.L.C. .............. 63,817 237,927
*Water Hall Group P.L.C. ........... 248,445 5,765
Waterman Partnership Holdings
P.L.C. ........................... 45,000 25,061
*Wates City of London Properties
P.L.C. ........................... 230,000 275,753
Watson & Philip P.L.C. ............ 115,400 910,471
Watts, Blake, Bearne & Co. P.L.C. . 50,500 402,336
*Waverly Mining Finance P.L.C. ..... 42,500 58,515
Wehmiller (Barry) International
P.L.C. ........................... 112,322 267,594
Wellman P.L.C. .................... 204,833 159,231
*Wembley P.L.C. .................... 6,053 34,647
West Trust P.L.C. ................. 145,194 65,138
Westbury P.L.C. ................... 220,444 740,028
*Western Selection P.L.C. .......... 35,525 8,244
Wetherspoon (JD) P.L.C. ........... 25,312 368,082
Whatman P.L.C. .................... 62,500 420,591
Whessoe P.L.C. .................... 71,875 142,324
Whitecroft P.L.C. ................. 105,000 363,854
Wholesale Fittings P.L.C. ......... 38,500 237,047
Widney P.L.C. ..................... 39,528 45,862
</TABLE>
48
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------ ------------
<S> <C> <C>
*Wiggins Group P.L.C. .............. 1,076,500 $ 129,064
Willoughby's Consolidated P.L.C. .. 9,000 25,061
Wilshaw P.L.C. .................... 223,409 134,789
Windsor P.L.C. .................... 71,521 27,661
Wintrust P.L.C. ................... 22,500 105,467
Wolstenholme Rink P.L.C. .......... 15,500 254,891
Worthington Group P.L.C. .......... 50,666 56,434
Wyko Group P.L.C. ................. 134,000 261,195
Wyndeham Press Group P.L.C. ....... 63,066 219,517
York Waterworks P.L.C. ............ 17,000 80,212
Yorklyde P.L.C. ................... 25,555 124,135
Yorkshire Chemicals P.L.C. ........ 110,400 490,164
Young & Co's Brewery P.L.C. ....... 10,000 84,776
Young & Co's Brewery P.L.C.
Class A .......................... 8,034 76,809
Young (H.) Holdings P.L.C. ........ 44,419 86,582
Zetters Group P.L.C. .............. 14,500 27,815
--------------
TOTAL COMMON STOCKS
(Cost $146,986,584) ................ 173,785,885
--------------
INVESTMENT IN CURRENCY -- (1.1%)
*British Pound Sterling
(Cost $1,992,849) .................. 2,033,181
--------------
RIGHTS/WARRANTS -- (0.0%)
*Brent Walker Group P.L.C. Warrants
12/31/07 ......................... 64,285 746
*Flare Group P.L.C. Warrants
03/02/02 ......................... 2,400 3,342
<PAGE>
Shares Value+
----------- --------------
*Pentos P.L.C. (In Receivership)
Warrants 12/31/96 ................ 10,891 $ 0
*Porter Chadburn P.L.C. Rights
06/07/96 ......................... 64,000 3,960
*Select Industries P.L.C. Warrants
05/20/99 ......................... 1,717 0
--------------
TOTAL RIGHTS/WARRANTS
(Cost $0) .......................... 8,048
--------------
Face
Amount
-----------
(000)
TEMPORARY CASH INVESTMENTS -- (2.0%)
Repurchase Agreement, PNC
Securities Corp. 5.05%, 06/03/96
(Collateralized by U.S. Treasury
Notes 6.50%, 09/30/96)
(Cost $3,565,000) ................ $ 3,565 3,565,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $152,544,433) .............. $179,392,114
==============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
49
<PAGE>
SCHEDULES OF INVESTMENTS
THE EMERGING MARKETS PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Value+
--------------
<S> <C>
Investment in The Emerging Markets Series of The DFA Investment Trust
Company ........................................................... $120,502,939
--------------
Total Investments (100%) (Cost $114,686,476) .................. $120,502,939
==============
</TABLE>
THE RWB/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------ --------------
<S> <C> <C>
Investment in The DFA International Value Series of The DFA Investment Trust
Company .................................................................. 19,976,138 $232,036,042
--------------
Total Investments (100%) (Cost $197,476,805) ......................... $232,036,042
==============
</TABLE>
- ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
50
<PAGE>
SCHEDULE OF INVESTMENTS
THE CONTINENTAL SMALL COMPANY PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
----------- ----------
<S> <C> <C>
FRANCE -- (29.1%)
COMMON STOCKS -- (28.6%)
ALSPI (Societe Alsacienne de
Participations Industrielles) ..... 10,850 $1,014,627
Agricole de la Crau ................ 440 39,187
Agricole de la Pointe-a-Pitre ...... 450 48,093
Application des Gaz SA ADG ......... 4,392 326,530
Arbel SA ........................... 2,280 107,268
Aurea .............................. 600 12,081
*Axime SA ........................... 3,090 418,780
*Bail-Investissement (Societe
Immobiliere pour le Commerce &
l'Industrie) ...................... 1,767 290,794
Bains de Mer et du Cercle des
Etrangers a Monaco .................. 4,615 509,303
Banque Nationale de Paris .......... 4,000 150,087
*Banque Nationale de Paris
Intercontinentale ................. 12,465 890,530
*Banque Transatlantique ............. 3,030 65,117
Bazar de l'Hotel de Ville SA ....... 9,950 1,059,535
Berger Levrault SA ................. 476 73,819
*Bioblock Scientific SA ............. 1,173 71,084
*Bis SA ............................. 19,800 2,568,441
*Boiron SA .......................... 1,300 162,343
*Bollore Technologies SA ............ 20,366 2,436,822
Brioche Pasquier SA ................ 1,900 298,703
Brosse et Dupont ................... 3,170 193,330
*Burelle SA ......................... 4,030 226,273
But SA ............................. 4,750 312,682
*CAMAT (Cie d'Assurances Maritimes
Aeriennes et Terrestres) .......... 3,675 136,612
*CDE (Comptoir des
Entrepeneurs SA) .................. 8,713 21,593
CEGID .............................. 4,500 399,903
CFC (Cie Financiere des Cardans) ... 296 55,475
CFPI (Cie Francaise de Produits
Industriels SA) ................... 627 29,742
*CLAL (Comptoir Lyon-Alemand Loyot
SA) ............................... 8,367 609,422
CPR (Cie Parisienne de Reescompte) . 12,000 985,092
Caisse Regionale de Credit Agricole
Mutuel de la Brie ................. 236 15,334
Cambodge ........................... 1,605 357,357
Caoutchoucs de Padang .............. 1,423 308,569
#Carbone Lorraine ................... 6,649 965,489
Cardif SA .......................... 1,600 257,147
*Caves & Producteurs Reunis de
Roquefort ......................... 192 70,072
Centenaire-Blanzy .................. 2,207 171,347
*Centrest (Societe Developpement
Regional du Centre-Est) ........... 1,705 353
*Ceragen Holding (Cie Generale de la
Ceramique SA) ..................... 2,780 10,872
Change de La Bourse SA ............. 289 18,744
*Christian Dalloz SA ................ 474 147,936
Cofigeo (Cie Financiere Geo) ....... 400 85,731
Compagnie Financiere de CIC et de
l'Union Europeene SA Series D ..... 10,650 754,676
<PAGE>
Shares Value+
----------- ----------
*Concorde Cie d'Assurances Contre les
Risques de Toute Nature SA .......... 2,992 $ 494,129
Consortium International de
Diffusion et de Representation
Sante Cider Sante ................. 600 23,349
Continentale d'Assurances SA ....... 810 49,729
Continentale d'Entreprises SA ...... 6,839 258,068
*Costimex SA ........................ 700 17,348
*Courtois SA ........................ 100 8,538
Credit Foncier de France ........... 11,873 71,951
Credit Foncier et Communal d'Alsace
et de Lorraine .................... 800 96,418
*Cristalleries de Baccarat .......... 1,567 166,257
DMC (Dollfus Mieg et Cie) .......... 25,400 1,212,217
Damart SA .......................... 2,290 1,760,174
*Darblay SA ......................... 305 28,345
Dassault Electronique SA ........... 17,400 1,138,664
Daussault Aviation SA .............. 400 52,894
#Degremont .......................... 9,600 889,371
Deveaux SA ......................... 690 87,102
Didot-Bottin ....................... 810 134,556
Dietrich et Cie .................... 25,250 1,314,564
Distriborg Groupe SA ............... 650 46,563
Docks Lyonnais ..................... 1,110 37,394
Docks des Petroles d'Ambes ......... 100 11,075
*#Dynaction SA ....................... 10,660 283,785
EBF SA ............................. 60,825 2,192,762
ECIA (Equipements et Composants pour
l'Industrie Automobile) ........... 17,571 2,602,481
*Electra Systemes SA ................ 10,700 30,867
EMI France SA ...................... 300 84,221
Electricite de Strasbourg .......... 7,928 736,774
Emin Leydier Emballages SA ......... 875 71,999
*Emprunt Conjoint de Banque du
Batiment et des Travaux Publics
et de Financiere de Gestion et
d'Investissement SA ............... 29,814 43,870
Euro RSCG Worldwide SA ............. 20,397 2,310,212
Europe 1 Communication ............. 4,782 1,071,205
Explosifs et de Produits Chimiques . 524 130,772
*Fichet-Bauche ...................... 3,515 88,470
*Fidei (Compagnie Financiere pour
l'Immoblilier d'Entrepise) ........ 9,399 66,603
#Filipacchi Medias SA ............... 3,520 671,969
Financiere Moncey SA ............... 631 255,332
*Financiere et Immobiliere de l'Etang
de Berre et de la Mediterranee SA 400 5,886
Fininfo SA ......................... 663 68,033
Fives-Lille ........................ 8,400 940,019
Fonciere (Cie) ..................... 2,823 296,237
Fonciere Lyonnaise SA .............. 4,254 484,289
*Fonciere Lyonnaise SA Em 95 ........ 48 5,056
Fonciere du Chateau d'Eau de Paris . 12,009 406,888
Fonderies Franco Belge ............. 410 51,597
Francaise des Ferrailles ........... 5,288 481,295
*Francaise des Magasins Uniprix ..... 2,886 79,400
France SA .......................... 8,440 2,206,002
France-Africaine de Recherches
Petrolieres Francarep ............. 3,864 179,547
</TABLE>
51
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
*Frankoparis SA ..................... 887 $ 16,332
*Fructivie SA ....................... 33 4,108
*GCI (Groupe Chatellier Industrie SA) 8,721 5,783
*GFI Industries SA .................. 1,125 145,934
GTM Entrepose ...................... 20,000 1,182,962
Galeries Lafayette SA .............. 5,664 1,858,757
Gantois Series ..................... 647 175,686
Gascogne SA ........................ 6,147 572,451
Gaumont ............................ 14,155 1,030,451
*Gaumont Em 96 ...................... 51 3,698
Gautier France SA .................. 1,420 79,317
Genefim (Societe Immobiliere pour le
Commerce et l'Industrie SA) ....... 8,161 249,649
Generale d'Entreprises
Automobiles SA .................... 6,463 1,482,799
*Generale de Geophysique SA ......... 14,976 875,654
Generale de Transport et d'Industrie 12,688 982,614
Gevelot ............................ 896 316,592
Gifrer Barbezat SA ................. 550 79,864
*Grand Bazar de Lyon ................ 650 22,023
Grands Moulins de Strasbourg ....... 110 32,957
Groupe Andre SA .................... 4,033 378,704
Groupe Guillin SA .................. 1,200 47,396
*Groupe Norbert Dentressangle SA .... 1,290 189,816
Groupe du Louvre SA ................ 6,753 243,840
Groupement pour le Financement de la
Construction SA ................... 19,075 1,554,806
*Guerbet SA ......................... 1,600 118,645
Guitel-Etienne-Mobilor SA .......... 160 5,886
Guyenne et Gascogne SA ............. 5,200 1,817,231
HIT SA ............................. 600 40,774
Hoteliere Lutetia Concorde ......... 501 100,297
Hotels et Casinos de Deauville ..... 2,055 202,914
IMS International Metal Service SA . 1,000 129,719
#Immeubles de France ................ 25,179 1,681,850
Immeubles de Lyon .................. 3,562 310,339
*Immobanque ......................... 1,030 149,365
Immobiliere Marseillaise ........... 656 800,155
Industrie des Transports ........... 300 58,083
Industrielle et Financiere
d'Entreprise SA ................... 300 14,341
Industrielle et Financiere
d'Ingenierie SA ................... 40,100 551,229
*Infogrames Entertainment SA ........ 800 167,590
Interbail SA ....................... 7,000 360,503
*Intertechnique SA .................. 4,150 482,091
Labinal SA ......................... 15,925 2,300,106
Laurent Bouillet ................... 480 33,595
*Legris Industries SA ............... 32,350 1,597,144
*Locindus (Cie Financiere pour la
Location d'Immeubles Industrials et
Commerciaux) ...................... 1,300 217,715
*Lucia .............................. 254 2,656
*MRM ................................ 1,424 22,111
Manitou BF SA ...................... 1,373 164,547
*Manoir Industries SA ............... 12,365 8,714
*Marie Brizard & Roger
International SA .................. 266 65,406
*Matussiere et Forest SA ............ 13,600 176,418
Maxi-livre/Profrance SA ............ 1,200 53,948
Metal Deploye ...................... 328 28,196
*#Metaleurop SA ...................... 58,400 618,486
*Metrologie International ........... 12,040 46,621
Michel Thierry SA .................. 700 94,869
<PAGE>
Shares Value+
----------- ----------
Montupet SA ........................ 3,245 $ 498,216
*Mors ............................... 32,445 97,366
*Moulinex SA ........................ 108,711 1,662,763
*Musee Grevin SA .................... 822 11,164
*NAF NAF SA ......................... 4,200 63,996
*Nationale de Navigation ............ 8,880 113,815
*Nodet-Gougis SA .................... 3,500 9,148
Nord-Est ........................... 3,240 87,822
*Nordon & Cie ....................... 800 65,208
*Olipar ............................. 250 6,050
PSB Industries SA .................. 1,240 84,507
Papeteries de Clairefontaine ....... 1,600 433,379
Papiers Peints (Societe
Francaise des) .................... 200 34,076
Parisienne de Chauffage Urbain ..... 200 13,553
Paul Predault SA ................... 1,700 61,878
*Pier Import Europe SA .............. 2,100 19,719
*Piper-Heidsieck .................... 1,282 297,851
Pithiviers-le-Vieil (Sucriere de) .. 1,825 1,240,223
#Plastic Omnium ..................... 12,036 1,048,635
Publicis SA ........................ 20,150 1,560,503
Radar SA ........................... 2,246 191,334
Radiall SA ......................... 1,100 143,543
Reassurances SA (Francaise de) ..... 13,919 2,384,959
*Renard (Fromagerie F. Paul) ........ 200 79,380
Reunion (Banque de la) ............. 987 257,021
Rhin & Moselle Assurances Cie
Generale d'Assurances et de
Reassurances SA ................... 1,922 318,535
Robertet SA ........................ 200 52,856
*Rocamat ............................ 5,579 17,499
Rochefortaise Communication SA ..... 11,420 492,619
*Rochette ........................... 98,470 592,917
Rougier SA ......................... 2,040 187,214
*Rouleau-Guichard SA ................ 300 26,428
Rue Imperiale de Lyon .............. 350 297,822
SAGA (Societe Anonyme de Gerance et
d'Armement) ....................... 6,425 206,247
SAMSE SA ........................... 1,100 159,729
SAT SA (SA des Telecommunications) . 800 312,565
*SDR de Bretagne SA ................. 714 3,726
*SDV SA (Scac Delmas Vieljeux) ...... 3,877 638,035
SEDIVER (Societe Europeene
d'Isolateurs en Verre et Composite) 551 21,869
*SEUPAR (Societe Europeene de
Participations Industrielles et
Financieres) ...................... 35 345
*SFI (Societe Financiere
Immobail SA) ...................... 4,807 107,494
SFIM (Societe de Fabrication
d'Instruments de Mesure) .......... 2,865 584,094
SGCA (Societe Generale de Courtage
d'Assurances) ..................... 554 71,811
SOCIM (Societe Immobiliere
d'Investissement) ................. 3,829 181,627
SOGEPAG (Societe Exploitation de
Parcs et Garages) ................. 379 9,627
SUDAC SA (Societe Urbaine d'Air
Comprime) ......................... 100 106,486
Sabeton ............................ 1,350 210,668
Saint-Raphael ...................... 1,059 104,567
Salins du Midi & des Salines de
l'Est ............................. 9,282 853,621
</TABLE>
52
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
Sarreguemines Digoin et Vitry-le-
Francois SA ....................... 330 $ 42,488
Saupiquet .......................... 2,250 652,565
Savoisienne ........................ 3,600 106,014
*Savoisienne Em 95 .................. 363 9,207
Sechilienne ........................ 220 47,322
Securidev SA ....................... 1,500 21,810
Sidergie SA ........................ 300 92,933
Signaux et d'Equipements
Electroniques SA .................. 23,983 1,309,430
Silec (Societe Industrielle de
Liaisons Electriques) ............. 14,228 785,088
Silic (Societe Immobiliere de
Location pour l'Industrie et le
Commerce) ......................... 1,764 257,513
*Simmonds ........................... 575 25,883
Skis Rossignol SA .................. 3,889 1,452,445
Smoby SA ........................... 500 59,535
Societe Dauphin Office Technique
d'Affichage SDCS .................. 1,900 101,162
Societe Europeene de Propulsion SA
SEP ............................... 1,935 234,897
Societe d'Etudes et de Realizations
pour les Industries du Bois Seribo 450 22,652
*Sodero (Societe de Developpement
Regional de l'Ouest) .............. 4,181 19,994
*Sofal .............................. 5,231 90,137
Sofitam SA ......................... 1,889 115,205
Sogeparc SA ........................ 456 60,653
Soie SA ............................ 390 26,956
Solitaire Produits d'Entretien
Francais Prodef ................... 300 45,189
Sommer-Allibert SA ................. 1,270 343,011
*Sophia SA .......................... 8,800 390,165
*Sopra Conseil et Assistance en
Informatique SA ................... 580 41,661
Strafor Facom SA ................... 33,260 2,327,878
*Sylea SA ........................... 3,300 314,347
Taittinger SA ...................... 2,540 909,777
Tanneries de France ................ 158 8,565
Teisseire France SA ................ 700 28,461
*Teleflex Lionel-Dupont ............. 7,625 147,407
Thermal de Bagnoles de l'Orne ...... 245 27,465
Touax SA ........................... 3,604 88,687
*Transports en Commun de Nice ....... 100 1,936
UGC Droits Audiovisuels SA ......... 23,365 1,393,305
Unilog SA .......................... 500 58,083
Union Generale du Nord SA .......... 994 30,830
*Union Industrielle de Credit SA,
Paris ............................. 20,120 305,793
*Vallourec (Usines a Tubes de
Lorraine Escaut et Vallourec
Reunies) .......................... 31,700 1,448,441
Vermandoise de Sucreries ........... 323 318,935
Via Banque ......................... 20,692 744,351
Viel et Cie ........................ 2,500 69,216
Vilmorin et Cie SA ................. 1,220 117,276
Virax .............................. 954 24,196
Virbac SA .......................... 1,230 177,418
*Vulcanic SA ........................ 400 20,368
Zodiac SA .......................... 12,000 2,808,910
*Zuber-Laederich SA ................. 1,800 12,023
------------
TOTAL COMMON STOCKS
(Cost $85,790,188) .................. 98,137,002
------------
<PAGE>
Shares Value+
----------- ------------
INVESTMENT IN CURRENCY -- (0.5%)
*French Francs (Cost $1,711,808) .... $ 1,724,953
------------
RIGHTS/WARRANTS -- (0.0%)
*CDE (Comptoir des Entrepreneurs SA)
Warrants 06/30/98 ................. 8,713 8,350
*GTM Entrepose Warrants 09/30/96 .... 689 140
*Generale de Geophysique SA Rights
06/03/96 .......................... 14,976 12,323
*Infogrames Entertainment SA Rights
06/10/96 .......................... 800 6,707
------------
TOTAL RIGHTS/WARRANTS
(Cost $95,893) ...................... 27,520
------------
TOTAL -- FRANCE
(Cost $87,597,889) .................. 99,889,475
------------
GERMANY -- (19.6%)
COMMON STOCKS -- (19.6%)
Aachener Strassenbahn und Energie
versorguns AG ..................... 188 53,609
Aachener und Muenchener
Lebensversicherung AG ............. 50 21,304
Aachener und Muenchener
Versicherungs AG .................. 200 52,704
Ackermann Vermoegensverwaltungs AG . 1,350 185,841
Agrippina Rueckversicherung AG,
Koeln ............................. 177 197,247
*Agrob AG ........................... 290 82,694
Aigner (Etienne) AG ................ 600 302,852
*Alexanderwerk AG ................... 230 16,585
Allweiler AG ....................... 289 53,045
Alte Leipziger Versicherungs AG
Series C .......................... 1,043 314,507
*Amira Verwaltungs AG ............... 200 179,482
Andreae-Noris Zahn AG, Anzag ....... 2,464 823,756
*Augsburger Kammgarn Spinnerei AG ... 660 10,167
BDAG Balcke-Duerr AG ............... 3,291 655,827
Barmag AG .......................... 250 28,187
Bau (Walter) AG .................... 100 18,027
Bayerische Handelsbank AG .......... 2,120 521,141
Berliner Kindl-Brauerei AG ......... 1,000 386,758
Binding-Brauerei AG ................ 2,925 1,073,746
Biotest AG ......................... 806 272,101
Blaue Quellen Mineral und
Heilbrunnen AG .................... 300 461,750
*Bochum-Gelsenkirchener
Strassenbahnen AG ................. 228 78,466
#Boss (Hugo) AG ..................... 870 941,003
Braunschweig-Hannoversche
Hypotekenbank AG .................. 2,000 878,401
Breitenburger Portland-Cement-
Fabrik AG ......................... 25 16,060
Bremer Strassenbahn AG ............. 307 38,237
*Bremer Woll-Kaemmerei AG ........... 1,996 115,141
Brillant AG ........................ 750 148,968
Buckau (Walther) AG ................ 900 115,044
*Ceag Industrie-Aktien und Anlagen AG 2,067 109,752
Concordia Bau und Boden AG ......... 32,189 844,025
DLW AG ............................. 3,940 355,129
DSL Holding AG ..................... 5,850 676,844
</TABLE>
53
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
*Deutsche Babcock AG, Oberhausen .... 2,900 $ 178,886
Deutsche Bank Luebeck AG ........... 1,200 1,250,737
Deutsche Hypotheken Bank AG,
Hannover/Berlin ................... 2,500 557,194
Deutsche Kontinentale
Rueckversicherungs AG ............. 1,872 241,746
Deutsche Spezialglas AG ............ 1,600 194,035
Deutsche Steinzeug Cremer & Breuer
AG ................................ 5,560 517,548
*Deutsche Verkehrs-Bank AG .......... 4,750 607,178
*Didier-Werke AG .................... 6,800 512,619
*Dierig Holding AG .................. 1,500 78,663
Doag-Holding AG .................... 750 89,479
*Doerries Scharmann AG .............. 32,980 43,238
*Dortmunder Actien-Brauerei AG ...... 1,650 146,018
Duerr Beteiligungs AG .............. 3,175 1,148,869
Duerrkopp Adler AG ................. 2,219 215,282
Dyckerhoff & Widmann AG ............ 4,919 657,801
Dyckerhoff AG ...................... 2,399 778,437
Eichbaum-Brauereien AG, Mannheim ... 672 110,128
Erlus Baustoffwerke AG ............. 297 107,080
*Erste Kulmbacher Actien Brauerei AG 432 141,593
Escada AG .......................... 2,052 347,044
*Escom AG ........................... 4,200 25,329
*#Fag Kugelfischer Georg Schaeffer AG 8,550 1,202,818
Felten & Guilleaume Energietechnik
AG ................................ 3,250 438,873
Flender (A. Friedrich) AG .......... 50 4,556
Forst Ebnath AG .................... 24 13,656
Fraenkisches Ueberlandwerk AG,
Nuernberg ......................... 896 241,988
Fuchs Petrolub AG Oel & Chemie ..... 2,231 255,932
Fuchs Petrolub AG Oel & Chemie
(Stimmrechtslos) .................. 55 5,516
Gea AG ............................. 450 152,507
*Geestemuender Bank AG .............. 750 84,808
*Gerresheimer Glas AG ............... 700 146,378
Gestra AG Bremen ................... 1,203 249,669
Gilde Brauerei AG .................. 400 306,785
*Gildemeister AG .................... 1,400 79,384
Goldschmidt AG ..................... 3,200 1,090,790
Grosskraftwerk Franken AG .......... 789 242,053
*Hagen Batterie AG .................. 1,000 134,448
Hamborner AG ....................... 2,100 468,043
Hamburger Hochbahn AG Series A ..... 4,257 268,173
Harpener AG ........................ 7,100 1,303,179
Hasen-Braeu AG ..................... 100 116,028
Heilit & Woerner Bau AG ............ 425 27,860
Heilit & Woerner Bau AG ............ 1,701 134,920
*Hein Lehmann AG, Duesseldorf ....... 120 55,772
Heinrich Industrie & Handels AG .... 350 175,516
Herlitz AG ......................... 3,462 461,373
Hermes Kreditversicherungs AG,
Hamburg und Berlin ................ 400 81,285
Hermes Kreditversicherungs AG,
Hamburg und Berlin ................ 1,166 168,155
Hindrichs-Auffermann AG ............ 358 52,802
Holsten-Brauerei AG, Hamburg ....... 3,077 645,454
Honsel-Werke AG .................... 50 3,704
*Hutschenreuther AG ................. 1,050 91,544
Hypothekenbank In Hamburg AG ....... 1,252 1,066,929
<PAGE>
Shares Value+
----------- ------------
ICN (Immobilien Consult Nuernberg
AG) ............................... 737 $ 183,586
Ikon AG Praezisionstechnik ......... 626 62,785
Iwka AG ............................ 6,224 1,250,512
Jacobsen (W.) AG, Kiel ............. 37 70,338
Jute Spinnerei und Weberei Bremen AG 378 106,549
*Jute Spinnerei und Weberei Bremen AG
Em 95 ............................. 94 25,880
KM Europa Metal AG ................. 7,550 670,616
*KM Europa Metal AG Em 95 ........... 10,570 879,274
#KSB AG ............................. 2,387 372,406
KWS Kleinwanzlebener Saatzucht AG .. 1,650 719,272
*Kali und Salz Beteiligungs AG ...... 13,950 2,164,971
*Kaufhalle AG ....................... 7,800 838,545
Kaufring AG ........................ 250 15,241
Kempinski AG, Berlin ............... 686 321,527
*Kennametal Hertel AG Werkzeuge &
Hartstoffe ........................ 50 5,506
Keramag Keramische Werke AG ........ 1,300 570,108
*Kloeckner Humboldt-Deutz AG ........ 16,750 91,134
*Kloeckner-Werke AG ................. 23,800 850,279
*Koeln-Duesseldorfer Deutsche
Rheinschiffahrt AG ................ 300 18,092
*Kolb und Schuele AG ................ 10,000 113,078
*Kolbenschmidt AG, Neckarsulm ....... 7,500 953,786
Kraftuebertragungswerke Rheinfelden
AG ................................ 4,684 1,292,667
Kraftwerk Altwuerttemberg AG ....... 314 174,959
Krauss-Maffei AG ................... 1,267 1,263,263
Kromschroder (G.) AG ............... 765 295,369
*Kueppersbusch AG ................... 525 71,583
Kupferberg (Christian Adalbert) &
Cie KG A.A. ....................... 151 97,004
Leffers AG, Bielefeld .............. 1,225 167,027
Leifheit AG ........................ 13,500 597,345
Leonische Drahtwerke AG ............ 2,000 616,191
*#Linotype-Hell AG ................... 4,300 324,156
Loewenbraue Holding AG ............. 60 86,136
MG Vermoegensverwaltungs AG ........ 4,040 348,783
*MLF Holding fuer Umwelttechnologie
AG ................................ 165 8,653
*MLF Holding fuer Umwelttechnologie
AG Em 95 .......................... 33 1,731
Magda Media Verlaf AG .............. 7,380 82,242
*Maihak (H.) AG ..................... 275 38,938
Main Kraftwerke AG ................. 1,189 491,032
Mainzer Aktien-Bierbrauerei AG ..... 563 140,612
Mannheimer Versicherung AG ......... 2,257 798,938
Markt und Kuehlhallen AG ........... 1,400 284,497
Mauser Waldeck AG .................. 1,667 224,015
Mittelschwaebische Ueberlandzentrale
AG ................................ 355 164,061
*Moenus AG Em 95 .................... 15,750 56,785
Muehle Rueningen AG ................ 160 35,346
*Mueller-Weingarten AG .............. 579 105,514
*Nak Stoffe AG ...................... 1,046 3,291
*Neue Baumwoll-Spinnerei und Weberei
Hof AG ............................ 1,217 45,872
*Niedermayr Papierwarenfabrik AG .... 60 11,681
Nordcement AG ...................... 2,000 799,738
Norddeutsche Steingutfabrik AG ..... 5,960 95,719
Nuernberger Hypothekenbank AG ...... 2,387 672,835
*Orenstein & Koppel AG .............. 3,778 168,406
</TABLE>
54
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
Otavi Minen AG ..................... 600 $ 72,370
Pag Pharma-Holding AG .............. 800 270,075
Parkbrauerei AG .................... 300 58,997
*Patrizier-Braeu AG ................. 737 85,029
*#Pfaff (G.M.) AG .................... 3,200 144,739
*Pfaff (G.M.) AG Em 95 .............. 4,800 204,523
Pfleiderer Bau und Verkehrssysteme
AG ................................ 50 12,291
*Phoenix AG, Hamburg ................ 4,750 697,165
*Pittler Maschinenfabrik AG ......... 3,350 122,976
*Plettac AG ......................... 5,554 1,328,882
Progress-Werk Oberkirch AG ......... 500 54,736
Rathgeber AG ....................... 8 3,487
Reckitt und Colman Deutschland AG .. 540 143,363
Reichelbraeu AG, Kulmbach .......... 550 170,354
*Reichelt (F.) AG ................... 1,290 65,959
Reiter Ingolstadt Spinnereimaschinen
AG ................................ 1,200 127,434
*Renk AG ............................ 1,940 104,916
Rheinboden Hypothekenbank AG ....... 2,650 451,308
Rheinmetall Berlin AG .............. 5,000 744,018
Rhoen Klinikum AG .................. 15,240 2,018,014
Riedel de Haen AG .................. 573 754,985
*Rosenthal AG ....................... 1,650 118,437
*Rothenberger AG .................... 300 24,385
#Salamander AG, Kornwesteim ......... 5,172 672,987
Schlenk (Carl) AG .................. 65 18,748
Schmalbach-Lubeca AG ............... 150 27,729
Schwaebische Zellstoff AG .......... 1,925 428,409
*Sektkellerei Schloss Wachenheim AG . 84 17,125
Sinalco AG ......................... 110 57,686
Sinn AG ............................ 1,973 310,403
Sinner AG, Karlsruhe ............... 416 119,987
Sloman Neptun Schiffahrts AG ....... 35 3,258
Stern-Brauerei Carl Funke AG ....... 1,100 72,108
Stoehr & Co. AG .................... 1,600 157,325
Stolberger Zink AG ................. 64 36,122
Stollwerck AG ...................... 1,358 427,296
Strabag AG ......................... 150 15,487
*Stumpf (Otto) AG ................... 1,375 30,826
Stuttgarter Hofbraeu AG ............ 1,800 427,729
Sued-Chemie AG ..................... 2,186 945,762
Sueddeutsche Bodencreditbank AG .... 3,344 887,788
Tempelhofer Feld AG ................ 25 47,034
*Terrex Handels AG .................. 1,250 352,343
*Traub AG ........................... 2,538 173,027
Triton-Belco AG, Hamburg ........... 1,186 85,520
Tucher Braeu AG .................... 750 54,081
*Ueberlandwerk Unterfranken AG ...... 40 7,342
VBH (Vereinigter Baubeschlag-
Handel) AG ........................ 100 27,925
VGT AG ............................. 293 63,382
VK Muehlen AG ...................... 1,312 250,273
*Varta AG ........................... 5,500 1,151,917
Vereinigte Deutsche Nickel-Werke AG 1,380 237,463
Vereinte Versicherung AG ........... 295 164,372
Verseidag AG ....................... 2,753 212,047
Voegele (Joseph) AG ................ 750 120,452
Vogtlaendische Baumwollspinnerei AG 559 24,918
Vossloh AG ......................... 100 34,087
<PAGE>
Shares Value+
----------- ------------
WCM Beteiligungs und Grundbesitz AG 1,000 $ 8,515
WMF (Wuerttembergische
Metallwarenfabrik AG) ............. 3,033 626,283
*Walter AG .......................... 1,350 355,752
Wanderer-Werke AG .................. 1,437 122,458
*Weil der Stadt AG, Weil der Stadt .. 80 7,761
Weinig (Michael) AG ................ 2,500 881,678
Westag & Getalit ................... 700 180,793
Wickrather Bauelemente AG .......... 465 71,327
Wuerttembergische & Badische
Versicherungs AG Series A/B ....... 112 234,939
Wuerttembergische Hypothekenbank AG 1,613 808,879
Wuerzburger Hofbraeu AG ............ 133 64,081
*Zanders Feinpapiere AG ............. 4,450 306,293
Zeag Zementwerk Lauffen-
Elektrizitaetswerk Heilbronn AG ... 1,942 496,480
------------
TOTAL COMMON STOCKS
(Cost $59,340,153) .................. 67,202,716
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $61,324) ........ 62,030
------------
PREFERRED STOCK -- (0.0%)
Westag & Getalit (Cost $38,373) .... 260 52,665
------------
RIGHTS/WARRANTS -- (0.0%)
*Rheinmetall Berlin AG Rights
06/12/96 .......................... 5,000 10,161
*Sueddeutsche Bodencreditbank AG
Rights 06/07/96 ................... 3,040 6,975
------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ........................... 17,136
------------
TOTAL -- GERMANY
(Cost $59,439,850) .................. 67,334,547
------------
NETHERLANDS -- (11.7%)
COMMON STOCKS -- (11.4%)
*A.I.R. Holdings NV ................. 1,300 19,774
ACF Holding NV (Certificate) ....... 15,757 309,738
Aalberts Industries NV ............. 4,797 426,575
Ahrend NV .......................... 23,672 1,052,520
Atag Holding NV .................... 4,300 329,550
Athlon Groep NV .................... 5,350 236,310
Athlon Groep NV (Certificate) ...... 3,500 154,595
Bam Groep NV ....................... 4,893 294,845
Batenburg Beheer NV ................ 1,000 131,633
*Beers NV ........................... 3,325 649,710
#Begemann Groep NV .................. 13,451 241,588
Bijenkorf Beheer KBB NV, Amsterdam . 13,937 1,092,586
Boer Winkelbedrijven NV ............ 12,387 619,604
Boskalis Westminster NV ............ 46,207 765,026
*Braat Beheer NV .................... 3,880 37,908
Cap Volmac Group NV ................ 62,000 1,222,372
Cindu International NV ............. 1,750 95,214
Content Beheer ..................... 14,750 541,055
Crown Van Gelder NV ................ 2,400 219,739
Delft Instruments NV ............... 12,808 251,769
Econosto NV ........................ 16,232 270,644
*Eriks Holdings NV .................. 9,000 863,511
Flexovit International NV .......... 3,675 196,510
GTI Holding NV ..................... 4,507 471,979
Gamma Holding NV ................... 18,338 809,992
</TABLE>
56
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
Getronics NV ....................... 17,000 $ 1,411,279
Geveke NV .......................... 8,662 243,243
Goudsmit NV Voorheen Eduard ........ 2,066 78,564
Grand Hotel Krasnapopski NV ........ 308 29,191
Grolsche NV ........................ 40,600 1,722,050
Hoek's (W.A.) Machine &
Zuurstoffafabriek NV .............. 12,600 888,258
Holdingsmij de Telegraaf NV ........ 4,000 713,742
Hollandia Industriele Maatschappij
NV ................................ 500 13,163
Hollandsche Beton Groep NV ......... 5,047 941,311
IHC Caland NV ...................... 52,280 2,410,147
Internatio-Mueller NV .............. 15,682 1,339,479
Kas-Associatie NV .................. 7,830 274,391
Kempen & Co. NV .................... 22,200 275,341
Kondor Wessels Groep NV ............ 1,000 35,453
*Koninklijke Frans Maas Groep NV .... 14,215 561,309
Koninklijke Ten Cate NV ............ 12,010 549,454
Koppelpoort Holding NV ............. 250 61,429
Landre & Glinderman NV ............. 2,032 54,209
MacIntosh NV ....................... 19,733 506,803
*Multihouse NV ...................... 20,000 65,524
*#NBM-Amstelland NV .................. 47,736 837,817
*NKF Holding NV ..................... 18,690 648,404
*Nagron Nationaal Grondbezit NV ..... 3,931 338,948
Nationale Investeringsbank NV
Series A .......................... 12,212 950,211
Nederlandsche Apparatenfabriek Nedap 4,250 334,421
Nedlloyd Groep NV, Rotterdam ....... 22,900 514,456
Norit NV ........................... 30,731 418,904
Oce Van der Grinten NV, Venlo ...... 12,171 1,189,117
*Otra NV ............................ 55,100 1,257,181
Pakhoed NV ......................... 25,359 640,911
Polynorm NV ........................ 3,431 293,059
Reesink NV ......................... 2,050 178,699
Roto Smeets de Boer NV ............. 1,000 27,204
Rubber Cultuur Maatschappij
Amsterdam NV ...................... 40,800 72,802
Samas-Groep NV, Zaandam ............ 11,203 409,634
Schuitema NV, Amersfoort ........... 300 338,296
Schuttersveld Holding .............. 11,354 433,090
Smit Internationale NV ............. 10,790 549,190
Sphinx NV .......................... 22,678 387,409
Stad Rotterdam ..................... 139 4,863
Stork NV ........................... 34,973 943,225
*Textielgroep Twenthe NV ............ 1,000 24,864
Tulip Computers NV ................. 11,467 144,906
Twentsche Kabel Holding NV ......... 18,090 761,996
Ubbink NV .......................... 1,500 45,633
Van Dorp Groep NV .................. 3,261 53,418
Van der Giessen de Noord ........... 4,433 149,124
Van der Moolen Holding NV .......... 6,756 279,046
Volker Stevin NV ................... 13,780 1,027,071
Vredestein NV ...................... 20,514 246,029
Wegener NV ......................... 20,403 2,284,639
------------
TOTAL COMMON STOCKS
(Cost $19,642,269) .................. 39,263,654
------------
INVESTMENT IN CURRENCY -- (0.3%)
*Netherlands Guilder
(Cost $921,792) ..................... 930,754
------------
RIGHTS/WARRANTS -- (0.0%)
*A.I.R. Holdings NV Rights 08/14/96 . 1,300 0
<PAGE>
Shares Value+
----------- ------------
*Aalberts Industries NV Rights
07/18/96 .......................... 4,797 $ 0
*Ahrend NV Rights 06/27/96 .......... 21 0
*Koninklijke Frans Maas Groep NV
Rights 06/03/96 ................... 1 0
*NBM-Amstelland NV Rights 07/01/96 .. 27 0
*NKF Holdings NV Rights 08/01/96 .... 18,690 0
*Nagron Nationaal Grondbezit NV
Rights 06/14/96 ................... 11 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ........................... 0
------------
TOTAL -- NETHERLANDS
(Cost $20,564,061) .................. 40,194,408
------------
ITALY -- (9.9%)
COMMON STOCKS -- (9.9%) ..............
Acquedotto de Ferrari Galliera SpA . 54,000 156,926
Aedes SpA (Sta Ligure Lombarda per
Imprese & Costruzioni) ............ 42,000 253,600
#Allianz Subalpina SpA .............. 52,500 383,452
*Ansaldo Trasporti SpA .............. 199,533 300,234
Attivita Immobiliari ............... 181,400 219,062
*Auschem SpA (In Liquidation) ....... 82,000 0
*#Autostrada Torino-Milano ........... 33,750 217,735
#Avir Finanziara SpA ................ 114,000 846,626
Banca Agricola Milanese ............ 48,000 354,924
Banco di Chiavari e della Riviera
Ligure SpA, Chiavari .............. 175,000 329,432
Bassetti SpA ....................... 67,500 240,184
*Bastogi SpA ........................ 1,683,000 79,341
Boero (Bartolomeo) SpA ............. 8,925 48,991
Bonifica dei Terreni Ferraresi e per
Imprese Agricole Roma ............. 11,600 101,205
*Brioschi Finanziaria SpA, Milano ... 200,000 27,123
#CALP (Cristalleria Artistica la
Piana SpA) ........................ 48,000 243,332
CAMFIN (Cam Finanziaria) ........... 20,500 27,801
#CEMENTIR (Cementarie del Tirreno
SpA), Roma ........................ 661,563 672,885
*CIGA SpA (Compagnia Italiana Grandi
Alberghi) ......................... 76,890 34,758
*CMI SpA ............................ 36,428 90,335
Caffaro SpA Sta per l'Industria
Chimica ed Elettrochimica ......... 297,550 388,150
*Calcestruzzi SpA ................... 51,560 186,795
#Caltagirone SpA .................... 343,085 316,830
*Cantoni ITC SpA .................... 121,000 162,141
Cartiere Burgo SpA ................. 170,000 1,050,630
*Cartiere Sottrici Binda SpA ........ 1,299,375 47,410
*Cementeria di Augusta SpA .......... 105,000 193,252
#Cementerie Siciliane SpA ........... 82,200 339,735
Cementerie di Sardegna SpA ......... 77,000 289,900
*#Cogefar-Impresit Costruzioni
Generali SpA ...................... 337,000 356,043
#Comau Finanziara SpA ............... 353,000 453,645
Condotta Acque Potabili SpA, Torino 28,000 92,218
#Costa Crociere SpA ................. 195,000 314,821
Costa Crociere SpA (Risp) .......... 26,000 27,872
Cucirini SpA ....................... 30,000 27,123
*Dalmine SpA ........................ 3,001,700 800,583
Danieli & C.Officine Meccaniche SpA 93,500 650,304
*Dataconsyst C.G.S. SpA, Monza ...... 220 21,027
</TABLE>
56
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
*Del Favero SpA ..................... 86,000 $ 33,323
*Editoriale SpA ..................... 210,000 70,520
*Editoriale l'Espresso SpA .......... 55,000 147,756
*Editoriale la Repubblica SpA ....... 125,000 216,338
Ericsson SpA ....................... 61,500 778,431
*Euromobiliare SpA .................. 73,500 71,198
*FIAR (Fabbrica Italiana
Apparecchiature Radioelettriche
SpA)............................... 22,990 73,268
*FMC (Fabbrica Milanese Condutorri
SpA) .............................. 25,000 12,835
*#FONSPA (Credito Fondiaro e
Industriale Istituto per i
Finanziamenti a Medio e Lungo
Termine SpA) ...................... 269,000 380,439
*Falck (Acciaierie & Ferriere
Lombarde) ......................... 218,000 829,202
Finarte Casa d'Aste SpA (Milano) ... 56,266 52,687
*Fincasa 44 SpA ..................... 150,036 19,572
*Finrex Finanziaria Immobiliaria SpA
(In Liquidation) .................. 36,000 2,813
*Firs-Italiana de Assicurazioni
Compagnia di Assicurazioni
Eriassicurazioni (In Liquidation) . 90,000 0
*Fochi (Filippo) SpA ................ 216,000 56,493
*Fornara Societa Finanziaria e di
Participazioni SpA ................ 310,000 14,414
*Gabetti Holding SpA ................ 70,000 47,420
*Gerolimich SpA (In Liquidation) .... 297,400 0
Gewiss SpA ......................... 103,000 1,509,913
*Gifim Iniziative Immobiliari Gifim
SpA ............................... 60,000 13,949
*Gottardo Ruffoni SpA ............... 279,832 18,686
*Grassetto SpA ...................... 279,125 78,166
*ITAJOLLY (Cia Italiana del Jolly
Hotels SpA) ....................... 48,500 166,626
*Immobiliare Metanopoli SpA ......... 1,062,500 749,273
Industrie Zignago S. Margherita SpA 61,000 326,568
*Istituto Finanziario Pro Arte SpA
Finarte ........................... 202,693 125,660
*Linificio & Canapificio Nazionale
SpA ............................... 118,000 39,244
Maffei SpA ......................... 75,000 108,008
Magneti Marelli SpA ................ 396,666 572,521
Magona d'Italia SpA, Firenze ....... 40,000 133,032
*Mandelli SpA ....................... 41,000 55,576
#Manifattura Lane Gaetano Marzotto &
Figli SpA ......................... 144,000 967,129
#Marangoni SpA, Rovereto ............ 50,303 198,158
#Merloni Elettrodomestici SpA ....... 210,000 494,317
*#Montefibre SpA, Milano ............. 645,000 483,177
*NAI SpA (Navigazione Alta Italia) .. 139,760 20,759
*Necchi SpA ......................... 131,400 71,279
*Perlier SpA ........................ 120,700 23,462
Pininfarina SpA .................... 64,570 700,533
*Poligrafici Editoriale SpA ......... 226,000 445,140
*Premafin Finanziaria SpA ........... 1,025,000 287,278
Previdente Cia Italiana
Assicurazione SpA ................. 149,590 881,987
*#Ratti SpA .......................... 155,900 321,163
Recordati Industria Chimica E
Farmaceutica SpA .................. 34,000 300,807
*Rejna SpA, Milano .................. 19,000 143,558
Risanamento di Napoli SpA .......... 26,700 344,850
<PAGE>
Shares Value+
----------- ------------
Riva Finanziaria SpA ............... 23,800 $ 89,144
*Rodriquez SpA ...................... 41,250 24,774
SISA (Societa Imballaggi Speciali
Asti SpA) ......................... 65,000 71,359
*SMI (Sta Metallurgica Italiana SpA) 456,600 174,856
*SNIA Fibre SpA ..................... 328,000 149,543
SOPAF (Societa Partecipazioni
Finanziarie SpA) .................. 40,000 50,630
*Saffa SpA, Milano .................. 100,500 253,116
Safilo (Sta Azionaria Fabbrica
Italiana Lavorazione Occhiali SpA) 50,100 1,213,271
Saiag SpA (Industrie Articoli Gomma) 43,000 181,330
#Sasib SpA .......................... 186,000 768,744
*Schiapparelli 1824 SpA ............. 300,000 31,966
Serfi SpA (Servizi Finanziari) ..... 72,000 346,400
*Simint SpA ......................... 82,488 218,139
Sogefi SpA ......................... 260,000 542,331
*Sondel Nordelettrica SpA ........... 728,892 1,360,347
Sorin Biomedica SpA ................ 407,610 1,688,614
*#Stefanel SpA ....................... 190,800 282,781
#Tecnost SpA ........................ 170,000 293,122
*Teknecomp SpA ...................... 148,643 110,102
*Terme Demaniali di Acqui SpA ....... 39,900 25,509
*Texmantova SpA ..................... 40,000 33,581
Trenno SpA ......................... 147,333 279,728
*Tripcovich (D.) & Co. SpA
Navigazione Rimorchi e Salvataggi
Trieste ........................... 113,898 27,215
*#UNICEM (Unione Cementi Marchini
Emiliane e di Augusta-Casale) ..... 159,600 1,234,749
*Unione Manifatture SpA (In
Liquidation) ...................... 156,000 0
*Unipar (Unione Nazionale di
Participazione SpA)
(In Liquidation)................... 539,000 0
Unipol SpA ......................... 65,000 442,428
Vianini Industria SpA .............. 126,000 73,232
#Vianini Lavori SpA ................. 191,000 437,875
Vittoria Assicurazioni SpA ......... 59,500 253,985
*Wabco Westinghouse SpA, Torino ..... 6,200 10,790
#Zucchi (Vincenzo) SpA .............. 97,000 462,294
------------
TOTAL COMMON STOCKS
(Cost $44,430,682) .................. 33,865,908
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira (Cost $136,210) ....... 136,468
------------
TOTAL -- ITALY (Cost $44,566,892) 34,002,376
------------
SWITZERLAND -- (9.9%)
COMMON STOCKS -- (9.5%)
AFG Arbonia Foster Holding AG, Arbon 522 333,813
*Accumulatoren-Fabrik Oerlikon,
Zuerich ........................... 30 15,588
Afipa SA, Vevey .................... 20 3,517
Afipa SA, Vevey Series A ........... 80 14,069
Aletsch AG, Moerel ................. 50 108,913
Allgemeine Finanzgesellschaft,
Zuerich ........................... 741 180,659
Ascom Holding AG, Bern ............. 907 986,027
Attisholz Holding AG, Attisholz .... 1,079 487,318
</TABLE>
57
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
BHB Beteiligungs und
Finanzgesellschaft .................. 150 $ 33,573
Banque Cantonale de Geneve ......... 840 210,839
Banque Cantonale du Jura ........... 450 122,302
Banque Privee Edmond de Rothschild
SA, Geneve ........................ 120 446,043
Basellandschaftliche Kantonalbank .. 500 133,893
Basler Kantonalbank (Participating) 500 125,100
Bernische Kraftwerke AG, Bern ...... 600 685,851
Bossard Holding AG ................. 127 259,380
Brauerei Eichhof ................... 42 72,182
Bucher Holding AG, Niederweningen .. 671 498,825
*Bucherer AG, Luzern (Participating) 300 122,302
CKW (Centralschweizerische
Kraftwerke), Luzern ............... 670 642,686
CKW (Centralschweizerische
Kraftwerke), Luzern (Participating) . 1,500 137,890
Calida Holding AG, Oberkirch ....... 99 67,266
Carlo Gavazzi Holding AG, Baar
Series B .......................... 83 69,664
Chemin de Fer Brigue-Viege- Zermatt,
Zermatt ........................... 370 53,237
Chemin de Fer du Gornergrat, Sion .. 70 134,293
Chocoladefabriken Lindt & Spruengli
AG, Kilchberg ..................... 16 294,165
Chocoladefabriken Lindt & Spruengli
AG, Kilchberg (Participating) ..... 74 123,038
Crossair AG fuer Europaeischen
Regionalluftverkehr, Basel ........ 141 92,422
Crossair AG fuer Europaeischen
Regionalluftverkehr, Basel
(Genusschen) ...................... 330 43,789
*Crossair AG fuer Europaeischen
Regionalluftverkehr, Basel
(Genusschen) Em 95 ................ 103 40,344
*Crossair AG fuer Europaeischen
Regionalluftverkehr, Basel Em 95 .. 51 31,799
Daetwyler Holding AG, Atldorf ...... 388 789,337
Danzas Holding AG, Basel
(Participating) ................... 1,502 312,166
Dipling Fust AG, Oberbueren ........ 1,680 537,170
EGL (Elektrizitaets-Gesellschaft
Laufenberg) AG, Laufenberg ........ 8,400 1,698,801
Edipresse SA, Lausanne ............. 262 63,877
Edipresse SA, Lausanne (Nominal) ... 1,310 61,783
Energie Electrique du Simplon SA
Simplon Village ................... 70 55,955
*Escor AG, Duedingen ................ 496 10,705
*Financiere Michelin, Granges- Paccot 637 315,699
*Financiere Tradition, Lausanne ..... 50 24,001
Fischer (Georg) AG, Schaffhausen ... 1,202 1,393,205
Forbo Holding AG, Eglisau .......... 1,100 466,027
Fortuna Holding, Adliswil .......... 140 123,102
Fortuna Holding, Adliswil
(Participating) ................... 650 140,288
Fotolabo SA, Ropraz ................ 1,200 503,597
Fuchs Petrolub AG, Frauenfeld ...... 2,001 679,796
GZB Genossenschaftliche Zentralbank
AG, Basel ......................... 941 639,369
Galenica Holding AG, Bern
Series B .......................... 120 45,564
<PAGE>
Shares Value+
----------- ------------
Golay-Buchel Holding SA, Lausanne .. 40 $ 29,576
*Grands Magasins Jelmoli SA, Zuerich 931 541,781
*Grands Magasins Jelmoli SA, Zuerich
(Namen) ........................... 2,835 326,331
Gurit-Heberlein AG, Wattwil SG ..... 310 669,065
*HPI Holding SA, Yverdon-les-Bains .. 200 37,570
Hilti AG, Schaan (Participating) ... 600 436,451
Huerlimann Holding AG, Zuerich ..... 33 105,779
Huerlimann Holding AG, Zuerich
(Participating) ................... 100 30,176
Immuno International AG, Zuerich ... 1,545 1,074,460
Industrieholding Cham AG, Cham ..... 216 123,453
*Interdiscount Holdings SA,
Jegenstorf ........................ 4,840 133,477
Kardex AG, Zuerich ................. 630 183,813
Kardex AG, Zuerich (Participating) . 610 175,540
Keramik Holding AG Laufen, Laufen .. 600 366,906
Kraftwerk Laufenburg, Laufenburg ... 8,475 1,707,194
Loeb Holding AG, Bern
(Participating) ................... 620 104,077
*Logitech International SA, Apples .. 4,805 579,980
Maag Holding AG, Zuerich ........... 820 69,480
Magazine Zum Globus, Zuerich ....... 400 265,388
Magazine Zum Globus, Zuerich
(Participating) ................... 396 237,410
*Mikron Holding AG, Biel ............ 624 65,842
Moevenpick-Holding, Zuerich ........ 1,320 448,441
Moevenpick-Holding, Zuerich
(Participating) ................... 443 146,958
*Monteforno Acciaierie & Laminatoi
SA, Giornico ...................... 600 1,439
*Motor-Columbus AG, Baden ........... 1,000 1,894,484
*Netstal-Maschinen AG, Nafaels ...... 2 839
*Omnium Geneve SA, Geneve ........... 110 26,379
Orell Fuessli Graphische Betriebe
AG, Zuerich ....................... 240 206,235
Phoenix Mecano AG, Stein am Rhein .. 2,749 1,351,427
Pick Pay AG, Ruemlang .............. 110 106,571
Porst Holding AG, Jegenstorf ....... 1,844 191,623
*Prodega AG, Moosseedoff
(Participating) ................... 400 123,102
Publicitas Holding SA, Lausanne
(Participating) ................... 125 120,903
*Rentsch (Walter) Holding AG,
Dietlikon ......................... 1,853 284,393
*Riviera Participations Holding SA,
Vevey ............................. 50 3,237
SIG (Schweizerische Industrie
Gesellschaft Holding AG), Neuhausen
am Rheinfall ...................... 112 261,423
*Sarna Kunststoff Holding AG, Sarnen 74 76,898
Schweizerische National
Versicherungs Gesellschaft, Basel . 22 47,482
Sece Cortaillod Holding SA,
Cortaillod ........................ 100 53,717
*Sibra Holding SA, Fribourg Series B 1,000 146,283
Siegfried AG, Zofingen ............. 1,066 749,864
Sopracenerina (Sta Elettrica),
Locarno ........................... 459 256,835
</TABLE>
58
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
*Suedelektra Holding AG, Zug ........ 1,320 $ 1,129,017
*Suter & Suter AG, Basel Class A .... 635 508
*Swisslog Holding AG, Aarau ......... 500 151,079
UMS Schweizerische Metallwerke
Holding AG, Bern .................. 2,560 252,726
Unigestion Holding, Geneve ......... 2,891 247,272
Usego-Trimerco Holding AG,
Volketswil ........................ 1,160 139,089
Villars Holding SA, Fribourg ....... 150 17,986
*Von Moos Holding AG, Luzern ........ 1,400 96,243
*Von Roll AG, Gerlafingen ........... 2,424 53,770
WMH Walter Meier Holding AG, Staefa 50 19,584
*Zellweger Luwa AG, Uster ........... 804 713,381
*Zschokke Holding SA, Geneve ........ 80 23,981
*Zueblin Holding AG, Zuerich ........ 700 55,955
Zuercher Ziegeleien Holding, Zuerich 1,415 984,053
Zuger Kantonalbank ................. 500 617,506
------------
TOTAL COMMON STOCKS
(Cost $24,552,588) .................. 32,695,661
------------
INVESTMENT IN CURRENCY -- (0.4%)
*Swiss Francs (Cost $1,290,064) ..... 1,286,644
------------
RIGHTS/WARRANTS -- (0.0%)
*Zuger Kantonalbank Rights 06/28/96
(Cost $0) ......................... 500 0
------------
TOTAL -- SWITZERLAND
(Cost $25,842,652) .................. 33,982,305
------------
SPAIN -- (7.4%)
COMMON STOCKS -- (7.4%)
*Ahorro Familiar SA ................. 6,051 39,902
*Algodonera de San Antonio SA ....... 8,800 63,491
*Amper SA ........................... 34,400 429,666
*Asturiana del Zinc SA .............. 33,100 256,788
Azkoyen SA ......................... 4,200 291,296
*BAMI SA (Inmobiliara de
Construcciones y Terrenos) ........ 23,634 39,971
Banco Guipuzcoano SA ............... 4,150 127,494
Banco Pastor SA .................... 18,100 1,011,016
Banco Zaragozano SA ................ 45,598 757,019
Banco de Alicante .................. 6,100 184,562
Banco de Andalucia ................. 6,900 936,773
Banco de Castilla SA ............... 2,100 1,019,860
Banco de Credito Balear SA ......... 9,850 321,711
Banco de Galicia SA ................ 7,550 797,172
Banco de Valencia .................. 51,350 768,856
Banco de Vasconia SA ............... 8,900 470,202
*Banco de Vitoria SA ................ 27,700 253,576
Bodegas y Bebidas SA ............... 12,876 310,163
CAF (Construcciones y Auxiliar de
Ferrocarriles SA) ................. 9,500 353,763
*CAI (Corporacion Alimentaria Iberica
SA) ............................... 11,200 0
*CARTEMAR (Cartera de Valores del Mar
SA) ............................... 4,016 4,050
*CINSA (Compania de Inversiones SA) . 1,400 12,382
*Citroen Hispania SA ................ 650 30,760
Conservera Campofrio SA ............ 8,500 293,445
Construcciones Lain SA ............. 127,600 150,467
Coporacion Financiera Reunida SA ... 60,085 209,295
<PAGE>
Shares Value+
----------- ------------
Cubiertas y Mzov SA ................ 10,395 $ 637,087
*Dimetal SA ......................... 3,500 8,635
ENHER SA (Empresa Nacional
Hidroelectrica del Ribargozana SA)
Series B .......................... 38,800 809,713
ERZ (Electricas Reunidas de
Zaragoza) ......................... 54,937 1,470,385
*ESSA (Estacionamientos Subterraneos
SA) ............................... 8,875 119,802
Ebro Agricolas Compania de
Alimentacion SA ................... 89,900 1,000,826
*El Aguila SA ....................... 39,200 229,300
Elecnor SA ......................... 8,100 172,808
Empresa Nacional de Celulosa SA .... 8,200 115,144
*Ercros SA .......................... 33,200 21,635
*Erpo SA ............................ 3,289 3,961
*Espanola del Zinc SA ............... 6,500 33,534
*Estacionamientos Urbanos SA ........ 4,200 153,142
Europistas Concesionaria Espanola SA 98,333 753,708
Europistas Concesionaria Espanola SA
Em 95 ............................. 21,365 161,605
Filo SA ............................ 61,297 266,302
Financiera y Minera Series A/C ..... 5,200 46,393
GESA (Gas y Electricidad SA) ....... 17,000 923,196
General Azucarera de Espana SA ..... 15,850 531,202
Grupo Anaya SA ..................... 16,500 331,536
Hornos Ibericos Alba SA ............ 46,600 495,283
Huarte SA .......................... 42,500 99,573
Hullas del Coto Cortes ............. 8,666 174,799
*Iberica de Autopistas SA
Concesionaria de Estado Iberpistas 45,070 713,288
Iberica del Frio SA ................ 3,000 93,095
Inbesos SA ......................... 1,610 13,739
Indo Internacional SA .............. 5,600 171,606
*Inmobiliaria Alcazar SA ............ 5,126 43,744
*Inmobiliaria Urbis SA .............. 29,100 115,136
Inmobiliaria Zabalburu SA .......... 5,800 64,569
Inmobiliaria del Sur SA ............ 1,380 54,600
*Inmolevante SA ..................... 6,957 24,557
Koipe SA ........................... 8,400 456,168
*LSB (La Seda de Barcelona SA)
Series B .......................... 25,200 142,715
Lingotes Especiales SA ............. 4,140 27,300
*Liwe Espanola SA ................... 4,400 17,238
Mapfre Inmuebles SA ................ 740 57,983
*Max Center Leisa SA ................ 3,000 8,146
*Nicolas Correa SA .................. 1,575 15,090
*Nueva Montana Quijano SA
Series B .......................... 100,500 123,189
OCP Construcciones SA .............. 14,930 392,651
Papelera de Navarra SA ............. 6,000 51,668
*Pascual Hermanos SA ................ 7,610 2,005
Pescanova SA ....................... 23,252 306,659
*Pesquerias Espanolas del Bacalao SA 3,500 815
Portland Valderrivas SA ............ 8,075 489,888
*Prim SA ............................ 3,100 9,680
Promociones Eurobuilding SA ........ 16,650 49,730
*Radiotronica SA .................... 2,137 22,879
*Santana Motor SA Series A .......... 22,100 24,432
Sarrio SA .......................... 105,100 369,358
*Sefanitro (Sdad Espanola de
Fabricaciones Nitrogenadas SA) .... 1,600 8,379
</TABLE>
59
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
*Sindibank (Sindicato de Banqueros de
Barcelona) ........................ 10,540 $ 200,334
*Sotogrande SA ...................... 69,786 143,470
Tableros de Fibras SA Series B ..... 21,876 216,384
Transportes Ferroviarios Especiales
Tranfesa .......................... 24,000 181,536
*Trenzas y Cables de Acero SA ....... 7,083 39,014
Uniland Cementera SA ............... 5,750 225,718
*#Union y el Fenix-Espanol Cia de
Seguros Reunidos SA ............... 19,550 154,701
Unipapel SA ........................ 13,484 253,152
Uralita SA ......................... 122,725 1,080,627
Vidrala SA ......................... 10,340 533,445
*Vidriera Leonesa SA, Vilesa ........ 2,983 10,150
*Vidriera Leonesa SA, Vilesa Em 95 .. 3,976 12,647
Viscofan Industria Navarra de
Envolturas Celulosicas SA ......... 46,425 752,740
Zeltia SA .......................... 3,664 116,543
------------
TOTAL COMMON STOCKS
(Cost $27,951,580) .................. 25,484,017
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $62,350) ...... 62,015
------------
TOTAL -- SPAIN (Cost $28,013,930) .... 25,546,032
------------
SWEDEN -- (6.9%)
COMMON STOCKS -- (6.6%)
Acrimo AB Series B ................. 2,800 32,858
*Active I Malmoe AB Series A ........ 4,160 54,997
*Active I Malmoe AB Series B ........ 4,160 53,761
Allgon AB Series B ................. 32,700 531,885
Alma Industri & Handel AB
Series B .......................... 5,200 59,091
*#Anders Dioes AB .................... 28,800 136,471
Angpannefoereningen AB Series B .... 7,200 139,037
*Arcona AB Series A ................. 161,200 122,121
*Arcona AB Series B ................. 10,000 7,427
*Argonaut AB Series A ............... 81,000 144,385
*Argonaut AB Series B ............... 171,500 315,894
B & N Bylock & Nordsjoefrakt AB
Series B .......................... 41,800 397,386
*BPA AB Series A .................... 74,000 172,579
*BPA AB Series B .................... 56,700 131,390
*Benima Ferator Engineering AB ...... 13,400 92,558
Berg (C.F.) & Co. AB Series B ...... 6,200 27,445
Bergman & Beving AB Series B ....... 28,000 798,574
*Bilspedition AB Series A ........... 88,300 270,199
*Bilspedition AB Series B ........... 136,700 436,579
Bongs Fabriker AB Series B ......... 6,000 38,324
Boras Waefveri AB Series B ......... 8,600 85,591
*#Catena AB Series A ................. 66,700 579,612
*#Celsius Industrier AB Series B ..... 60,100 1,847,995
*#Concordia Maritime AB Series B ..... 37,300 98,070
Eldon AB Series B .................. 10,800 206,952
Enea Data AB Series B .............. 2,000 35,056
Esselte AB Series A ................ 40,100 756,491
Esselte AB Series B ................ 34,500 655,971
FFNS Gruppen AB Series B ........... 13,000 99,450
*Fabege Fastigh AB Birger Gustavsson
Series B .......................... 443,500 86,302
*Fastighits AB Celtica .............. 5,800 24,124
Foereningsbanken AB Series A ....... 383,200 1,183,981
Forcenergy AB Series B ............. 32,100 197,883
Forsheda AB Series B ............... 18,000 352,941
<PAGE>
Shares Value+
----------- ------------
*Frontline AB ....................... 90,800 $ 299,430
Garphyttan Industrier AB ........... 31,200 461,141
Getinge Industrier AB Series B ..... 31,536 576,193
Geveko AB Series B ................. 8,300 82,605
*Gullspangs Kraft AB Series B ....... 15,000 249,554
ICB Shipping AB Series B ........... 61,500 685,160
JP Bank Series A ................... 14,000 56,150
JP Bank Series B ................... 8,000 32,086
*Jacobson and Widmark AB ............ 13,400 87,582
*Kloevern Foervaltnings AB
Series B .......................... 447,300 324,910
Linjebuss AB Series A .............. 30,700 280,459
Marieberg Tidnings AB Series A ..... 51,900 1,248,930
*NCC AB Series A .................... 10,000 103,981
*NCC AB Series B .................... 70,000 712,270
Nobelpharma AB ..................... 45,460 820,468
Nolato AB Series B ................. 15,300 125,000
*Nordstroem & Thulin AB Series B .... 162,800 386,928
OEM International AB Series B ...... 1,600 33,749
Oestgoeta Enskilda Bank ............ 104,200 301,827
*Piren AB ........................... 539,500 107,387
*Platzer Bygg AB Series B ........... 36,000 77,005
#Rottneros Bruk AB .................. 366,600 419,314
*Safib Fastighets AB Series B ....... 20,400 90,909
Sandblom & Stohne AB Series B ...... 8,400 39,929
Scandiaconsult AB .................. 14,300 100,899
Scribona AB Series A ............... 40,100 399,094
Scribona AB Series B ............... 31,700 315,493
Siab AB Series A ................... 89,600 455,187
Siab AB Series B ................... 34,800 175,758
*Skandigen AB, Series A ............. 13,300 124,465
Skane-Gripen AB Series A ........... 10,800 106,684
Skane-Gripen AB Series B ........... 33,200 305,764
Skrinet AB Series B ................ 5,100 52,273
*Solitair Kapital AB ................ 90,000 88,235
Spendrups Bryggeri AB Series B ..... 19,900 118,241
#Stena Line AB Series B ............. 128,000 648,366
Svedala Industri ................... 80,000 1,532,977
Swepart Mecan AB Series B .......... 25,000 103,981
Tivox AB Series B .................. 7,200 14,011
VBB Gruppen AB Series B ............ 20,900 72,958
Wallenstam Byggnads AB Series B .... 16,700 87,816
Westergyllen AB Series B ........... 4,300 39,602
Zetterbergs Industri AB Series B ... 5,200 118,182
------------
TOTAL COMMON STOCKS
(Cost $19,364,972) .................. 22,636,333
------------
INVESTMENT IN CURRENCY -- (0.3%)
*Swedish Krona (Cost $1,017,573) .... 1,025,971
------------
TOTAL -- SWEDEN
(Cost $20,382,545) .................. 23,662,304
------------
BELGIUM -- (4.2%)
COMMON STOCKS -- (4.0%)
*Abfin SA ........................... 2,560 10,257
Afrifina ........................... 3,480 292,693
*Aurex SA ........................... 2,000 2,671
Axa Belgium SA ..................... 7,270 413,804
*BMT NV ............................. 2,040 241,313
Banque Belgo-Zairoise Belgolaise SA 1,155 422,364
Banque Nationale de Belgique ....... 810 1,108,830
*Beherman Auto Transports SA ........ 895 85,379
Belge des Betons ................... 425 217,919
</TABLE>
60
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
Belgo Katanga NPV .................. 408 $ 111,575
Belgo Katanga NPV VVPR ............. 136 36,759
*Belvuco NV ......................... 531 101,479
Bernheim-Comofi SA ................. 5,295 304,755
CFE (Compagnie Francois
d'Entreprises) .................... 2,080 483,490
CMB (Cie Maritime Belge) ........... 1,000 81,722
Carrieres Unies Porphyre ........... 20 22,895
*Chanic SA .......................... 175 4,107
Chimique et Metallurgique Campine,
Beerse ............................ 370 64,592
City Hotels SA ..................... 1,290 149,928
Cofinimmo SA ....................... 4,330 510,133
Cokeries & Houilleres d'Anderlues .. 100 10,176
Commerciale de Brasserie SA COBRHA . 115 42,328
Credit General SA de Banque,
Bruxelles ......................... 3,459 592,852
Creyf's Interim .................... 1,200 70,593
Deceuninck Plastics Industries SA .. 7,370 1,000,696
*Electrorail SA (Reunies
d'Electricite & de Transports) .... 11,416 25,411
Engrais Rosier SA .................. 655 89,665
Fabrique de Fer de Charleroi ....... 77 145,685
Financiere d'Obourg ................ 440 1,063,343
*Floridienne NV ..................... 2,033 91,151
*Ford Motor Co. SA Belgium .......... 1,110 184,600
*Forges de Clabecq SA ............... 3,460 31,907
*Franki NV (Cie Internationale des
Pieux Armes Frankignoul SA) ......... 5,875 132,640
Glaces de Charleroi ................ 70 137,338
Glaverbel SA ....................... 3,950 454,687
*Glaverbel SA VVPR .................. 338 54
*Immobel (Cie Immobiliere de Belgique
SA) ............................... 10,600 726,374
*Intertropical-Comfina SA (In
Liquidation) ...................... 275 6,121
Mecaniver SA, Bruxelles ............ 128 36,673
Metiers Automatiques Picanol ....... 403 177,805
*PCB SA Bruxelles ................... 6,504 59,357
*Papeteries de Catala SA ............ 315 44,574
Plantations Nord-Sumatra SA ........ 650 59,423
*#Recticel SA ........................ 8,450 76,579
*Roton (Compagnie Industrielle et
Financiere Roton) ................. 30 1,009
SABCA (Sa Belge de Constructions
Aeronautiques) .................... 4,280 125,210
*SCF SA ............................. 2,850 23,110
<PAGE>
Shares Value+
----------- ------------
SIPEF (Societe Internationale de
Plantations & de Finance), Anvers . 1,175 $ 173,739
SIPEF (Societe Internationale de
Plantations & de Finance), Anvers
(Precompte Reduit) ................ 370 56,651
Sa d'Ieteren ....................... 11,850 1,492,178
Sa d'Ieteren (Precompte Reduit) .... 3,150 403,666
*Sait Radioholland .................. 6,088 163,389
*Sait Radioholland (Precompte Reduit) 152 4,176
Sapec SA ........................... 3,560 170,936
Sapec SA (Taux Reduit) ............. 75 4,197
Sidro .............................. 4,040 267,851
Spadel NPV ......................... 325 404,080
Surongo SA ......................... 20 2,677
*Telinfo SA ......................... 5,790 139,926
Ter Beke NV ........................ 2,212 228,600
UNIBRA ............................. 1,600 91,580
*Uco Textiles NV .................... 2,124 178,642
------------
TOTAL COMMON STOCKS
(Cost $10,850,826) .................. 13,858,314
------------
INVESTMENT IN CURRENCY -- (0.2%)
*Belgian Francs (Cost $562,012) ..... 546,462
------------
TOTAL -- BELGIUM
(Cost $11,412,838) .................. 14,404,776
------------
Face
Amount
-----------
(000)
TEMPORARY CASH INVESTMENTS -- (1.3%)
Repurchase Agreement, PNC Securities
Corp. 5.05%, 06/03/96 (Collateralized
by U.S. Treasury Notes 6.50%,
09/30/96)
(Cost $4,509,000) ................... $ 4,509 4,509,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $302,329,657) ................... $343,525,223
=============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
61
<PAGE>
SCHEDULE OF INVESTMENTS
THE LARGE CAP INTERNATIONAL PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
--------- --------------
<S> <C> <C>
JAPAN -- (36.3%)
COMMON STOCKS -- (36.3%)
Ajinomoto Co., Inc. .............. 8,000 $ 96,341
All Nippon Airways Co., Ltd. ..... 20,000 214,914
Asahi Bank, Ltd. ................. 33,000 397,406
Asahi Chemical Industry Co., Ltd. 17,000 123,465
Asahi Glass Co., Ltd. ............ 17,000 204,724
Bank of Tokyo-Mitsubishi, Ltd. ... 43,700 1,036,332
*#Bank of Tokyo-Mitsubishi, Ltd.
Issue 96 ........................ 19,200 455,322
Bank of Yokohama, Ltd. ........... 16,000 137,101
Bridgestone Corp. ................ 11,000 191,570
Canon, Inc. ...................... 12,000 235,665
Chiba Bank, Ltd. ................. 11,000 95,683
Chubu Electric Power Co., Ltd. ... 10,800 251,116
Chugoku Electric Power Co., Ltd. . 4,300 97,193
Dai Nippon Printing Co., Ltd. .... 9,000 166,744
Dai-Ichi Kangyo Bank, Ltd. ....... 43,000 776,748
Daiwa Bank, Ltd. ................. 23,000 169,384
#Daiwa House Industry Co., Ltd. ... 7,000 106,994
Daiwa Securities Co., Ltd. ....... 19,000 255,211
Fanuc, Ltd. ...................... 2,800 109,458
Fuji Bank, Ltd. .................. 40,000 870,774
Fuji Photo Film Co., Ltd. ........ 6,000 186,753
Fujitsu, Ltd. .................... 26,000 236,035
*Hanwa Co., Ltd. .................. 5,000 18,944
Hitachi, Ltd. .................... 46,000 426,123
Hokkaido Takus Bank .............. 9,000 24,345
Honda Motor Co., Ltd. ............ 14,000 337,193
Industrial Bank of Japan ......... 33,000 849,838
Ito-Yokado Co., Ltd. ............. 6,000 340,713
Itochu Corp. ..................... 17,000 122,205
Kajima Corp. ..................... 13,000 136,082
Kansai Electric Power Co., Inc. .. 14,100 325,234
Kao Corp. ........................ 6,000 80,037
Kawasaki Steel Corp. ............. 47,000 174,155
Kinki Nippon Railway Co., Ltd. ... 19,570 144,849
Kirin Brewery Co., Ltd. .......... 13,000 161,371
*Kobe Steel, Ltd. ................. 33,000 91,098
Komatsu, Ltd. .................... 12,000 114,497
#Kubota Corp. ..................... 20,000 133,766
Kyocera Corp. .................... 2,000 137,101
Kyushu Electric Power Co., Inc. .. 6,800 163,780
Long Terminal Credit Bank of
Japan, Ltd. ..................... 34,000 275,276
Marubeni Corp. ................... 18,000 98,212
Matsushita Electric Industrial
Co., Ltd. ....................... 30,000 516,906
Matsushita Electric Works, Ltd. .. 9,000 95,878
Mitsubishi Chemical Corp. ........ 26,000 128,615
Mitsubishi Corp. ................. 22,000 301,621
Mitsubishi Electric Corp. ........ 31,000 212,506
Mitsubishi Estate Co., Ltd. ...... 17,000 237,795
Mitsubishi Heavy Industries, Ltd. 48,000 413,080
Mitsubishi Trust & Banking Corp. . 18,000 300,139
Mitsui & Co., Ltd. ............... 22,000 202,779
Mitsui Trust & Banking Co., Ltd. . 17,000 187,402
NEC Corp. ........................ 22,000 242,520
*NKK Corp. ........................ 41,000 120,019
Nikko Securities Co., Ltd. ....... 21,000 231,496
<PAGE>
Shares Value+
--------- --------------
Nintendo Co., Ltd., Kyoto ........ 1,000 $ 73,460
#Nippon Credit Bank, Ltd. ......... 26,000 97,304
Nippon Express Co., Ltd. ......... 15,000 150,069
Nippon Oil Co., Ltd. ............. 15,000 99,352
Nippon Steel Corp. ............... 99,000 336,570
Nippondenso Co., Ltd. ............ 11,000 237,425
Nissan Motor Co., Ltd. ........... 36,000 296,470
Nomura Securities Co., Ltd. ...... 28,000 529,134
Osaka Gas Co., Ltd. .............. 30,000 116,999
Pioneer Electronic ............... 2,000 44,465
Sakura Bank, Ltd. ................ 47,000 513,756
Sankyo Co., Ltd. ................. 4,000 94,859
Sanwa Bank, Ltd. ................. 40,000 770,727
Sanyo Electric ................... 27,000 160,824
Secom Co., Ltd. .................. 2,000 129,690
Sega Enterprises, Ltd. ........... 1,500 70,449
Seibu Railway Co., Ltd. .......... 6,000 317,369
Seksui House ..................... 9,000 105,882
Seven-Eleven Japan Co., Ltd. ..... 6,000 366,281
Sharp Corp. Osaka ................ 17,000 277,165
Shikoku Electric Power Co., Inc. . 4,200 96,100
Shimizu Corp. .................... 12,000 137,841
#Shizuoka Bank, Ltd. .............. 11,000 142,659
Sony Corp. ....................... 5,500 350,023
Sumitomo Bank, Ltd. .............. 44,000 868,180
*#Sumitomo Chemical Co., Ltd. ...... 21,000 105,049
Sumitomo Corp. ................... 15,000 166,744
Sumitomo Electric Industries, Ltd. 11,000 149,790
*Sumitomo Metal Industries, Ltd.
Osaka ........................... 46,000 141,899
Sumitomo Trust & Banking Co., Ltd. 19,000 264,011
Taisei Corp. ..................... 15,000 113,247
Taisho Pharmaceutical Co., Ltd. .. 5,000 111,626
Takeda Chemical Industries, Ltd. . 12,000 198,981
Tohuku Electric Power Co., Inc. .. 7,600 173,191
Tokai Bank, Ltd. ................. 28,000 350,162
Tokio Marine & Fire Insurance Co.,
Ltd ............................. 23,000 298,286
Tokyo Electric Power Co., Ltd .... 18,600 477,277
Tokyo Gas Co., Ltd. .............. 44,000 166,707
Tokyu Corp. ...................... 17,000 127,402
Tonen Corp. ...................... 9,000 133,395
Toppan Printing Co., Ltd. ........ 10,000 142,659
Toray Industries, Inc. ........... 21,000 142,010
Toshiba Corp. .................... 45,000 313,062
Toyo Seikan Kaisha, Ltd .......... 3,000 107,272
#Toyo Trust & Banking Co., Ltd. ... 12,000 114,497
Toyota Motor Corp. ............... 52,000 1,189,810
Yamaichi Secs Co. ................ 14,000 101,158
Yamanouchi Pharmaceutical Co.,
Ltd. ............................ 5,000 107,920
Yasuda Trust & Banking ........... 16,000 96,934
--------------
TOTAL COMMON STOCKS
(Cost $19,615,812) ................ 25,436,650
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $46,078) ...... 45,469
--------------
TOTAL -- JAPAN (Cost $19,661,890) .. 25,482,119
--------------
</TABLE>
62
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
UNITED KINGDOM -- (19.3%)
COMMON STOCKS -- (19.1%)
Abbey National P.L.C. ............ 27,800 $ 237,826
Allied Domecq P.L.C. ............. 21,784 163,107
Argyll Group P.L.C. .............. 24,008 131,662
BAT Industries P.L.C. ............ 61,556 494,229
BOC Group P.L.C. ................. 10,180 146,618
BTR P.L.C. ....................... 79,920 347,418
Barclays P.L.C ................... 31,438 365,246
Bass P.L.C. ...................... 18,400 231,846
Boots Co., P.L.C. ................ 20,298 191,232
British Gas P.L.C. ............... 92,200 270,290
British Petroleum Co., P.L.C. .... 111,009 953,965
British Telecommunications P.L.C. 133,400 733,645
Cable and Wireless P.L.C. ........ 44,043 302,517
Cadbury Schweppes P.L.C. ......... 20,842 155,732
General Electric Co. P.L.C. ...... 57,881 333,544
Glaxo Holdings P.L.C. ............ 69,814 908,299
Granada Group P.L.C. ............. 13,000 165,514
Grand Metropolitan P.L.C. ........ 50,919 342,657
Great Universal Stores P.L.C. .... 21,200 222,852
Guinness P.L.C. .................. 43,200 311,095
HSBC Holdings P.L.C. ............. 14,000 212,898
Hanson P.L.C. .................... 109,030 315,412
Imperial Chemical Industries
P.L.C. .......................... 15,800 208,984
Lloyds TSB P.L.C. ................ 101,086 489,470
Marks & Spencer P.L.C. ........... 59,661 426,867
National Power P.L.C. ............ 23,900 192,631
National Westminster Bank P.L.C. . 37,904 365,605
Prudential Corp. P.L.C. .......... 42,283 280,944
RTZ Corp. P.L.C. ................. 21,241 330,405
Reuters Holdings P.L.C. .......... 34,200 396,806
Sainsbury (J.) P.L.C. ............ 36,415 223,364
Shell Transport & Trading Co.,
P.L.C. .......................... 65,800 934,456
Smithkline Beecham P.L.C. ........ 28,187 286,705
Standard Chartered P.L.C. ........ 15,000 148,744
Sun Alliance Group P.L.C. ........ 16,222 99,754
Tesco P.L.C. ..................... 45,329 211,424
Thorn EMI P.L.C. ................. 7,000 194,272
Unilever P.L.C. .................. 17,200 319,301
Vendome Luxury Group P.L.C. Units 15,100 148,100
Vodafone Group P.L.C. ............ 49,000 193,677
Whitbread P.L.C. ................. 10,000 113,086
Zeneca Group P.L.C. .............. 15,200 322,147
--------------
TOTAL COMMON STOCKS
(Cost $10,298,358) ................ 13,424,346
--------------
INVESTMENT IN CURRENCY -- (0.2%)
*British Pound Sterling
(Cost $132,090) ................. 135,612
--------------
RIGHTS/WARRANTS -- (0.0%)
*BTR P.L.C. Warrants 1993-98
(Cost $0) ....................... 270 36
--------------
TOTAL -- UNITED KINGDOM
(Cost $10,430,448) ............... 13,559,994
--------------
GERMANY -- (8.0%)
COMMON STOCKS -- (8.0%)
Basf AG .......................... 1,500 416,913
Bayer AG ......................... 1,400 468,043
Bayerische Motorenwerke AG BMW,
Muenchen ........................ 481 264,858
<PAGE>
Shares Value+
--------- --------------
#Commerzbank AG ................... 774 $ 161,345
*Daimler-Benz AG .................. 1,045 571,308
Deutsche Bank AG ................. 9,800 460,288
Dresdner Bank .................... 8,680 217,640
Hochtief AG ...................... 151 66,814
Hoechst AG ....................... 1,200 399,449
Mannesmann AG .................... 743 257,797
#RWE AG ........................... 13,250 523,312
Siemens AG ....................... 11,000 617,096
Thyssen .......................... 650 120,285
Veba AG .......................... 12,000 628,122
Viag AG .......................... 425 165,431
*Viag AG Em 96 .................... 121 45,608
Volkswagen ....................... 550 194,114
--------------
TOTAL COMMON STOCKS
(Cost $3,578,832) ................. 5,578,423
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $50,220) ...... 50,338
--------------
TOTAL -- GERMANY
(Cost $3,629,052) ................. 5,628,761
--------------
FRANCE -- (7.8%)
COMMON STOCKS -- (7.5%)
Accor SA ......................... 495 71,399
Air Liquide ...................... 1,660 288,933
Alcatel Alsthom Cie Generale
d'Electricite SA ................ 3,444 314,060
Axa SA ........................... 4,367 247,816
*Axa SA Em 96 ..................... 89 4,939
C.S.F. (Thomson-Csf) ............. 2,283 59,716
Canal Plus SA .................... 468 114,803
Carrefour Supermarche SA ......... 600 328,751
Compagnie De Suez SA (Ex Compagnie
Financiere De Suez) ............. 3,079 118,927
Elf Aquitaine .................... 5,127 371,447
*Euro Disney SCA .................. 15,150 40,185
Financiere de Paribas SA Series A 2,350 143,684
Generale des Eaux ................ 2,693 288,331
Groupe Danone .................... 1,646 240,925
Havas SA ......................... 955 81,725
L'Oreal .......................... 1,400 426,370
LVMH (Louis Vuitton Moet Hennessy) 2,016 489,461
LaFarge Coppee SA ................ 1,834 120,870
Lyonnais des Eaux SA ............. 1,168 113,295
Pechiney International ........... 1,600 32,062
Pernod-Ricard .................... 1,260 82,894
Peugeot SA ....................... 950 132,430
Saint-Gobain ..................... 1,901 244,020
Sanofi SA ........................ 2,378 183,150
*Schneider SA ..................... 2,480 114,853
Societe Generale ................. 1,691 180,067
Total SA (Ex Total Cie Francaise
Des Petroles) ................... 5,365 388,170
--------------
TOTAL COMMON STOCKS
(Cost $4,028,736) ................. 5,223,283
--------------
INVESTMENT IN CURRENCY -- (0.1%)
*French Francs (Cost $47,379) ..... 47,007
--------------
RIGHTS/WARRANTS -- (0.2%)
*Carrefour Supermarche SA Rights
07/02/96 (Cost $55,504) ......... 600 164,956
--------------
</TABLE>
63
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
TOTAL -- FRANCE
(Cost $4,131,619) ................. $5,435,246
--------------
SWITZERLAND -- (6.8%)
COMMON STOCKS -- (6.8%)
Bbc AG Brn Bov & Cie ............. 186 222,427
#CS Holding, Zuerich (Namen) ...... 3,575 308,633
Ciba-Geigy SA, Basel (Namen) ..... 543 597,690
Financiere Richemont AG Units -A- 86 127,522
Nestle SA, Cham et Vevey ......... 853 961,415
Roche Holding AG, Basel .......... 79 961,451
SBG (Schweizerische
Bankgesellschaft) ............... 556 520,889
SBV (Schweizerischer Bankverein)
(Namen) ......................... 1,546 274,968
Sandoz AG, Basel ................. 755 783,366
--------------
TOTAL COMMON STOCKS
(Cost $2,428,819) ................. 4,758,361
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $21,207) ...... 20,827
--------------
TOTAL -- SWITZERLAND
(Cost $2,450,026) ................. 4,779,188
--------------
NETHERLANDS -- (5.1%)
COMMON STOCKS -- (5.0%)
ABN AMRO Holding NV .............. 1,021 56,268
Aegon NV ......................... 917 43,884
Internationale Nederlanden Groep
NV .............................. 7,956 654,428
Philips Electronics NV ........... 1,100 38,998
Polygram NV ...................... 600 35,102
Royal Dutch Petroleum Co., Den
Haag ............................ 13,300 2,016,047
Unilever NV ...................... 4,800 652,618
--------------
TOTAL COMMON STOCKS
(Cost $2,195,868) ................. 3,497,345
--------------
INVESTMENT IN CURRENCY -- (0.1%)
*Netherlands Guilder (Cost $48,106) 48,677
--------------
TOTAL -- NETHERLANDS
(Cost $2,243,974) ................. 3,546,022
--------------
HONG KONG -- (3.8%)
COMMON STOCKS -- (3.8%)
Cathay Pacific Airways, Ltd. ..... 43,000 79,486
China Light & Power Co., Ltd. .... 30,000 142,709
Citic Pacific, Ltd. .............. 24,000 98,655
Hang Seng Bank, Ltd. ............. 32,600 340,286
Henderson Land Development Co.,
Ltd. ............................ 18,000 136,117
Hong Kong Telecommunications, Ltd. 188,400 349,475
HongKong Electric Holdings, Ltd. . 30,500 97,776
Hutchison Whampoa, Ltd. .......... 61,000 391,895
New World Development Co. Ltd .... 31,000 147,066
Sung Hungkai Properties, Ltd. .... 47,000 479,964
Swire Pacific, Ltd. Series A ..... 27,000 239,950
Wharf Holdings, Ltd. ............. 41,000 158,202
--------------
TOTAL COMMON STOCKS
(Cost $2,338,447) ................. 2,661,581
--------------
<PAGE>
Shares Value+
--------- --------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $25,865) .. $ 25,852
--------------
TOTAL -- HONG KONG
(Cost $2,364,312) ................. 2,687,433
--------------
AUSTRALIA -- (3.2%)
COMMON STOCKS -- (3.2%)
Amcor, Ltd. ...................... 12,538 85,588
Australia & New Zealand Banking
Group, Ltd ...................... 27,732 127,534
Boral, Ltd ....................... 22,025 57,854
Brambles Industries, Ltd. ........ 3,950 55,505
Broken Hill Proprietary Co., Ltd. 37,382 564,088
CRA, Ltd. ........................ 12,510 202,856
Coles Myer, Ltd. ................. 20,899 76,421
Csr, Ltd. ........................ 16,243 59,266
Fosters Brewing Group, Ltd. ...... 34,148 62,162
Mim Holdings ..................... 47,634 67,695
#National Australia Bank .......... 33,065 310,191
*News Corp., Ltd. ................. 11,035 61,937
Pacific Dunlop, Ltd. ............. 19,238 41,625
Western Mining Corp. Holdings,
Ltd. ............................ 29,047 220,085
Westpac Banking Corp. ............ 49,144 229,535
--------------
TOTAL COMMON STOCKS
(Cost $1,497,417) ................. 2,222,342
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australia Dollar (Cost $10,942) .. 11,097
--------------
TOTAL -- AUSTRALIA
(Cost $1,508,359) ................. 2,233,439
--------------
ITALY -- (3.0%)
COMMON STOCKS -- (3.0%)
Alleanza Assicurazioni SpA ....... 11,250 97,861
Alleanza Assicurazioni SpA (Risp) 103 677
Assicurazioni Generali SpA,
Trieste ......................... 16,775 397,573
#Banca Commerciale Italiana SpA ... 34,000 71,799
*Banca Nazionale dell'Agricoltura
SpA ............................. 3,000 1,862
*#Banca di Roma .................... 66,500 65,491
#Banco Ambrosiano Veneto SpA ...... 12,000 33,633
Credito Italiano ................. 39,000 48,356
*Ferruzzi Finanziaria SpA Ferfin .. 38,769 19,929
Fiat SpA ......................... 69,000 242,848
*Gemina SpA, Milano ............... 20,000 9,015
Ifil Finanziaria Partecipazioni
SpA, Torino ..................... 8,000 26,606
Italcementi Fabbriche Riunite
Cemento SpA, Bergamo ............ 1,500 12,360
*La Fondiara Assicurazioni SpA .... 4,200 21,129
*Montedison SpA ................... 99,000 60,097
#RAS SpA (Riunione Adriatica di
Sicurta) ........................ 7,465 78,772
RAS SpA (Riunione Adriatica di
Sicurta) (Risp) ................. 371 2,035
SAI SpA (Sta Assicuratrice
Industriale SpA) ................ 2,000 20,278
#Sirti SpA ........................ 4,000 25,625
Stet SpA Station Finanziaria
Telefonica Torino ............... 68,500 244,848
Telecom Italia Mobile SpA ........ 134,740 287,144
</TABLE>
64
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
Telecom Italia SpA ............... 163,740 $ 326,740
#Toro Assicurazioni Cia Anonima
d'Assicurazione di Torino SpA ... 1,000 13,044
--------------
TOTAL COMMON STOCKS
(Cost $1,554,982) ................. 2,107,722
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira (Cost $4,662) ....... 4,711
--------------
TOTAL -- ITALY (Cost $1,559,644) ... 2,112,433
--------------
SWEDEN -- (2.5%)
COMMON STOCKS -- (2.5%)
Asea AB Series A ................. 1,300 134,210
Asea AB Series B ................. 300 30,481
Astra AB Series A ................ 9,600 438,503
Astra AB Series B ................ 2,300 103,691
*Naeckebro AB Units ............... 4,200 5,833
Sandvik AB Series A .............. 3,200 70,826
#Sandvik AB Series B .............. 1,300 28,773
#Skandinaviska Enskilda Banken
Series A ........................ 10,300 81,090
Skanska/Frueher AB Skanska
Cementgjuteriet Series B ........ 2,400 78,075
Svenska Handelsbanken Series A ... 4,200 86,408
*Swedish Match AB (Frueher Svenska
Taendsticks AB) ................. 8,800 29,281
*Sydkraft AB Series C ............. 2,400 45,633
Telefon AB L.M. Ericsson Series B . 18,300 409,113
<PAGE>
Shares Value+
--------- --------------
Volvo AB Series A ................ 2,200 $ 46,732
Volvo AB Series B ................ 6,600 139,706
--------------
TOTAL COMMON STOCKS
(Cost $1,518,002) ................. 1,728,355
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $18,638) ..... 18,888
--------------
TOTAL -- SWEDEN
(Cost $1,536,640) ................. 1,747,243
--------------
Face
Amount
---------
(000)
TEMPORARY CASH INVESTMENTS -- (4.2%)
Repurchase Agreement, PNC
Securities Corp. 5.05%, 06/03/96
(Collateralized by U.S. Treasury
Notes 6.50%, 09/30/96)
(Cost $2,913,000) ............... $ 2,913 2,913,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $52,428,964) ................ $70,124,878
==============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying notes to Financial Statements
65
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------ -------------
<S> <C> <C>
JAPAN -- (34.5%)
COMMON STOCKS -- (34.3%)
*ASK Corp., Yokohama ................. 13,000 $ 72,376
Aica Kogyo Co., Ltd. ................ 75,000 534,970
Aichi Corp. ......................... 90,200 994,331
*Amada Wasino Co., Ltd. .............. 196,000 887,855
Ando Corp. .......................... 192,000 1,084,947
Araya Industrial Co., Ltd. .......... 119,000 512,598
Asahi Kogyosha Co., Ltd. ............ 85,000 605,512
Asanuma Corp. ....................... 177,000 1,100,204
Bank of Okinawa, Ltd. ............... 25,600 896,415
Bank of the Ryukyus, Ltd. ........... 25,200 896,415
Bunka Shutter Co., Ltd. ............. 110,000 820,287
Cabin Co., Ltd. ..................... 111,000 781,473
Calpis Food Industry Co., Ltd. ...... 71,000 599,176
*Central Finance Co., Ltd. ........... 39,000 177,026
*Chisan Tokan Co., Ltd. .............. 112,000 581,010
Chugoku Marine Paints, Ltd. ......... 21,000 114,775
Chuo Spring Co., Ltd., Nagoya ....... 154,000 984,345
Dai Nippon Construction ............. 133,000 905,558
Dai-Ichi Hotel, Ltd., Tokyo ......... 88,000 626,883
#Dai-Ichi Katei Denki Co., Ltd. ...... 152,000 1,043,372
Dai-Ichi Kogyo Seiyaku Co., Ltd. .... 9,000 55,859
Daidoh, Ltd. ........................ 94,000 850,746
Daiichi Cement Co., Ltd. ............ 55,000 320,982
Descente, Ltd. ...................... 91,000 648,254
*Dijet Industrial Co., Ltd. .......... 10,000 44,928
Eagle Industry Co., Ltd. ............ 69,000 856,508
#Fujirebio, Inc. ..................... 99,000 817,128
Fukuda Corp. ........................ 111,000 1,079,667
Gastec Service, Inc. ................ 71,000 529,458
*Graphtec Corp. ...................... 69,000 584,854
Gunze Sangyo, Inc., Tokyo ........... 91,000 484,715
Hanshin Sogo Bank, Ltd. ............. 224,000 1,464,975
Harima Chemicals, Inc. .............. 61,000 632,886
Hisaka Works, Ltd. .................. 9,000 110,885
Hisamitsu Pharmaceutical Co., Inc. .. 58,000 542,659
*Hochiki Corp. ....................... 9,000 76,702
Hokkai Can Co., Ltd., Tokyo ......... 150,000 1,236,684
Hokkaido Gas Co., Ltd. .............. 8,000 38,536
Hokko Chemical Industry Co., Ltd. ... 10,000 69,477
Hokuriku Electrical Construction Co.,
Ltd. ............................... 57,000 431,394
Horiba, Ltd. ........................ 74,000 1,076,239
Ichikawa Co., Ltd. .................. 9,000 54,525
Idec Izumi Corp. .................... 40,000 385,364
Ikegami Tsushinki Co., Ltd. ......... 129,000 1,044,428
Inabata and Co., Ltd., Osaka ........ 134,000 999,259
#Intec, Inc. ......................... 21,000 338,490
Ishikawa Seisakusho, Ltd. ........... 13,000 64,548
Ishizuka Glass Co., Ltd. ............ 86,000 541,732
Itoki Crebio Corp. .................. 96,000 789,699
Iwasaki Electric Co., Ltd. .......... 21,000 113,219
Japan Oil Transportation Co., Ltd. .. 8,400 57,349
Japan Transcity Corp. ............... 14,000 92,080
Japan Vilene Co., Ltd. .............. 23,000 157,879
Joban Kosan Co., Ltd. ............... 22,000 116,165
Kamei Corp. ......................... 89,000 1,063,548
Kanaden Corp. ....................... 11,000 98,944
#Kanematsu Electronics, Ltd. ......... 65,000 638,258
<PAGE>
Shares Value+
------------ -------------
#Kansei Corp. ........................ 120,000 $1,086,058
Kanto Auto Works, Ltd., Yokosuka .... 161,000 1,237,888
Kanto Bank, Ltd. .................... 21,600 730,338
Kanto Natural Gas Development Co.,
Ltd. ............................... 137,000 1,135,850
Kasumi Co., Ltd. .................... 5,000 46,318
Kato Works Co., Ltd. ................ 140,000 902,640
Kawada Industries, Inc. ............. 47,000 434,081
Kawai Musical Instruments
Manufacturing Co., Ltd. ............ 19,000 93,636
Kawashima Textile Manufacturers, Ltd.. 230,000 1,086,614
*Kawasho Corp. ....................... 183,000 915,424
Kinseki, Ltd. ....................... 66,000 1,045,484
*Kinsho-Mataichi Corp. ............... 51,000 269,291
*Kioritz Corp. ....................... 165,000 733,673
Kita-Nippon Bank, Ltd. .............. 13,900 784,169
*Kokune Corp. ........................ 69,000 388,624
Kokusai Kogyo Co., Ltd. ............. 93,000 1,378,415
Komai Tekko, Inc. ................... 74,000 628,606
Komatsu Forklift Co., Ltd., Tochigi . 28,000 195,053
*Kyotaru Co., Ltd. ................... 117,000 824,799
Kyowa Leather Cloth Co., Ltd. ....... 53,000 589,162
Kyushu Bank, Ltd. ................... 231,000 1,069,940
Life Corp. .......................... 14,000 124,502
Magara Construction Co., Ltd. ....... 12,000 76,702
Maruwn Corp. ........................ 61,000 414,201
Matsui Construction Co., Ltd. ....... 66,000 526,410
Matsuo Bridge Co., Ltd. ............. 6,000 41,964
Meito Sangyo Co., Ltd. .............. 57,000 860,676
Mitsuba Electric Manufacturing Co.,
Ltd. ............................... 83,000 991,848
Mitsubishi Pencil Co., Ltd. ......... 18,000 181,751
Mitsuuroko Co., Ltd. ................ 8,000 63,733
Miyuki Keori Co., Ltd. .............. 52,000 606,948
Morita Fire Pump Manufacturing Co.,
Ltd. ................................. 99,000 751,098
*Morozoff, Ltd., Osaka ............... 87,000 507,735
Mory Industries, Inc. ............... 12,000 80,037
*Mutoh Industries, Ltd. .............. 102,000 685,984
Mutow Co., Ltd. ..................... 62,000 476,702
Naigai Co., Ltd. .................... 187,000 1,006,457
Nakamuraya Co., Ltd. ................ 8,000 53,210
Nakano Corp. ........................ 114,000 612,506
#Neturen Co., Ltd., Tokyo ............ 99,000 863,900
Nichia Steel Works, Ltd. ............ 96,000 819,046
*Nichiboshin, Ltd. ................... 157,000 573,025
*Nichimo Co., Ltd. ................... 92,000 477,258
Nichimo Corp. ....................... 117,000 680,648
#Nihon Kohden Corp. .................. 34,000 340,157
#Nihon Matai Co., Ltd. ............... 88,000 554,331
Nihon Parkerizing Co., Ltd. ......... 79,000 528,374
Nihon Tokushu Toryo Co., Ltd. ....... 58,000 343,863
Niigata Chuo Bank, Ltd. ............. 223,000 954,386
Nippon Chemiphar Co., Ltd. .......... 85,000 607,874
Nippon Conlux Co., Ltd. ............. 11,000 101,899
Nippon Conveyor Co., Ltd. ........... 52,000 338,638
Nippon Hume Pipe Co., Ltd. .......... 67,000 539,972
Nippon Synthetic Chemical Industry
Co., Ltd. .......................... 28,000 166,003
</TABLE>
66
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
Nippon Valqua Industries, Ltd. ...... 71,000 $ 382,131
Nittoc Construction Co., Ltd. ....... 96,000 875,072
*Obayashi Road Corp. ................. 111,000 842,140
Okabe Co., Ltd. ..................... 68,000 661,417
*Oki Electric Cable Co., Ltd. ........ 10,000 51,969
Okura Industrial Co., Ltd. .......... 153,000 1,091,339
*Ono Sokki Co., Ltd. ................. 9,000 68,865
Optec Dai-Ichi Denko Co., Ltd. ...... 30,000 152,849
Pacific Industrial Co., Ltd. ........ 130,000 732,191
Parco Co., Ltd. ..................... 28,000 324,224
Pokka Corp. ......................... 76,000 915,239
Renown Look, Inc. ................... 81,000 622,788
Rheon Automatic Machinery Co., Ltd. . 53,000 598,981
#Rhythm Watch Co., Ltd. .............. 120,000 578,045
Ryoden Trading Co., Ltd. ............ 124,000 1,045,299
S.T. Chemical Co., Ltd. ............. 81,000 862,899
Sagami Co., Ltd. .................... 102,000 845,669
Sakai Chemical Industry Co., Ltd. ... 4,000 26,494
#Sakai Heavy Industries, Ltd. ........ 43,000 525,799
Sankei Building Co., Ltd. ........... 18,000 181,751
Sanyo Industries, Ltd., Tokyo ....... 79,000 520,324
*Sata Construction Co., Ltd., Gumma .. 11,000 65,113
Sato Shoji Corp. .................... 49,000 403,983
*Seikitokyu Industries Co., Ltd. ..... 146,000 845,299
Seiren Co., Ltd. .................... 138,000 947,272
Shibuya Kogyo Co., Ltd. ............. 61,000 977,582
Shikoku Chemicals Corp. ............. 17,000 104,567
Shin Nippon Air Technologies Co.,
Ltd. ............................... 56,500 915,933
#Shinko Shoji Co., Ltd. .............. 55,000 764,243
Shiroki Co., Ltd. ................... 15,000 86,151
Sintokogio, Ltd., Nagoya ............ 99,000 953,775
Soda Nikka Co., Ltd. ................ 60,000 361,278
Sotetsu Rosen Co., Ltd. ............. 5,000 40,760
Star Micronics Co., Ltd. ............ 32,000 302,362
Sumisho Computer Systems Corp. ...... 82,000 1,207,781
*Sumitomo Corporation's Leasing,
Ltd. ............................... 59,000 431,774
Sumitomo Precision Products Co.,
Ltd., Amagasaki City ............... 16,000 145,104
Sun Telephone Co., Ltd. ............. 108,000 785,364
*Suzutan Co., Ltd. ................... 104,000 746,642
TYK Corp. ........................... 107,000 822,696
*Taiheiyo Bank, Ltd. ................. 150,000 1,390
*Taiheiyo Securities Co., Ltd. ....... 243,000 1,179,546
*Taisei Fire & Marine Insurance Co.,
Ltd. ............................... 7,000 42,798
#Taisei Prefab Construction Co.,
Ltd. ............................... 162,000 1,185,549
*Taka-Q Co., Ltd. .................... 136,000 709,291
Takada Kiko Co., Ltd. ............... 53,000 549,884
Takara Co., Ltd. .................... 68,000 616,693
Takiron Co., Ltd. ................... 152,000 1,032,107
Tamura Corp. ........................ 21,000 131,700
Tasaki Shinju Co., Ltd. ............. 88,000 1,035,294
*Tayca Corp. ......................... 122,000 542,473
*Teac Corp. .......................... 7,000 45,586
Teikoku Hormone Manufacturing Co.,
Ltd. ............................... 57,000 850,116
Teikoku Tsushin Kogyo Co., Ltd. ..... 13,000 97,786
Titan Kogyo Kabushiki Kaisha ........ 62,000 407,781
*Toa Wool Spinning & Weaving Co.,
Ltd. ............................... 128,000 591,681
Tobu Store Co., Ltd. ................ 122,000 875,868
<PAGE>
Shares Value+
------------ -------------
Tochigi Fuji Industrial Co., Ltd. ... 87,000 $ 717,277
#Toda Kogyo Corp. .................... 117,000 975,452
Tohto Suisan Co., Ltd. .............. 90,000 491,894
*Tokai Kanko Co., Ltd. ............... 21,000 44,743
*Tokai Maruman Securities Co., Ltd. .. 100,000 621,584
*Tokai Senko K.K. Nagoya ............. 86,000 479,592
Tokushu Paper Manufacturing Co.,
Ltd. ............................... 7,000 77,165
Tokuyo City Bank, Ltd. .............. 191,000 601,575
Tokyo Denki Komusho Co., Ltd. ....... 94,700 982,529
*Tokyo Nissan Auto Sales Co., Ltd. ... 34,000 261,732
*Tokyo Tekko Co., Ltd. ............... 105,000 731,450
*Tokyu Tourist Corp. ................. 54,000 272,626
*Topcon Corp. ........................ 15,000 209,819
Topre Corp. ......................... 135,000 1,150,533
*Torishima Pump Manufacturing Co.,
Ltd., Osaka ........................ 70,000 647,800
Tosho Printing Co., Ltd. ............ 6,000 40,241
Totenko Co., Ltd. ................... 58,000 372,876
Totoku Electric Co., Ltd., Tokyo .... 12,000 100,602
*Toyo Information System Co., Ltd. ... 95,000 1,311,254
*Toyo Securities Co., Ltd. ........... 139,000 637,378
*Toyoda Boshoku Corp. ................ 71,000 320,306
Tsudakoma Corp. ..................... 159,000 1,185,688
Tsugami Corp. ....................... 23,000 117,397
Tsurumi Manufacturing Co., Ltd. ..... 7,000 83,650
Uchida Yoko Co., Ltd. ............... 122,000 847,615
Ueki Corp. .......................... 80,000 422,418
*Yahagi Construction Co., Ltd. ....... 96,000 782,585
#Yamato International, Inc. .......... 72,000 420,195
Yokohama Reito Co., Ltd. ............ 8,000 111,163
Yomeishu Seizo Co., Ltd. ............ 9,000 88,374
Yondenko Corp. ...................... 90,000 850,394
*Yoshihara Oil Mill, Ltd. ............ 2,000 11,394
-------------
TOTAL COMMON STOCKS
(Cost $98,459,827) ................... 112,934,460
-------------
INVESTMENT IN CURRENCY -- (0.2%)
*Japanese Yen (Cost $672,025) ........ 675,065
-------------
TOTAL -- JAPAN
(Cost $99,131,852) ................... 113,609,525
-------------
UNITED KINGDOM -- (17.0%)
COMMON STOCKS -- (16.9%)
600 Group P.L.C. .................... 44,000 186,506
ABI Leisure Group P.L.C. ............ 65,000 104,577
APTA Healthcare P.L.C. .............. 108,000 25,061
APV P.L.C. .......................... 25,881 26,625
ASDA Property Holdings P.L.C. ....... 111,000 250,707
ASW Holdings P.L.C. ................. 150,000 183,320
Abbeycrest P.L.C. ................... 70,000 131,031
Acatos & Hutcheson P.L.C. ........... 60,404 239,219
Adam & Harvey Group P.L.C. .......... 8,000 47,648
Adwest Group P.L.C. ................. 150,000 341,114
Airflow Streamlines P.L.C. .......... 8,000 34,405
Alexanders Holdings P.L.C. .......... 71,000 18,672
Allders P.L.C. ...................... 167,000 514,115
Allied London Properties P.L.C. ..... 183,000 201,002
Amec P.L.C. ......................... 288,571 502,222
Amstrad P.L.C. ...................... 196,000 471,495
Andrews Sykes Group P.L.C. .......... 11,000 62,793
Anglo Eastern Plantations P.L.C. .... 32,195 69,728
Apollo Metals P.L.C. ................ 20,000 35,272
Appleyard Group P.L.C. .............. 120,000 202,348
Arlen P.L.C. ........................ 100,000 75,803
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
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<S> <C> <C>
*Ascot Holdings P.L.C. ............... 52,000 $290,403
Associated Nursing Services P.L.C. .. 35,000 76,344
Austin Reed Group P.L.C. ............ 55,000 193,143
Avesco P.L.C. ....................... 24,000 92,820
Avon Rubber P.L.C. .................. 26,730 261,754
Avonside Group P.L.C. ............... 75,000 44,090
BM Group P.L.C. ..................... 200,000 88,179
BSG International P.L.C. ............ 552,500 688,047
BSM Group P.L.C. .................... 50,000 140,777
Babcock International Group P.L.C. .. 300,000 478,023
Baggeridge Brick P.L.C. ............. 60,000 103,030
Baird (William) P.L.C. .............. 236,500 764,658
Baldwin P.L.C. ...................... 30,000 58,941
Banks (Sidney C.) P.L.C. ............ 12,000 60,333
Barcom P.L.C. ....................... 70,000 58,477
Bardon Group P.L.C. ................. 572,536 338,785
Barr & Wallace Arnold Trust P.L.C. .. 15,000 55,228
*Barr Transport P.L.C. ............... 7,500 39,797
Barratt Developments P.L.C. ......... 19,200 76,335
Beales Hunter P.L.C. ................ 6,000 19,028
Bellway P.L.C. ...................... 50,000 247,520
*Bellwinch P.L.C. .................... 90,000 27,846
Bentalls P.L.C. ..................... 90,000 174,038
Berkeley Group P.L.C. ............... 17,355 158,136
Bett Brothers P.L.C. ................ 14,000 30,321
Betterware P.L.C. ................... 50,634 84,989
Bibby (J.) & Sons P.L.C. ............ 25,000 48,731
Bilton P.L.C. ....................... 155,000 534,721
Birkby P.L.C. ....................... 50,000 136,910
*Birse Group P.L.C. .................. 251,000 89,308
Black Arrow Group P.L.C. ............ 35,000 24,365
Blagden Industries P.L.C. ........... 153,000 373,972
Blockleys P.L.C. .................... 45,000 39,681
Boot (Henry) & Sons P.L.C. .......... 50,000 181,773
Bourne End Properties P.L.C. ........ 100,000 71,162
Boustead P.L.C. ..................... 67,000 20,730
Breedon P.L.C. ...................... 16,000 22,772
Bridon P.L.C. ....................... 99,000 183,784
Bridport-Gundry P.L.C. .............. 10,000 23,205
Bristol Evening Post P.L.C. ......... 61,511 388,243
*British Building and Engineering
Appliances, Ltd. ................... 20,000 13,304
British Data Management P.L.C. ...... 15,000 37,592
British Dredging P.L.C. ............. 42,000 83,816
British Fittings Group P.L.C. ....... 76,000 132,856
British Mohair Holdings P.L.C. ...... 10,000 21,967
British-Borneo Petroleum Syndicate
P.L.C. ............................. 36,010 330,902
Bruntcliffe Aggregates P.L.C. ....... 76,000 32,920
Bryant Group P.L.C. ................. 278,666 538,870
Budgens P.L.C. ...................... 170,000 122,290
Bullough P.L.C. ..................... 200,000 334,152
*Burford Holdings P.L.C. ............. 55,000 112,312
Burndene Investments P.L.C. ......... 113,903 68,721
Burtonwood Brewery P.L.C. ........... 29,580 74,132
CLS Holdings P.L.C. ................. 135,000 223,464
Cala P.L.C. ......................... 175,000 265,311
Calderburn P.L.C. ................... 150,000 92,820
Cantors P.L.C. ...................... 11,000 29,099
Cape P.L.C. ......................... 225,000 581,285
Capital & Regional Properties
P.L.C. ............................. 64,000 186,135
*Carlisle Group P.L.C. ............... 172,000 57,208
Carr's Milling Industries P.L.C. .... 11,000 53,604
Cater Allen Holdings P.L.C. ......... 55,500 338,282
<PAGE>
Shares Value+
------------ -------------
*Cathay International P.L.C. ......... 920,000 $156,556
Central Motor Auctions P.L.C. ....... 68,000 97,832
Charles Sidney P.L.C. ............... 59,000 94,011
Chelsfield P.L.C. ................... 79,000 320,198
Chesterfield Properties P.L.C. ...... 27,000 192,555
Chime Communications P.L.C. ......... 100,000 64,974
Chloride Group P.L.C. ............... 316,000 142,989
Chrysalis Group P.L.C. .............. 48,000 393,557
Church & Co. P.L.C. ................. 21,000 146,192
Clarke, Nickolls & Coombs P.L.C. .... 248,000 27,815
Clarkson (Horace) P.L.C. ............ 31,000 50,355
Clinton Cards P.L.C. ................ 31,000 72,415
*Clubhaus P.L.C. ..................... 182,000 17,597
Clyde Blowers P.L.C. ................ 8,000 33,910
Clyde Petroleum P.L.C. .............. 580,000 569,760
Colefax & Fowler Group P.L.C. ....... 96,000 96,533
Community Hospitals Group P.L.C. .... 59,000 266,517
Concentric P.L.C. ................... 100,000 292,383
Conrad Ritblat Group P.L.C. ......... 26,300 99,681
Continental Foods P.L.C. ............ 20,000 23,205
Cook (D.C.) Holdings, Ltd. .......... 50,000 49,504
Cook (William) P.L.C. ............... 39,000 159,882
Cornwell Parker P.L.C. .............. 8,000 22,277
Cosalt P.L.C. ....................... 20,000 55,692
*Costain Group P.L.C. ................ 73,000 89,215
Countryside Property P.L.C. ......... 103,660 120,272
Courts P.L.C. ....................... 50,000 707,752
Cray Electronic Holdings P.L.C. ..... 800,000 569,296
Crest Nicholson P.L.C. .............. 140,000 164,601
Crest Packaging P.L.C. .............. 75,000 87,019
Crestacare P.L.C. ................... 427,000 198,171
Cropper (James) P.L.C. .............. 14,000 60,426
*Cussins Property Group P.L.C. ....... 25,000 32,874
DRS Data Research Services P.L.C. ... 51,000 28,403
Daejan Holdings P.L.C. .............. 27,000 498,304
Dagenham Motors Group P.L.C. ........ 41,000 103,386
Dalepak Foods P.L.C. ................ 26,000 35,798
Dawson Group P.L.C. ................. 68,000 221,964
Dawson International P.L.C. ......... 390,000 536,964
Debenham Tewson & Chinnocks Holdings
P.L.C. ............................. 42,423 30,845
Delyn Group P.L.C. . ................ 18,000 22,555
Dencora P.L.C. ...................... 20,000 46,719
Derwent Valley Holdings P.L.C. ...... 39,000 222,025
Development Securities P.L.C. ....... 70,000 206,834
Dixon Motors P.L.C. ................. 30,000 120,666
Dolphin Packaging P.L.C. ............ 21,000 53,928
Dwyer Estates P.L.C. ................ 50,000 33,261
EIS Group P.L.C. .................... 83,000 498,196
ERF Holdings P.L.C. ................. 18,000 81,867
*Eidos P.L.C. ........................ 1,282 16,461
*Eleco Holdings P.L.C. ............... 68,900 18,120
Electronic Data Processing P.L.C. ... 25,000 37,902
Emess P.L.C. ........................ 200,000 111,384
English & Overseas Properties P.L.C... 50,000 14,697
Etam P.L.C. ......................... 95,000 257,189
Eurocopy P.L.C. ..................... 50,000 68,068
European Motor Holdings P.L.C. ...... 250,000 386,750
Evans Halshaw Holdings P.L.C. ....... 53,000 301,727
Evans of Leeds P.L.C. ............... 174,000 314,938
Ex-Lands Properties P.L.C. .......... 182,000 30,971
Excalibur Group P.L.C. .............. 75,000 26,106
Exco P.L.C. ......................... 200,000 312,494
</TABLE>
68
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
Eyecare Products P.L.C. ............. 85,000 $ 60,488
Faber Prest P.L.C. .................. 24,000 168,932
Fenchurch P.L.C. .................... 115,000 209,038
Fenner P.L.C. ....................... 125,000 309,400
Finlay (James) P.L.C. ............... 150,000 192,602
Fiscal Properties P.L.C. ............ 75,000 64,974
Five Oaks Investments P.L.C. ........ 168,000 68,872
French (Thomas) & Sons P.L.C. ....... 17,000 15,253
Friendly Hotels P.L.C. .............. 35,538 98,959
Frogmore Estates P.L.C. ............. 52,039 415,402
Frost Group P.L.C. .................. 96,000 164,848
GEI International P.L.C. ............ 50,000 115,252
Galliford P.L.C. .................... 160,000 53,217
Geest P.L.C. ........................ 40,000 128,710
Gent (S.R.) P.L.C. .................. 77,000 101,251
Gerrard & National Holdings P.L.C. .. 52,450 299,407
Gleeson (M.J.) Group P.L.C. ......... 14,300 189,808
Goldsborough Healthcare P.L.C. ...... 86,000 160,981
Grainger Trust, Ltd. ................ 42,000 189,724
Greene King P.L.C. .................. 59,000 610,615
*Greenwich Resources P.L.C. .......... 156,000 37,406
Greycoat P.L.C. ..................... 182,000 411,069
Hall Engineering (Holdings) P.L.C. .. 81,000 335,823
Hambro Countrywide P.L.C. ........... 196,000 215,281
Hamlet Group P.L.C. ................. 42,000 59,126
Hampson Industries P.L.C. ........... 65,571 59,849
Hardy Oil & Gas P.L.C. .............. 161,000 585,306
Hardys & Hansons P.L.C. ............. 72,500 338,716
*Harris (Philip) P.L.C. .............. 35,000 145,109
Hartstone Group P.L.C. .............. 975,000 188,541
Hazlewood Foods P.L.C. .............. 395,500 624,074
Helene P.L.C. ....................... 282,000 37,082
*Helical Bar P.L.C. .................. 23,000 139,478
Hemingway Properties P.L.C. ......... 300,000 134,589
*Hi-Tech Sports P.L.C. ............... 61,000 48,127
Hickson International P.L.C. ........ 206,000 248,572
Higgs & Hill P.L.C. ................. 87,000 121,130
Hill & Smith Holdings P.L.C. ........ 56,639 99,011
Hollas Group P.L.C. ................. 100,000 10,829
Holt (Joseph) P.L.C. ................ 2,128 104,522
Hopkinsons Group P.L.C. ............. 312,000 168,932
*Horace Small Apparel P.L.C. ......... 48,000 64,603
*Huntingdon International Holdings
P.L.C. ............................. 107,000 158,908
*IAF Group P.L.C. .................... 665,000 102,876
Ibstock P.L.C. ...................... 355,000 373,446
Independent Insurance Group P.L.C. .. 34,000 262,990
Industrial Control Services Group
P.L.C. ............................. 25,000 53,758
*Industrial Control Services Group
P.L.C. Issue 96 .................... 8,334 17,921
Ipeco Holdings P.L.C. ............... 56,000 67,573
JLI Group P.L.C. .................... 114,000 93,470
*Jeyes Group P.L.C. .................. 39,000 85,673
Johnson Group Cleaners P.L.C. ....... 37,000 164,848
Johnston Group P.L.C. ............... 5,000 29,393
Joseph (Leopold) Holdings P.L.C. .... 9,000 59,590
Kalamazoo Computer Group P.L.C. ..... 10,000 17,791
Kelsey Industries P.L.C. ............ 3,000 21,024
King & Shaxson Holdings P.L.C. ...... 17,000 44,971
Kunick P.L.C. ....................... 181,000 86,802
Laing (John) P.L.C. ................. 68,354 335,207
Leigh Interests P.L.C. .............. 121,100 192,962
Lex Service P.L.C. .................. 15,450 87,239
<PAGE>
Shares Value+
------------ -------------
Lilleshall P.L.C. ................... 29,000 $ 33,199
Linton Park P.L.C. .................. 11,500 64,580
London Industrial P.L.C. ............ 30,000 129,948
London Merchant Securities P.L.C. ... 301,000 430,723
Lookers P.L.C. ...................... 27,000 59,312
*Lovell (Y.J.) Holdings P.L.C. ....... 29,000 7,066
MS International P.L.C. ............. 49,000 23,499
MTM P.L.C. .......................... 66,000 98,018
Mackie International Group P.L.C. ... 9,500 50,409
Malaya Group P.L.C. ................. 250,000 52,211
Mallett P.L.C. ...................... 25,000 33,261
Mansfield Brewery P.L.C. ............ 138,000 747,200
Marshalls P.L.C. .................... 142,800 382,177
Marston Thompson & Evershed P.L.C. .. 92,000 496,711
Martin International Holdings
P.L.C. ............................. 62,000 22,060
Matthews (Bernard) P.L.C. ........... 147,000 238,779
Maunders (John) Group P.L.C. ........ 45,000 146,888
McAlpine (Alfred) P.L.C. ............ 71,000 188,920
McCarthy & Stone P.L.C. ............. 101,000 139,060
McDonnell Information Systems Group
P.L.C. ............................. 102,000 142,015
*McKay Securities P.L.C. ............. 12,000 23,576
*Merchant Retail Group P.L.C. ........ 153,000 40,829
*Merrydown P.L.C. .................... 55,000 105,505
*Micro Focus Group P.L.C. ............ 15,500 221,322
*Mid-States P.L.C. ................... 50,000 29,780
Midland Independent Newspapers
P.L.C. ............................. 100,000 228,956
Molins P.L.C. ....................... 5,500 86,191
Moorfield Estates P.L.C. ............ 70,000 33,570
Morland & Co. P.L.C. ................ 52,800 510,510
Motor World Group P.L.C. ............ 11,000 38,288
Mowlem (John) & Co. P.L.C. .......... 349,000 485,913
Mucklow (A & J) Group P.L.C. ........ 114,000 250,428
NSM P.L.C. .......................... 44,000 36,757
Neepsend P.L.C. ..................... 43,000 31,930
Neotronics Technology P.L.C. ........ 83,000 75,757
Nightfreight P.L.C. ................. 75,000 96,301
Nobo Group P.L.C. ................... 14,000 26,423
Norcor Holdings P.L.C. .............. 20,000 24,752
*Norcros P.L.C. ...................... 237,000 355,640
Nurdin & Peacock, Ltd. .............. 193,200 457,287
Oliver Group P.L.C. ................. 43,000 31,265
PSIT P.L.C. ......................... 248,800 558,096
Parkland Group P.L.C. ............... 40,000 112,003
Partridge Fine Arts P.L.C. .......... 33,000 40,841
Paterson Zochonis P.L.C. ............ 35,000 250,691
Peel Holdings P.L.C. ................ 115,000 747,200
Perry Group P.L.C. .................. 52,000 157,670
Persimmon P.L.C. .................... 147,000 523,041
Photo-Me International P.L.C. ....... 94,000 235,577
Pifco Holdings P.L.C. ............... 10,000 36,819
Pittards P.L.C. ..................... 39,000 37,406
Pittencrieff Resources P.L.C. ....... 54,394 40,391
Plantation & General Investment
P.L.C. ............................. 24,000 21,163
Plysu P.L.C. ........................ 100,000 281,554
Premier Consolidated Oilfields
P.L.C. ............................. 150,000 68,455
Property Partnerships P.L.C. ........ 10,000 39,449
Prowting P.L.C. ..................... 77,261 161,356
QS Holdings P.L.C. .................. 71,000 51,623
Quadrant Group P.L.C. ............... 118,000 27,382
Quick Group P.L.C. .................. 61,732 167,124
</TABLE>
69
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
RCO Holdings P.L.C. ................. 20,000 $ 83,229
Raglan Property P.L.C. .............. 300,000 112,544
*Raine P.L.C. ........................ 338,000 84,969
Rea Brothers Group P.L.C. ........... 67,906 60,929
Readicut International P.L.C. ....... 279,810 268,377
Record Holdings P.L.C. .............. 69,000 80,057
Ricardo Group P.L.C. ................ 95,000 201,342
Richards P.L.C. ..................... 62,000 63,303
Richardsons Westgarth P.L.C. ........ 24,000 28,960
Ropner P.L.C. ....................... 21,000 41,908
Rowe Evans Investments P.L.C. ....... 36,000 73,513
Royal Doulton P.L.C. ................ 78,000 347,518
Ruberoid P.L.C. ..................... 150,000 334,152
Rugby Estates P.L.C. ................ 16,000 23,514
Russell (Alexander) P.L.C. .......... 40,000 77,350
Saville (J.) Gordon Group P.L.C. .... 150,000 127,628
Savills P.L.C. ...................... 66,000 72,492
Scholl P.L.C. ....................... 20,000 81,991
Scottish Metropolitan Property
P.L.C. ............................. 354,400 416,675
Shaftesbury P.L.C. .................. 100,000 224,315
Sharpe & Fisher P.L.C. .............. 14,000 41,583
Sherwood Group P.L.C. ............... 69,000 118,485
*ShopRite Group P.L.C. ............... 146,000 37,267
Sidlaw Group P.L.C. ................. 88,000 137,497
*Signet Group P.L.C. ................. 438,700 190,027
Silentnight Holdings P.L.C. ......... 40,000 153,153
*Simon Engineering P.L.C. ............ 140,000 158,103
Sinclair (William) Holdings P.L.C. .. 20,000 63,118
Sirdar P.L.C. ....................... 55,000 64,665
Smith (James) Estates P.L.C. ........ 50,000 82,765
Southend Property Holdings P.L.C. ... 216,000 137,002
Specialty Shops P.L.C. .............. 18,000 32,858
Spring Ram Corp. P.L.C. ............. 644,000 179,328
St. Modwen Properties P.L.C. ........ 166,000 156,649
Stanley Leisure Organisation P.L.C. . 76,466 566,623
Stoddard Sekers International
P.L.C. ............................. 98,000 36,385
*Tadpole Technology P.L.C. ........... 20,000 20,420
*Tandem Group P.L.C. ................. 72,000 14,480
Tay Homes P.L.C. .................... 92,000 216,332
*Tiphook P.L.C. ...................... 96,355 19,378
Tops Estates P.L.C. ................. 63,315 129,292
Tottenham Hotspur P.L.C. ............ 16,000 93,563
*Tottenham Hotspur P.L.C. Issue 96 ... 4,000 23,391
Town Centre Securities P.L.C. ....... 240,000 356,429
Trafford Park Estates P.L.C. ........ 102,721 200,226
Transport Development Group P.L.C. .. 265,900 808,297
Tring International Group P.L.C. .... 60,000 33,415
Ugland International Holdings
P.L.C. ............................. 44,000 51,051
Union P.L.C. ........................ 50,000 75,803
United Industries P.L.C. ............ 130,000 30,167
Vaux Group P.L.C. ................... 43,366 191,199
Vert (Jacques) P.L.C. ............... 20,000 22,586
Vibroplant P.L.C. ................... 185,000 248,990
*Villiers Group P.L.C. ............... 167,000 28,418
*Wainhomes P.L.C. .................... 40,000 61,880
Ward Holdings P.L.C. ................ 145,000 95,334
Warner Estate Holdings P.L.C. ....... 99,000 303,243
Warnford Investments P.L.C. ......... 12,000 38,056
*Wates City of London Properties
P.L.C. ............................. 281,099 337,017
Watts, Blake, Bearne & Co. P.L.C. ... 14,000 111,539
<PAGE>
Shares Value+
------------ -------------
Westbury P.L.C. ..................... 127,050 $ 426,506
Westminster Health Care Holdings
P.L.C. ............................. 37,500 184,480
Wew Group ........................... 217,000 73,854
Whessoe P.L.C. ...................... 80,000 158,413
Wholesale Fittings P.L.C. ........... 15,000 92,356
Wilson (Connolly) Holdings P.L.C. ... 145,000 406,010
Wilson Bowden P.L.C. ................ 66,900 456,410
Wintrust P.L.C. ..................... 24,000 112,498
Wyevale Garden Centres P.L.C. ....... 32,000 102,473
Yorkshire Chemicals P.L.C. .......... 90,000 399,590
Yorkshire Food Group P.L.C. ......... 70,000 85,549
Young & Co's Brewery P.L.C.
Class A ............................ 5,000 47,802
Young (H.) Holdings P.L.C. .......... 29,000 56,527
-------------
TOTAL COMMON STOCKS
(Cost $52,015,744) ................... 55,719,097
-------------
INVESTMENT IN CURRENCY -- (0.1%)
*British Pound Sterling
(Cost $176,227) ...................... 182,047
-------------
RIGHTS/WARRANTS -- (0.0%)
*Chelsfield P.L.C. Rights 06/13/96 ... 23,700 14,666
*Ibstock Funding P.L.C. Rights
06/13/96 ........................... 236,666 21,967
-------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................ 36,633
-------------
TOTAL -- UNITED KINGDOM
(Cost $52,191,971) ................... 55,937,777
-------------
GERMANY -- (8.3%)
COMMON STOCKS -- (7.9%)
Aachener und Muenchener
Lebensversicherung AG .............. 1,000 426,090
Barmag AG ........................... 5,600 631,400
*Bremer Woll-Kaemmerei AG ............ 2,910 167,866
Brillant AG ......................... 344 68,326
*Ceag Industrie-Aktien und Anlagen AG 343 18,212
DLW AG .............................. 2,800 252,376
DSL Holding AG ...................... 8,750 1,012,373
Deutsche Hypotheken Bank AG,
Hannover/Berlin .................... 3,753 836,460
Deutsche Kontinentale
Rueckversicherungs AG .............. 415 53,592
*Deutsche Verkehrs-Bank AG ........... 1,908 243,894
*Dierig Holding AG ................... 950 49,820
*Doerries Scharmann AG ............... 10,910 14,304
Dyckerhoff & Widmann AG ............. 9,112 1,218,517
Escada AG ........................... 2,649 448,012
*Ex-Cell-O Holding AG ................ 600 57,030
Felten & Guilleaume Energietechnik AG 5,000 675,188
Flender (A. Friedrich) AG ........... 5,812 529,576
Fuchs Petrolub AG Oel & Chemie ...... 3,217 369,043
Harpener AG ......................... 1,256 230,534
Heilit & Woerner Bau AG ............. 5,000 396,591
Herlitz AG .......................... 8,146 1,085,599
Honsel-Werke AG ..................... 2,000 148,148
*Hutschenreuther AG .................. 1,495 130,341
Iwka AG ............................. 3,900 783,579
KM Europa Metal AG .................. 9,705 862,030
*KM Europa Metal AG Em 95 ............ 1,484 123,448
KSB AG .............................. 3,245 506,267
</TABLE>
70
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
*Kaufhalle AG ........................ 11,607 $ 1,247,820
Kaufring AG ......................... 7,500 457,227
*Kloeckner-Werke AG .................. 16,000 571,616
Leffers AG, Bielefeld ............... 1,750 238,610
Lehnkering-Montan-Transport AG ...... 480 64,503
Leonische Drahtwerke AG ............. 150 46,214
*Linotype-Hell AG .................... 6,900 520,157
*Massa AG ............................ 930 76,205
Mauser Waldeck AG ................... 1,151 154,674
*Mueller-Weingarten AG ............... 389 70,890
*Neue Baumwoll-Spinnerei und Weberei
Hof AG ............................. 1,473 55,521
Nuernberger Hypothekenbank AG ....... 1,366 385,041
*Orenstein & Koppel AG ............... 9,501 423,512
*Phoenix AG, Hamburg ................. 1,854 272,114
Rheinboden Hypothekenbank AG ........ 3,750 638,643
Rheinmetall Berlin AG ............... 6,880 1,023,769
Rosenthal AG ........................ 2,210 158,633
Salamander AG, Kornwesteim .......... 7,779 1,012,213
Sinn AG ............................. 2,340 368,142
Sixt AG ............................. 600 169,125
Stern-Brauerei Carl Funke AG ........ 300 19,666
Stoehr & Co. AG ..................... 2,492 245,034
Strabag AG .......................... 8,800 908,555
Sueddeutsche Bodencreditbank AG ..... 302 80,177
Triton-Belco AG, Hamburg ............ 1,907 155,010
Tucher Braeu AG ..................... 1,047 75,497
*Varta AG ............................ 5,611 1,175,165
Verseidag AG ........................ 1,205 92,814
Voegele (Joseph) AG ................. 597 95,880
WMF (Wuerttembergische
Metallwarenfabrik AG) .............. 3,692 762,360
Walter Bau AG ....................... 4,427 798,050
Wanderer-Werke AG ................... 200 17,044
Weru AG ............................. 950 341,265
Westag & Getalit .................... 1,110 286,686
Wuerttembergische AG ................ 2,474 1,346,066
*Zanders Feinpapiere AG .............. 6,527 449,253
-------------
TOTAL COMMON STOCKS
(Cost $29,209,250) ................... 26,141,767
-------------
INVESTMENT IN CURRENCY -- (0.4%)
*German Marks (Cost $1,090,991) ...... 1,094,719
-------------
RIGHTS/WARRANTS -- (0.0%)
*Rheinmetall Berlin AG Rights
06/12/96 ........................... 6,880 13,304
*Sueddeutsche Bodencreditbank AG Bonus
Rights ............................. 5 0
*Sueddeutsche Bodencreditbank AG
Rights 06/07/96 .................... 275 631
-------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................ 13,935
-------------
TOTAL -- GERMANY
(Cost $30,300,241) ................... 27,250,421
-------------
FRANCE -- (8.1%)
COMMON STOCKS -- (7.3%)
ALSPI (Societe Alsacienne de
Participations Industrielles) ...... 6,856 641,132
Agricole de la Crau ................. 200 17,812
Alain Manoukian SA .................. 4,149 69,886
Arbel SA ............................ 1,583 74,476
Bains de Mer et du Cercle des
Etrangers a Monaco ................. 3,396 374,776
<PAGE>
Shares Value+
------------ -------------
*Bazar de l'Hotel de Ville SA ........ 5,620 $ 598,451
Burelle SA .......................... 6,607 370,964
CFPI (Cie Francaise de Produits
Industriels SA) .................... 148 7,020
*CLAL (Comptoir Lyon-Alemand
Loyot SA) .......................... 3,581 260,827
Caisse Regionale de Credit Agricole
Mutuel de la Brie .................. 3,439 223,452
Caoutchoucs de Padang ............... 940 203,833
Cofigeo (Cie Financiere Geo) ........ 205 43,937
*Compagnie Financiere pour
l'Immobilier d'Enterprise Fidei .... 12,624 89,456
Conflandey SA ....................... 896 53,448
Continentale d'Entreprises SA ....... 5,746 216,824
*Continentale d'Equipements
Electriques ........................ 1,300 70,223
DMC (Dollfus Mieg et Cie) ........... 20,480 977,409
*Desquenne et Giral SA ............... 2,761 67,943
Dietrich et Cie ..................... 7,010 364,954
Financiere Moncey SA ................ 372 150,529
*Fonciere du Chateau d'Eau de Paris .. 11,100 376,089
Fonderies Franco Belge .............. 561 70,600
Francaise de Signalisation SA ....... 3,057 114,822
Francaise des Ferrailles ............ 800 72,813
France SA ........................... 2,240 585,479
*Frankoparis SA ...................... 18,400 338,788
Galeries Lafayette SA ............... 3,952 1,296,930
Gantois Series ...................... 390 105,900
Gascogne SA ......................... 4,910 457,253
*Gel 2000 SA ......................... 4,071 65,577
Genefim-Societe Immobiliere pour le
Commerce et l'Industrie SA ......... 12,854 393,210
*Generale de Geophysique SA .......... 4,550 266,041
Gevelot ............................. 600 212,004
Groupe Zannier SA ................... 16,300 358,190
Groupe du Louvre SA ................. 35,512 1,282,283
Immeubles de France ................. 19,019 1,270,388
*Immobanque .......................... 5,400 783,078
*Immobiliere Complexes
Commerciaux SA ..................... 3,078 105,480
*Intertechnique SA ................... 3,364 390,784
Labinal SA .......................... 10,052 1,451,848
Maire (Henri) ....................... 1,252 22,786
Metal Deploye ....................... 300 25,789
*NAF NAF SA .......................... 22,300 339,789
*Nordon & Cie ........................ 800 65,208
PSB Industries SA ................... 1,158 78,919
*Pier Import Europe SA ............... 9,000 84,511
#Plastic Omnium ...................... 9,700 845,111
Rallye SA ........................... 23,496 978,052
*Reunion (Banque de la) .............. 126 32,811
Rougier SA .......................... 1,630 149,588
*Rouleau-Guichard SA ................. 1,500 132,139
Rue Imperiale de Lyon ............... 1,496 1,272,977
SEDIVER (Societe Europeene
d'Isolateurs en Verre et Composite). 5,560 220,678
SFIM (Societe de Fabrication
d'Instruments de Mesure) ........... 2,248 458,305
Sabeton ............................. 1,177 183,671
Salins du Midi & des Salines
de l'Est ........................... 7,661 704,545
Securidev SA ........................ 9,350 135,951
Societe Financiere Immobail SA ...... 6,247 139,696
</TABLE>
71
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
Societe Financiere Interbail SA ..... 15,895 $ 818,600
Societe d'Etudes et de Realizations
pour les Industries du Bois Seribo . 3,050 153,533
Taittinger SA ....................... 1,715 614,279
*Teleflex Lionel-Dupont .............. 500 9,666
Tivoly SA ........................... 1,000 29,216
Touax SA ............................ 1,425 35,066
*Trouvay et Cauvin SA ................ 4,893 78,961
*Vallourec (Usines a Tubes de Lorraine
Escaut et Vallourec Reunies) ....... 25,710 1,174,745
Via Banque .......................... 16,308 586,646
-------------
TOTAL COMMON STOCKS
(Cost $22,926,560) ................... 24,246,147
-------------
INVESTMENT IN CURRENCY -- (0.8%)
*French Francs (Cost $2,584,828) ..... 2,587,173
-------------
RIGHTS/WARRANTS -- (0.0%)
*Generale de Geophysique SA Rights
06/03/96 (Cost $0) ................. 4,550 3,744
-------------
TOTAL -- FRANCE
(Cost $25,511,388) ................... 26,837,064
-------------
NETHERLANDS -- (5.2%)
COMMON STOCKS -- (5.2%)
Athlon Groep NV ..................... 5,110 225,709
Bam Groep NV ........................ 8,175 492,614
*Beers NV ............................ 1,266 247,378
Begemann Groep NV ................... 22,200 398,725
Cindu International NV .............. 1,790 97,391
*Crown Van Gelder NV ................. 4,200 384,543
Econosto NV ......................... 21,724 362,215
Gamma Holding NV .................... 29,250 1,291,976
Geveke NV ........................... 2,357 66,188
Grand Hotel Krasnapopski NV ......... 900 85,298
Hollandsche Beton Groep NV .......... 10,419 1,943,239
Kas-Associatie NV ................... 12,500 438,045
Koninklijke Ten Cate NV ............. 19,054 871,715
Landre & Glinderman NV .............. 3,095 82,567
MacIntosh NV ........................ 31,400 806,447
*NKF Holding NV ...................... 21,540 747,278
*Nagron Nationaal Grondbezit NV ...... 518 44,669
Nedlloyd Groep NV, Rotterdam ........ 88,800 1,994,923
Norit NV ............................ 48,868 666,135
Polynorm NV ......................... 6,500 555,198
Roto Smeets de Boer NV .............. 12,900 350,933
Smit Internationale NV .............. 14,460 735,985
Sphinx NV ........................... 36,100 616,697
*Textielgroep Twenthe NV ............. 1,200 29,837
Tulip Computers NV .................. 20,633 260,734
Twentsche Kabel Holding NV .......... 19,200 808,752
Ubbink NV ........................... 900 27,380
Van Dorp Groep NV ................... 5,800 95,010
Van der Giessen de Noord ............ 7,250 243,886
#Volker Stevin NV .................... 21,355 1,591,661
Vredestein NV ....................... 33,728 404,507
-------------
TOTAL COMMON STOCKS
(Cost $15,480,355) ................... 16,967,635
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder
(Cost $110,602) .................... 111,770
-------------
<PAGE>
Shares Value+
------------ -------------
RIGHTS/WARRANTS -- (0.0%)
*Bam Groep NV Rights 07/31/96 ........ 8 $ 0
*NKF Holdings NV Rights 08/01/96 ..... 22 0
*Nagron Nationaal Grondbezit NV Rights
06/14/96 ........................... 14 0
*Tulip Computers NV Rights 08/31/96 .. 10 0
-------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................ 0
-------------
TOTAL -- NETHERLANDS
(Cost $15,590,957) ................... 17,079,405
-------------
SWITZERLAND -- (4.2%)
COMMON STOCKS -- (4.2%)
Attisholz Holding AG, Attisholz ..... 850 383,893
*Biber Holding AG, Biberist .......... 22,500 233,813
Bucher Holding AG, Niederweningen ... 2,125 1,579,736
Calida Holding AG, Oberkirch ........ 100 67,946
Carlo Gavazzi Holding AG, Baar
Series B ........................... 230 193,046
*Cos Computer Systems SA Baden,
Baden .............................. 6,500 114,309
Daetwyler Holding AG, Atldorf ....... 940 1,912,311
*Financiere Tradition, Lausanne ...... 30 14,400
Galenica Holding AG, Bern
Series B ........................... 3,115 1,182,754
Golay-Buchel Holding SA, Lausanne ... 125 92,426
Huerlimann Holding AG, Zuerich ...... 175 560,951
Immuno International AG, Zuerich .... 450 312,950
Industrieholding Cham AG, Cham ...... 325 185,751
Keramik Holding AG Laufen, Laufen ... 650 397,482
*Maag Holding AG, Zuerich ............ 1,900 160,991
Magazine Zum Globus, Zuerich ........ 2,175 1,443,046
*Rentsch (Walter) Holding AG,
Dietlikon .......................... 4,950 759,712
Saurer AG, Arbon .................... 600 237,410
*Sibra Holding SA Series A Fribourg .. 535 78,261
*Sibra Holding SA, Fribourg
Series B ........................... 2,050 299,880
*Sihl Zuercher Papierfabriek an der
Sihl, Zuerich ...................... 50 35,971
*Swisslog Holding AG, Aarau .......... 870 262,878
UMS Schweizerische Metallwerke
Holding AG, Bern ................... 1,400 138,209
*Unigestion Holding, Geneve .......... 3,800 325,020
*Von Moos Holding AG, Luzern ......... 1,800 123,741
*Von Roll AG, Gerlafingen ............ 21,000 465,827
WMH Walter Meier Holding AG, Staefa . 100 39,169
*Zschokke Holding SA, Geneve ......... 1,950 584,532
*Zueblin Holding AG, Zuerich ......... 3,300 263,789
Zuercher Ziegeleien Holding,
Zuerich ............................ 2,000 1,390,887
-------------
TOTAL COMMON STOCKS
(Cost $13,994,382) ................... 13,841,091
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $83,839) ......... 84,330
-------------
TOTAL -- SWITZERLAND
(Cost $14,078,221) ................... 13,925,421
-------------
</TABLE>
72
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
HONG KONG -- (3.7%)
COMMON STOCKS -- (3.7%)
Allied Group, Ltd. .................. 3,740,000 $280,403
*Allied Industries International, Ltd. 989,000 52,416
Allied Properties (Hong Kong), Ltd. . 2,028,000 283,123
*Applied International Holdings,
Ltd. ............................... 230,000 20,812
*Asia Commercial Holdings, Ltd. ...... 1,798,000 28,588
Asia Securities International, Ltd. . 708,000 120,807
Asia Standard International Group,
Ltd. ............................... 1,614,000 323,384
Associated International Hotels,
Ltd. ............................... 438,000 334,049
Beauforte Investors Corp., Ltd. ..... 19,000 29,104
CNT Group, Ltd. ..................... 1,428,000 83,066
Century City International Holdings,
Ltd. ............................... 1,827,008 436,914
Chevalier Construction Holdings,
Ltd. ............................... 42,857 3,435
*Chevalier Development International,
Ltd. ............................... 608,000 104,529
Chevalier International Holdings,
Ltd. ............................... 876,809 163,212
China Aerospace International
Holdings, Ltd. ..................... 1,360,800 160,073
China Everbright International,
Ltd. ............................... 275,000 15,286
China Foods Holdings, Ltd. .......... 704,000 116,484
*China Investments Holdings, Ltd. .... 380,000 30,946
Chow Sang Sang Holdings
International, Ltd. ................ 148,000 54,524
*Chuang's China Investments, Inc. .... 1,905,000 64,025
Chuang's Consortium International,
Ltd. ............................... 1,250,779 163,300
*Continental Mariner Investment Co.,
Ltd. ............................... 515,000 89,872
Crocodile Garments, Ltd. ............ 752,000 54,436
Culturecom Holdings, Ltd. ........... 1,326,000 50,565
Dransfield Holdings, Ltd. ........... 292,000 17,552
Dynamic Holdings, Ltd. .............. 134,000 24,250
*Emporer (China Concept) Investments,
Ltd. ............................... 330,000 46,497
Emporer International Holdings,
Ltd. ............................... 424,000 116,468
Far East Consortium International,
Ltd. ............................... 911,701 141,422
*Far East Holdings International,
Ltd. ............................... 264,000 24,912
Furama Hotel Enterprises, Ltd. ...... 155,029 264,527
*Glynhill International, Ltd. ........ 1,112,000 44,560
*Great Wall Electronic International,
Ltd. ............................... 824,000 62,844
*Group Sense (International), Ltd. ... 820,000 24,486
*Hanny Holdings, Ltd. ................ 196,500 45,721
Harbour Centre Development, Ltd. .... 230,000 300,284
Hong Kong Ferry (Holdings) Co.,
Ltd. ............................... 413,000 437,771
Hong Kong Parkview Group, Ltd. ...... 648,000 175,905
Huey Tai International, Ltd. ........ 780,000 125,026
Hwa Kay Thai Holdings, Ltd. ......... 1,225,600 139,417
International Tak Cheung Holdings,
Ltd. ............................... 256,000 44,012
K Wah International Holdings, Ltd. .. 200,000 32,316
KTP Holdings, Ltd. .................. 920,000 35,677
*Kader Holdings Co., Ltd. ............ 470,000 22,479
Kwong Sang Hong International, Ltd. . 738,000 205,106
<PAGE>
Shares Value+
------------ -------------
Lai Sun Garment (International), Ltd.. 292,000 $334,049
Lam Soon (Hong Kong), Ltd. .......... 591,000 115,358
Lam Soon Food Industries, Ltd. ...... 780,000 70,579
Lane Crawford International, Ltd.
Series A ........................... 29,000 49,670
*Laws International Holdings, Ltd. ... 460,000 52,921
Leefung-Asco Printers Holdings, Ltd... 128,000 16,546
Linkful International Holdings, Ltd... 582,000 21,065
Lippo, Ltd. ......................... 534,000 320,980
Liu Chong Hing Investment, Ltd. ..... 464,000 458,842
Luks Industrial Co., Ltd. ........... 986,000 112,161
*Magnificent Estates, Ltd. ........... 2,612,000 60,776
*Megga (S.) International Holdings,
Ltd. ............................... 508,000 20,685
Melbourne Enterprises, Ltd. ......... 30,500 182,148
*Min Xin Holdings, Ltd. .............. 360,000 67,942
Mingly Corp., Ltd. .................. 2,314,000 529,445
National Electronics Holdings, Ltd. . 1,106,000 60,047
Ocean-Land Development, Ltd. ........ 34,000 31,864
Onfem Holdings, Ltd. ................ 342,000 140,363
Pacific Concord Holding, Ltd. ....... 2,286,000 443,253
Playmates Properties Holdings, Ltd. . 806,000 122,942
Pokfulam Development Co., Ltd. ...... 92,000 46,975
*Poly Investments Holdings, Ltd. ..... 1,428,000 52,609
*Rivera Holdings, Ltd. ............... 1,120,000 30,403
Ryoden Development, Ltd. ............ 1,100,000 298,604
Sea Holdings, Ltd. .................. 660,000 418,046
Seapower Resources International,
Ltd. ............................... 895,000 99,496
Shaw Brothers Hong Kong, Ltd. ....... 158,000 183,816
*Shougang Concord Grand (Group),
Ltd. ............................... 282,000 22,601
Shougang Concord International
Enterprises Co., Ltd. .............. 1,344,000 191,107
*Shun Ho Construction (Holdings),
Ltd. ............................... 432,000 23,733
*Silver Grant International
Industries, Ltd. ................... 160,000 34,540
Sincere Co., Ltd. ................... 559,000 84,544
*South China Holdings, Ltd. .......... 28,000 5,610
South China Industries, Ltd. ........ 646,000 85,177
*Starlight International Holdings,
Ltd. ............................... 240,000 21,096
Stelux Holdings International, Ltd. . 1,292,000 283,919
Sun Fook Kong Holdings, Ltd. ........ 1,018,000 49,347
Swank International Manufacturing
Co., Ltd. .......................... 226,000 40,315
Tai Sang Land Development, Ltd. ..... 319,000 154,634
Tak Sing Alliance Holdings, Ltd. .... 104,000 42,011
Tak Wing Investment Holdings, Ltd. .. 200,000 29,990
Tern Properties Co., Ltd. ........... 140,000 32,575
Tian An China Investments Co., Ltd. . 294,000 39,904
Tian Teck Land, Ltd. ................ 578,000 141,213
Tomei International (Holdings),
Ltd. ............................... 1,062,000 54,226
*Top Form International, Ltd. ........ 494,000 22,350
Tse Sui Luen Jewellry
(International), Ltd. .............. 205,840 63,859
USI Holdings, Ltd. .................. 712,000 68,108
*Uniworld Holdings, Ltd. ............. 24,240,000 78,335
Winfoong Investment, Ltd. ........... 998,000 50,958
Wing On Co. International, Ltd. ..... 347,000 356,599
Wing Shan International, Ltd. ....... 298,000 39,292
</TABLE>
73
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
Winsor Industrial Corp., Ltd. ....... 110,000 $ 98,113
Wong's International (Holdings),
Ltd. ............................... 186,000 32,459
*Yaohan International Holdings, Ltd. . 1,206,000 148,100
Yau Lee Holdings, Ltd. .............. 500,000 21,975
-------------
TOTAL COMMON STOCKS
(Cost $11,409,238) ................... 12,052,860
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $91,196) .... 91,210
-------------
RIGHTS/WARRANTS -- (0.0%)
*Asia Standard International Group,
Ltd. Warrants 02/15/97 ............. 112,400 6,393
*Emporer International Holdings, Ltd.
Warrants 03/31/98 .................. 43,600 4,622
*Hanny Holdings, Ltd. Warrants
06/30/97 ........................... 39,300 1,803
*Tai Sang Land Development, Ltd.
Warrants 06/30/98 .................. 21,900 0
-------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................ 12,818
-------------
TOTAL -- HONG KONG
(Cost $11,500,434) ................... 12,156,888
-------------
ITALY -- (3.4%)
COMMON STOCKS -- (2.9%)
*Ansaldo Trasporti SpA ............... 245,000 368,647
Attivita Immobiliari ................ 172,500 208,314
*Banca Nazionale dell'Agricoltura
SpA ................................ 842,500 522,856
*Banco di Chiavari e della Riviera
Ligure SpA, Chiavari ............... 172,500 324,726
*Banco di Napoli ..................... 1,430,000 711,075
Bassetti SpA ........................ 59,000 209,939
Caltagirone SpA ..................... 510,000 470,972
*Cantoni ITC SpA ..................... 37,500 50,250
Cementerie Siciliane SpA ............ 57,500 237,649
*Cementerie di Sardegna SpA .......... 37,500 141,185
*Cogefar-Impresit Costruzioni Generali
SpA ................................ 335,000 353,930
Comau Finanziara SpA ................ 326,000 418,947
Costa Crociere SpA .................. 235,000 379,399
Ericsson SpA ........................ 63,500 803,745
*FONSPA (Credito Fondiaro e
Industriale Istituto per i
Finanziamenti a Medio e Lungo
Termine SpA) ....................... 247,000 349,325
*Falck (Acciaierie & Ferriere
Lombarde) ............................ 104,500 397,485
*Gabetti Holding SpA ................. 55,000 37,259
*Grassetto SpA ....................... 110,000 28,784
*Istituto Finanziario Pro Arte SpA
Finarte ............................ 191,640 118,808
*Linificio & Canapificio Nazionale
SpA ................................ 65,000 21,618
Maffei SpA .......................... 58,000 83,526
Magona d'Italia SpA, Firenze ........ 9,000 29,932
Marangoni SpA, Rovereto ............. 25,000 98,482
*Milano Assicurazioni SpA ............ 61,000 205,237
*Montefibre SpA, Milano .............. 615,000 460,704
*Necchi SpA .......................... 50,000 27,123
*Premafin Finanziaria SpA ............ 1,290,000 361,550
Riva Finanziaria SpA ................ 24,000 89,893
<PAGE>
Shares Value+
------------ -------------
*SISA (Societa Imballaggi Speciali
Asti SpA) .......................... 60,000 $ 65,870
*SMI (Sta Metallurgica Italiana SpA)... 212,000 81,186
SOPAF (Societa Partecipazioni
Finanziarie SpA) ................... 287,500 363,901
*Saffa SpA, Milano ................... 94,560 238,156
*Stefanel SpA ........................ 175,000 259,364
Unipol SpA .......................... 70,260 478,231
Vianini Industria SpA ............... 85,000 49,403
Vianini Lavori SpA .................. 142,500 326,687
Zucchi (Vincenzo) SpA ............... 32,000 152,509
-------------
TOTAL COMMON STOCKS
(Cost $9,385,126) .................... 9,526,667
-------------
INVESTMENT IN CURRENCY -- (0.5%)
*Italian Lira (Cost $1,555,672) ...... 1,559,286
-------------
TOTAL -- ITALY (Cost $10,940,798) ..... 11,085,953
-------------
AUSTRALIA -- (2.9%)
COMMON STOCKS -- (2.8%)
Aberfoyle, Ltd. ..................... 67,500 194,012
Adelaide Brighton, Ltd. ............. 206,951 216,452
Atkins Carlyle, Ltd. ................ 33,255 88,946
Australian Chemical Holdings, Ltd. .. 35,778 102,835
Australian Oil & Gas Corp., Ltd. .... 7,683 5,214
*Awa, Ltd. ........................... 295,133 169,657
Ballarat Brewing Co. Ltd. ........... 19,400 34,076
Bridgestone Australia, Ltd. ......... 24,651 55,698
Caltex Australia, Ltd. .............. 26,200 102,708
Capral Aluminium, Ltd. .............. 138,171 383,900
Central Equity, Ltd. ................ 61,419 42,172
Centro Properties, Ltd. ............. 120,852 196,837
Clyde Industries, Ltd. .............. 117,913 177,929
*Command Petroleum, Ltd. ............. 415,690 185,857
*Consolidated Rutile, Ltd. ........... 77,018 135,281
Country Road, Ltd. .................. 52,400 63,591
Coventry Group, Ltd. ................ 43,852 147,049
Crane (G.E) Holdings, Ltd. .......... 43,197 277,633
*Crane (G.E.) I96 .................... 10,800 67,689
*Crusader, Ltd. ...................... 137,624 183,499
*Cudgen RZ, Ltd. ..................... 25,886 35,135
Datacraft, Ltd. ..................... 116,991 46,703
Defiance Mills, Ltd. ................ 29,700 27,269
*Denehurst, Ltd. ..................... 78,163 19,970
*Devex, Ltd. ......................... 155,340 47,129
*Dominion Mining, Ltd. ............... 116,119 69,532
Energy Resources of Australia, Ltd.
Series A ........................... 84,525 350,922
*FAI Insurances, Ltd. ................ 395,061 176,634
Fai Life, Ltd. ...................... 141,253 92,477
Finemore Holdings, Ltd. ............. 38,076 69,312
Foodland Associated, Ltd. ........... 139,775 488,794
GWA International, Ltd. ............. 188,595 271,035
Galore Group, Ltd. .................. 89,210 21,368
*Gold Mines of Australia, Ltd. ....... 399,336 125,938
Gowing Bros., Ltd. .................. 22,100 55,581
Gwalia Consolidated, Ltd. ........... 83,313 206,204
Jupiters, Ltd. ...................... 311,350 594,113
Kurts (Peter) Properties, Ltd. ...... 78,719 79,819
McIntosh Securities, Ltd. ........... 36,600 24,838
Memtec, Ltd. ........................ 4,965 152,617
Mirvac, Ltd. ........................ 197,935 252,851
National Consolidated, Ltd. ......... 260,155 162,013
National Foods, Ltd. ................ 271,114 326,852
</TABLE>
74
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
*Orbital Engine Corp., Ltd. .......... 165,000 $ 163,353
Pacific BBA, Ltd. ................... 96,630 240,707
Pacific Magazines and Printing, Ltd... 214,499 537,746
*Peptide Technology, Ltd. ............ 153,432 116,376
Permanent Trustee Co., Ltd. ......... 11,963 39,160
QUF Industries, Ltd. ................ 108,332 190,284
Savage Resources, Ltd. .............. 598,027 553,860
Schaffer Corp., Ltd. ................ 164 272
Sea World Property Trust ............ 61,000 53,573
Siddons Ramset, Ltd. ................ 19,860 87,210
Spicers Paper, Ltd. ................. 161,639 290,369
Wesfi, Ltd. ......................... 8,100 12,611
*Wesfi, Ltd. Issue 96 ................ 8,100 13,063
White (Joe) Maltings, Ltd. .......... 23,690 81,331
Wills (W.D. & H.O.) Holdings, Ltd. .. 176,529 315,709
-------------
TOTAL COMMON STOCKS
(Cost $7,941,062) .................... 9,223,765
-------------
INVESTMENT IN CURRENCY -- (0.1%)
*Australian Dollar (Cost $443,207) ... 445,071
-------------
RIGHTS/WARRANTS -- (0.0%)
*Savage Resources, Ltd. Warrants
11/30/98 (Cost $6,531) ............. 29,810 8,092
-------------
TOTAL -- AUSTRALIA
(Cost $8,390,800) .................... 9,676,928
-------------
SWEDEN -- (2.8%)
COMMON STOCKS -- (2.6%)
Alma Industri & Handel AB
Series B ........................... 8,000 90,909
Angpannefoereningen AB Series B ..... 5,100 98,485
*Arcona AB Series A .................. 218,800 165,758
*Arcona AB Series B .................. 39,000 28,966
*Argonaut AB Series A ................ 88,100 157,041
*Argonaut AB Series B ................ 186,600 343,708
B & N Bylock & Nordsjoefrakt AB
Series B ........................... 49,600 471,539
*BPA AB Series A ..................... 64,900 151,356
*BPA AB Series B ..................... 49,700 115,169
*Benima Ferator Engineering AB ....... 10,600 73,217
Berg (C.F.) & Co. AB Series B ....... 8,200 36,298
*Bilspedition AB Series A ............ 43,400 132,805
*Bilspedition AB Series B ............ 67,200 214,617
Bongs Fabriker AB Series B .......... 7,500 47,906
*#Concordia Maritime AB Series B ...... 62,500 164,327
FFNS Gruppen AB Series B ............ 20,700 158,356
*Fastighits AB Celtica ............... 6,200 25,787
Foereningsbanken AB Series A ........ 184,100 568,810
Forcenergy AB Series B .............. 34,900 215,144
*Frontline AB ........................ 123,200 406,275
Geveko AB Series B .................. 7,800 77,629
ICB Shipping AB Series B ............ 73,100 814,386
JP Bank Series A .................... 22,000 88,235
JP Bank Series B .................... 8,500 34,091
*Jacobson and Widmark AB ............. 10,600 69,281
*Kloevern Foervaltnings AB
Series B ........................... 545,500 396,241
Nolato AB Series B .................. 8,600 70,261
*Nordstroem & Thulin AB Series B ..... 193,300 459,418
OEM International AB Series B ....... 1,700 35,859
*Piren AB ............................ 640,700 127,531
*Platzer Bygg AB Series B ............ 59,600 127,487
*Safib Fastighets AB Series B ........ 35,500 158,200
<PAGE>
Shares Value+
------------ -------------
Sandblom & Stohne AB Series B ....... 5,800 $ 27,570
Scandiaconsult AB ................... 15,500 109,366
Siab AB Series A .................... 106,400 540,527
Siab AB Series B .................... 32,400 163,636
Skrinet AB Series B ................. 8,000 81,996
*Solitair Kapital AB ................. 41,300 40,490
Spendrups Bryggeri AB Series B ...... 23,600 140,226
Stena Line AB Series B .............. 152,000 769,927
Swepart Mecan AB Series B ........... 29,700 123,529
VBB Gruppen AB Series B ............. 35,100 122,527
Wallenstam Byggnads AB Series B ..... 14,100 74,144
Westergyllen AB Series B ............ 4,500 41,444
*Wihlborg & Son AB Series B .......... 117,000 198,128
-------------
TOTAL COMMON STOCKS
(Cost $7,947,617) .................... 8,558,602
-------------
INVESTMENT IN CURRENCY -- (0.2%)
*Swedish Krona (Cost $815,225) ....... 822,262
-------------
RIGHTS/WARRANTS -- (0.0%) .............
*Wihlborg & Son AB Warrants 02/06/98
(Cost $0) .......................... 17,325 4,761
-------------
TOTAL -- SWEDEN
(Cost $8,762,842) .................... 9,385,625
-------------
SPAIN -- (2.4%)
COMMON STOCKS -- (2.2%)
*Algodonera de San Antonio SA ........ 17,800 128,425
*BAMI SA (Inmobiliara de
Construcciones y Terrenos) ......... 24,300 41,097
Banco Guipuzcoano SA ................ 12,947 397,751
Banco Pastor SA ..................... 12,700 709,387
Banco Zaragozano SA ................. 44,000 730,489
*Banco de Vitoria SA ................. 3,094 28,324
Conservera Campofrio SA ............. 10,753 371,225
Construcciones Lain SA .............. 149,600 176,410
Cubiertas y Mzov SA ................. 12,200 747,711
*EPPIC (European Paper and Packaging
Investment Corporation SA) (In
Liquidation) ....................... 43,400 26,262
ERZ (Electricas Reunidas de
Zaragoza) .......................... 32,850 879,228
*ESSA (Estacionamientos Subterraneos
SA) ................................ 9,400 126,889
Ebro Agricolas Compania de
Alimentacion SA .................... 32,200 358,472
Filo SA ............................. 44,100 191,590
GESA (Gas y Electricidad SA) ........ 1,400 76,028
Grupo Anaya SA ...................... 9,400 188,875
*Grupo Fosforera SA .................. 12,060 43,506
Huarte SA ........................... 12,900 30,223
*Inmobiliaria Urbis SA ............... 97,200 384,577
Inmobiliaria Zabalburu SA ........... 3,901 43,429
*Nueva Montana Quijano SA
Series B ........................... 94,470 115,797
OCP Construcciones SA ............... 13,500 355,043
Sarrio SA ........................... 135,015 474,490
Tableros de Fibras SA Series B ...... 27,000 267,067
Unipapel SA ......................... 11,439 214,759
-------------
TOTAL COMMON STOCKS
(Cost $7,245,409) .................... 7,107,054
-------------
INVESTMENT IN CURRENCY -- (0.2%)
*Spanish Peseta (Cost $680,694) ...... 679,490
-------------
</TABLE>
75
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
TOTAL -- SPAIN (Cost $7,926,103) ...... $7,786,544
-------------
BELGIUM -- (1.3%)
COMMON STOCKS -- (1.3%)
Banque Belgo-Zairoise Belgolaise SA . 83 30,352
Banque Nationale de Belgique ........ 20 27,379
*Beherman Auto Transports SA ......... 806 76,889
Belge des Betons .................... 441 226,123
*Belvuco NV .......................... 500 95,555
Bernheim-Comofi SA .................. 5,130 295,259
CFE (Compagnie Francois
d'Entreprises) ..................... 2,060 478,841
Credit General SA de Banque,
Bruxelles .......................... 2,273 389,579
Fabrique de Fer de Charleroi ........ 170 321,642
*Floridienne NV ...................... 1,900 85,188
*Forges de Clabecq SA ................ 1,760 16,230
*Franki NV (Cie Internationale des
Pieux Armes Frankignoul SA) ........ 1,800 40,639
*Immobel (Cie Immobiliere de Belgique
SA) ................................ 15,300 1,048,443
Metiers Automatiques Picanol ........ 100 44,120
*Papeteries de Catala SA ............. 450 63,677
*Recticel SA ......................... 21,000 190,314
SIPEF (Societe Internationale de
Plantations & de Finance), Anvers .. 1,105 163,389
*Sait Radioholland ................... 1,500 40,257
Sapec SA ............................ 4,801 230,524
Ter Beke NV ......................... 1,300 134,349
*Uco Textiles NV ..................... 2,000 168,214
-------------
TOTAL COMMON STOCKS
(Cost $4,323,422) .................... 4,166,963
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs (Cost $168,416) ...... 168,572
-------------
TOTAL -- BELGIUM
(Cost $4,491,838) .................... 4,335,535
-------------
SINGAPORE -- (1.2%)
COMMON STOCKS -- (1.1%)
Auric Pacific Group, Ltd. ........... 88,000 124,199
Bonvests Holdings, Ltd. ............. 63,000 60,766
*CK Tang, Ltd. ....................... 26,000 31,348
Carnaudmetalbox Asia, Ltd. .......... 52,000 210,213
Chuan Hup Holdings, Ltd. ............ 141,000 107,000
Cosco Investment (Singapore), Ltd. .. 27,000 32,745
*Focal Finance, Ltd. ................. 13,000 26,277
General Magnetics, Ltd. ............. 49,000 25,890
Hind Hotels International, Ltd. ..... 18,000 21,191
Hong Kok Corp., Ltd. ................ 96,000 155,234
<PAGE>
Shares Value+
------------ -------------
Hotel Grand Central, Ltd. ........... 133,700 $ 133,700
*Hotel Plaza, Ltd. ................... 284,000 185,305
Hwa Hong Corp., Ltd. ................ 103,000 155,596
Insurance Corp. of Singapore, Ltd. .. 12,000 37,617
Intraco, Ltd. ....................... 68,000 108,511
Isetan (Singapore), Ltd. ............ 24,000 53,787
Keppel Finance, Ltd. ................ 61,000 80,035
LC Development, Ltd. ................ 37,000 29,390
Lee Kim Tah Holdings, Ltd. .......... 39,000 29,043
Liang Court Holdings, Ltd. .......... 84,000 75,660
*Lim Kah Ngam, Ltd. .................. 107,000 115,348
Metro Holdings, Ltd. ................ 73,800 249,139
Pacific Carriers, Ltd. .............. 213,000 178,255
Prima, Ltd. ......................... 26,000 94,043
Republic Hotels and Resorts, Ltd. ... 114,000 147,149
Robinson & Co., Ltd. ................ 41,000 164,291
SNP Corp., Ltd. ..................... 19,000 15,227
Scotts Holdings, Ltd. ............... 173,000 163,184
Sembawang Maritime, Ltd. ............ 26,000 73,021
Shangri-La Hotel, Ltd. .............. 60,000 205,957
*Singapura Building Society, Ltd. .... 27,000 27,383
Times Publishing, Ltd. .............. 88,000 208,454
*United Engineers, Ltd. .............. 109,000 218,773
United Overseas Finance, Ltd. ....... 10,000 15,248
WBL Corp., Ltd. ..................... 82,000 193,078
-------------
TOTAL COMMON STOCKS
(Cost $3,856,394) .................... 3,752,057
-------------
INVESTMENT IN CURRENCY -- (0.1%)
*Singapore Dollars (Cost $144,290) ... 144,529
-------------
TOTAL -- SINGAPORE
(Cost $4,000,684) .................... 3,896,586
-------------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount
---------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS --
(5.0%)
Repurchase Agreement, PNC
Securities Corp. 5.05%,
06/03/96 (Collateralized by
U.S. Treasury Notes 6.50%,
09/30/96) (Cost $16,586,000) ....... $16,586 16,586,000
-------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $309,404,129) .................. $329,549,672
=============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
76
<PAGE>
SCHEDULES OF INVESTMENTS
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------ --------------
<S> <C> <C>
Investment in The DFA One-Year Fixed Income Series of The DFA Investment
Trust Company ........................................................ 82,701,988 $824,649,685
--------------
Total Investments (100%) (Cost $821,396,501) ..................... $824,649,685
==============
</TABLE>
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Face
Amount
---------
(000) Value+
-------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- (96.0%)
U.S. Treasury Notes
7.500%, 10/31/99 ..................................................... $52,000 $ 53,519,389
7.875%, 11/15/99 ..................................................... 47,000 48,916,707
7.750%, 11/30/99 ..................................................... 42,000 43,581,552
7.750%, 12/31/99 ..................................................... 50,000 51,898,450
-------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $198,315,110) ................... 197,916,098
-------------
TEMPORARY CASH INVESTMENTS -- (4.0%)
Repurchase Agreement, PNC Securities Corp. 5.05%, 06/03/96
(Collateralized by U.S. Treasury Notes 6.50%, 09/30/96)
(Cost $8,349,000) .................................................... 8,349 8,349,000
-------------
TOTAL INVESTMENTS -- (100.0%) (Cost $206,664,110) ..................... $206,265,098
=============
</TABLE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------ --------------
<S> <C> <C>
Investment in The DFA Two-Year Global Fixed Income Series of The DFA
Investment Trust Company ............................................. 25,936,939 $262,838,069
--------------
Total Investments (100%) (Cost $259,451,761) ..................... $262,838,069
==============
</TABLE>
- ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
77
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA GLOBAL FIXED INCOME PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Face
Amount@ Value+
--------- -------------
(000)
<S> <C> <C>
JAPAN -- (23.3%)
BONDS -- (23.3%)
Asian Development Bank
5.000%, 02/05/03 ................ 800,000 $ 8,326,077
Credit Locale de France SA
6.000%, 10/31/01 ................ 500,000 5,398,333
European Investment Bank
4.625%, 02/26/03 ................ 600,000 6,136,174
Export-Import Bank of Japan
4.375%, 10/01/03 ................ 400,000 3,992,589
Inter-American Development Bank
6.000%, 10/30/01 ................ 400,000 4,336,082
World Bank (International Bank for
Reconstruction and Development)
4.500%, 03/20/03 ................ 100,000 1,018,805
-------------
TOTAL -- JAPAN (Cost $31,722,560) ... 29,208,060
-------------
GERMANY -- (19.9%)
BONDS -- (19.9%)
Belgium (Kingdom of)
7.000%, 05/30/02 ................ 7,000 4,858,243
Germany (Federal Republic of)
8.250%, 09/20/01 ................ 13,000 9,581,908
8.000%, 01/21/02 ................ 8,000 5,822,616
World Bank (International Bank for
Reconstruction and Development)
6.125%, 09/27/02 ................ 7,000 4,640,052
-------------
TOTAL -- GERMANY
(Cost $25,964,618) ................ 24,902,819
-------------
FRANCE -- (19.0%)
BONDS -- (19.0%)
Abbey National Treasury Services
P.L.C.
6.000%, 02/17/04 ................ 25,000 4,735,237
Credit Locale de France SA
7.000%, 05/12/03 ................ 12,000 2,413,940
European Coal and Steel Community .
7.000%, 05/14/03 ................ 10,000 2,024,395
France (Republic of)
6.750%, 10/25/03 ................ 24,000 4,809,293
Regie Autonome des Transports
Parisiens SA
6.000%, 09/24/03 ................ 28,000 5,323,524
SNCF (Societe Nationale des Chemins
de Fer Francais)
9.000%, 04/02/03 ................ 20,000 4,456,922
-------------
TOTAL -- FRANCE
(Cost $24,016,328) ................ 23,763,311
-------------
CANADA -- (16.1%)
BONDS -- (16.1%)
British Columbia (Province of)
Series BCCD-H
10.150%, 08/29/01 ............... 6,000 4,915,182
<PAGE>
Face
Amount@ Value+
--------- -------------
(000)
Canada (Government of)
8.500%, 04/01/02 ................ 13,000 $ 10,063,139
Kasai International Airport Co.,
Ltd.
8.000%, 07/02/03 ................ 7,000 5,164,161
-------------
TOTAL -- CANADA
(Cost $20,206,442) ............... 20,142,482
-------------
NETHERLANDS -- (5.5%)
BONDS -- (5.5%)
Bank Voor Nederlandsche Gemeenten
NV
7.625%, 12/16/02 ................ 5,000 3,197,215
Netherlands (Kingdom of)
6.500%, 04/15/03 ................ 6,000 3,633,066
-------------
TOTAL BONDS (Cost $6,978,698) ....... 6,830,281
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $40) .... 40
-------------
TOTAL -- NETHERLANDS (Cost
$6,978,738) ...................... 6,830,321
-------------
UNITED KINGDOM -- (5.4%)
BONDS -- (5.4%)
Nippon Telegraph & Telephone Corp.
10.875%, 05/10/01 ............... 2,000 3,459,092
Oesterreichische Kontrollbank AG
9.250%, 07/15/02 ................ 2,000 3,298,204
-------------
TOTAL -- UNITED KINGDOM
(Cost $6,797,443) ................. 6,757,296
-------------
U.S. TREASURY OBLIGATIONS -- (4.2%)
U.S. Treasury Notes
(Cost $5,268,099)
8.000%, 08/15/99 ................. 5,000 5,212,500
-------------
AUSTRALIA -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollars (Cost $174) .... 177
-------------
TEMPORARY CASH INVESTMENTS -- (6.6%)
Repurchase Agreement, PNC Securities
Corp. 5.05%, 06/03/96
(Collateralized by U.S. Treasury
Notes 6.50%, 09/30/96)
(Cost $8,263,000) ................. 8,263 8,263,000
-------------
TOTAL INVESTMENTS -- (100.0%) (Cost
$129,217,402) ..................... $125,079,966
=============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
@Denominated in Local Currency.
See accompanying Notes to Financial Statements
78
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Face
Amount Value+
-------- -------------
(000)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- (51.5%)
U.S. Treasury Bonds
11.750% , 02/15/01 .......................................................... $2,000 $ 2,408,438
13.125% , 05/15/01 .......................................................... 4,500 5,717,813
13.375% , 08/15/01 .......................................................... 2,000 2,583,750
11.625% , 11/15/02 .......................................................... 3,500 4,384,296
10.750% , 02/15/03 .......................................................... 2,000 2,422,188
9.375% , 02/15/06 .......................................................... 1,000 1,176,406
U.S. Treasury Notes
15.750% , 11/15/01 .......................................................... 3,500 4,938,283
14.250% , 02/15/02 .......................................................... 5,750 7,785,862
7.500% , 05/15/02 .......................................................... 2,000 2,079,062
6.375% , 08/15/02 .......................................................... 7,000 6,882,967
6.250% , 02/15/03 .......................................................... 1,000 972,031
-------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $41,794,813) ........................... 41,351,096
-------------
AGENCY OBLIGATIONS -- (43.4%)
Farm Credit System Financial Assistance Corp.
9.375% , 07/21/03 ........................................................... 2,000 2,254,062
8.800% , 06/10/05 ........................................................... 1,000 1,105,781
Federal Farm Credit Bank
6.320% , 09/09/02 ........................................................... 1,000 967,813
7.160% , 05/19/10 ........................................................... 3,000 2,956,407
Federal Home Loan Bank
7.190% , 04/27/01 ........................................................... 8,000 8,103,752
6.290% , 07/03/02 ........................................................... 3,100 2,997,796
5.440% , 10/15/03 ........................................................... 2,000 1,815,626
Federal Home Loan Mortgage Corp.
6.200% , 04/15/03 ........................................................... 4,000 3,816,876
7.350% , 03/22/05 ........................................................... 2,000 2,026,250
Federal National Mortgage Association
7.050% , 11/12/02 ........................................................... 2,000 2,006,562
6.800% , 01/10/03 ........................................................... 6,000 5,938,128
Student Loan Marketing Association
5.850% , 06/01/07 ........................................................... 1,000 900,156
-------------
TOTAL AGENCY OBLIGATIONS
(Cost $35,500,035) ......................................................... 34,889,209
-------------
SUPRANATIONAL OBLIGATIONS -- (1.4%)
European Investment Bank
9.125% , 06/01/02 (Cost $1,119,255) ........................................ 1,000 1,103,641
-------------
TEMPORARY CASH INVESTMENTS -- (3.7%)
Repurchase Agreement, PNC Securities Corp. 5.05%, 06/03/96 (Collateralized by U.S.
Treasury Notes 6.50%, 09/30/96) (Cost $2,982,000) .......................... 2,982 2,982,000
-------------
TOTAL INVESTMENTS -- (100.0%) (Cost $81,396,103) ............................. $80,325,946
=============
</TABLE>
- ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements
79
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1996
(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 .................................. $ 1,260,749 $ 260,087 $ 130,671
Receivables
Dividends and Interest ........................... 582 -- --
Investment Securities Sold ....................... 237 -- --
Fund Shares Sold ................................. 979 163 483
Prepaid Expenses and Other Assets ..................... 50 23 91
----------------- ----------------- -----------
Total Assets ...................................... 1,262,597 260,273 131,245
----------------- ----------------- -----------
LIABILITIES:
Payable for Investment Securities Purchased ........... 1,953 162 460
Payable for Fund Shares Redeemed ...................... 82 1 23
Accrued Expenses and Other Liabilities ................ 725 87 10
----------------- ----------------- -----------
Total Liabilities ................................. 2,760 250 493
----------------- ----------------- -----------
NET ASSETS ............................................ $ 1,259,837 $ 260,023 $ 130,752
================= ================= ===========
SHARES OUTSTANDING $.01 PAR VALUE ..................... 96,464,042 17,488,491 6,518,079
================= ================= ===========
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE ........ $ 13.06 $ 14.87 $ 20.06
================= ================= ===========
PUBLIC OFFERING PRICE PER SHARE ....................... $ 13.06 $ 14.87 $ 20.06
================= ================= ===========
Investments at Cost ................................... $ 869,679 $ 182,456 $ 93,529
================= ================= ===========
</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 .................................. $ 1,021,209 $ 398,253 $ 48,225
Receivables
Dividends and Interest ........................... -- -- 96
Fund Shares Sold ................................. 470 724 124
Prepaid Expenses and Other Assets ..................... 68 26 4
----------------- ----------------- -----------------
Total Assets ...................................... 1,021,747 399,003 48,449
----------------- ----------------- -----------------
LIABILITIES:
Payable for Investment Securities Purchased ........... 433 625 989
Payable for Fund Shares Redeemed ...................... 37 99 49
Accrued Expenses and Other Liabilities ................ 256 61 44
----------------- ----------------- -----------------
Total Liabilities ................................. 726 785 1,082
----------------- ----------------- -----------------
NET ASSETS ............................................ $ 1,021,021 $ 398,218 $ 47,367
================= ================= =================
SHARES OUTSTANDING $.01 PAR VALUE ..................... 62,826,603 26,849,894 4,338,496
================= ================= =================
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE ........ $ 16.25 $ 14.83 $ 10.92
================= ================= =================
PUBLIC OFFERING PRICE PER SHARE ....................... $ 16.25 $ 14.83 $ 10.92
================= ================= =================
Investments at Cost ................................... $ 798,667 $ 314,461 $ 45,759
================= ================= =================
</TABLE>
See accompanying Notes to Financial Statements
80
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
The
The Japanese Pacific Rim The United
Small Small Kingdom Small
Company Company Company
Portfolio Portfolio Portfolio
------------------ ----------------- ------------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value .................................. $ 416,188 $ 211,189 $ 179,392
Cash .................................................. 15 48 15
Receivables
Dividends and Interest ........................... 1,384 490 921
Investment Securities Sold ....................... 1,706 3,411 4,166
Fund Shares Sold ................................. 146 33 76
Prepaid Expenses and Other Assets ..................... 42 36 17
------------------ ----------------- ------------------
Total Assets ...................................... 419,481 215,207 184,587
------------------ ----------------- ------------------
LIABILITIES:
Payable for Investment Securities Purchased ........... -- 813 32
Payable for Fund Shares Redeemed ...................... 10,059 5,005 9
Accrued Expenses and Other Liabilities ................ 297 172 132
------------------ ----------------- ------------------
Total Liabilities ................................. 10,356 5,990 173
------------------ ----------------- ------------------
NET ASSETS ............................................ $ 409,125 $ 209,217 $ 184,414
================== ================= ==================
SHARES OUTSTANDING $.01 PAR VALUE ..................... 15,594,091 12,870,293 6,967,096
================== ================= ==================
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE ........ $ 26.24 $ 16.26 $ 26.47
================== ================= ==================
PUBLIC OFFERING PRICE PER SHARE ....................... $ 26.37 $ 16.42 $ 26.47
================== ================= ==================
Investments at Cost ................................... $ 369,309 $ 180,877 $ 152,544
================== ================= ==================
</TABLE>
<TABLE>
<CAPTION>
The RWB/DFA The
The International Continental
Emerging High Book Small
Markets to Market Company
Portfolio Portfolio Portfolio
------------------ ----------------- -----------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value .................................. $ 120,503 $ 232,036 $ 343,525
Receivables
Dividends and Interest ........................... -- -- 2,608
Investment Securities Sold ....................... -- -- 7,208
Fund Shares Sold ................................. 510 513 123
Prepaid Expenses and Other Assets ..................... 33 42 18
------------------ ----------------- -----------------
Total Assets ...................................... 121,046 232,591 353,482
------------------ ----------------- -----------------
LIABILITIES:
Payable for Investment Securities Purchased ........... -- 513 24
Payable for Fund Shares Redeemed ...................... 3 -- 2,007
Accrued Expenses and Other Liabilities ................ 48 41 247
------------------ ----------------- -----------------
Total Liabilities ................................. 51 554 2,278
------------------ ----------------- -----------------
NET ASSETS ............................................ $ 120,995 $ 232,037 $ 351,204
================== ================= =================
SHARES OUTSTANDING $.01 PAR VALUE ..................... 10,113,080 17,400,129 23,314,226
================== ================= =================
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE ........ $ 11.96 $ 13.34 $ 15.06
================== ================= =================
PUBLIC OFFERING PRICE PER SHARE ....................... $ 12.02 $ 13.34 $ 15.21
================== ================= =================
Investments at Cost ................................... $ 114,686 $ 197,477 $ 302,330
================== ================= =================
</TABLE>
See accompanying Notes to Financial Statements
81
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
The DFA
The International The DFA
Large Cap Small Cap One-Year
International Value Fixed Income
Portfolio Portfolio Portfolio
------------------ ------------------ -----------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value .................................. $ 70,125 $ 329,550 $ 824,650
Cash .................................................. 16 813 --
Receivables
Investment Securities Sold ....................... -- 677 4,885
Dividends and Interest ........................... 383 973 --
Fund Shares Sold ................................. 68 433 6,127
Prepaid Expenses and Other Assets ..................... 25 78 36
------------------ ------------------ -----------------
Total Assets ...................................... 70,617 332,524 835,698
------------------ ------------------ -----------------
LIABILITIES:
Payable for Investment Securities Purchased ........... 9 14,113 --
Payable for Fund Shares Redeemed ...................... 19 4 11,012
Accrued Expenses and Other Liabilities ................ 39 256 82
------------------ ------------------ -----------------
Total Liabilities ................................. 67 14,373 11,094
------------------ ------------------ -----------------
NET ASSETS ............................................ $ 70,550 $ 318,151 $ 824,604
================== ================== =================
SHARES OUTSTANDING $.01 PAR VALUE ..................... 5,216,125 28,618,866 80,981,178
================== ================== =================
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE ........ $ 13.53 $ 11.12 $ 10.18
================== ================== =================
PUBLIC OFFERING PRICE PER SHARE ....................... $ 13.53 $ 11.20 $ 10.18
================== ================== =================
Investments at Cost ................................... $ 52,429 $ 309,404 $ 821,397
================== ================== =================
</TABLE>
<TABLE>
<CAPTION>
The DFA The DFA
The DFA Two-Year The DFA Intermediate
Five-Year Global Fixed Global Government
Government Income Fixed Income Fixed Income
Portfolio Portfolio Portfolio Portfolio
-------------- ---------------- ---------------- ----------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value ......................... $ 206,265 $ 262,838 $ 125,080 $ 80,326
Receivables
Dividends and Interest .................. 2,149 -- 3,163 1,292
Fund Shares Sold ........................ 215 60 191 6
Prepaid Expenses and Other Assets ............ 52 96 42 11
-------------- ---------------- ---------------- ----------------
Total Assets ............................. 208,681 262,994 128,476 81,635
-------------- ---------------- ---------------- ----------------
LIABILITIES:
Payable for Investment Securities Purchased .. -- 60 -- --
Payable for Fund Shares Redeemed ............. 49 -- 27 --
Accrued Expenses and Other Liabilities ....... 58 25 88 28
Unrealized Loss on Forward Foreign Currency
Contracts ................................. -- -- 834 --
-------------- ---------------- ---------------- ----------------
Total Liabilities ........................ 107 85 949 28
-------------- ---------------- ---------------- ----------------
NET ASSETS ................................... $ 208,574 $ 262,909 $ 127,527 $ 81,607
============== ================ ================ ================
SHARES OUTSTANDING $.01 PAR VALUE ............ 20,436,446 25,950,063 12,229,794 7,580,005
============== ================ ================ ================
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE . $ 10.21 $ 10.13 $ 10.43 $ 10.77
============== ================ ================ ================
PUBLIC OFFERING PRICE PER SHARE .............. $ 10.21 $ 10.13 $ 10.43 $ 10.77
============== ================ ================ ================
Investments at Cost .......................... $ 206,664 $ 259,452 $ 129,217 $ 81,396
============== ================ ================ ================
</TABLE>
See accompanying Notes to Financial Statements
82
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1996 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The U.S The U.S. The
9-10 Small 6-10 Small U.S. Large
Company Company Company
Portfolio Portfolio Portfolio
------------ ------------ ------------
<S> <C> <C> <C>
Investment Income
Dividends .............................................. $ 3,347 -- --
Interest ............................................... 773 -- --
Income from Securities Lending ......................... 130 -- --
Income Distributions Received .......................... -- $ 249 $ 1,215
------------ ------------ ------------
Total Investment Income ........................... 4,250 249 1,215
------------ ------------ ------------
Expenses
Investment Advisory Services ........................... 2,599 -- --
Administrative Services ................................ -- 342 117
Accounting & Transfer Agent Fees ....................... 356 10 10
Custodian's Fee ........................................ 96 -- --
Legal Fees ............................................. 23 -- 1
Audit Fees ............................................. 29 2 2
Filing Fees ............................................ 18 14 12
Shareholders' Reports .................................. 21 1 1
Directors' Fees and Expenses ........................... 11 -- --
Other .................................................. 19 1 1
------------ ------------ ------------
Total Expenses ....................................... 3,172 370 144
Less: Expenses Reimbursed .............................. -- -- (143)
------------ ------------ ------------
Net Expenses ........................................... 3,172 370 1
------------ ------------ ------------
Net Investment Income (Loss) ........................... 1,078 (121) 1,214
------------ ------------ ------------
Net Realized and Unrealized Gain (Loss) on Investments
Capital Gain Distributions Received ......................... -- 10,281 685
Net Realized Gain (Loss) on Investment Securities ........... 70,351 (158) 358
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ................................................ 192,949 33,974 9,662
------------ ------------ ------------
Net Gain on Investment Securities ...................... 263,300 44,097 10,705
------------ ------------ ------------
Net Increase in Net Assets Resulting from Operations ........ $264,378 $43,976 $11,919
============ ============ ============
</TABLE>
See accompanying Notes to Financial Statements
83
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1996 (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 .............................................. -- -- $1,654
Interest ............................................... -- -- 37
Income Distributions Received .......................... $ 952 $ 2,087 --
----------- ----------- -------------
Total Investment Income ............................. 952 2,087 1,691
----------- ----------- -------------
Expenses
Investment Advisory Services ........................... -- -- 115
Administrative Services ................................ 1,218 253 --
Accounting & Transfer Agent Fees ....................... 10 10 33
Custodian's Fee ........................................ -- -- 4
Legal Fees ............................................. 1 1 2
Audit Fees ............................................. 2 2 3
Filing Fees ............................................ 33 15 7
Shareholders' Reports .................................. 2 1 2
Directors' Fees and Expenses ........................... -- -- 1
Other .................................................. 3 3 1
----------- ----------- -------------
Total Expenses ....................................... 1,269 285 168
----------- ----------- -------------
Net Investment Income (Loss) ........................... (317) 1,802 1,523
----------- ----------- -------------
Net Realized and Unrealized Gain (Loss) on Investments
Capital Gain Distributions Received ......................... 15,384 7,389 --
Net Realized Loss on Investment Securities .................. (548) (229) (417)
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ................................................ 119,091 30,649 3,528
----------- ----------- -------------
Net Gain on Investment Securities ...................... 133,927 37,809 3,111
----------- ----------- -------------
Net Increase in Net Assets Resulting from Operations ........ $133,610 $39,611 $4,634
=========== =========== =============
</TABLE>
See accompanying Notes to Financial Statements
84
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1996 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The Japanese The Pacific The United
Small Rim Small Kingdom
Company Company Company
Portfolio Portfolio Portfolio
-------------- ------------- ------------
<S> <C> <C> <C>
Investment Income
Dividends, (Net of Foreign Taxes Withheld of $259, $92
and $423, respectively) .......................... $ 1,466 $ 2,245 $ 2,493
Interest ........................................... 128 124 150
Income from Securities Lending ..................... 536 46 --
-------------- ------------- ------------
Total Investment Income .......................... 2,130 2,415 2,643
-------------- ------------- ------------
Expenses
Investment Advisory Services ....................... 1,008 517 421
Accounting & Transfer Agent Fees ................... 220 131 107
Custodian's Fee .................................... 115 135 37
Legal Fees ......................................... 13 8 8
Audit Fees ......................................... 17 10 9
Filing Fees ........................................ 25 9 7
Shareholders' Reports .............................. 13 7 7
Directors' Fees and Expenses ....................... 7 4 4
Other .............................................. 14 14 11
-------------- ------------- ------------
Total Expenses ................................... 1,432 835 611
-------------- ------------- ------------
Net Investment Income .............................. 698 1,580 2,032
-------------- ------------- ------------
Net Realized and Unrealized Gain (Loss) on Investments and
Foreign Currency
Net Realized Gain on Investment Securities .............. 12,943 9,140 4,413
Net Realized Loss on Foreign Currency Transactions ...... (89) (9) (95)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ............ 48,458 19,925 21,531
Translation of Foreign Currency Denominated Amounts .... (3) 14 65
-------------- ------------- ------------
Net Gain on Investment Securities and Foreign Currency 61,309 29,070 25,914
-------------- ------------- ------------
Net Increase in Net Assets Resulting from Operations .... $62,007 $30,650 $27,946
-------------- ------------- ------------
</TABLE>
See accompanying Notes to Financial Statements
85
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1996 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The RWB/DFA The
The International Continental
Emerging High Book Small
Markets to Market Company
Portfolio Portfolio Portfolio
----------- --------------- -------------
<S> <C> <C> <C>
Investment Income
Dividends, (Net of Foreign Taxes Withheld of $0, $0 and
$330, respectively) .............................. -- -- $ 3,330
Interest ........................................... -- -- 210
Income from Securities Lending ..................... -- -- 81
Income Distributions Received ...................... -- $ 496 --
Net Investment Income from the DFA Investment Trust
Company .......................................... $1,281 -- --
----------- --------------- -------------
Total Investment Income .......................... 1,281 496 3,621
----------- --------------- -------------
Expenses
Investment Advisory Services ....................... -- -- 840
Administrative Services ............................ 161 22 --
Accounting & Transfer Agent Fees ................... 19 10 199
Custodian's Fee .................................... -- -- 105
Client Service Fee ................................. -- 142 --
Legal Fees ......................................... 5 -- 13
Audit Fees ......................................... 5 2 16
Filing Fees ........................................ 12 15 9
Shareholders' Reports .............................. 1 1 12
Directors' Fees and Expenses ....................... 1 -- 6
Other .............................................. 4 5 16
----------- --------------- -------------
Total Expenses ................................... 208 197 1,216
----------- --------------- -------------
Net Investment Income .............................. 1,073 299 2,405
----------- --------------- -------------
Net Realized and Unrealized Gain (Loss) on Investments and
Foreign Currency
Capital Gain Distributions Received ..................... -- 1,341 --
Net Realized Gain (Loss) on Investment Securities ....... 24 (4) 5,625
Net Realized Loss on Foreign Currency Transactions ...... (47) -- (103)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ............ 7,911 18,985 31,144
Translation of Foreign Currency Denominated Amounts .. 11 -- 1
----------- --------------- -------------
Net Gain on Investment Securities and Foreign Currency 7,899 20,322 36,667
----------- --------------- -------------
Net Increase in Net Assets Resulting from Operations .... $8,972 $20,621 $39,072
=========== =============== =============
</TABLE>
See accompanying Notes to Financial Statements
86
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1996 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA
The International The DFA
Large Cap Small Cap One Year
International Value Fixed Income
Portfolio Portfolio Portfolio
--------------- --------------- --------------
<S> <C> <C> <C>
Investment Income
Dividends, (Net of Foreign Taxes Withheld of $80, $284
and $0, respectively) ............................ $ 717 $ 2,202 --
Interest ........................................... 84 437 --
Income from Securities Lending ..................... 9 -- --
Income Distributions Received ...................... -- -- $20,294
--------------- --------------- --------------
Total Investment Income .......................... 810 2,639 20,294
--------------- --------------- --------------
Expenses
Investment Advisory Services ....................... 90 763 --
Administrative Services ............................ -- -- 376
Accounting & Transfer Agent Fees ................... 48 145 10
Custodian's Fee .................................... 36 231 --
Legal Fees ......................................... 3 7 1
Audit Fees ......................................... 4 9 2
Filing Fees ........................................ 12 28 26
Shareholders' Reports .............................. 3 6 2
Directors' Fees and Expenses ....................... 2 3 --
Other .............................................. 13 17 1
--------------- --------------- --------------
Total Expenses ................................... 211 1,209 418
--------------- --------------- --------------
Net Investment Income .............................. 599 1,430 19,876
--------------- --------------- --------------
Net Realized and Unrealized Gain (Loss) on Investments and
Foreign Currency
Net Realized Gain (Loss) on Investment Securities ....... 552 3,777 (138)
Net Realized Gain (Loss) on Foreign Currency Transactions . (2) 19 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ............ 3,838 26,327 (1,551)
Translation of Foreign Currency Denominated Amounts.... (1) (235) --
--------------- --------------- --------------
Net Gain (Loss) on Investment Securities and Foreign
Currency ......................................... 4,387 29,888 (1,689)
--------------- --------------- --------------
Net Increase in Net Assets Resulting from Operations .... $4,986 $31,318 $18,187
=============== =============== ==============
</TABLE>
See accompanying Notes to Financial Statements
87
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED MAY 31, 1996 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA The DFA
The DFA Two-Year The DFA Intermediate
Five-Year Global Global Government
Government Fixed Income Fixed Income Fixed Income
Portfolio Portfolio(1) Portfolio Portfolio
------------ -------------- -------------- --------------
<S> <C> <C> <C> <C>
Investment Income
Interest ...................................... $ 6,685 -- $ 4,212 $ 2,545
Income Distributions Received ................. -- $ 412 -- --
------------ -------------- -------------- --------------
Total Investment Income ..................... 6,685 412 4,212 2,545
------------ -------------- -------------- --------------
Expenses
Investment Advisory Services .................. 237 -- 195 60
Administrative Fees ........................... -- 73 -- --
Accounting & Transfer Agent Fees .............. 48 5 94 24
Custodian's Fee ............................... 15 -- 24 5
Legal Fees .................................... 3 -- 6 1
Audit Fees .................................... 4 1 10 2
Filing Fees ................................... 19 4 19 7
Shareholders' Reports ......................... 4 -- 7 1
Directors' Fees and Expenses .................. 2 -- 4 1
Other ......................................... 6 2 3 1
------------ -------------- -------------- --------------
Total Expenses .............................. 338 85 362 102
------------ -------------- -------------- --------------
Net Investment Income ......................... 6,347 327 3,850 2,443
------------ -------------- -------------- --------------
Net Realized and Unrealized Gain (Loss) on
Investments and Foreign Currency
Net Realized Gain (Loss) on Investment Securities .. (790) (3) 4,809 162
Net Realized Gain on Foreign Currency Transactions . -- -- 8,344 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ........ (398) 3,386 (9,488) (4,489)
Translation of Foreign Currency Denominated Amounts -- -- (3,072) --
------------ -------------- -------------- --------------
Net Gain (Loss) on Investment Securities and Foreign
Currency .................................... (1,188) 3,383 593 (4,327)
------------ -------------- -------------- --------------
Net Increase (Decrease) in Net Assets Resulting from
Operations ....................................... $ 5,159 $3,710 $ 4,443 ($ 1,884)
============ ============== ============== ==============
</TABLE>
(1) For the period February 9 (commencement of operations) to May 31, 1996
See accompanying Notes to Financial Statements
88
<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 Six Months Six Months
Ended Year Ended Ended Year Ended Ended Year Ended
May 31, Nov. 30, May 31, Nov. 30, May 31, Nov. 30,
1996 1995 1996 1995 1996 1995
------------ ------------ ------------ ------------ ------------ -----------
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) .... $ 1,078 $ 3,611 $ (121) $ 1,298 $ 1,214 $ 1,724
Capital Gain Distributions
Received ..................... -- -- 10,281 3,702 685 --
Net Realized Gain (Loss) on
Investment Securities ........ 70,351 75,321 (158) 6,412 358 120
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities ................... 192,949 137,059 33,974 27,538 9,662 21,406
------------ ------------ ------------ ------------ ------------ -----------
Net Increase in Net Assets
Resulting from Operations 264,378 215,991 43,976 38,950 11,919 23,250
------------ ------------ ------------ ------------ ------------ -----------
Distributions From:
Net Investment Income ........... (505) (3,238) (218) (1,307) (773) (1,728)
Net Realized Gains .............. (63,526) (6,831) (5,839) (14,069) (32) (107)
------------ ------------ ------------ ------------ ------------ -----------
Total Distributions ........ (64,031) (10,069) (6,057) (15,376) (805) (1,835)
------------ ------------ ------------ ------------ ------------ -----------
Capital Share Transactions (1):
Shares Issued ................... 133,093 109,270 36,676 45,619 39,537 40,956
Shares Issued in Lieu of Cash
Distributions ................ 59,631 9,373 5,852 13,251 648 1,534
Shares Redeemed ................. (58,708) (58,312) (7,068) (7,937) (17,658) (15,432)
------------ ------------ ------------ ------------ ------------ -----------
Net Increase From Capital
Shares Transactions ..... 134,016 60,331 35,460 50,933 22,527 27,058
------------ ------------ ------------ ------------ ------------ -----------
Total Increase ............ 334,363 266,253 73,379 74,507 33,641 48,473
Net Assets
Beginning of Period ............. 925,474 659,221 186,644 112,137 97,111 48,638
------------ ------------ ------------ ------------ ------------ -----------
End of Period .................. $1,259,837 $925,474 $260,023 $186,644 $130,752 $ 97,111
============ ============ ============ ============ ============ ===========
(1) Shares Issued and Redeemed:
Shares Issued ................ 11,910 11,210 2,800 4,106 2,060 2,610
Shares Issued in Lieu of Cash
Distribution ............... 5,685 863 469 1,242 35 94
Shares Redeemed .............. (5,060) (5,753) (544) (702) (936) (927)
------------ ------------ ------------ ------------ ------------ -----------
12,535 6,320 2,725 4,646 1,159 1,777
============ ============ ============ ============ ============ ===========
</TABLE>
See accompanying Notes to Financial Statements
89
<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 Six Months Six Months
Ended Year Ended Ended Year Ended Ended Year Ended
May 31, Nov. 30, May 31, Nov. 30, May 31, Nov. 30,
1996 1995 1996 1995 1996 1995
------------ ------------ ------------ ------------ ------------ -----------
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) .... $ (317) $ 4,049 $ 1,802 $ 5,438 $ 1,523 $ 2,480
Capital Gain Distributions
Received ..................... 15,384 6,400 7,389 3,499 -- --
Net Realized Gain (Loss) on
Investment Securities ........ (548) 1,089 (229) (1,296) (417) 18
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities ................... 119,091 104,890 30,649 61,756 3,528 2,018
------------ ------------ ------------ ------------ ------------ -----------
Net Increase in Net Assets
Resulting from Operations 133,610 116,428 39,611 69,397 4,634 4,516
------------ ------------ ------------ ------------ ------------ -----------
Distributions From:
Net Investment Income ........... (761) (4,090) (1,961) (5,439) (628) (1,853)
Net Realized Gains .............. (2,190) (6,604) (22) (3,499) -- --
Tax Return of Capital ........... -- -- -- -- -- (433)
------------ ------------ ------------ ------------ ------------ -----------
Total Distributions ........ (2,951) (10,694) (1,983) (8,938) (628) (2,286)
------------ ------------ ------------ ------------ ------------ -----------
Capital Share Transactions (1):
Shares Issued ................... 331,022 195,639 134,700 109,335 9,187 13,000
Shares Issued in Lieu of Cash
Distributions ................ 2,393 7,554 1,470 6,778 571 2,071
Shares Redeemed ................. (53,003) (43,125) (56,495) (93,223) (9,832) (4,322)
------------ ------------ ------------ ------------ ------------ -----------
Net Increase (Decrease) From
Capital Shares Transactions 280,412 160,068 79,675 22,890 (74) 10,749
------------ ------------ ------------ ------------ ------------ -----------
Total Increase ............... 411,071 265,802 117,303 83,349 3,932 12,979
Net Assets
Beginning of Period ............. 609,950 344,148 280,915 197,566 43,435 30,456
------------ ------------ ------------ ------------ ------------ -----------
End of Period .................. $1,021,021 $609,950 $398,218 $280,915 $47,367 $43,435
============ ============ ============ ============ ============ ===========
(1) Shares Issued and Redeemed:
Shares Issued ................. 22,830 15,322 9,617 9,379 864 1,279
Shares Issued in Lieu of Cash
Distribution ................ 169 550 108 544 55 209
Shares Redeemed ............... (3,657) (3,313) (4,016) (8,714) (922) (429)
------------ ------------ ------------ ------------ ------------ -----------
19,342 12,559 5,709 1,209 (3) 1,059
============ ============ ============ ============ ============ ===========
</TABLE>
See accompanying Notes to Financial Statements
90
<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 Six Months Six Months
Ended Year Ended Ended Year Ended Ended Year Ended
May 31, Nov. 30, May 31, Nov. 30, May 31, Nov. 30,
1996 1995 1996 1995 1996 1995
------------ ------------ ------------ ------------ ------------ -----------
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ......... $ 698 $ 864 $ 1,580 $ 4,533 $ 2,032 $ 5,493
Net Realized Gain on Investment
Securities ................. 12,943 6,621 9,140 6,273 4,413 16,821
Net Realized Gain (Loss) on
Foreign Currency
Transactions ............... (89) 46 (9) 9 (95) (32)
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities and
Foreign Currency ......... 48,458 (28,340) 19,925 (23,959) 21,531 (1,683)
Translation of Foreign
Currency Denominated
Amounts .................. (3) (23) 14 3 65 (3)
------------ ------------ ------------ ------------ ------------ -----------
Net Increase (Decrease) in
Net Assets Resulting
from Operations ....... 62,007 (20,832) 30,650 (13,141) 27,946 20,596
------------ ------------ ------------ ------------ ------------ -----------
Distributions From:
Net Investment Income ......... (81) (891) (223) (4,485) (414) (5,241)
Net Realized Gains ............ (5,829) (8,541) (5,234) (3,585) (10,649) (2,120)
------------ ------------ ------------ ------------ ------------ -----------
Total Distributions ...... (5,910) (9,432) (5,457) (8,070) (11,063) (7,361)
------------ ------------ ------------ ------------ ------------ -----------
Capital Share Transactions (1):
Shares Issued ................. 32,112 103,808 10,803 21,624 12,457 29,396
Shares Issued in Lieu of Cash
Distributions .............. 5,910 9,432 5,457 8,070 11,063 7,361
Shares Redeemed ............... (56,107) (42,537) (25,373) (28,299) (23,719) (96,375)
------------ ------------ ------------ ------------ ------------ -----------
Net Increase (Decrease)
From Capital Shares
Transactions .......... (18,085) 70,703 (9,113) 1,395 (199) (59,618)
------------ ------------ ------------ ------------ ------------ -----------
Total Increase (Decrease). 38,012 40,439 16,080 (19,816) 16,684 (46,383)
Net Assets
Beginning of Period ........... 371,113 330,674 193,137 212,953 167,730 214,113
------------ ------------ ------------ ------------ ------------ -----------
End of Period ................ $409,125 $371,113 $209,217 $193,137 $184,414 $167,730
============ ============ ============ ============ ============ ===========
(1) Shares Issued and Redeemed:
Shares Issued ............... 1,303 4,585 693 1,426 518 1,177
Shares Issued in Lieu of
Cash Distribution ........ 247 384 388 552 485 302
Shares Redeemed ............. (2,248) (1,869) (1,639) (1,878) (1,000) (3,746)
------------ ------------ ------------ ------------ ------------ -----------
(698) 3,100 (558) 100 3 (2,267)
============ ============ ============ ============ ============ ===========
</TABLE>
See accompanying Notes to Financial Statements
91
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The RWB/DFA
The Emerging International The Continental
Markets High Book to Market Small Company
Portfolio Portfolio Portfolio
---------------------------- ---------------------------- -----------------------------
Six Months Six Months Six Months
Ended Year Ended Ended Year Ended Ended Year Ended
May 31, Nov. 30, May 31, Nov. 30, May 31, Nov. 30,
1996 1995 1996 1995 1996 1995
------------ ------------ ------------ ------------ ------------ -----------
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ........... $ 1,073 $ 298 $ 299 $ 2,595 $ 2,405 $ 6,005
Capital Gain Distributions
Received ..................... -- -- 1,341 337 -- --
Net Realized Gain (Loss) on
Investment Securities ........ 24 (169) (4) (143) 5,625 16,669
Net Realized Gain (Loss) on
Foreign Currency Transactions (47) (57) -- -- (103) 466
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency ........... 7,911 (2,547) 18,985 6,730 31,144 (26,692)
Translation of Foreign
Currency Denominated Amounts 11 (3) -- -- 1 (49)
------------ ------------ ------------ ------------ ------------ -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations .............. 8,972 (2,478) 20,621 9,519 39,072 (3,601)
------------ ------------ ------------ ------------ ------------ -----------
Distributions From:
Net Investment Income ........... (19) (230) (187) (2,601) (447) (6,257)
Net Realized Gains .............. -- -- (33) (337) (16,253) (500)
------------ ------------ ------------ ------------ ------------ -----------
Total Distributions ........ (19) (230) (220) (2,938) (16,700) (6,757)
------------ ------------ ------------ ------------ ------------ -----------
Capital Share Transactions (1):
Shares Issued ................... 67,443 39,528 50,158 63,111 20,413 40,567
Shares Issued in Lieu of Cash
Distributions ................ 19 230 220 2,938 16,700 6,757
Shares Redeemed ................. (4,757) (3,444) (10,759) (13,565) (22,397) (63,842)
------------ ------------ ------------ ------------ ------------ -----------
Net Increase (Decrease) From
Capital Shares Transactions 62,705 36,314 39,619 52,484 14,716 (16,518)
------------ ------------ ------------ ------------ ------------ -----------
Total Increase (Decrease) .... 71,658 33,606 60,020 59,065 37,088 (26,876)
Net Assets
Beginning of Period ............. 49,337 15,731 172,017 112,952 314,116 340,992
------------ ------------ ------------ ------------ ------------ -----------
End of Period .................. $120,995 $49,337 $232,037 $172,017 $351,204 $314,116
============ ============ ============ ============ ============ ===========
(1) Shares Issued and Redeemed:
Shares Issued ................. 5,769 3,674 3,905 5,362 1,402 2,644
Shares Issued in Lieu of Cash
Distribution ............... 2 23 17 245 1,233 470
Shares Redeemed ............... (424) (323) (837) (1,162) (1,544) (4,198)
------------ ------------ ------------ ------------ ------------ -----------
5,347 3,374 3,085 4,445 1,091 (1,084)
============ ============ ============ ============ ============ ===========
</TABLE>
See accompanying Notes to Financial Statements
92
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA
The Large Cap International The DFA One-Year
International Small Cap Value Fixed Income
Portfolio Portfolio Portfolio
---------------------------- ------------------------------- ----------------------------
Six Months Six Months Six Months
Ended Year Ended Ended Dec. 30, 1994 Ended Year Ended
May 31, Nov. 30, May 31, to Nov. 30, May 31, Nov. 30,
1996 1995 1996 1995 1996 1995
------------ ------------ ------------ --------------- ------------ -----------
(Unaudited) (Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ......... $ 599 $ 1,083 $ 1,430 $ 666 $ 19,876 $ 36,286
Net Realized Gain (Loss) on
Investment Securities ...... 552 (444) 3,777 124 (138) (1,504)
Net Realized Gain (Loss) on
Foreign Currency
Transactions ............... (2) (120) 19 (13) -- --
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities and
Foreign Currency ......... 3,838 4,369 26,327 (6,181) (1,551) 11,442
Translation of Foreign
Currency Denominated
Amounts .................. (1) (5) (235) 190 -- --
------------ ------------ ------------ --------------- ------------ -----------
Net Increase (Decrease) in
Net Assets Resulting
from Operations ....... 4,986 4,883 31,318 (5,214) 18,187 46,224
------------ ------------ ------------ --------------- ------------ -----------
Distributions From:
Net Investment Income ......... (93) (934) (69) (588) (19,927) (36,352)
Net Realized Gains ............ -- (1,072) (18) (114) -- (405)
------------ ------------ ------------ --------------- ------------ -----------
Total Distributions ...... (93) (2,006) (87) (702) (19,927) (36,757)
------------ ------------ ------------ --------------- ------------ -----------
Capital Share Transactions (1):
Shares Issued ................. 18,421 30,608 143,694 154,664 272,504 357,430
Shares Issued in Lieu of Cash
Distributions .............. 93 2,006 87 702 13,758 26,485
Shares Redeemed ............... (20,797) (23,186) (3,986) (2,325) (164,868) (280,658)
------------ ------------ ------------ --------------- ------------ -----------
Net Increase (Decrease)
From Capital Shares
Transactions .......... (2,283) 9,428 139,795 153,041 121,394 103,257
------------ ------------ ------------ --------------- ------------ -----------
Total Increase .......... 2,610 12,305 171,026 147,125 119,654 112,724
Net Assets
Beginning of Period ........... 67,940 55,635 147,125 -- 704,950 592,226
------------ ------------ ------------ --------------- ------------ -----------
End of Period ................ $ 70,550 $ 67,940 $318,151 $147,125 $ 824,604 $ 704,950
============ ============ ============ =============== ============ ===========
(1) Shares Issued and Redeemed:
Shares Issued ............... 1,397 2,502 13,786 15,363 26,745 35,060
Shares Issued in Lieu of
Cash Distribution ........ 7 166 9 73 1,355 2,620
Shares Redeemed ............. (1,580) (1,946) (379) (232) (16,176) (27,540)
------------ ------------ ------------ --------------- ------------ -----------
(176) 722 13,416 15,204 11,924 10,140
============ ============ ============ =============== ============ ===========
See accompanying Notes to Financial Statements
93
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
</TABLE>
<TABLE>
<CAPTION>
The DFA
The DFA Two-Year
Five-Year Global
Government Fixed Income
Portfolio Portfolio
---------------------------- --------------
Six Months
Ended Year Ended Feb. 8
May 31, Nov. 30, to May 31,
1996 1995 1996
------------ ------------ --------------
(Unaudited) (Unaudited)
<S> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ......... $ 6,347 $ 16,294 $ 327
Net Realized Gain (Loss) on
Investment Securities ...... (790) (8,073) (3)
Net Realized Gain on Foreign
Currency Transactions ...... -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency ......... (398) 15,097 3,386
Translation of Foreign Currency
Denominated Amounts ...... -- -- --
------------ ------------ --------------
Net Increase in Net Assets
Resulting from Operations 5,159 23,318 3,710
------------ ------------ --------------
Distributions From:
Net Investment Income ......... (1,711) (16,191) (388)
------------ ------------ --------------
Capital Share Transactions (1):
Shares Issued ................. 49,588 128,212 273,929
Shares Issued in Lieu of Cash
Distributions .............. 1,094 11,921 388
Shares Redeemed ............... (146,477) (81,893) (14,730)
------------ ------------ --------------
Net Increase (Decrease) From
Capital Shares
Transactions .......... (95,795) 58,240 259,587
------------ ------------ --------------
Total Increase (Decrease). (92,347) 65,367 262,909
Net Assets
Beginning of Period ........... 300,921 235,554 --
------------ ------------ --------------
End of Period ................ $ 208,574 $300,921 $262,909
============ ============ ==============
(1) Shares Issued and Redeemed:
Shares Issued ................ 4,878 12,740 27,376
Shares Issued in Lieu of Cash
Distribution ............... 109 1,190 39
Shares Redeemed .............. (14,492) (8,160) (1,465)
------------ ------------ --------------
(9,505) 5,770 25,950
============ ============ ==============
</TABLE>
See accompanying Notes to Financial Statements
94
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA
The DFA Global Intermediate Government
Fixed Income Fixed Income
Portfolio Portfolio
--------------------------------
Six Months
Ended Year Ended Six Months Ended Year Ended
May 31, Nov. 30, May 31, Nov. 30,
1996 1995 1996 1995
---------- ------------ ---------------- ------------
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ......... $ 3,850 $ 10,094 $ 2,443 $ 4,391
Net Realized Gain on
Investment Securities ...... 4,809 2,020 162 874
Net Realized Gain on Foreign
Currency Transactions ...... 8,344 5,130 -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities ...... (9,488) 6,020 (4,489) 6,019
Translation of Foreign Currency
Denominated Amounts ...... (3,072) 1,699 -- --
-------------- ------------ ---------------- ------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations .............. 4,443 24,963 (1,884) 11,284
-------------- ------------ ---------------- ------------
Distributions From:
Net Investment Income ......... (5,738) (13,843) (1,261) (4,374)
Net Realized Gains ............ -- -- (313) (578)
-------------- ------------ ---------------- ------------
Total Distributions ...... -- -- (1,574) (4,952)
-------------- ------------ ---------------- ------------
Capital Share Transactions (1):
Shares Issued ................. 38,903 95,850 15,892 30,310
Shares Issued in Lieu of Cash
Distributions .............. 3,314 9,165 512 1,636
Shares Redeemed ............... (121,561) (43,498) (9,426) (21,018)
-------------- ------------ ---------------- ------------
Net Increase (Decrease) From
Capital Share
Transactions .......... (79,344) 61,517 6,978 10,928
-------------- ------------ ---------------- ------------
Total Increase (Decrease). (80,639) 72,637 3,520 17,260
Net Assets
Beginning of Period ........... 208,166 135,529 78,087 60,827
-------------- ------------ ---------------- ------------
End of Period ................ $ 127,527 $208,166 $81,607 $ 78,087
============== ============ ================ ============
(1) Shares Issued and Redeemed:
Shares Issued ............... 3,825 9,380 1,430 2,770
Shares Issued in Lieu of Cash
Distribution ............. 108 890 46 150
Shares Redeemed ............. (11,518) (4,270) (845) (1,920)
-------------- ------------ ---------------- ------------
(7,585) 6,000 631 1,000
============== ============ ================ ============
</TABLE>
95
See accompanying Notes to Financial Statements
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<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,
1996 1995 1994 1993 1992
--------------- --------------- --------------- --------------- ---------------
(Unaudited)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $ 11.03 $ 8.49 $ 8.69 $ 7.75 $ 6.33
--------------- --------------- --------------- --------------- ---------------
Income From Investment
Operations
Net Investment Income ............ 0.01 0.05 0.01 0.03 0.04
Net Gain (Losses) on Securities
(Realized and Unrealized) ..... 2.79 2.61 0.40 1.67 1.53
--------------- --------------- --------------- --------------- ---------------
Total From Investment
Operations ................... 2.80 2.66 0.41 1.70 1.57
--------------- --------------- --------------- --------------- ---------------
Less Distributions
Net Investment Income ............ (0.01) (0.04) (0.03) (0.05) (0.05)
Net Realized Gains ............... (0.76) (0.08) (0.58) (0.71) (0.10)
--------------- --------------- --------------- --------------- ---------------
Total Distributions ............... (0.77) (0.12) (0.61) (0.76) (0.15)
--------------- --------------- --------------- --------------- ---------------
Net Asset Value, End of Period ..... $ 13.06 $ 11.03 $ 8.49 $ 8.69 $ 7.75
=============== =============== =============== =============== ===============
Total Return ....................... 26.99%# 31.37% 5.06% 23.91% 25.24%
--------------- --------------- --------------- --------------- ---------------
Net Assets, End of Period
(thousands) ...................... $1,259,837 $925,474 $659,221 $630,918 $651,313
Ratio of Expenses to Average Net
Assets ........................... 0.61%* 0.62% 0.65% 0.70% 0.68%
Ratio of Net Investment Income to
Average Net Assets ............... 0.21%* 0.45% 0.16% 0.26% 0.53%
Portfolio Turnover Rate ............ 22.46%* 24.65% 16.56% 9.87% 9.72%
Average Commission Rate (1) ........ $ 0.0582 N/A N/A N/A N/A
--------------- --------------- --------------- --------------- ---------------
</TABLE>
<TABLE>
<CAPTION>
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1991 1990 1989 1988 1987 1986
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period ..... $ 5.34 $ 7.74 $ 7.66 $ 7.50 $ 8.94 $ 8.88
----------- ----------- ----------- ----------- ----------- -----------
Income From Investment
Operations
Net Investment Income ................. 0.04 0.07 0.07 0.10 0.09 0.12
Net Gain (Losses) on Securities
(Realized and Unrealized) ........... 1.64 (1.77) 0.98 1.48 (1.53) 1.15
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment
Operations ......................... 1.68 (1.70) 1.05 1.58 (1.44) 1.27
----------- ----------- ----------- ----------- ----------- -----------
Less Distributions
Net Investment Income ................. (0.07) (0.08) (0.09) (0.11) -- (0.23)
Net Realized Gains .................... (0.62) (0.62) (0.88) (1.31) -- (0.98)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions ..................... (0.69) (0.70) (0.97) (1.42) -- (1.21)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period ........... $ 6.33 $ 5.34 $ 7.74 $ 7.66 $ 7.50 $ 8.94
=========== =========== =========== =========== =========== ===========
Total Return ............................. 39.08% (24.09)% 16.09% 24.36% (16.04)% 14.88%
----------- ----------- ----------- ----------- ----------- -----------
Net Assets, End of Period
(thousands) ........................... $722,289 $561,102 $949,291 $912,518 $788,821 $952,580
Ratio of Expenses to Average Net Assets .. 0.64% 0.62% 0.62% 0.62% 0.61% 0.62%
Ratio of Net Investment Income to Average
Net Assets ............................ 0.75% 0.99% 0.86% 1.19% 0.92% 1.14%
Portfolio Turnover Rate .................. 10.13% 3.79% 7.86% 25.98% 23.05% 14.19%
Average Commission Rate (1) .............. N/A N/A N/A N/A N/A N/A
----------- ----------- ----------- ----------- ----------- -----------
</TABLE>
(Adjusted to reflect a 1,900% Stock Dividend as of November 28, 1986)
(1) Computed by dividing the total amount of brokerage commissions paid by
the total shares of investment securities purchased and sold during the
period for which commissions were charged, as required by the SEC for
fiscal years beginning after September 1, 1995.
# Non-Annualized
* Annualized See accompanying Notes to Financial Statements
96
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The U.S. 6-10 Small Company Portfolio
---------------------------------------------------------------------------
Six Months Year Year Year
Ended Ended Ended Ended March 20
May 31, Nov. 30, Nov. 30, Nov. 30, to Nov. 30,
1996 1995 1994 1993 1992
------------- ------------- ------------- ------------- -------------
(Unaudited)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period .......... $ 12.64 $ 11.08 $ 11.43 $ 10.35 $ 10.00
------------- ------------- ------------- ------------- -------------
Income From Investment
Operations
Net Investment Income ....................... -- 0.09 0.09 0.08 0.04
Net Gain (Losses) on Securities (Realized and
Unrealized) .............................. 2.65 2.81 (0.07) 1.43 0.31
------------- ------------- ------------- ------------- -------------
Total From Investment
Operations .............................. 2.65 2.90 0.02 1.51 0.35
------------- ------------- ------------- ------------- -------------
Less Distributions
Net Investment Income ....................... (0.02) (0.14) (0.09) (0.11) --
Net Realized Gains .......................... (0.40) (1.20) (0.28) (0.32) --
------------- ------------- ------------- ------------- -------------
Total Distributions .......................... (0.42) (1.34) (0.37) (0.43) --
------------- ------------- ------------- ------------- -------------
Net Asset Value, End of Period ................ $ 14.87 $ 12.64 $ 11.08 $ 11.43 $ 10.35
============= ============= ============= ============= =============
Total Return .................................. 21.51%# 28.75% 0.22% 14.72% 6.70%#
------------- ------------- ------------- ------------- -------------
Net Assets, End of Period
(thousands) ................................. $260,023 $186,644 $112,137 $136,863 $134,418
Ratio of Expenses to Average Net Assets** ..... 0.48%* 0.49% 0.53% 0.58% 0.48%*
Ratio of Net Investment Income to Average Net
Assets ...................................... (0.11)%* 0.83% 0.72% 0.70% 0.96%*
Portfolio Turnover Rate ....................... N/A*** N/A*** N/A*** 1.81%*(b) 3.41%*
Average Commission Rate ....................... N/A*** N/A*** N/A*** N/A N/A
------------- ------------- ------------- ------------- -------------
</TABLE>
<TABLE>
<CAPTION>
The U.S. Large Company Portfolio
------------------------------------------------------------------------------------
Six Months Year Year Year Year Dec. 31,
Ended Ended Ended Ended Ended 1990
May 31, Nov. 30, Nov. 30, Nov. 30, Nov. 30, to Nov. 30,
1996 1995 1994 1993 1992 1991
------------ ------------ ------------ ------------ ------------ ------------
(Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period ..... $ 18.12 $ 13.58 $ 13.91 $ 13.12 $ 11.44 $ 10.00
------------ ------------ ------------ ------------ ------------ ------------
Income From Investment Operations
Net Investment Income ................. 0.21 0.35 0.37 0.36 0.36 0.34
Net Gain (Losses) on Securities
(Realized and Unrealized) ........... 1.88 4.57 (0.22) 0.87 1.69 1.34
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations ......................... 2.09 4.92 0.15 1.23 2.05 1.68
------------ ------------ ------------ ------------ ------------ ------------
Less Distributions
Net Investment Income ................. (0.14) (0.36) (0.37) (0.44) (0.37) (0.24)
Net Realized Gains .................... (0.01) (0.02) (0.11) -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions ..................... (0.15) (0.38) (0.48) (0.44) (0.37) (0.24)
------------ ------------ ------------ ------------ ------------ ------------
Net Asset Value, End of Period ........... $ 20.06 $ 18.12 $ 13.58 $ 13.91 $ 13.12 $ 11.44
============ ============ ============ ============ ============ ============
Total Return ............................. 11.59%# 36.54% 1.04% 9.48% 18.23% 16.80%#
------------ ------------ ------------ ------------ ------------ ------------
Net Assets, End of Period
(thousands) ........................... $130,752 $97,111 $48,638 $37,830 $34,908 $22,279
Ratio of Expenses to Average Net Assets** 0.24%*(a) 0.24%(a) 0.24%(a) 0.24%(a) 0.11%(a) 0.00%*(a)
Ratio of Net Investment Income to Average
Net Assets ............................ 2.22%*(a) 2.29%(a) 2.75%(a) 2.48%(a) 2.86%(a) 3.42%*(a)
Portfolio Turnover Rate .................. N/A*** N/A*** N/A*** 27.67%*(b) 3.56% 0.97%*
Average Commission Rate .................. N/A*** N/A*** N/A*** N/A N/A N/A
------------ ------------ ------------ ------------ ------------ ------------
</TABLE>
<PAGE>
* 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, 1996,
November 30, 1995, 1994, 1993, 1992 and 1991 would have been 0.50%,
0.46%, 0.66%, 0.79%, 0.53% and 0.52%, respectively, and the ratios of net
investment income to average net assets for the periods ended May 31,
1996, November 30, 1995, 1994, 1993, 1992, and 1991 would have been
1.96%, 2.23%, 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
97
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The U.S. Small Cap The U.S. Large Cap
Value Portfolio Value Portfolio
-------------------------------------------- --------------------------------------------
Six Months Year Year March 2 Six Months Year Year Feb. 19
Ended Ended Ended to Ended Ended Ended to
May 31, Nov. 30, Nov. 30, Nov. 30, May 31, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993 1996 1995 1994 1993
---------- -------- -------- -------- ---------- -------- -------- --------
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $14.03 $11.13 $11.04 $10.00 $13.29 $ 9.91 $10.60 $10.00
---------- -------- -------- -------- ---------- -------- -------- --------
Income From Investment Operations
Net Investment Income . -- 0.10 0.14 0.11 0.08 0.29 0.32 0.18
Net Gain (Losses) on
Securities (Realized
and Unrealized) .... 2.29 3.06 0.10 1.03 1.54 3.55 (0.68) 0.59
---------- -------- -------- -------- ---------- -------- -------- --------
Total From
Investment
Operations ....... 2.29 3.16 0.24 1.14 1.62 3.84 (0.36) 0.77
---------- -------- -------- -------- ---------- -------- -------- --------
Less Distributions
Net Investment Income . (0.02) (0.10) (0.15) (0.10) (0.08) (0.29) (0.33) (0.17)
Net Realized Gain ..... (0.05) (0.16) -- -- -- (0.17) -- --
Tax Return of Capital . -- -- -- -- -- -- -- --
---------- -------- -------- -------- ---------- -------- -------- --------
Total Distributions .. (0.07) (0.26) (0.15) (0.10) (0.08) (0.46) (0.33) (0.17)
---------- -------- -------- -------- ---------- -------- -------- --------
Net Asset Value, End of
Period ................ $16.25 $14.03 $11.13 $11.04 $14.83 $13.29 $ 9.91 $10.60
========== ======== ======== ======== ========== ======== ======== ========
Total Return ............ 16.33%# 28.41% 2.19% 11.39%# 12.29%# 39.13% (3.27)% 7.59%#
---------- -------- -------- -------- ---------- -------- -------- --------
Net Assets, End of Period
(thousands) ........... $1,021,021 $609,950 $344,148 $95,682 $398,218 $280,915 $197,566 $90,288
Ratio of Expenses to
Average Net Assets** .. 0.61%* 0.64% 0.66% 0.70%* 0.37%* 0.42% 0.44% 0.47%*
Ratio of Net Investment
Income to Average Net
Assets ................ (0.08)%* 0.85% 1.69% 1.97%* 1.07%* 2.49% 3.50% 3.38%*
Portfolio Turnover Rate . N/A*** N/A*** N/A*** N/A*** NA*** N/A*** N/A*** N/A***
Average Commission
Rate (1) .............. N/A*** N/A*** N/A*** N/A*** NA*** N/A*** N/A*** N/A***
---------- -------- -------- -------- ---------- -------- -------- --------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The DFA/AEW Real
Estate Securities
Portfolio
------------------------------------------------
Six Months Year Year Jan. 5
Ended Ended Ended to
May 31, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993
---------- -------- -------- --------
(Unaudited)
<S> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $ 10.00 $ 9.28 $ 10.92 $ 10.00
-------- -------- -------- --------
Income From Investment
Operations
Net Investment Income . 0.35 0.61 0.37 0.20
Net Gain (Losses) on
Securities (Realized
and Unrealized) .... 0.71 0.68 (1.65) 0.91
-------- -------- -------- --------
Total From
Investment
Operations ....... 1.06 1.29 (1.28) 1.11
-------- -------- -------- --------
Less Distributions
Net Investment Income . (0.14) (0.46) (0.28) (0.19)
Net Realized Gain ..... -- -- -- --
Tax Return of Capital . -- (0.11) (0.08) --
-------- -------- -------- --------
Total Distributions .... (0.14) (0.57) (0.36) (0.19)
-------- -------- -------- --------
Net Asset Value, End of
Period ................ $ 10.92 $ 10.00 $ 9.28 $ 10.92
======== ======== ======== ========
Total Return ............ 10.70%# 14.00% (11.76)% 11.08%#
-------- -------- -------- --------
Net Assets, End of Period
(thousands) ........... $47,367 $43,435 $30,456 $22,106
Ratio of Expenses to
Average Net Assets** .. 0.73%* 0.82% 0.90% 0.88%*
Ratio of Net Investment
Income to Average Net
Assets ................ 6.62%* 6.76% 3.90% 2.63%*
Portfolio Turnover Rate . 24.08%* 0.66% 28.87% 0.55%*
Average Commission
Rate (1) .............. $ 0.0456 N/A N/A N/A
---------- -------- -------- --------
</TABLE>
* Annualized
** Represents the respective 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.
(1) Computed by dividing the total amount of brokerage commissions paid by
the total shares of investment securities purchased and sold during the
period for which commissions were charged, as required by the SEC for
fiscal years beginning after September 1, 1995.
See accompanying Notes to Financial Statements
98
<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,
1996 1995 1994 1993 1992
---------- -------- -------- -------- --------
(Unaudited)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $ 22.78 $25.06 $19.96 $18.92 $ 25.05
Income From Investment Operations
Net Investment Income (Loss) ..... 0.05 0.06 0.05 0.04 0.04
Net Gain (Losses) on
Securities (Realized and
Unrealized) .................... 3.78 (1.65) 5.76 1.75 (5.69)
---------- -------- -------- -------- --------
Total From Investment
Operations .................. 3.83 (1.59) 5.81 1.79 (5.65)
---------- -------- -------- -------- --------
Less Distributions
Net Investment Income ............ (0.01) (0.06) (0.04) (0.05) --
Net Realized Gains ............... (0.36) (0.63) (0.67) (0.70) (0.48)
---------- -------- -------- -------- --------
Total Distributions ............ (0.37) (0.69) (0.71) (0.75) (0.48)
---------- -------- -------- -------- --------
Net Asset Value, End of Period ...... $ 26.24 $22.78 $25.06 $19.96 $ 18.92
========== ======== ======== ======== ========
Total Return ........................ 16.94%# (6.54)% 29.59% 9.52% (23.01)%
---------- -------- -------- -------- --------
Net Assets, End of Period
(thousands) ...................... $409,125 $371,113 $330,674 $209,244 $139,892
Ratio of Expenses to Average Net
Assets ........................... 0.71%* 0.74% 0.76% 0.82% 0.78%
Ratio of Net Investment Income to
Average Net Assets ............... 0.35%* 0.25% 0.10% 0.06% 0.10%
Portfolio Turnover Rate ............. 6.13%* 7.79% 10.51% 9.36% 5.00%
Average Commission Rate (1) ......... $0.0443 N/A N/A N/A N/A
---------- -------- -------- -------- --------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Year Year Year Year Year Jan. 31
Ended Ended Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1991 1990 1989 1988 1987 1986
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $ 26.27 $ 38.33 $ 31.03 $ 24.87 $ 14.39 $ 10.35
Income From Investment Operations
Net Investment Income (Loss) ..... (0.01) (0.03) (0.09) (0.05) (0.01) 0.01
Net Gain (Losses) on
Securities (Realized and
Unrealized) .................... 0.51 (10.74) 9.09 10.42 10.53 4.03
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment
Operations .................. 0.50 (10.77) 9.00 10.37 10.52 4.04
----------- ----------- ----------- ----------- ----------- -----------
Less Distributions
Net Investment Income ............ -- -- -- -- -- --
Net Realized Gains ............... (1.72) (1.29) (1.70) (4.21) (0.04) --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions ............ (1.72) (1.29) (1.70) (4.21) (0.04) 0.00
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period ...... $ 25.05 $ 26.27 $ 38.33 $ 31.03 $ 24.87 $ 14.39
=========== =========== =========== =========== =========== ===========
Total Return ........................ 1.68% (29.12)% 30.63% 47.62% 73.09% 38.37%#
----------- ----------- ----------- ----------- ----------- -----------
Net Assets, End of Period
(thousands) ...................... $159,475 $149,100 $168,820 $107,863 $60,450 $45,683
Ratio of Expenses to Average Net
Assets ........................... 0.78% 0.83% 0.76% 0.76% 0.78% 0.79%*
Ratio of Net Investment Income to
Average Net Assets ............... (0.11)% (0.22)% (0.34)% (0.23)% (0.08)% 0.07%*
Portfolio Turnover Rate ............. 2.71% 10.26% 5.76% 9.14% 0.07% 0.00%*
Average Commission Rate (1) ......... N/A N/A N/A N/A N/A N/A
----------- ----------- ----------- ----------- ----------- -----------
</TABLE>
* Annualized
# Non-annualized
(1) Computed by dividing the total amount of brokerage commissions paid by the
total shares of investment securities purchased and sold during the period
for which commissions were charged, as required by the SEC for See
accompanying Notes to Financial Statements fiscal years beginning after
September 1, 1995.
See accompanying Notes to Financial Statements
99
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The Pacific Rim Small
Company Portfolio The United Kingdom Small Company Portfolio
---------------------------------------------- ------------------------------------------
Six Months Year Year Jan. 5 Six Months Year Year
Ended Ended Ended to Ended Ended Ended
May 31, Nov. 30, Nov. 30, Nov. 30, May 31, Nov. 30, Nov. 30,
1996 1995 1994 1993 1996 1995 1994
---------- ---------- -------- -------- ---------- -------- --------
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ... $ 14.38 $15.98 $16.45 $10.00 $ 24.09 $23.20 $21.22
---------- ---------- -------- -------- ---------- -------- --------
Income From Investment Operations
Net Investment Income 0.12 0.34 0.23 0.11 0.29 0.84 0.48
Net Gain (Losses) on
Securities
(Realized and
Unrealized) ....... 2.18 (1.33) 0.47 6.46 3.74 1.12 2.03
---------- ---------- -------- -------- ---------- -------- --------
Total From
Investment
Operations ...... 2.30 (0.99) 0.70 6.57 4.03 1.96 2.51
---------- ---------- -------- -------- ---------- -------- --------
Less Distributions
Net Investment Income (0.02) (0.34) (0.23) (0.09) (0.06) (0.76) (0.53)
Net Realized Gains ... (0.40) (0.27) (0.94) (0.03) (1.59) (0.31) --
---------- ---------- -------- -------- ---------- -------- --------
Total Distributions (0.42) (0.61) (1.17) (0.12) (1.65) (1.07) (0.53)
---------- ---------- -------- -------- ---------- -------- --------
Net Asset Value, End of
Period ............... $ 16.26 $14.38 $15.98 $16.45 $ 26.47 $24.09 $23.20
========== ========== ======== ======== ========== ======== ========
Total Return ........... 16.41%# (6.27)% 4.26% 65.71%# 17.85%# 8.39% 11.85%
---------- ---------- -------- -------- ---------- -------- --------
Net Assets, End of
Period (thousands) ... $209,217 $193,137 $212,953 $164,623 $184,414 $167,730 $214,113
Ratio of Expenses to
Average Net Assets ... 0.81%* 0.83% 0.95% 1.16%* 0.72%* 0.72% 0.74%
Ratio of Net Investment
Income to Average Net
Assets ............... 1.52%* 2.22% 1.47% 1.27%* 2.41%* 2.51% 1.95%
Portfolio Turnover Rate 9.40%* 5.95% 26.05% 2.77%* 4.98%* 7.82% 10.75%
Average Commission Rate
(1) .................. $0.0114 N/A N/A N/A $0.0107 N/A N/A
---------- ---------- -------- -------- ---------- -------- --------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Year Year Year Year Year Year Year Jan. 31
Ended Ended Ended Ended Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1993 1992 1991 1990 1989 1988 1987 1986
--------- --------- --------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $16.38 $21.37 $20.41 $22.55 $28.29 $23.41 $16.29 $14.03
--------- --------- --------- --------- --------- --------- --------- ---------
Income From Invest-
ment Operations
Net Investment Income . 0.45 0.64 0.69 0.92 0.52 0.61 0.17 0.46
Net Gain (Losses) on
Securities (Realized
and Unrealized) .... 5.34 (4.98) 1.71 (1.34) (4.75) 5.18 7.35 1.80
--------- --------- --------- --------- --------- --------- --------- ---------
Total From
Investment
Operations ....... 5.79 (4.34) 2.40 (0.42) (4.23) 5.79 7.52 2.26
--------- --------- --------- --------- --------- --------- --------- ---------
Less Distributions
Net Investment Income . (0.95) (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 (0.95) (0.65) (1.44) (1.72) (1.51) (0.91) (0.40) --
--------- --------- --------- --------- --------- --------- --------- ---------
Net Asset Value, End of
Period ................ $21.22 $16.38 $21.37 $20.41 $22.55 $28.29 $23.41 $16.29
========= ========= ========= ========= ========= ========= ========= =========
Total Return ............ 36.42% (20.93)% 12.55% (2.22)% (15.40)% 23.66% 47.44% 13.19%#
--------- --------- --------- --------- --------- --------- --------- ---------
Net Assets, End of Period
(thousands) ........... $181,789 $121,086 $146,873 $127,137 $119,385 $121,337 $82,197 $29,275
Ratio of Expenses to
Average Net Assets .... 0.78% 0.76% 0.84% 0.83% 0.70% 0.71% 0.85% 0.76%*
Ratio of Net Investment
Income to Average Net
Assets ................ 2.22% 3.19% 3.44% 4.34% 2.24% 2.58% 1.92% 3.99%*
Portfolio Turnover Rate . 8.21% 4.41% 4.50% 10.86% 11.38% 12.55% 9.50% 11.81%*
Average Commission Rate
(1) ................... N/A N/A N/A N/A N/A N/A N/A N/A
--------- --------- --------- --------- --------- --------- --------- ---------
</TABLE>
* Annualized
# Non-annualized
(1) Computed by dividing the total amount of brokerage commissions paid by
the total shares of investment securities purchased and sold during the
period for which commissions were charged, as required by the SEC for
fiscal years beginning after September 1, 1995.
See accompanying Notes to Financial Statements
100
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The RWB/DFA International
The Emerging High Book to Market
Markets Portfolio Portfolio
--------------------------------- ------------------------------------------------
Six Months Year April 25 Six Months Year Year June 10
Ended Ended to Ended Ended Ended to
May 31, Nov. 30, Nov. 30, May 31, Nov. 30, Nov. 30, May 31,
1996 1995 1994 1996 1995 1994 1993
---------- -------- -------- ---------- -------- --------- ---------
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning $ 10.00
of Period ............... $ 10.35 $ 11.30 $ 10.00 $ 12.02 $ 11.44 $ 9.92
---------- -------- -------- ---------- -------- --------- ---------
Income From Investment Operations
Net Investment Income
(Loss) .............. 0.11 0.06 (0.02) 0.02 0.19 0.14 0.06
Net Gain (Losses) on
Securities (Realized
and Unrealized) ..... 1.50 (0.96) 1.32 1.31 0.60 1.52 (0.11)
---------- -------- -------- ---------- -------- --------- ---------
Total From Investment
Operations ........ 1.61 (0.90) 1.30 1.33 0.79 1.66 (0.05)
---------- -------- -------- ---------- -------- --------- ---------
Less Distributions
Net Investment Income .. -- (0.05) -- (0.01) (0.19) (0.14) (0.03)
Net Realized Gains ..... -- -- -- -- (0.02) -- --
Tax Return of Capital .. -- -- -- -- -- -- --
---------- -------- -------- ---------- -------- --------- ---------
Total Distributions . -- (0.05) -- (0.01) (0.21) (0.14) (0.03)
---------- -------- -------- ---------- -------- --------- ---------
Net Asset Value, End of
Period ................. $ 11.96 $ 10.35 $ 11.30 $ 13.34 $ 12.02 $ 11.44 $ 9.92
========== ======== ======== ========== ======== ========= =========
Total Return ............. 15.60%# (7.96)% 13.00%# 11.11%# 6.95% 16.71% (0.50)%#
---------- -------- -------- ---------- -------- --------- ---------
Net Assets, End of Period
(thousands) ............ $120,995 $49,337 $15,731 $232,037 $172,017 $112,952 $63,235
Ratio of Expenses to
Average Net Assets** ... 1.20%* 1.58% 2.43%* 0.58%* 0.68% 0.69% 0.65%*(a)
Ratio of Net Investment
Income to Average Net
Assets ................. 2.66%* 0.98% (0.44)%* 0.29%* 1.85% 1.39% 1.40%*(a)
Portfolio Turnover Rate .. N/A*** N/A*** N/A*** N/A*** N/A*** 0.15%* 0.41%*
Average Commission Rate
(1) .................... N/A*** N/A*** N/A*** N/A*** N/A*** N/A N/A
---------- -------- -------- ---------- -------- --------- --------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The Continental Small Company Portfolio
----------------------------------------------------------------------------------------------------
Six
Months Year Year Year Year Year Year Year April 15
Ended Ended Ended Ended Ended Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov.30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993 1992 1991 1990 1989 1988
--------- -------- -------- -------- -------- -------- -------- --------- --------
(Unaudited)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period ............... $ 14.13 $ 14.63 $ 12.62 $ 11.39 $ 14.18 $ 16.24 $ 16.15 $ 12.02 $ 10.00
------- -------- -------- -------- -------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income
(Loss) .............. 0.10 0.29 0.18 0.23 0.28 0.27 0.25 0.12 0.17
Net Gain (Losses) on
Securities (Realized
and Unrealized) ..... 1.58 (0.48) 2.10 1.46 (2.11) (1.66) 0.31 4.10 1.85
------- -------- -------- -------- -------- -------- -------- -------- --------
Total From Investment
Operations ........ 1.68 (0.19) 2.28 1.69 (1.83) (1.39) 0.56 4.22 2.02
------- -------- -------- -------- -------- -------- -------- -------- --------
Less Distributions
Net Investment Income .. (0.02) (0.29) (0.19) (0.44) (0.26) (0.29) (0.20) (0.09) --
Net Realized Gains ..... (0.73) (0.02) (0.07) (0.02) (0.70) (0.38) (0.27) -- --
Tax Return of Capital .. -- -- (0.01) -- -- -- -- -- --
------- -------- -------- -------- -------- -------- -------- -------- --------
Total Distributions . (0.75) (0.31) (0.27) (0.46) (0.96) (0.67) (0.47) (0.09) --
------- -------- -------- -------- -------- -------- -------- -------- --------
Net Asset Value, End of
Period ................. $ 15.06 $ 14.13 $ 14.63 $ 12.62 $ 11.39 $ 14.18 $ 16.24 $ 16.15 $ 12.02
======== ======== ======== ======== ======== ======== ======== ======== ========
Total Return ............. %# 12.47%# (1.33)% 18.19% 15.27% (13.85)% (9.11)% 3.50% 35.62% 20.01%#
------- -------- -------- -------- -------- -------- -------- -------- --------
Net Assets, End of Period
(thousands) ............ $351,204 $314,116 $40,992 $266,175 $196,845 $214,054 $245,465 $199,065 $78,689
Ratio of Expenses to
Average Net Assets** ... 0.72%* 0.74% 0.77% 0.83% 0.90% 0.86% 0.89% 0.82% 1.05%*
Ratio of Net Investment
Income to Average Net
Assets ................. 1.43%* 1.69% 1.21% 1.61% 2.11% 1.68% 1.63% 1.41% 3.27%*
Portfolio Turnover Rate .. 5.19%* 9.79% 10.22% 8.99% 6.35% 7.69% 6.24% 5.70% 0.26%*
Average Commission Rate
(1) .................... $ 0.1612 N/A N/A N/A N/A N/A N/A N/A N/A
------- -------- -------- -------- -------- -------- -------- -------- --------
</TABLE>
* Annualized
** Represents the respective combined ratio for The Emerging Markets
Portfolio and The RWB/DFA International High Book to Market Portfolio and
their pro-rata shares of the respective Master Fund Series for the year
or period ended November 30, 1994 and subsequent periods.
*** Refer to the respective Master Fund Series.
# Non-annualized
(a) 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.
(b) 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).
(1) Computed by dividing the total amount of brokerage commissions paid by
the total shares of investment securities purchased and sold during the
period for which commissions were charged, as required by the SEC for
fiscal years beginning after September 1, 1995.
See accompanying Notes to Financial Statements
101
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The Large Cap International Portfolio
--------------------------------------------------------------------------------
Six Months Year Year Year Year July 15,
Ended Ended Ended Ended Ended to
May 31, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993 1992 1991
------------ ---------- ---------- ---------- ---------- -----------
(Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ....................... $ 12.60 $11.91 $11.26 $ 9.63 $10.64 $10.00
------------ ---------- ---------- ---------- ---------- -----------
Income From Investment Operations
Net Investment Income ....... 0.11 0.15 0.09 0.15 0.11 0.06
Net Gains (Losses) on
Securities (Realized and
Unrealized) .............. 0.84 0.95 1.11 1.72 (1.04) 0.58
------------ ---------- ---------- ---------- ---------- -----------
Total From Investment
Operations ............. 0.95 1.10 1.20 1.87 (0.93) 0.64
------------ ---------- ---------- ---------- ---------- -----------
Less Distributions
Net Investment Income ....... (0.02) (0.18) (0.09) (0.24) (0.07) --
Net Realized Gains .......... -- (0.23) (0.46) -- (0.01) --
------------ ---------- ---------- ---------- ---------- -----------
Total Distributions ...... (0.02) (0.41) (0.55) (0.24) (0.08) --
------------ ---------- ---------- ---------- ---------- -----------
Net Asset Value, End of Period $ 13.53 $12.60 $11.91 $11.26 $ 9.63 $10.64
============ ========== ========== ========== ========== ===========
Total Return .................. 7.52%# 9.37% 10.74% 19.55% (9.00)% 2.88%#
------------ ---------- ---------- ---------- ---------- -----------
Net Assets, End of Period
(thousands) ................. $70,550 $67,940 $55,635 $78,472 $26,041 $4,360
Ratio of Expenses to Average
Net Assets .................. 0.58%* 0.57% 0.66% 0.55%(a) 0.50%(a) 0.50%*(a)
Ratio of Net Investment Income
to Average Net Assets ....... 1.65%* 1.84% 1.18% 1.94%(a) 1.75%(a) 1.96%*(a)
Portfolio Turnover Rate ....... 28.04%* 24.44% 33.15% 0.28% 0.20% 2.38%*
Average Commission Rate (1) ... $0.0167 N/A N/A N/A N/A N/A
------------ ---------- ---------- ---------- ---------- -----------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The DFA
International
Small Cap Value
Portfolio
----------------------------------
Six Months Dec. 30,
Ended 1994 to
May 31, Nov. 30,
1996 1995
------------ ----------
(Unaudited)
<S> <C> <C>
Net Asset Value, Beginning of
Period ....................... $ 9.68 $ 10.00
------------ ----------
Income From Investment Operations
Net Investment Income ....... 0.05 0.05
Net Gains (Losses) on
Securities (Realized and
Unrealized) .............. 1.39 (0.32)
------------ ----------
Total From Investment
Operations ............. 1.44 (0.27)
------------ ----------
Less Distributions
Net Investment Income ....... -- (0.04)
Net Realized Gains .......... -- (0.01)
------------ ----------
Total Distributions ...... -- (0.05)
------------ ----------
Net Asset Value, End of Period $ 11.12 $ 9.68
============ ==========
Total Return .................. 14.93%# (2.73)%#
------------ ----------
Net Assets, End of Period
(thousands) ................. $318,151 $147,125
Ratio of Expenses to Average
Net Assets .................. 1.03%* 1.23%*
Ratio of Net Investment Income
to Average Net Assets ....... 1.21%* 1.43%*
Portfolio Turnover Rate ....... 14.94%* 1.62%*
Average Commission Rate (1) ... $ 0.0071 N/A
------------ ----------
</TABLE>
* Annualized
# 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.
(1) Computed by dividing the total amount of brokerage commissions paid by
the total shares of investment securities purchased and sold during the
period for which commissions were charged, as required by the SEC for
fiscal years beginning after September 1, 1995.
See accompanying Notes to Financial Statements
102
<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,
1996 1995 1994 1993 1992
------------ ---------- ---------- ----------- ----------
(Unaudited)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ..................... $ 10.21 $ 10.05 $ 10.28 $ 10.35 $ 10.33
------------ ---------- ---------- ----------- ----------
Income From Investment Operations
Net Investment Income ..... 0.27 0.60 0.46 0.35 0.43
Net Gain (Losses) on
Securities (Realized and
Unrealized) ............ (0.03) 0.17 (0.21) 0.11 0.06
------------ ---------- ---------- ----------- ----------
Total From Investment
Operations ........... 0.24 0.77 0.25 0.46 0.49
------------ ---------- ---------- ----------- ----------
Less Distributions
Net Investment Income ..... (0.27) (0.60) (0.46) (0.38) (0.44)
Net Realized Gains ........ -- (0.01) (0.02) (0.15) (0.03)
------------ ---------- ---------- ----------- ----------
Total Distributions .... (0.27) (0.61) (0.48) (0.53) (0.47)
------------ ---------- ---------- ----------- ----------
Net Asset Value, End of
Period ................. $ 10.18 $ 10.21 $ 10.05 $ 10.28 $ 10.35
============ ========== ========== =========== ==========
Total Return .............. 2.44%# 7.80% 2.48% 4.62% 5.64%
------------ ---------- ---------- ----------- ----------
Net Assets, End of Period
(thousands) ............ $824,604 $704,950 $592,226 $608,400 $561,879
Ratio of Expenses to
Average Net Assets** ... 0.21%* 0.20% 0.21% 0.21% 0.21%
Ratio of Net Investment
Income to Average Net
Assets ................. 5.27%* 5.86% 4.47% 3.38% 4.81%
Portfolio Turnover Rate ... N/A*** N/A*** N/A*** 61.95%(a) 125.56%
------------ ---------- ---------- ----------- ----------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1991 1990 1989 1988 1987 1986
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ..................... $ 10.19 $ 10.16 $ 10.12 $ 10.12 $ 10.27 $ 10.18
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
Net Investment Income ..... 0.68 0.83 0.82 0.78 0.69 0.76
Net Gain (Losses) on
Securities (Realized and
Unrealized) ............ 0.16 0.04 0.03 (0.04) (0.08) 0.15
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations ........... 0.84 0.87 0.85 0.74 0.61 0.91
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
Net Investment Income ..... (0.70) (0.84) (0.81) (0.74) (0.68) (0.78)
Net Realized Gains ........ -- -- -- -- (0.08) (0.04)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions .... (0.70) (0.84) (0.81) (0.74) (0.76) (0.82)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of
Period ................. $ 10.33 $ 10.19 $ 10.16 $ 10.12 $ 10.12 $ 10.27
========== ========== ========== ========== ========== ==========
Total Return .............. 8.61% 8.88% 9.53% 7.61% 6.14% 9.45%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands) ............ $469,276 $412,907 $360,146 $341,551 $342,436 $332,018
Ratio of Expenses to
Average Net Assets** ... 0.21% 0.21% 0.22% 0.22% 0.22% 0.23%
Ratio of Net Investment
Income to Average Net
Assets ................. 6.75% 8.27% 8.77% 7.70% 6.82% 7.42%
Portfolio Turnover Rate ... 82.26% 96.30% 0.00% 80.74% 162.18% 138.50%
---------- ---------- ---------- ---------- ---------- ----------
</TABLE>
(Adjusted to reflect 900% stock dividend as of January 2, 1996)
* 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
103
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
The DFA Five-Year Government Portfolio(1)
---------------------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
May 31, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993 1992
------------- ------------- ------------- ------------- -------------
(Unaudited)
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ........... $ 10.05 $ 9.75 $10.55 $ 10.88 $ 11.25
------------- ------------- ------------- ------------- -------------
Income From Investment Operations
Net Investment Income ......... 0.29 0.59 0.48 0.47 0.57
Net Gain (Losses) on
Securities (Realized and
Unrealized) ................ (0.07) 0.30 (0.80) 0.49 0.31
------------- ------------- ------------- ------------- -------------
Total From Investment
Operations ............... 0.22 0.89 (0.32) 0.96 0.88
------------- ------------- ------------- ------------- -------------
Less Distributions
Net Investment Income ......... (0.06) (0.59) (0.48) (0.73) (0.76)
Net Realized Gains ............ -- -- -- (0.56) (0.49)
------------- ------------- ------------- ------------- -------------
Total Distributions ........ (0.06) (0.59) (0.48) (1.29) (1.25)
------------- ------------- ------------- ------------- -------------
Net Asset Value, End of Period .. $ 10.21 $ 10.05 $ 9.75 $ 10.55 $ 10.88
============= ============= ============= ============= =============
Total Return .................... 2.16%# 9.35% (3.13)% 9.46% 8.59%
------------- ------------- ------------- ------------- -------------
Net Assets, End of Period
(thousands) ................... $208,574 $300,921 $235,554 $164,504 $83,543
Ratio of Expenses to Average Net
Assets** ...................... 0.28%* 0.28% 0.31% 0.31% 0.31%
Ratio of Net Investment Income to
Average Net Assets ............ 5.35%* 6.14% 5.08% 4.75% 5.82%
Portfolio Turnover Rate ......... 474.38%* 398.09% 52.39% 152.10% 218.60%
------------- ------------- ------------- ------------- -------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The DFA
Two-Year
Global
Fixed
Income
The DFA Five-Year Government Portfolio(1) Portfolio
---------------------------------------------------------------- -----------
Year Year Year Year May 31, Feb. 9
Ended Ended Ended Ended to to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, May 31,
1991 1990 1989 1988 1987 1996
----------- ----------- ----------- ----------- ----------- -----------
(Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ........... $ 10.64 $ 10.46 $ 10.42 $ 10.33 $ 10.00 $ 10.00
----------- ----------- ----------- ----------- ----------- -----------
Income From Investment
Operations
Net Investment Income ........ 0.81 0.76 0.85 0.62 0.38 0.01
Net Gain (Losses) on
Securities (Realized and
Unrealized) ................ 0.54 0.20 0.05 0.09 (0.05) 0.14
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment
Operations .............. 1.35 0.96 0.90 0.71 0.33 0.15
----------- ----------- ----------- ----------- ----------- -----------
Less Distributions
Net Investment Income ........ (0.74) (0.78) (0.86) (0.58) -- (0.02)
Net Realized Gains ........... -- -- -- (0.04) -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions ........ (0.74) (0.78) (0.86) (0.62) -- (0.02)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period .. $ 11.25 $ 10.64 $ 10.46 $ 10.42 $ 10.33 $ 10.13
=========== =========== =========== =========== =========== ===========
Total Return .................... 13.44% 9.72% 9.33% 7.13% 3.26%# 1.46%#
----------- ----------- ----------- ----------- ----------- -----------
Net Assets, End of Period
(thousands) .................. $56,971 $52,260 $53,039 $ 4,863 $ 4,258 $262,909
Ratio of Expenses to Average Net
Assets** ..................... 0.30% 0.30% 0.30% 0.28% 0.27%* 0.33%*(a)
Ratio of Net Investment Income to
Average Net Assets ........... 7.16% 7.91% 8.49% 7.97% 7.50%* 0.45%*(a)
Portfolio Turnover Rate ......... 223.18% 165.50% 312.59% 253.31% 100.85%* N/A***
----------- ----------- ----------- ----------- ----------- -----------
</TABLE>
(1) Adjusted to reflect a 900% stock dividend as of January 2, 1996.
* Annualized
# Non-annualized
(a) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
** Represents the combined ratio for The DFA Two-Year Global Fixed Income
Portfolio and its pro-rata share of its Master Fund Series.
*** Refer to the respective Master Fund Series
See accompanying Notes to Financial Statements
104
<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 Year Nov. 6
Ended Ended Ended Ended Ended Ended to
May 31, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993 1992 1991 1990
----------- ----------- ----------- ----------- ----------- ----------- -----------
(Unaudited)
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period ................ $ 10.51 $ 9.81 $ 10.56 $ 10.36 $ 10.47 $ 10.02 $10.00
----------- ----------- ----------- ----------- ----------- ----------- -----------
Income From Investment Operations
Net Investment Income .... 0.22 0.39 0.35 0.40 0.54 0.66 0.04
Net Gain (Losses) on
Securities (Realized
and Unrealized) ....... 0.05 1.08 (0.65) 0.73 0.26 0.26 (0.02)
----------- ----------- ----------- ----------- ----------- ----------- -----------
Total From Investment
Operations .......... 0.27 1.47 (0.30) 1.13 0.80 0.92 0.02
----------- ----------- ----------- ----------- ----------- ----------- -----------
Less Distributions
Net Investment Income .... (0.35) (0.77) (0.44) (0.45) (0.64) (0.47) --
Net Realized Gains ....... -- -- (0.01) (0.48) (0.27) -- --
----------- ----------- ----------- ----------- ----------- ----------- -----------
Total Distributions ... (0.35) (0.77) (0.45) (0.93) (0.91) (0.47) --
----------- ----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of
Period ................... $ 10.43 $ 10.51 $ 9.81 $ 10.56 $ 10.36 $ 10.47 $10.02
=========== =========== =========== =========== =========== =========== ===========
Total Return ............... 2.65%# 15.23% (2.91)% 11.42% 8.00% 11.00% 0.22%#
----------- ----------- ----------- ----------- ----------- ----------- -----------
Net Assets, End of Period
(thousands)............... $127,527 $208,166 $135,529 $101,528 $54,607 $31,647 $8,474
Ratio of Expenses to Average
Net Assets ............... 0.46%* 0.46% 0.49% 0.52% 0.58% 0.67% 0.51%*
Ratio of Net Investment
Income to Average Net
Assets ................... 4.93%* 5.80% 5.75% 5.09% 5.52% 6.74% 6.92%*
Portfolio Turnover Rate .... 143.73%* 130.41% 113.55% 139.57% 210.39% 194.25% 0.00%*
----------- ----------- ----------- ----------- ----------- ----------- -----------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The DFA Intermediate Government Fixed Income Portfolio
-------------------------------------------------------------------------------------------
Six Months Year Year Year Year Year Oct. 22
Ended Ended Ended Ended Ended Ended to
May 31, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993 1992 1991 1990
----------- ----------- ----------- ----------- ----------- ----------- -----------
(Unaudited)
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period ............... $ 11.24 $ 10.22 $ 11.59 $ 11.20 $ 11.02 $ 10.27 $ 10.00
----------- ----------- ----------- ----------- ----------- ----------- -----------
Income From Investment Operations
Net Investment Income ... 0.33 0.70 0.69 0.55 0.76 0.84 0.09
Net Gain (Losses) on
Securities (Realized
and Unrealized) ...... (0.58) 1.11 (1.22) 0.66 0.26 0.63 0.18
----------- ----------- ----------- ----------- ----------- ----------- -----------
Total From Investment
Operations ......... (0.25) 1.81 (0.53) 1.21 1.02 1.47 0.27
----------- ----------- ----------- ----------- ----------- ----------- -----------
Less Distributions
Net Investment Income ... (0.18) (0.70) (0.68) (0.73) (0.78) (0.72) --
Net Realized Gains ...... (0.04) (0.09) (0.16) (0.09) (0.06) -- --
----------- ----------- ----------- ----------- ----------- ----------- -----------
Total Distributions .. (0.22) (0.79) (0.84) (0.82) (0.84) (0.72) --
----------- ----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of
Period .................. $ 10.77 $ 11.24 $ 10.22 $ 11.59 $ 11.20 $ 11.02 $ 10.27
=========== =========== =========== =========== =========== =========== ===========
Total Return .............. (2.23)%# 18.04% (4.72)% 12.84% 9.70% 14.94% 2.63%#
----------- ----------- ----------- ----------- ----------- ----------- -----------
Net Assets, End of Period
(thousands).............. $81,607 $78,087 $60,827 $53,051 $40,160 $29,393 $25,567
Ratio of Expenses to
Average Net Assets ...... 0.25%* 0.27% 0.29% 0.32% 0.29% 0.28% 0.23%*
Ratio of Net Investment
Income to Average Net
Assets .................. 6.11%* 6.44% 6.45% 6.41% 7.05% 7.86% 8.73%*
Portfolio Turnover Rate ... 15.62%* 40.79% 27.15% 16.91% 17.91% 19.72% 0.00%*
----------- ----------- ----------- ----------- ----------- ----------- -----------
</TABLE>
(Adjusted to reflect a 900% stock dividend as of January 2, 1996)
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements
105
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
At May 31, 1996, DFA Investment Dimensions Group Inc. (the "Fund")
consisted of twenty-eight portfolios: The U.S. 9-10 Small Company Portfolio,
The U.S. 6-10 Small Company Portfolio, The U.S. Large Company Portfolio, The
Enhanced 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 RWB/DFA International High Book to Market Portfolio,
The Continental Small Company Portfolio, The Large Cap International
Portfolio, The DFA International Small Cap Value Portfolio, The DFA One-Year
Fixed Income Portfolio, The DFA Two-Year Corporate Fixed Income Portfolio,
The DFA Two-Year Government Portfolio, The DFA Five-Year Government
Portfolio, The DFA Two-Year Global Fixed Income Portfolio, The DFA Global
Fixed Income Portfolio, The DFA Intermediate Government Fixed Income
Portfolio (the "Portfolios"), and VA Small Value Portfolio, VA Large Value
Portfolio, VA International Value Portfolio, VA International Small
Portfolio, VA Short-Term Fixed Portfolio and VA Global Bond Portfolio (the
"VA Portfolios"). The VA Portfolios are only available through a selected
group of insurance products. At May 31, 1996, The Enhanced U.S. Large Company
Portfolio, The DFA Two-Year Corporate Fixed Income Portfolio and The DFA
Two-Year Government Portfolio had not yet commenced operations. These
financial statements relate solely to the Portfolios.
The U.S. 6-10 Small Company Portfolio, The U.S. Large Company Portfolio,
The Enhanced U.S. Large Company Portfolio, The U.S. Small Cap Value
Portfolio, The U.S. Large Cap Value Portfolio, The Emerging Markets
Portfolio, The RWB/DFA International High Book to Market Portfolio, The DFA
One-Year Fixed Income Portfolio, The DFA Two-Year Corporate Fixed Income
Portfolio, The DFA Two-Year Government Portfolio and The DFA Two-Year Global
Fixed Income 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 Enhanced U.S. Large
Company Series, The U.S. Small Cap Value Series, The U.S. Large Cap Value
Series, The Emerging Markets Series, The DFA International Value Series, The
DFA One-Year Fixed Income Series, The DFA Two-Year Corporate Fixed Income
Series, The DFA Two-Year Government Series and The DFA Two-Year Global Fixed
Income Series (the "Master Funds"). At May 31, 1996, The Enhanced U.S. Large
Company Series, The DFA Two-Year Corporate Fixed Income Series and The DFA
Two-Year Government Series had not yet commenced operations. At May 31, 1996,
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
Emerging Markets Portfolio, The RWB/DFA International High Book to Market
Portfolio, The DFA One Year Fixed Income Portfolio and The DFA Two-Year
Global Fixed Income Portfolio owned approximately 84%, 100%, 98%, 55%, 99%,
19%, 99% and 100% 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.
On December 20, 1995, the Board of Directors of DFA Investment Dimensions
Group Inc. approved a 900% stock dividend under Maryland Corporate Law, which
is treated as a 10 for 1 stock split for financial reporting purposes for 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 record date of the stock dividend was January 1,
1996, and the ex-date and payable dates were January 2, 1996. This was a tax-
free event to the shareholders of these portfolios. Additionally, on this
date, the Board approved an amendment to increase the authorized number of
shares of each of these portfolios to 100,000,000. All share and per share
data as of and for the period ended November 30, 1995 and all prior periods
have been restated to reflect the stock dividend.
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.
106
<PAGE>
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. 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, 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 isolate the effect of
fluctuation 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 realized 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 the difference 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. 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 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.
107
<PAGE>
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.
Certain prior period amounts have been restated to conform with current
period presentation.
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, 1996, the Portfolios' advisory fees were
computed daily and paid monthly to the Advisor based on the following
effective annual rates:
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%
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 waive its administrative service fee and/or bear
all of the ordinary operating expenses of The U.S. Large Company Portfolio to
the extent necessary to keep the cumulative annual combined expenses of the
Portfolio and its respective Master Fund to not more than 0.24% of the
average daily net assets of the Portfolio.
For the period ended May 31, 1996, the Feeder Funds computed daily and
paid monthly to the Advisor an administrative fee based on the following
effective annual rates:
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 RWB/DFA International High Book to Market Portfolio ... .01 of 1% (a)
The Emerging Markets Portfolio ............................ .40 of 1%
The DFA One-Year Fixed Income Portfolio ................... .10 of 1%
The DFA Two-Year Global Fixed Income Portfolio ............ .10 of 1%
(a) For the period December 1, 1995 to February 7, 1996, the
administrative fee was computed daily and paid monthly to the Advisor at an
effective annual rate of .20 of 1% of the first $40 million of average net
assets. The rate of .01 of 1% became effective on February 8, 1996.
In addition, effective February 8, 1996 pursuant to a Client Service
Agreement with Reinhardt Werba Bowen Advisory Services, ("RWBAS"), The
RWB/DFA International High Book to Market Portfolio pays to RWBAS a fee at
108
<PAGE>
the effective annual rate of .13% of the average net assets of the portfolio.
Prior to that time the effective annual rate was .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.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 1996, the Portfolios made the following
purchases and sales of investment securities:
<TABLE>
<CAPTION>
Other
U.S. Government Investment
Securities Securities
------------------------- -------------------------
Purchases Sales Purchases Sales
----------- ---------- ----------- ----------
<S> <C> <C> <C> <C>
(000) (000) (000) (000)
The U.S. 9-10 Small Company Portfolio ......... -- -- $165,194 $114,913
The DFA/AEW Real Estate Securities Portfolio .. -- -- 5,182 5,328
The Japanese Small Company Portfolio .......... -- -- 12,081 36,597
The Pacific Rim Small Company Portfolio ....... -- -- 9,387 22,697
The United Kingdom Small Company Portfolio .... -- -- 4,230 15,666
The Continental Small Company Portfolio ....... -- -- 8,511 19,451
The Large Cap International Portfolio ......... -- -- 9,575 12,406
The DFA International Small Cap Value Portfolio. -- -- 151,719 16,715
The DFA Five-Year Government Portfolio ........ $396,569 $199,059 -- --
The DFA Global Fixed Income Portfolio ......... 5,276 -- 94,614 163,540
The DFA Intermediate Government Fixed Income
Portfolio .................................... 13,860 5,924 -- --
</TABLE>
E. INVESTMENT TRANSACTIONS:
At May 31, 1996, 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
---------------- ---------------- ----------
<S> <C> <C> <C>
(000) (000) (000)
The U.S. 9-10 Small Company Portfolio ................. $506,490 $(115,420) $391,070
The U.S. 6-10 Small Company Portfolio ................. 77,631 -- 77,631
The U.S. Large Company Portfolio ...................... 37,142 -- 37,142
The U.S. Small Cap Value Portfolio .................... 222,542 -- 222,542
The U.S. Large Cap Value Portfolio .................... 83,792 -- 83,792
The DFA/AEW Real Estate Securities Portfolio .......... 4,292 (1,826) 2,466
The Japanese Small Company Portfolio .................. 59,260 (12,381) 46,879
The Pacific Rim Small Company Portfolio ............... 54,974 (24,662) 30,312
The United Kingdom Small Company Portfolio ............ 59,242 (32,394) 26,848
The Emerging Markets Portfolio ........................ 11,626 (5,809) 5,817
The RWB/DFA International High Book to Market Portfolio. 34,559 -- 34,559
The Continental Small Company Portfolio ............... 90,401 (49,206) 41,195
The Large Cap International Portfolio ................. 18,459 (763) 17,696
The DFA International Small Cap Value Portfolio ....... 31,110 (10,964) 20,146
The DFA One-Year Fixed Income Portfolio ............... 3,253 -- 3,253
The DFA Five-Year Government Portfolio ................ -- (399) (399)
The DFA Two-Year Global Fixed Income Portfolio ........ 3,386 -- 3,386
The DFA Global Fixed Income Portfolio ................. -- (4,137) (4,137)
The DFA Intermediate Government Fixed Income Portfolio . 572 (1,642) (1,070)
</TABLE>
109
<PAGE>
At November 30, 1995, the following Portfolios had capital loss carryovers
for federal income tax purposes:
<TABLE>
<CAPTION>
Expires on November 30
(Amounts in thousands)
--------------------------------------------------------
2001 2002 2003 Total
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C>
The U.S. Large Cap Value Portfolio .............................. -- $ 5 $ 447 $ 452
The DFA/AEW Real Estate Securities Portfolio .................... -- 1,013 -- 1,013
The Emerging Markets Portfolio .................................. -- -- 168 168
The RWB/DFA International High Book to Market Portfolio ......... $17 -- 5 22
The Large Cap International Portfolio ........................... -- -- 202 202
The DFA One-Year Fixed Income Portfolio ......................... -- -- 5 5
The DFA Five Year Government Portfolio .......................... -- -- 10,458 10,458
The DFA Global Fixed Income Portfolio ........................... -- 3,448 -- 3,448
</TABLE>
F. COMPONENTS OF NET ASSETS AND SHARES AUTHORIZED:
<TABLE>
<CAPTION>
At May 31, 1996 Net Assets Consist of:
-----------------------------------------------------------
(Amounts in thousands, except share amounts)
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 ..... $798,492 $ 5,716 $ 64,559 -- $391,070 -- $1,259,837 300,000,000
The U.S. 6-10 Small
Company Portfolio ..... 173,170 (350) 9,572 -- 77,631 -- 260,023 100,000,000
The U.S. Large Company
Portfolio ............. 92,406 443 761 -- 37,142 -- 130,752 200,000,000
The U.S. Small Cap Value
Portfolio ............. 786,109 (1,099) 13,469 -- 222,542 -- 1,021,021 100,000,000
The U.S. Large Cap Value
Portfolio ............. 309,018 (144) 5,552 -- 83,792 -- 398,218 100,000,000
The DFA/AEW Real Estate
Securities Portfolio .. 45,435 895 (1,429) -- 2,466 -- 47,367 100,000,000
The Japanese Small
Company Portfolio ..... 351,850 931 9,565 $ (89) 46,879 $ (11) 409,125 20,000,000
The Pacific Rim Small
Company Portfolio ..... 168,366 1,439 9,095 (9) 30,312 14 209,217 20,000,000
The United Kingdom Small
Company Portfolio ..... 147,037 2,162 8,415 (95) 26,848 47 184,414 20,000,000
The Emerging Markets
Portfolio ............. 114,296 1,065 (145) (47) 5,817 9 120,995 100,000,000
The RWB/DFA
International High Book
to Market Portfolio ... 196,307 131 1,040 -- 34,559 -- 232,037 100,000,000
The Continental Small
Company Portfolio ..... 302,552 2,993 4,529 (103) 41,195 38 351,204 50,000,000
The Large Cap
International Portfolio 52,429 555 (126) (2) 17,696 (2) 70,550 150,000,000
The DFA International
Small Cap Value
Portfolio ............. 292,836 1,426 3,769 19 20,146 (45) 318,151 100,000,000
The DFA One-Year Fixed
Income Portfolio ...... 824,851 (38) (3,462) -- 3,253 -- 824,604 100,000,000
The DFA Five-Year
Government Portfolio .. 215,290 4,930 (11,247) -- (399) -- 208,574 100,000,000
The DFA Two-Year Global
Fixed Income Portfolio 259,587 (61) (3) -- 3,386 -- 262,909 100,000,000
The DFA Global Fixed
Income Portfolio ...... 123,817 (1,006) 1,356 8,344 (4,137) (847) 127,527 100,000,000
The DFA Intermediate
Government Fixed Income
Portfolio ............. 81,257 1,260 160 -- (1,070) -- 81,607 100,000,000
</TABLE>
110
<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, 1996.
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, 1996, The DFA Global Fixed Income Portfolio had entered into the
following contracts and the related net unrealized foreign exchange loss is
reflected in the accompanying financial statements:
<TABLE>
<CAPTION>
Unrealized
Value at Foreign
Expiration Contract May 31, Exchange Gain
Date Currency Sold Amount 1996 (Loss)
------------ ------------------------------------ -------------- -------------- ---------------
<C> <C> <C> <C>
06/17/96 109,355,068 Japanese Yen $1,036,325 $1,014,298 $22,027
06/24/96 6,294,314 Netherlands Guilder 3,679,078 3,685,441 (6,363)
06/24/96 2,260,145 British Pound Sterling 3,417,611 3,495,880 (78,269)
06/24/96 5,626,268 Netherlands Guilder 3,290,215 3,295,349 (5,134)
06/28/96 34,836,110 French Franc 6,680,367 6,743,976 (63,609)
06/28/96 7,661,577 Canadian Dollar 5,577,329 5,593,644 (16,315)
06/28/96 62,134,278 French Franc 11,911,333 12,032,687 (121,354)
06/28/96 2,294,799 British Pound Sterling 3,490,917 3,554,660 (63,743)
06/28/96 39,576,193 German Mark 25,654,099 25,962,761 (308,662)
06/28/96 3,117,411,932 Japanese Yen 28,760,270 28,951,400 (191,130)
06/28/96 21,011,296 Canadian Dollar 15,360,089 15,337,601 22,488
06/28/96 29,398,292 French Franc 5,674,261 5,698,015 (23,754)
-------------- -------------- ---------------
Totals $114,531,894 $115,365,712 $(833,818)
============== ============== ===============
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counter parties 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 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
Emerging Markets Portfolio are .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 1.00% of the net asset value of their
shares. The reimbursement fee for The DFA International Small Cap Value
Portfolio is .70% of the net asset value of its shares.
I. SECURITIES LENDING:
Loans of domestic security are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on
loan. Loans of international securities are required at all times to be
secured by
111
<PAGE>
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. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Portfolio or, at
the option of the lending agent, replace the loaned securities. The market
value of securities on loan to brokers and the related collateral cash and
indemnification received by each Portfolio at May 31, 1996, is as follows:
<TABLE>
<CAPTION>
Value Value of
of Securities Collateral and
on Loan Indemnification
--------------- ---------------
<S> <C> <C>
Domestic Equity Portfolio
- -------------------------
The U.S. 9-10 Small Company Portfolio ......... $ 23,924,938 $ 26,686,613
International Equity Portfolios
- -------------------------------
The Japanese Small Company Portfolio .......... 117,526,699 124,165,455
The Pacific Rim Small Company Portfolio ....... 3,772,444 4,301,539
The Continental Small Company Portfolio ....... 21,697,907 22,876,095
The Large Cap International Portfolio ......... 2,196,317 2,316,181
The DFA International Small Cap Value Portfolio. 9,286,737 9,799,093
</TABLE>
J. SUBSEQUENT EVENT
On June 1, 1996, pursuant to an amendment to the organization document of
The U.S. Large Company Series (the "Series") which resulted in the
reorganization of the Series from an entity taxed as a corporation to an
entity taxed as a partnership for income tax purposes, The U.S. Large Company
Portfolio ("this Portfolio") redeemed its shares invested in the Series in
exchange for the assets of the Series valued at $130,671,442. These assets
were immediately contributed to the Series from this Portfolio, along with a
nominal contribution from the Advisor, to create the partnership in exchange
for an interest in the Series. At the time of this event, this Portfolio had
$37,143,056 of unrealized appreciation on its investment in the Series.
Immediately following the reorganization, this Portfolio owned 99.9% of the
Series. This transaction is expected to be a tax-free event to the
shareholders of this Portfolio based on rulings obtained from the Internal
Revenue Service. Subsequent to the reorganization, an unrelated investment
company became a partner of the Series and reduced this Portfolio's
percentage of ownership of the Series to 36.6%.
112
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF NET ASSETS
THE U.S. 6-10 SMALL COMPANY SERIES
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
COMMON STOCKS -- (97.1%)
*3 D Systems Corp. ................. 6,200 $143,375
*3D0 Co. ........................... 10,300 119,738
*A Plus Network, Inc. .............. 4,100 84,306
*AAON, Inc. ........................ 4,400 20,625
AAR Corp. ......................... 11,300 250,013
ABC Bancorp ....................... 1,300 20,150
*ABC Rail Products Corp. ........... 3,200 69,800
ABM Industries, Inc. .............. 3,500 133,438
ABS Industries, Inc. .............. 1,400 1,050
*ABT Building Products Corp. ....... 5,000 102,500
*ACC Corp. ......................... 4,700 195,344
*ACT Manufacturing, Inc. ........... 4,300 73,100
*ACX Technologies, Inc. ............ 15,000 307,500
ADAC Laboratories ................. 11,466 186,323
ADCO Technologies, Inc. ........... 1,300 12,431
AEP Industries, Inc. .............. 3,000 76,313
*AER Energy Resources, Inc. ........ 8,600 55,900
*AFC Cable Systems, Inc. ........... 2,500 35,625
*AG Services America, Inc. ......... 1,700 22,100
*#AMC Entertainment, Inc. ........... 2,700 89,775
*APS Holding Corp. Class A ......... 6,900 150,075
ARI Holdings, Inc. ................ 900 0
*ARI Network Services, Inc. ........ 6,800 12,750
*AST Research, Inc. ................ 27,113 216,904
*ATS Medical, Inc. ................. 7,500 85,313
*AW Computer Systems, Inc.
Class A .......................... 1,900 4,275
Aames Financial Corp. ............. 9,300 304,575
Aaron Rents, Inc. Class A ......... 4,800 135,600
Aaron Rents, Inc. Class B ......... 4,800 135,000
*Abaxis, Inc. ...................... 4,900 32,463
Abington Savings Bank MA .......... 700 10,850
*Abiomed, Inc. ..................... 3,200 55,400
*Able Telcom Holding Corp. ......... 3,300 23,100
Abrams Industries, Inc. ........... 200 788
*Abraxas Petroleum Corp. ........... 2,400 16,500
*Accell International Corp. ........ 2,700 8,269
*Acceptance Insurance Companies,
Inc. ............................. 7,525 130,747
*Access Health Marketing, Inc. ..... 6,000 327,000
*Acclaim Entertainment, Inc. ....... 25,000 300,000
*Ace Cash Express, Inc. ............ 1,700 26,138
Aceto Corp. ....................... 2,100 32,025
Ackerley Communications, Inc. ..... 7,800 185,250
*Acme Electric Corp. ............... 3,000 37,125
*Acme Metals, Inc. ................. 4,600 78,200
*Acme United Corp. ................. 3,400 12,750
Acme-Cleveland Corp. .............. 7,000 207,375
Acordia, Inc. ..................... 5,400 171,450
*Actel Corp. ....................... 8,600 167,700
*Action Performance Companies, Inc. 5,200 92,300
*Active Voice Corp. ................ 1,300 17,225
*Activision, Inc. .................. 7,100 95,850
*Acuson Corp. ...................... 20,000 382,500
*Acxiom Corp. ...................... 15,200 476,900
*Adage, Inc. ....................... 3,100 14,047
Adams Resources & Energy, Inc. .... 2,500 18,438
*Addington Resources, Inc. ......... 11,100 228,938
<PAGE>
Shares Value+
-------- -----------
*#Adelphia Communications Corp.
Class A .......................... 7,700 $ 55,825
*Adflex Solutions, Inc. ............ 3,600 57,600
*Advanced Logic Research, Inc. ..... 5,900 57,525
*Advanced Magnetics, Inc. .......... 6,000 112,500
*Advanced Marketing Services, Inc. . 2,700 39,319
*Advanced Medical, Inc. ............ 6,500 15,438
*Advanced NMR Systems, Inc. ........ 13,692 21,608
*Advanced Photonix, Inc. Class A ... 4,200 17,325
*Advanced Polymer Systems, Inc. .... 8,300 83,000
*Advanced Promotion Technologies,
Inc. (Private Placement) ......... 9,863 3,329
*Advanced Technology Labs, Inc. .... 6,640 235,720
*Advanced Technology Materials, Inc. 4,300 63,156
*Advanced Tissue Sciences, Inc. .... 27,900 512,663
Advantage Bancorp, Inc. ........... 1,750 58,844
*Advest Group, Inc. ................ 4,300 46,225
Advo, Inc. ........................ 10,400 113,100
*Advocat, Inc. ..................... 3,000 30,750
*Aequitron Medical, Inc. ........... 2,900 21,750
*Aeroflex, Inc. .................... 5,900 36,875
*Aerosonic Corp. DE ................ 1,000 2,500
*Aerovox, Inc. ..................... 2,600 20,638
*Aetrium, Inc. ..................... 4,100 78,669
Affiliated Community Bancorp ...... 1,600 27,300
*Agouron Pharmaceuticals, Inc. ..... 5,200 222,300
*Agri-Nutrition Group, Ltd. ........ 1,600 3,650
*Air & Water Technologies Corp.
Class A .......................... 16,000 102,000
Air Express International Corp. ... 7,350 208,556
*Air Methods Corp. ................. 4,000 17,000
*Air-Cure Environmental ............ 5,800 22,294
Airborne Freight Corp. ............ 11,200 282,800
*Airsensors, Inc. .................. 2,500 27,500
*Airways Corp. ..................... 2,600 24,213
*Akorn, Inc. ....................... 5,700 15,675
*Alamco, Inc. ...................... 2,300 24,150
Alamo Group, Inc. ................. 4,200 75,600
*#Alaska Air Group, Inc. ............ 6,800 175,950
*Alba-Waldensian, Inc. ............. 3,700 28,675
Albank Financial Corp. ............ 8,040 220,095
Albany International Corp. Class A 5,000 100,625
*Alcide Corp. ...................... 1,400 31,150
*Aldila, Inc. ...................... 8,200 37,669
*Alexander Energy Co. .............. 6,100 23,256
Alfa Corp. ........................ 18,400 221,950
*Alfin, Inc. ....................... 5,800 14,863
Alico, Inc. ....................... 2,800 62,300
*Alkermes, Inc. .................... 8,200 127,613
*All American Semiconductor, Inc. .. 7,100 17,306
*Allcity Insurance Co. ............. 200 1,750
*Allegiant Physician Services, Inc. 3,000 1,470
Allen Group, Inc. ................. 10,600 291,500
Allen Organ Co. Class B ........... 200 7,725
*Alliance Entertainment Corp. ...... 18,000 105,750
*#Alliance Gaming Corp. ............. 8,000 31,000
*Alliance Pharmaceuticals Corp. .... 12,900 277,350
*#Alliance Semiconductor Corp. ...... 19,800 196,763
*Alliant Techsystems, Inc. ......... 6,000 288,000
</TABLE>
113
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
Allied Bankshares, Inc. ........... 5,090 $ 60,444
*Allied Capital Advisers, Inc. ..... 3,600 25,650
Allied Capital Lending Corp. ...... 2,200 30,525
Allied Group, Inc. ................ 4,150 163,925
Allied Healthcare Products, Inc. .. 1,200 13,350
*Allied Holdings, Inc. ............. 5,000 49,375
Allied Life Financial Corp. ....... 2,000 42,000
Allied Products Corp. ............. 9,500 279,063
*Allied Research Corp. ............. 2,200 10,450
*Allied Waste Industries, Inc. ..... 15,100 151,000
*Allou Health & Beauty Care, Inc.
Class A .......................... 1,900 13,300
*Allstate Financial Corp. .......... 1,600 9,200
*Alltrista Corp. ................... 3,953 91,413
*Allwaste, Inc. .................... 19,800 84,150
*Aloette Cosmetics, Inc. ........... 1,000 4,063
*Alpha Beta Technology, Inc. ....... 6,500 77,188
*Alpha Industries, Inc. ............ 10,000 96,250
*#Alpha Microsystems, Inc. .......... 2,600 10,481
*Alpha Technologies Group, Inc. .... 7,500 50,859
*Alpharel, Inc. .................... 7,800 64,106
Alpharma, Inc. Class A ............ 8,800 215,600
*Alpine Group, Inc. ................ 15,736 84,581
*#Alpine Lace Brands, Inc. .......... 1,700 10,200
*Alta Gold Co. ..................... 14,100 57,281
*Alteon, Inc. ...................... 9,000 132,750
*Alternative Resources Corp. ....... 3,100 120,125
*Altron, Inc. ...................... 5,400 126,900
*#Amati Communications Corp. ........ 11,800 371,700
*Amax Gold, Inc. ................... 40,600 274,050
*Ambar, Inc. ....................... 200 2,350
Amcast Industrial Corp. ........... 5,800 112,375
Amcol International Corp. ......... 9,500 135,969
Amcore Financial, Inc. ............ 4,350 88,088
*#AmeriLink Corp. ................... 1,400 11,025
*America Services Group, Inc. ...... 3,000 55,313
American Annuity Group, Inc. ...... 21,500 279,500
American Bancorpation Ohio ........ 200 4,000
American Bank of Connecticut ...... 500 12,313
American Bankers Insurance Group,
Inc. ............................. 2,100 81,244
*American Banknote Corp. ........... 9,600 43,200
American Biltrite, Inc. ........... 4,800 95,400
*#American Biogenetic Sciences, Inc.
Class A .......................... 6,300 46,856
*American Buildings Co. ............ 3,500 106,969
*American Business Information, Inc. 10,400 191,100
American Business Products, Inc. .. 8,150 176,244
*American Claims Evaluation, Inc. .. 1,000 2,750
American Classic Voyages Co. ...... 6,900 55,200
American Eagle Group, Inc. ........ 4,000 20,000
*American Eagle Outfitters, Inc. ... 3,900 67,763
*American Ecology Corp. ............ 5,250 9,188
*American Educational Products, Inc. 1,900 2,494
*American Exploration Co. .......... 5,800 76,125
American Federal Bank FSB
Greenville, SC ................... 4,400 69,300
American Filtrona Corp. ........... 200 6,450
*American Freightways Corp. ........ 15,500 199,563
*American Healthcorp, Inc. ......... 5,000 57,500
American Heritage Life Investment
Corp. ............................ 6,300 132,300
*American Homepatient, Inc. ........ 3,800 168,625
<PAGE>
Shares Value+
-------- -----------
*American Homestar Corp. ........... 3,950 $ 88,628
American Indemnity Financial Corp. 800 10,200
American List Corp. ............... 825 20,831
*American Media, Inc. Class A ...... 10,000 47,500
American Medical Electronics, Inc.
(Escrow-Bonus) ................... 4,400 0
American Medical Electronics, Inc.
(Escrow-Earnings) ................ 4,400 0
*American Medical Response, Inc. ... 7,700 280,088
*American Mobile Satellite Corp. ... 9,800 178,850
*American Oilfield Divers, Inc. .... 2,700 26,663
*American Pacific Corp. ............ 4,100 26,394
*American Paging, Inc. ............. 11,000 99,000
*American Physicians Services Group,
Inc. ............................. 1,500 17,344
American Precision Industries, Inc. 15,200 191,900
American President Companies, Ltd. 10,300 271,663
American Recreation Centers, Inc. . 4,300 27,681
*American Safety Razor Co. ......... 4,800 57,300
*American Science & Engineering,
Inc. ............................. 7,800 82,875
*American Shared Hospital Services . 600 975
*American Software, Inc. Class A ... 8,700 46,763
American Studios, Inc. ............ 12,500 15,234
*American Superconductor Corp. ..... 4,700 66,975
*American Technical Ceramics Corp. . 1,800 17,325
*American Telecasting, Inc. ........ 8,200 113,263
*American Travellers Corp. ......... 10,800 233,550
*American United Global, Inc. ...... 1,000 9,000
*American Waste Services, Inc.
Class A .......................... 12,400 44,950
*American White Cross, Inc. ........ 5,000 11,406
*American Woodmark Corp. ........... 660 3,424
Americana Bancorp, Inc. ........... 1,600 21,100
*Americredit Corp. ................. 14,200 214,775
*Ameridata Technologies, Inc. ...... 8,600 135,450
*Amerihost Properties, Inc. ........ 4,000 36,750
*Ameriquest Technology, Inc. ....... 21,223 21,223
*Ameristar Casinos, Inc. ........... 10,200 111,563
*Ameriwood Industries International
Corp. ............................ 3,200 19,200
Ameron, Inc. ...................... 1,600 66,600
*Ames Department Stores, Inc. ...... 8,700 25,556
Ametek, Inc. ...................... 2,500 53,750
*Amistar Corp. ..................... 1,300 5,119
Ampco-Pittsburgh Corp. ............ 4,400 51,700
Amre, Inc. ........................ 12,500 334,375
*Amrep Corp. ....................... 3,900 19,013
Amresco, Inc. ..................... 13,600 252,450
*Amrion Corp. ...................... 2,500 44,375
*Amserv, Inc. ...................... 200 438
*Amtech Corp. ...................... 7,375 65,914
*Amtran, Inc. ...................... 4,700 44,650
Amtrol, Inc. ...................... 1,500 32,625
Amvestors Financial Corp. ......... 7,825 117,375
Amwest Insurance Group, Inc. ...... 4,400 55,000
*Amylin Pharmaceuticals, Inc. ...... 11,200 136,500
Analogic Corp. .................... 5,000 125,625
Analysis & Technology, Inc. ....... 800 11,000
Analysts International Corp. ...... 3,700 157,713
*Anaren Microwave, Inc. ............ 2,000 14,125
Anchor Bancorp Wisconsin, Inc. .... 2,100 71,925
*Anchor Gaming, Inc. ............... 5,100 324,488
</TABLE>
114
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
Andover Bancorp, Inc. DE .......... 2,100 $ 53,944
*Andrea Electronics Corp. .......... 1,500 21,188
*Anergen, Inc. ..................... 6,000 32,250
Angelica Corp. .................... 4,600 113,275
*#Anika Research, Inc. .............. 2,280 13,823
*#Ann Taylor Stores Corp. ........... 11,500 237,188
*Antec Corp. ....................... 7,600 128,725
Anthony Industries, Inc. .......... 8,315 248,411
*Anuhco, Inc. ...................... 3,800 35,625
Apache Corp. ...................... 4,650 133,106
*Apertus Technologies, Inc. ........ 7,000 28,219
*Aphton Corp. ...................... 6,200 147,250
Apogee Enterprises, Inc. .......... 8,000 215,000
*Apogee, Inc. ...................... 3,800 26,363
*Appliance Recycling Centers of
America, Inc. .................... 2,100 9,450
*Applied Bioscience International,
Inc. ............................. 14,500 130,500
*Applied Digital Access, Inc. ...... 5,900 91,450
*Applied Extrusion Technologies,
Inc. ............................. 4,700 64,038
*Applied Innovation, Inc. .......... 7,800 96,525
*Applied Magnetics Corp. ........... 13,100 224,338
*#Applied Microbiology, Inc. ........ 9,200 66,125
Applied Power, Inc. Class A ....... 7,600 224,200
*Applied Science & Technology, Inc. 2,000 26,750
*Applied Signal Technologies, Inc. . 5,000 29,375
Aptargroup, Inc. .................. 9,000 381,375
*#Aquagenix, Inc. ................... 1,300 6,500
Aquarion Co. ...................... 2,600 63,050
Aquila Gas Pipeline Corp. ......... 14,700 194,775
*Arabian Shield Development Co. .... 200 638
*Arbatax International, Inc. ....... 2,800 17,500
Arbor Drugs, Inc. ................. 13,500 256,500
*Arbor Health Care Co. ............. 3,400 94,775
*Arch Communications Group, Inc. ... 9,600 220,800
*Arch Petroleum, Inc. .............. 8,600 18,544
Arctco, Inc. ...................... 14,800 142,450
*Arden Industrial Products, Inc. ... 2,800 14,350
*Argosy Gaming Corp. ............... 12,200 95,313
*Ariel Corp. ....................... 3,300 50,944
*Ark Restaurants Corp. ............. 1,600 17,400
Arkansas Best Corp. ............... 9,800 75,950
Armor All Products Corp. .......... 9,700 147,925
Arnold Industries, Inc. ........... 11,400 177,413
*Aronex Pharmaceuticals, Inc. ...... 9,100 58,013
*Arrhythmia Research Technology,
Inc. ............................. 1,600 5,200
*Arris Pharmaceutical Corp. ........ 6,000 84,375
*Arrow Automotive Industries, Inc. . 4,800 27,600
Arrow Financial Corp. ............. 2,268 50,180
*Arrow Transportation Co. .......... 1,000 813
*Artisoft, Inc. .................... 7,200 74,700
*Artistic Greetings, Inc. .......... 2,900 10,966
*Arts Way Manufacturing Co., Inc. .. 200 975
Arvin Industries, Inc. ............ 10,800 264,600
*Asante Technologies, Inc. ......... 4,300 34,669
*Aseco Corp. ....................... 2,000 23,750
Ashland Coal, Inc. ................ 6,900 163,013
*Ashworth, Inc. .................... 8,400 53,550
Aspen Bancshares, Inc. ............ 1,406 21,969
*Aspen Technology, Inc. ............ 3,900 215,475
Associated Banc-Corp. ............. 7,012 272,592
*Astec Industries, Inc. ............ 10,400 105,300
Astoria Financial Corp. ........... 5,700 316,706
<PAGE>
Shares Value+
-------- -----------
Astro-Med, Inc. ................... 4,200 $ 36,750
*Astronics Corp. ................... 1,200 7,725
*Astrosystems, Inc. ................ 3,400 19,125
*Astrotech International Corp. ..... 4,900 34,606
*Asyst Technologies, Inc. .......... 2,500 58,438
Atalanta Sosnoff Capital Corp. .... 3,000 29,250
*Atari Corp. ....................... 35,300 286,813
*Atchison Casting Corp. ............ 2,200 33,000
*Athena Neurosciences, Inc. ........ 14,400 264,600
*Athey Products Corp. .............. 2,940 13,046
*Atkinson (Guy F.) of California ... 3,600 47,925
*Atlantic American Corp. ........... 7,500 27,188
*Atlantic Beverage, Inc. ........... 2,000 7,250
*Atlantic Coast Airlines, Inc. ..... 5,000 73,125
*Atlantic Gulf Communities Corp. ... 4,800 29,100
*Atlantic Tele-Network, Inc. ....... 5,600 144,900
Atlantis Plastics, Inc. ........... 2,700 15,188
*Atlas Corp. ....................... 6,400 8,800
Atmos Energy Corp. ................ 7,800 188,175
*Atria Software, Inc. .............. 5,700 361,238
Atrion Corp. ...................... 1,300 32,175
*Atrix Labs, Inc. .................. 3,900 47,775
*Atwood Oceanics, Inc. ............. 4,800 198,600
*Au Bon Pain, Inc. Class A ......... 5,000 43,750
*Audiovox Corp. Class A ............ 3,600 22,275
*Audits & Surveys Worldwide, Inc. .. 6,500 14,422
Augat, Inc. ....................... 11,100 240,038
*Aura Systems, Inc. ................ 29,975 122,710
*Auspex Systems, Inc. .............. 11,500 267,375
Authentic Fitness Corp. ........... 10,200 193,800
*Autocam Corp. ..................... 3,940 44,325
*Autoimmune, Inc. .................. 9,200 92,000
*Autoinfo, Inc. .................... 3,600 12,150
*Autologic Information
International, Inc................ 2,300 18,113
*Autote Corp. Class A .............. 12,600 40,163
*Avatar Holdings, Inc. ............. 4,300 154,263
*Avecor Cardiovascular, Inc. ....... 5,100 62,794
Avemco Corp. ...................... 4,100 64,063
*#Avert, Inc. ....................... 1,400 7,875
Aviall, Inc. ...................... 14,000 140,000
*Avid Technology, Inc. ............. 10,400 235,950
*Aviva Petroleum, Inc. Deposit
Shares (Representing 5 Shares).... 1,500 5,250
*Avondale Industries, Inc. ......... 7,200 136,800
*Aydin Corp. ....................... 3,100 47,663
*Aztar Corp. ....................... 19,200 220,800
Aztec Manufacturing Co. ........... 10,300 63,088
*#BBN Corp. ......................... 8,800 231,000
*BCT International, Inc. ........... 700 2,363
*BEC Group, Inc. ................... 10,683 65,433
BEI Electronics, Inc. ............. 3,400 41,438
BGS Systems, Inc. ................. 2,600 128,700
BHA Group, Inc. Class A ........... 2,700 46,575
BHC Financial, Inc. ............... 3,500 48,781
*BI, Inc. .......................... 4,000 64,500
BMC Industries, Inc. MN ........... 23,200 690,200
*BMC West Corp. .................... 4,700 82,250
BMJ Financial Corp. ............... 5,000 67,500
*BPI Packaging Technologies, Inc. .. 5,800 19,394
*BRC Holdings, Inc. ................ 3,500 126,875
BSB Bancorp, Inc. ................. 3,300 85,388
BT Financial Corp. ................ 1,500 54,563
*BTG, Inc. ......................... 1,200 17,025
*BTU International, Inc. ........... 2,800 13,300
</TABLE>
115
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
*BUM International, Inc. ........... 3,000 $ 1,500
BW/IP, Inc. Class A ............... 10,000 200,000
*BWAY Corp. ........................ 3,200 58,400
*Bachman Information Systems, Inc. . 4,600 37,663
*Back Bay Restaurant Group, Inc. ... 2,000 8,125
Badger Meter, Inc. ................ 400 10,850
Badger Paper Mills, Inc. .......... 1,000 14,375
*Bailey Corp. ...................... 2,700 22,444
Bairnco Corp. ..................... 4,800 34,800
Baker (J.), Inc. .................. 6,700 65,325
*Baker (Michael) Corp. ............. 6,000 33,000
Balchem Corp. ..................... 1,350 13,331
Baldor Electric Co. ............... 12,390 274,129
*Baldwin Piano & Organ Co. ......... 2,000 28,875
*Baldwin Technology, Inc. Class A .. 9,400 36,425
Ballard Medical Products .......... 15,900 316,013
*Bally Entertainment Corp. ......... 33,500 804,000
*Bally Gaming International, Inc. .. 2,900 25,375
*Bally Total Fitness Holding Corp. . 8,375 41,875
*Baltek Corp. ...................... 1,500 15,844
*BancTec, Inc. ..................... 11,262 228,056
*Bancinsurance Corp. ............... 2,900 9,788
Bancorp Connecticut, Inc. ......... 1,000 24,875
BancorpSouth, Inc. ................ 7,800 178,425
Bangor Hydro-Electric Co. ......... 6,000 63,750
Bank of Granite Corp. ............. 200 7,625
BankAtlantic Bancorp, Inc. ........ 4,277 61,482
BankNorth Group, Inc. DE .......... 2,700 90,113
Bankers Corp. ..................... 10,440 181,395
*Banner Aerospace, Inc. ............ 12,200 85,400
*Banyan System, Inc. ............... 8,400 77,700
Barefoot, Inc. .................... 6,100 67,100
Barnes Group, Inc. ................ 3,900 190,125
*Barnwell Industries, Inc. ......... 600 9,938
*Barr Laboratories, Inc. ........... 6,950 203,288
*Barra, Inc. ....................... 6,000 162,000
*Barrett Business Services, Inc. ... 5,400 98,550
*Barrett Resources Corp. ........... 11,800 308,275
*Barry (R.G.) Corp. ................ 4,388 86,663
*Base Ten Systems, Inc. Class A .... 2,800 35,350
*Basin Exploration, Inc. ........... 5,400 31,050
Bassett Furniture Industries, Inc. 5,600 142,100
Bay State Gas Co. ................. 6,500 171,438
Bay View Capital Corp. ............ 3,400 111,563
*Bayou Steel Corp. Class A ......... 5,300 20,538
*Bayport Restaurant Group, Inc. .... 3,800 15,081
*Be Aerospace, Inc. ................ 8,100 118,463
Bearings, Inc. .................... 5,900 168,888
Beauticontrol Cosmetics, Inc. ..... 2,500 24,375
*Beazer Homes USA, Inc. ............ 2,800 47,950
*Bel Fuse, Inc. .................... 3,000 49,125
*Belden & Blake Corp. .............. 2,600 50,375
*Belding Heminway, Inc. Class A .... 175 372
Bell Bancorp, Inc. ................ 3,200 120,000
*Bell Industries, Inc. ............. 8,668 190,691
*Bell Microproducts, Inc. .......... 4,200 36,488
*Bell Sports Corp. ................. 7,145 69,664
*Bellwethwer Exporation Co. ........ 4,500 27,563
*Ben & Jerry's Homemade, Inc.
Class A .......................... 2,600 42,575
*Ben Franklin Retail Stores, Inc. ... 4,964 12,410
*Benchmark Electronics, Inc. ....... 1,600 51,200
*Benihana, Inc. .................... 1,000 14,688
*Benson Financial Corp. ............ 1,500 29,344
*Bentley Pharmaceuticals, Inc. ..... 360 1,238
<PAGE>
Shares Value+
-------- -----------
*Benton Oil & Gas Co. .............. 12,400 $217,775
Berkshire Gas Co. ................. 1,000 15,250
*Berlitz International, Inc. ....... 4,610 88,166
Berry Petroleum Corp. Class A ..... 13,400 145,725
*Bertuccis, Inc. ................... 3,500 22,313
*Bet Holdings, Inc. Class A ........ 6,700 178,388
*Bettis Corp. ...................... 6,200 34,100
Big B, Inc. ....................... 7,100 69,669
*Big Flower Press Holding, Inc. .... 5,000 71,875
*Big O Tires, Inc. ................. 2,000 31,625
Bindley Western Industries, Inc. .. 6,500 111,313
Binks Manufacturing Co. ........... 1,898 44,840
*Bio Dental Technologies Corp. ..... 3,100 12,594
*Bio Technology General Corp. ...... 21,600 155,925
*Bio-Logic Systems Corp. ........... 2,100 6,956
*Bio-Plexus, Inc. .................. 2,600 29,413
*Bio-Rad Laboratories, Inc. Class A 2,600 133,900
*Biocircuits Corp. ................. 925 6,244
*Biocraft Laboratories, Inc. ....... 8,000 164,000
*Biocryst Pharmaceuticals, Inc. .... 4,800 66,300
*Biomagnetic Technologies, Inc. .... 1,800 2,700
*Biomatrix, Inc. ................... 5,000 84,375
*Biospecifics Technologies Corp. ... 1,800 9,338
*Biospherics, Inc. ................. 4,000 34,500
*Biosys, Inc. ...................... 2,525 14,834
*Biowhittaker, Inc. ................ 5,400 47,925
*Bird Corp. ........................ 2,500 10,000
Birmingham Steel Corp. ............ 14,300 230,588
*Biscayne Apparel, Inc. ............ 1,433 1,433
*Black Box Corp. ................... 7,000 143,500
*Black Hawk Gaming & Development,
Inc. ............................. 1,000 8,938
Black Hills Corp. ................. 9,600 231,600
Blair Corp. ....................... 4,700 116,913
Blanch (E.W.) Holdings, Inc. ...... 6,400 136,000
Blessings Corp. ................... 6,000 65,250
Blimpie International ............. 4,600 72,738
Blount International, Inc. Class A 6,550 217,788
Blount International, Inc. Class B 3,600 120,150
*Bluegreen Corp. ................... 8,395 35,679
*Blyth Holdings, Inc. .............. 5,200 18,363
*Boca Research, Inc. ............... 3,400 79,475
*Bombay Co., Inc. .................. 18,300 141,825
*Bon-Ton Stores, Inc. .............. 8,000 51,500
*Bone Care International, Inc. ..... 1,125 9,000
*Books-a-Million, Inc. ............. 7,000 82,688
*Boole & Babbage, Inc. ............. 5,400 133,650
*Boomtown, Inc. .................... 5,900 33,925
*Borg-Warner Security Corp. ........ 13,700 160,975
*Borland International, Inc. ....... 17,200 231,125
*Borror Corp. ...................... 3,100 13,756
Boston Acoustics, Inc. ............ 3,400 68,425
Boston Bancorp .................... 2,400 100,950
*Boston Technology, Inc. ........... 17,000 306,000
*Bowmar Instrument Corp. ........... 11,700 25,594
Bowne & Co., Inc. ................. 8,700 178,350
*Box Energy Corp. Class A .......... 400 4,150
*Box Energy Corp. Class B .......... 8,800 88,000
*#Bradlees, Inc. .................... 3,000 5,250
*Bradley Pharmaceuticals, Inc.
Class A .......................... 1,500 2,484
*Brauns Fashions Corp. ............. 1,000 1,406
Breed Technologies, Inc. .......... 12,600 283,500
Brenco, Inc. ...................... 11,200 145,600
*Brendle's, Inc. ................... 4,100 1,025
</TABLE>
116
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
Brenton Banks, Inc. ............... 200 $ 4,750
*Brewer (C.) Homes, Inc. Class A ... 5,600 19,250
Bridgford Foods Corp. ............. 3,805 33,769
*Brightpoint, Inc. ................. 5,550 143,953
*Brite Voice Systems, Inc. ......... 5,700 145,350
Broad National Bancorporation ..... 200 2,200
*Broadband Technologies, Inc. ...... 6,600 203,363
*Broadway & Seymour, Inc. .......... 4,400 67,100
*Brock International, Inc. ......... 2,400 18,450
#Brooke Group, Ltd. ................ 8,300 51,875
*#Brookstone, Inc. .................. 3,400 37,825
*Brooktree Corp. ................... 8,100 97,200
*Brooktrout Technology, Inc. ....... 3,000 135,375
*Brothers Gourmet Coffees, Inc. .... 5,600 21,350
*Brown & Sharpe Manufacturing Co.
Class A .......................... 4,100 42,025
*Brown (Tom), Inc. ................. 9,400 162,150
Brown Group, Inc. ................. 10,000 170,000
Brush Wellman, Inc. ............... 8,100 151,875
Bryn Mawr Bank Corp. .............. 400 9,350
*Buckle, Inc. ...................... 2,700 97,538
*Buffets, Inc. ..................... 15,400 192,500
*Bugaboo Creek Steak House, Inc. ... 2,100 16,538
*Builders Transport, Inc. .......... 1,800 14,175
*Bull Run Corp. GA ................. 21,300 61,238
*Burlington Coat Factory Warehouse
Corp.............................. 21,000 223,125
*Burr Brown Corp. .................. 12,450 266,119
*Bush Boake Allen, Inc. ............ 9,600 237,600
Bush Industries, Inc. Class A ..... 3,100 110,438
*Butler International, Inc. ........ 1,000 8,125
Butler Manufacturing Co. .......... 2,100 78,488
*Buttrey Food & Drug Stores Co. .... 3,500 27,781
*C-COR Electronics, Inc. ........... 10,400 244,400
*CAI Wireless Systems, Inc. ........ 5,115 54,667
CBT Corp. ......................... 200 4,600
*CCA Industries, Inc. .............. 2,700 9,366
*CDI Corp. ......................... 13,100 445,400
*CE Software Holdings, Inc. ........ 600 1,463
*CEM Corp. ......................... 3,800 52,250
*CFI Proservices, Inc. ............. 1,800 45,000
CFSB Bancorp, Inc. ................ 1,210 25,108
CFW Communications Co. ............ 5,100 102,000
CFX Corp. ......................... 3,764 52,696
*CIS Technologies, Inc. DE ......... 18,100 58,825
CKE Restaurants, Inc. ............. 11,000 254,375
CMAC Investment Corp. ............. 5,600 305,200
*CMC Industries, Inc. .............. 2,400 20,100
*CMG Information Services, Inc. .... 4,600 108,675
*CMI Corp. Class A ................. 18,100 106,338
CML Group, Inc. ................... 24,600 132,225
CNB Bancshares, Inc. .............. 7,144 203,604
*CNS Income ........................ 8,900 195,244
*CPAC, Inc. ........................ 3,320 39,425
CPB, Inc. ......................... 1,300 41,925
*CPI Aerostructures, Inc. .......... 200 550
CPI Corp. ......................... 9,800 160,475
CSF Holdings, Inc. Escrow ......... 3,250 0
*CSP, Inc. ......................... 2,800 26,250
*CSS Industries, Inc. .............. 4,300 110,188
*CTL Credit, Inc. .................. 1,400 24,763
CTS Corp. ......................... 2,100 94,763
CU Bancorp ........................ 2,800 30,100
CVB Financial Corp. ............... 2,634 39,839
*Cable Design Techologies Corp. .... 7,050 318,131
<PAGE>
Shares Value+
-------- -----------
Cabot Oil & Gas Corp. Class A ..... 11,400 $193,800
*Cache, Inc. ....................... 5,025 27,323
*Caci International, Inc. Class A .. 1,000 13,000
*Cade Industries, Inc. ............. 1,500 2,039
*Cadiz Land, Inc. .................. 8,400 47,775
Cadmus Communications Corp. ....... 6,500 107,656
*Caere Corp. ....................... 6,600 87,450
Cagle's, Inc. Class A ............. 2,250 32,906
*Cairn Energy USA, Inc. ............ 8,800 103,950
*Caldor Corp. ...................... 9,700 30,313
*Calgene, Inc. ..................... 14,300 87,588
Calgon Carbon Corp. ............... 21,200 272,950
*California Amplifier, Inc. ........ 6,600 288,750
California Bancshares, Inc. ....... 4,000 135,000
*#California Culinary Academy, Inc. . 1,200 8,025
California Financial Holding Corp. 4,000 83,000
*California Micro Devices Corp. .... 3,400 36,338
*California Microwave, Inc. ........ 8,000 153,000
California State Bank ............. 2,059 30,885
California Water Service Co. ...... 3,100 106,950
*Callon Petroleum Co. .............. 3,200 40,800
Calmat Co. ........................ 11,600 213,150
*Calprop Corp. ..................... 7,700 6,016
*Calumet Bancorp, Inc. ............. 1,100 30,800
*Cambex Corp. ...................... 5,200 33,150
Cambrex Corp. ..................... 3,300 158,400
*Cambridge Neuroscience, Inc. ...... 5,300 51,013
*Cambridge Soundworks, Inc. ........ 1,200 4,275
Camco International, Inc. ......... 4,900 161,088
*Campo Eletronics, Appliances &
Computers, Inc. .................. 3,200 7,600
*Candela Laser Corp. ............... 2,600 20,313
*Candies, Inc. ..................... 3,300 8,456
*Canisco Resources, Inc. ........... 500 1,219
*Cannon Express, Inc. Class A ...... 900 10,013
*Cannondale Corp. .................. 4,300 93,525
*#Cantel Industries, Inc. Class B ... 2,000 21,000
*Canterbury Educational Services,
Inc............................... 4,800 9,675
*Canyon Resources Corp. ............ 11,800 42,038
Cape Cod Bank & Trust Co. ......... 1,000 21,750
*Capital Pacific Holdings, Inc. .... 1,000 3,875
Capital Re Corp. .................. 8,100 295,650
Capitol American Financial Corp. .. 13,000 321,750
Capitol Bancorp, Ltd. ............. 900 9,450
Capitol Transamerica Corp. ........ 2,900 58,000
*Capstone Pharmacy Services, Inc. .. 5,800 58,363
*Capsure Holdings Corp. ............ 7,300 134,138
Caraustar Industries, Inc. ........ 8,200 215,250
Cardinal Health, Inc. ............. 4,187 267,445
*Cardinal Realty Services, Inc. .... 1,400 29,575
*Care Group, Inc. .................. 3,400 5,950
*Career Horizons, Inc. ............. 3,000 118,875
*Carlisle Plastics, Inc. Class A ... 8,900 60,075
*Carmike Cinemas, Inc. Class A ..... 5,600 156,100
Carolina First Corp. .............. 5,702 115,466
Carpenter Technology Corp. ........ 4,200 151,725
*Carr-Gottstein Foods Co. .......... 7,654 36,357
*Carrington Laboratories, Inc. ..... 4,200 164,850
*Carson Pirie Scott & Co. .......... 8,200 227,550
Carter-Wallace, Inc. .............. 18,500 259,000
*Carver Corp. WA ................... 3,800 11,163
Cascade Corp. ..................... 5,400 81,338
Cascade Natural Gas Corp. ......... 4,050 61,763
Casey's General Stores, Inc. ...... 11,800 276,563
</TABLE>
117
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
Cash America International, Inc. .. 14,200 $ 81,650
*Casino America, Inc. .............. 8,000 74,000
*Casino Data Systems ............... 8,250 122,719
*Casino Magic Corp. ................ 17,600 104,500
*#Casino Resource Corp. ............. 3,000 5,719
*Castech Aluminum Group, Inc. ...... 6,500 114,563
Castle (A.M.) & Co. ............... 23,438 665,039
*Catalina Lighting, Inc. ........... 5,000 29,375
*Catalina Marketing Corp. .......... 5,000 387,500
*Catalyst Semiconductor, Inc. ...... 4,100 30,750
*Catalytica, Inc. .................. 9,600 45,600
*Catellus Development Corp. ........ 42,500 393,125
Cathay Bancorp, Inc. .............. 1,100 17,875
*Catherines Stores Corp. ........... 3,100 30,225
Cato Corp. Class A ................ 12,000 92,250
Cavalier Homes, Inc. .............. 4,537 106,052
*#Cedar Group, Inc. ................. 7,300 29,656
*Cel-Sci Corp. ..................... 2,000 22,000
*Celadon Group, Inc. ............... 3,100 32,356
*Celebrity, Inc. ................... 3,200 15,000
*Celestial Seasonings, Inc. ........ 1,600 33,200
*Celex Group, Inc. ................. 2,000 16,250
*Celgene Corp. ..................... 5,100 81,281
*Cell Genesys, Inc. ................ 8,000 70,000
*Cellpro, Inc. ..................... 7,100 129,575
*Cellstar Corp. .................... 9,600 97,800
*Cellular Communications, Inc.
Class A .......................... 2,900 155,150
*Cellular Technical Services Co.,
Inc. ............................. 4,333 150,572
*Celtrix Pharmaceuticals, Inc. ..... 5,000 17,188
Cenfed Financial Corp. ............ 1,980 41,580
#Cenit Bancorp, Inc. ............... 200 6,975
*Centennial Bancorp ................ 1,466 21,074
*Centennial Cellular Corp. Class A . 6,100 103,700
*Centennial Technologies, Inc. ..... 4,100 103,525
Center Banks, Inc. ................ 600 8,625
Center Financial Corp. ............ 6,513 138,401
Centex Construction Products, Inc. 11,800 166,675
*Centigram Communications Corp. .... 3,400 58,438
Central & Southern Holding Co. .... 1,500 12,938
*Central Co-Operative Bank
Somerville, MA ................... 900 14,175
*Central Garden & Pet Co. .......... 5,800 85,188
Central Hudson Gas & Electric Corp. 7,000 209,125
Central Louisiana Electric Co.,
Inc. ............................. 11,200 298,200
Central Maine Power Co. ........... 16,200 216,675
Central Reserve Life Corp. ........ 1,800 14,738
*Central Sprinkler Corp. ........... 2,500 57,500
*Central Tractor Farm & Country,
Inc. ............................. 2,100 27,300
Central Vermont Public Service
Corp. ............................ 5,650 78,394
Century Bancorp Income Class A .... 1,000 12,250
*Century Communications Corp.
Class A .......................... 16,300 152,813
*Cephalon, Inc. .................... 10,300 279,388
*Ceradyne, Inc. .................... 11,800 128,325
*Cerberonics, Inc. Class A ......... 200 1,463
*Cerplex Group, Inc. ............... 6,000 40,500
*Chad Therapeutics ................. 4,750 85,500
*Champion Enterprises, Inc. ........ 10,400 421,200
*Champion Healthcare Corp. ......... 100 1,138
#Champion Industries, Inc. ......... 2,550 47,175
<PAGE>
Shares Value+
-------- -----------
*Champion Parts, Inc. .............. 1,800 $ 1,856
Chaparral Steel Co. ............... 11,200 163,800
*Charming Shoppes, Inc. ............ 51,600 411,188
*Chart House Enterprises, Inc. ..... 4,700 37,600
Chart Industries, Inc. ............ 5,000 70,625
Charter Federal Savings Bank
(Escrow) ......................... 2,100 0
Charter Power Systems, Inc. ....... 4,300 146,738
*Chase Brass Industries, Inc. ...... 5,000 93,750
*Chattem, Inc. ..................... 2,500 22,188
*Check Technology Corp. ............ 2,400 28,350
*Checkers Drive-In Restaurant, Inc. 25,100 36,473
*Checkfree Corp. ................... 13,300 297,588
*Checkmate Electronics, Inc. ....... 2,000 30,250
*Checkpoint System, Inc. ........... 19,400 754,175
*Cheesecake Factory, Inc. .......... 2,500 65,625
Chemed Corp. ...................... 4,900 184,363
*Chemfab Corp. ..................... 5,550 74,925
Chemical Financial Corp. .......... 4,600 173,075
*Chempower, Inc. ................... 1,800 7,650
*Chemtrak, Inc. .................... 4,900 22,663
*Cherry Corp. Class A .............. 3,600 42,300
*Cherry Corp. Class B .............. 3,600 45,450
Chesapeake Utilities Corp. ........ 1,500 24,750
Chester Valley Bancorp ............ 210 4,016
*Chic by His, Inc. ................. 4,900 29,400
Chicago Rivet & Machine Co. ....... 700 24,500
*Chicos Fas, Inc. .................. 4,700 47,588
*Children's Comprehensive Services,
Inc. ............................. 2,150 48,778
*Children's Discovery Centers of
America, Inc. Class A ............ 1,800 11,813
*Chips & Technologies, Inc. ........ 10,100 112,363
Chittenden Corp. .................. 4,134 89,651
*#Chock Full O' Nuts Corp. .......... 10,130 51,916
*Cholestech Corp. .................. 4,500 31,500
*Christiana Companies, Inc. ........ 12,300 264,450
*Chromcraft Revington, Inc. ........ 1,000 24,875
*Chronimed, Inc. ................... 6,150 126,844
#Church & Dwight Co., Inc. ......... 11,700 234,000
*Ciber, Inc. ....................... 3,900 177,450
*#Cidco, Inc. ....................... 7,100 280,450
Cilcorp, Inc. ..................... 6,600 281,325
*Cincinnati Microwave, Inc. ........ 7,300 32,850
*Cinergi Pictures Entertainment,
Inc. ............................. 2,800 5,556
*Ciprico, Inc. ..................... 1,400 30,975
*Circon Corp. ...................... 7,390 96,070
*Circuit Systems, Inc. ............. 2,700 17,888
*Citadel Holding Corp. ............. 2,400 5,700
*Citation Computer System, Inc. .... 1,500 27,094
*Citation Corp. .................... 10,100 150,238
*Citation Insurance Group .......... 2,400 10,800
Citfed Bancorp, Inc. .............. 2,100 79,538
Citicasters, Inc. Class A ......... 8,100 251,100
Citizens Bancorp MD ............... 7,500 225,000
Citizens Banking Corp. ............ 6,400 188,000
*Citizens, Inc. Class A ............ 11,000 82,500
City Holding Co. .................. 220 5,280
City National Corp. ............... 20,200 310,575
*Civic Bancorp ..................... 1,800 15,075
Claire's Stores, Inc. ............. 16,650 416,250
Clarcor, Inc. ..................... 8,500 175,313
*Clark (Dick) Productions, Inc. .... 3,300 48,675
*Clean Harbors, Inc. ............... 6,900 25,013
Cleveland Cliffs, Inc. ............ 5,900 236,738
</TABLE>
118
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
*Cliffs Drilling Co. ............... 2,500 $ 66,719
*Clintrials Research, Inc. ......... 4,400 210,650
*Clothestime, Inc. ................. 8,000 11,500
Coachmen Industries, Inc. ......... 7,400 272,875
*Coast Distribution System ......... 4,700 34,663
*Coast Savings Financial, Inc. ..... 9,300 311,550
Coastal Bancorp, Inc. ............. 4,000 73,750
*Coastal Physician Group, Inc. ..... 11,900 99,663
*Coastcast Corp. ................... 3,600 92,250
Cobancorp, Inc. ................... 206 4,146
*Cobra Electronic Corp. ............ 2,500 6,875
*Cobra Industries ,Inc. ............ 2,200 111
Coca Cola Bottling Co. Consolidated 3,700 127,650
*Cocensys, Inc. .................... 8,700 73,406
*Code Alarm, Inc. .................. 1,500 7,500
Coeur d'Alene Mines Corp. ID ...... 10,900 241,163
*Cognitronics Corp. ................ 3,800 18,763
*Coherent Communications Systems
Corp. ............................. 9,200 242,650
*Coherent, Inc. .................... 8,400 411,600
*Coho Energy, Inc. ................. 10,000 65,000
Cohu, Inc. ........................ 8,200 197,825
*Cold Metal Products, Inc. ......... 4,200 27,825
*Cole National Corp. Class A ....... 5,000 101,250
Collagen Corp. .................... 5,600 118,300
Collective Bancorp, Inc. .......... 10,149 246,748
*Collins & Aikman Corp. ............ 27,800 187,650
*Collins Industries, Inc. .......... 6,600 29,288
Colonial Bancgroup, Inc. .......... 5,000 175,000
*#Colonial Data Technologies Corp. .. 7,700 151,113
Colonial Gas Co. .................. 8,050 182,131
*Columbia Banking System, Inc. ..... 1,365 21,499
*Columbia Laboratories, Inc. ....... 13,900 189,388
*Columbus Energy Corp. ............. 1,300 9,263
*Comarco, Inc. ..................... 2,800 57,050
*Comdial Corp. ..................... 3,600 39,600
*#Comforce Corp. .................... 1,300 32,825
Commerce Bancorp, Inc. ............ 6,126 147,790
Commercial Bancshares, Inc. ....... 1,300 18,200
Commercial Federal Corp. .......... 8,709 337,474
Commercial Intertech Corp. ........ 5,100 106,463
Commercial Metals Co. ............. 7,600 238,450
*Commnet Cellular, Inc. ............ 6,700 229,894
Commonwealth Energy System ........ 4,000 193,500
*Communications Central, Inc. ...... 2,300 16,963
Communications Systems, Inc. ...... 9,000 144,000
Community Bank System, Inc. ....... 2,500 80,313
#Community Bankshares, Inc. NH ..... 800 13,950
Community First Bankshares, Inc. .. 2,300 53,763
*Community Psychiatric Centers ..... 21,800 207,100
*Competitive Technologies, Inc. .... 3,500 41,563
*Complete Management, Inc. ......... 933 11,196
*Compression Laboratories, Inc. .... 8,800 68,750
*Comptek Research, Inc. ............ 7,900 50,363
*Compucom Systems, Inc. ............ 22,100 276,250
Computer Data Systems, Inc. ....... 5,700 125,756
*Computer Horizons Corp. ........... 17,887 838,453
*Computer Identics Corp. ........... 4,200 9,975
Computer Language Research, Inc. .. 9,600 132,000
*Computer Network Technology Corp. . 11,100 92,269
*Computer Outsourcing Services, Inc. 700 3,019
*Computer Products, Inc. ........... 12,200 248,575
<PAGE>
Shares Value+
-------- -----------
Computer Task Group, Inc. ......... 4,100 $116,338
*Computer Telephone Corp. Class 1 .. 4,700 76,669
*Computrac, Inc. ................... 3,100 8,525
*Comshare, Inc. .................... 6,000 179,250
*Comstock Resources, Inc. .......... 6,400 49,600
*Comtech Telecommunications Corp. .. 1,000 5,188
*Comverse Tecnology, Inc. .......... 10,600 312,038
*Concentra Corp. ................... 2,700 16,200
*Concord Fabrics, Inc. Class A ..... 200 1,150
*Concurrent Computer Corp. ......... 10,000 29,375
*Conductus, Inc. ................... 2,000 29,000
*Cone Mills Corp. NC ............... 15,000 174,375
*Congoleum Corp. Class A ........... 1,900 20,663
*Conmed Corp. ...................... 13,275 438,075
Connecticut Energy Corp. .......... 4,400 89,650
Connecticut Natural Gas Corp. ..... 5,000 117,500
Connecticut Water Services, Inc. .. 1,800 47,250
*Consep, Inc. ...................... 4,300 18,275
*Consilium, Inc. ................... 4,000 29,750
*Conso Products Co. ................ 2,500 42,813
*Consolidated Graphics, Inc. ....... 2,200 58,025
*Consolidated Products, Inc. ....... 6,002 105,035
*Consolidated Stainless, Inc. ...... 1,300 13,406
Consolidated Tokoma Land Co. ...... 3,100 62,775
*Consumer Portfolio Services, Inc. . 4,600 47,150
Consumers Water Co. ............... 4,100 72,775
*Continental Can, Inc. DE .......... 1,000 14,250
Continental Homes Holding Corp. ... 3,600 88,650
*Continental Waste Industries, Inc. 7,000 131,688
*Continuum Co., Inc. ............... 3,780 232,470
*Control Data Systems, Inc. ........ 8,300 205,944
*Converse, Inc. .................... 8,300 38,388
*Convest Energy Corp. .............. 1,000 5,313
Cooker Restaurant Corp. ........... 3,500 52,500
*Cooper Companies, Inc. ............ 5,800 73,950
*Cooperative Bankshares, Inc. ...... 700 12,338
*Copart, Inc. ...................... 5,000 85,625
*Copley Pharmaceutical, Inc. ....... 9,500 152,000
*Copytele, Inc. .................... 13,300 247,713
*Cor Therapeutics, Inc. ............ 10,700 107,669
*Coram Healthcare Corp. ............ 20,200 98,475
*Corcom, Inc. ...................... 700 8,313
Core Industries, Inc. ............. 5,200 75,400
*Core, Inc. ........................ 2,400 39,600
*Cornerstone Imaging, Inc. ......... 3,600 33,300
Corpus Christi Bankshares, Inc. ... 600 9,750
*Corrpro Companies, Inc. ........... 2,400 22,500
*Cortech, Inc. ..................... 7,100 21,966
*Corvas International, Inc. ........ 3,300 19,388
*Corvel Corp. ...................... 1,000 33,000
*Cosmetic Centers, Inc. Class A .... 1,100 6,188
*Cosmetic Centers, Inc. Class B .... 800 4,600
Cotton States Life Insurance Co. .. 1,350 14,766
Courier Corp. ..................... 800 14,900
*Covenant Transport, Inc. Class A .. 4,400 67,100
*Coventry Corp. .................... 12,900 238,650
Craftmade International, Inc. ..... 2,000 16,125
*Craig (Jenny), Inc. ............... 11,900 208,250
*Craig Corp. ....................... 1,800 21,600
Crawford & Co. Class A ............ 8,000 131,000
Crawford & Co. Class B ............ 8,600 141,900
*Cray Research, Inc. ............... 2,817 77,115
*Creative Biomolecules, Inc. ....... 15,400 155,925
*Creative Technologies Corp. ....... 1,000 969
</TABLE>
119
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
*Credence Systems Corp. ............ 11,250 $226,406
*Cree Research, Inc. ............... 6,000 99,375
*Criticare Systems, Inc. ........... 3,200 11,950
*Crop Growers Corp. ................ 4,100 42,025
Cross (A.T.) Co. Class A .......... 8,900 142,400
Cross Timbers Oil Co. ............. 8,000 179,000
*Crosscomm Corp. ................... 3,700 42,088
*Crossman Communities, Inc. ........ 4,000 84,000
*Crown Books Corp. ................. 2,700 34,088
*Crown Central Petroleum Corp.
Class A .......................... 1,900 32,775
*Crown Central Petroleum Corp.
Class B .......................... 2,500 40,313
Crown Crafts, Inc. ................ 5,100 53,550
*Crown Resources Corp. ............. 6,600 42,075
*Crown-Andersen, Inc. .............. 1,000 7,375
*Cruise America, Inc. .............. 2,600 17,550
*Cryenco Sciences, Inc. Class A .... 2,400 10,050
*Cryolife, Inc. .................... 1,300 46,963
*Cryomedical Sciences, Inc. ........ 12,300 30,366
*Crystal Oil Co. ................... 1,200 40,800
Cubic Corp. ....................... 2,400 80,400
*Culbro Corp. ...................... 2,200 126,775
Cullen Frost Bankers, Inc. ........ 5,630 290,649
Culp, Inc. ........................ 16,818 231,248
Cupertino National Bancorp ........ 220 2,998
*Curative Technologies, Inc. ....... 7,000 181,563
Curtiss-Wright Corp. .............. 2,000 103,000
*Custom Chrome, Inc. ............... 2,000 52,625
*Customedix Corp. .................. 1,100 2,269
*Cyberonics, Inc. .................. 4,100 22,550
*Cyberoptics Corp. ................. 1,900 29,450
*Cycare Systems, Inc. .............. 3,400 168,725
*Cygne Designs, Inc. ............... 5,000 5,703
*Cygnus, Inc. ...................... 9,100 168,919
*Cypros Pharmaceutical Corp. ....... 8,700 50,025
*Cyrix Corp. ....................... 7,700 238,700
*Cyrk, Inc. ........................ 5,400 68,513
*Cytel Corp. ....................... 9,100 71,663
*Cytogen Corp. ..................... 23,025 206,505
*Cytotherapeutics, Inc. ............ 7,400 90,650
*Cytrx Corp. ....................... 4,750 23,898
*D&N Financial Corp. ............... 3,400 41,438
*DAIG Corp. ........................ 6,100 152,119
*DBA Systems, Inc. ................. 1,700 8,606
*DDL Electronics, Inc. ............. 6,500 12,188
*DEP Corp. Class A ................. 1,900 2,138
*DEP Corp. Class B ................. 6,200 7,363
*DH Technology, Inc. ............... 3,750 98,438
*DII Group, Inc. ................... 3,000 99,750
*DIY Home Warehouse, Inc. .......... 10,000 53,125
*DM Management Co. ................. 2,000 9,375
*DMX, Inc. ......................... 13,000 16,250
*DNA Plant Technology Corp. ........ 17,300 12,705
*DNX Corp. ......................... 3,800 27,313
*DR Horten, Inc. ................... 18,952 198,996
*DRCA Medical Corp. ................ 2,100 8,400
DS Bancor, Inc. ................... 1,764 56,007
*DSP Group, Inc. ................... 4,700 54,638
*DSP Technology, Inc. .............. 1,000 6,438
DT Industries, Inc. ............... 5,000 95,625
*DVI, Inc. ......................... 5,500 76,313
*Daily Journal Corp. ............... 200 5,400
*Dairy Mart Convenience Stores, Inc.
Class A .......................... 1,600 9,200
<PAGE>
Shares Value+
-------- -----------
*Daka International, Inc. .......... 2,145 $ 54,161
Dallas Semiconductor Corp. ........ 18,700 392,700
*Damark International, Inc. Class A 4,500 54,563
Dames & Moore, Inc. ............... 13,300 161,263
Daniel Industries, Inc. ........... 5,200 76,700
*Danskin, Inc. ..................... 2,400 8,100
*Darling International, Inc. ....... 2,500 65,313
Dart Group Corp. Class A .......... 700 59,238
*Data Broadcasting Corp. ........... 3,245 32,450
*Data General Corp. ................ 19,100 243,525
*Data I/O Corp. .................... 4,600 30,475
*Data Race, Inc. ................... 1,800 7,988
*Data Research Association, Inc. ... 1,500 35,250
*Data Systems & Software, Inc. ..... 2,900 24,288
*Data Translation, Inc. ............ 8,400 219,450
*Data Transmission Network Corp. ... 1,000 64,250
*Dataflex Corp. .................... 3,400 22,950
*Datakey, Inc. ..................... 1,000 7,875
*Datamarine International, Inc. .... 200 2,725
*#Datametrics Corp. ................. 5,700 39,900
*Datapoint Corp. ................... 4,200 6,300
*Dataram Corp. ..................... 1,900 11,638
*Datascope Corp. ................... 10,800 189,000
*Dataware Technologies, Inc. ....... 4,000 27,000
*Datawatch Corp. ................... 4,300 43,538
*Datron Systems, Inc. .............. 1,800 23,738
*Datum, Inc. ....................... 1,600 21,700
*Davco Restaurants, Inc. ........... 3,000 22,875
*Dave and Busters, Inc. ............ 2,200 50,188
*Davel Communications Group, Inc. .. 1,800 31,725
Davis Water & Waste Industries,
Inc. ............................. 5,500 164,313
*Davox Corp. ....................... 5,000 149,375
*Daw Technologies, Inc. ............ 5,000 30,313
*Dawson Geophysical Co. ............ 4,100 46,125
*Daxor Corp. ....................... 4,400 52,800
*Day Runner, Inc. .................. 3,100 88,350
*De Soto, Inc. ..................... 2,800 15,400
Deb Shops, Inc. ................... 4,800 24,600
*Deckers Outdoor Corp. ............. 3,700 32,375
Decorator Industries, Inc. ........ 900 10,013
*Deeptech International, Inc. ...... 8,300 47,725
Defiance, Inc. .................... 7,600 45,125
*Deflecta-Shield Corp. ............. 1,000 5,875
*Del Electronics Corp. ............. 1,465 18,862
Del Laboratories, Inc. ............ 9,066 258,381
*Delaware Ostego Corp. ............. 210 2,126
Delchamps, Inc. ................... 1,300 30,388
*Delphi Financial Group, Inc.
Class A .......................... 1,300 35,913
*Delphi Information Systems, Inc. .. 5,000 9,844
Delta & Pine Land Co. ............. 9,598 412,714
Delta Natural Gas Co., Inc. ....... 1,400 22,925
Delta Woodside Industries, Inc. ... 11,900 68,425
*Denamerica Corp. .................. 3,100 16,663
*Department 56, Inc. ............... 10,800 259,200
*Designs, Inc. ..................... 12,450 82,481
*Detection Systems, Inc. ........... 2,800 40,075
*Detrex Corp. ...................... 500 3,063
*Detroit Diesel Corp. .............. 12,300 232,163
*Devcon International Corp. ........ 2,000 19,750
*Devlieg-Bullard, Inc. ............. 6,500 17,875
Devon Energy Corp. ................ 14,700 374,850
*Devon Group, Inc. ................. 2,900 85,550
*Devry, Inc. ....................... 11,200 445,200
</TABLE>
120
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
*Dewolfe Companies, Inc. ........... 200 $ 1,150
Dexter Corp. CT ................... 12,100 346,363
*Diagnostic Health Services, Inc. .. 1,900 15,556
Diagnostic Products Corp. ......... 6,500 244,563
*Diagnostic Retrieval Systems, Inc. 1,300 14,138
*Dialogic Corp. .................... 8,500 455,813
*Diametrics Medical, Inc. .......... 5,700 37,406
*Diana Corp. ....................... 766 73,823
*Dianon Systems, Inc. .............. 3,300 23,306
*Digi International, Inc. .......... 5,900 165,938
*Digicon, Inc. ..................... 4,500 75,375
*Digital Biometrics, Inc. .......... 5,000 34,375
*Digital Communications Technology
Corp. ............................ 2,520 8,820
*Digital Link Corp. ................ 4,400 76,450
*Digital Microwave Corp. ........... 6,300 98,831
*Digital Sound Corp. ............... 7,900 14,813
*Digital Systems International, Inc. 6,500 142,594
Dime Financial Corp. .............. 2,300 31,625
Dimon, Inc. ....................... 19,150 344,700
*Diodes, Inc. ...................... 2,500 22,813
*Dionex Corp. ...................... 5,400 195,750
*Discount Auto Parts, Inc. ......... 10,300 265,225
*#Discovery Zone, Inc. .............. 12,200 5,338
*Dixie Yarns, Inc. ................. 4,381 23,000
*Dixon Ticonderoga Co. ............. 1,700 11,475
Donegal Group, Inc. ............... 1,800 31,500
Donnelly Corp. Class A ............ 3,000 47,625
*Donnkenny, Inc. ................... 5,600 106,400
*Dorsey Trailers, Inc. ............. 3,000 15,188
*Doubletree Corp. .................. 2,500 88,438
Douglas & Lomason Co. ............. 2,600 34,775
Downey Financial Corp. ............ 10,770 234,248
*Dravo Corp. ....................... 7,400 96,200
*Dress Barn, Inc. .................. 13,400 159,125
*Drew Industries, Inc. ............. 3,200 54,800
*#Drexler Technology Corp. .......... 5,300 87,450
Dreyer's Grand Ice Cream, Inc. .... 8,300 275,975
*Drug Emporium, Inc. ............... 5,300 22,194
*Drypers Corp. ..................... 2,600 10,075
*Dual Drilling Co. ................. 6,300 120,488
*Duckwall-Alco Stores, Inc. ........ 1,300 17,144
*Ducommun, Inc. .................... 4,800 69,600
Duff & Phelps Credit Rating Co. ... 2,566 48,433
*Dura Pharmaceuticals, Inc. ........ 5,100 314,925
*Durakon Industries, Inc. .......... 5,200 69,550
*Duramed Pharmaceuticals, Inc. ..... 4,200 75,075
Duriron Co., Inc. ................. 11,400 319,200
Duty Free International, Inc. ..... 15,000 225,000
*Dwyer Group, Inc. ................. 2,800 7,000
Dyersburg Corp. ................... 5,700 31,350
Dynamics Corp. of America ......... 7,500 191,250
*Dynamics Research Corp. ........... 4,471 34,091
*Dynatech Corp. .................... 9,200 319,700
E'town Corp. ...................... 3,700 103,138
*E-Z-Em, Inc. Class A .............. 2,450 34,606
*E-Z-Em, Inc. Class B .............. 6,123 81,130
*EA Engineering Science &
Technology, Inc. ................. 5,625 17,578
*EA Industries, Inc. ............... 7,500 36,563
*ECC International Corp. ........... 8,500 76,500
*ECCS, Inc. ........................ 1,700 5,738
*EFI Electronics Corp. ............. 800 1,000
*EIS International, Inc. ........... 5,200 152,425
*ELXSI Corp. ....................... 2,200 14,163
<PAGE>
Shares Value+
-------- -----------
EMC Insurance Group, Inc. ......... 6,300 $ 85,838
*ERLY Industries, Inc. ............. 1,300 11,700
*ERO, Inc. ......................... 4,100 25,625
*ESCO Electronics Corp. Trust
Receipts ......................... 8,700 109,838
ESELCO, Inc. ...................... 212 5,777
*ESSEF Corp. ....................... 3,100 52,700
*EZ Serve Corp. .................... 17,000 27,625
Eagle Bancshares, Inc. ............ 1,800 29,700
*#Eagle Finance Corp. ............... 2,000 15,750
Eagle Financial Corp. ............. 2,200 50,050
*Eagle Food Centers, Inc. .......... 8,100 36,956
*Eagle Hardware & Garden, Inc. ..... 9,400 130,425
Eastern Bancorp, Inc. ............. 1,100 26,538
Eastern Co. ....................... 5,600 65,100
*Eastern Environment Services, Inc. 1,000 5,188
Eastern Utilities Associates ...... 8,900 169,100
*Eateries, Inc. .................... 1,500 7,500
Eaton Vance Corp. ................. 3,800 123,025
*Ecogen, Inc. ...................... 4,340 22,107
Ecology & Environment, Inc.
Class A .......................... 1,100 9,350
*Edelbrock Corp. ................... 2,000 33,875
#Edison Brothers Stores, Inc. ...... 11,000 28,875
*Edison Control Corp. .............. 1,000 7,375
*Edisto Resources Corp. ............ 7,600 75,050
*#Editek, Inc. ...................... 4,100 5,638
*Edmark Corp. ...................... 2,600 76,700
*Edo Corp. ......................... 3,400 26,350
*Education Alternatives, Inc. ...... 5,000 19,375
*Educational Development Corp. ..... 1,800 18,000
*Educational Insights, Inc. ........ 2,800 9,975
*Effective Management Systems, Inc. 1,400 8,925
*Egghead, Inc. ..................... 8,800 105,050
Ekco Group, Inc. .................. 8,800 53,900
*El Chico Restaurants, Inc. ........ 2,900 23,744
Elcor Corp. ....................... 6,000 132,750
Eldorado Bancorp CA ............... 1,470 22,050
*Electric & Gas Technology, Inc. ... 4,900 12,709
*Electric Fuel Corp. ............... 4,800 30,600
*Electro Rent Corp. ................ 6,000 145,500
*Electro Scientific Industries, Inc. 4,500 119,813
*Electroglas, Inc. ................. 10,200 196,988
*Electromagnetic Sciences, Inc. .... 11,500 165,313
*Electronic Fab Technology, Inc. ... 5,000 19,063
*Electronic Retailing System
International, Inc. .............. 2,300 4,888
Electronic Tele Communications,
Inc. Class A ..................... 1,000 2,625
*Elek-Tek, Inc. .................... 4,000 16,000
*Eljer Industries, Inc. ............ 3,600 40,950
Ellett Brothers, Inc. ............. 3,000 20,813
*Eltron International, Inc. ........ 2,700 74,250
*Embrex, Inc. ...................... 2,300 16,100
*Emcare Holdings, Inc. ............. 1,600 49,600
*Emcon ............................. 3,200 14,000
*#Emerson Radio Corp. ............... 16,100 34,213
*Emisphere Technologies, Inc. ...... 4,200 49,613
*Emmis Broadcasting Corp. Class A .. 3,300 144,375
*Empi, Inc. ........................ 4,300 75,250
Empire District Electric Co. ...... 8,000 146,000
*Empire of Carolina, Inc. .......... 2,600 33,475
*Emulex Corp. ...................... 4,450 85,106
*Encad, Inc. ....................... 2,800 125,125
</TABLE>
121
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
*Encore Computer Corp. ............. 17,800 $ 62,022
*Encore Wire Corp. ................. 3,200 31,800
*Endosonics Corp. .................. 7,500 113,438
Energen Corp. ..................... 6,600 155,100
*Energy Biosystems Corp. ........... 6,000 39,000
*Energy Research Corp. ............. 1,500 27,938
*Energy Ventures, Inc. ............. 7,600 253,650
Energy West, Inc. ................. 200 1,763
Energynorth, Inc. ................. 2,400 47,100
Engineered Support Systems, Inc. .. 1,200 9,075
*Engineering Measurements Co. ...... 1,000 3,125
#Engle Homes, Inc. ................. 2,800 25,200
Enhance Financial Services Group,
Inc. ............................. 9,900 287,100
Ennis Business Forms, Inc. ........ 8,200 89,175
*Ensys Environmental Products, Inc. 1,000 1,813
*Envirogen, Inc. ................... 3,000 11,438
*Environmental Elements Corp. ...... 6,400 12,000
*Environmental Technologies Corp. .. 1,200 12,000
Enviroq Corp. ..................... 280 0
*Envirotest Systems Corp. Class A .. 7,200 21,600
*Envoy Corp. ....................... 6,700 214,400
*Enzo Biochem, Inc. ................ 10,395 181,913
*Enzon, Inc. ....................... 11,100 43,706
*Epitope, Inc. ..................... 6,300 129,938
*Equinox Systems, Inc. ............. 2,000 27,875
*Equitex, Inc. ..................... 500 1,563
*Equitrac Corp. .................... 1,500 13,781
*Equity Corp. International ........ 2,900 85,188
*Equity Marketing, Inc. ............ 2,800 39,900
*Equity Oil Co. .................... 14,200 84,313
*#Ernst Home Center, Inc. ........... 6,800 16,575
*Escalade, Inc. .................... 3,335 17,092
Eskimo Pie Corp. .................. 1,600 33,500
*Esmor Correctional Services, Inc. . 2,000 35,750
Espey Manufacturing & Electronics
Corp. ............................ 1,700 26,775
*Essex Corp. ....................... 1,000 3,250
Essex County Gas Co. .............. 200 4,925
*Esterline Technologies Corp. ...... 4,200 96,600
*Ethan Allen Interiors, Inc. ....... 7,100 186,375
*Evans & Sutherland Computer Corp. . 3,800 88,350
*Evans Systems, Inc. ............... 1,400 8,881
*Evans, Inc. ....................... 1,000 2,125
Evergreen Bancorp, Inc. DE ........ 1,900 46,669
*Evergreen Media Corp. Class A ..... 6,900 274,275
*Evergreen Resources, Inc. ......... 2,300 15,956
*Exabyte Corp. ..................... 10,700 210,656
*Exar Corp. ........................ 8,100 129,600
*Excalibur Technologies Corp. ...... 5,800 110,200
Excel Industries, Inc. ............ 7,600 114,000
*#Excel Technology, Inc. ............ 3,300 37,125
Executive Risk, Inc. .............. 4,600 162,150
*Executive Telecard, Ltd. .......... 7,184 98,331
*Executone Information Systems, Inc. 18,400 64,975
Exide Corp. ....................... 10,500 246,750
*Exide Electronics Group, Inc. ..... 3,952 58,786
Expeditors International of
Washington ....................... 4,800 147,600
*Express America Holdings Corp. .... 2,400 10,650
*Express Scripts, Inc. Class A ..... 3,300 165,000
*Ezcorp, Inc. Class A Non-Voting ... 4,900 31,544
F & M Bancorp (MD) ................ 1,800 43,425
<PAGE>
Shares Value+
-------- -----------
F & M Bancorporation, Inc. ........ 1,100 $ 31,900
F & M National Corp. .............. 8,268 144,690
FCB Financial Corp. ............... 1,100 19,525
FCNB Corp. ........................ 153 2,773
FDP Corp. ......................... 3,500 42,438
FFLC Bancorp ...................... 500 9,156
FFY Financial Corp. ............... 2,200 51,425
*FLIR Systems, Inc. ................ 2,100 29,663
*FM Properties, Inc. ............... 5,700 13,716
FMC Gold Co. ...................... 33,400 192,050
*FNB Rochester Corp. ............... 1,400 12,950
*FPA Corp. ......................... 2,000 2,375
*#FPA Medical Management, Inc. ...... 5,500 97,281
*FRP Properties, Inc. .............. 2,500 51,250
*FSI International, Inc. ........... 11,000 143,688
*FTP Software, Inc. ................ 13,200 154,275
Fab Industries, Inc. .............. 5,600 163,100
*Fabri-Centers of America, Inc.
Class A .......................... 9,200 135,700
*Fabri-Centers of America, Inc.
Class B .......................... 9,200 132,250
*Failure Group, Inc. ............... 4,300 25,263
Fair, Isaac & Co., Inc. ........... 3,100 143,763
*Fairchild Corp. Class A ........... 8,000 117,000
*Fairfield Communities, Inc. ....... 5,000 51,250
*Falcon Building Products, Inc.
Class A .......................... 3,000 34,125
Falcon Products, Inc. ............. 6,050 100,581
Family Bancorp .................... 1,650 39,394
*Family Golf Centers, Inc. ......... 3,900 104,569
Fansteel, Inc. .................... 4,000 26,000
*Farah, Inc. ....................... 8,000 68,000
Farmer Brothers Co. ............... 200 27,900
*Farr Co. .......................... 2,300 32,056
Farrel Corp. ...................... 2,400 10,350
*Fastcomm Communications Corp. ..... 5,700 109,013
*Faulding Corp. .................... 5,000 32,500
Fay's, Inc. ....................... 10,175 82,672
*Featherlite Manufacturing, Inc. ... 2,400 13,200
Fed One Bancorp ................... 600 9,000
Fedders Corp. ..................... 10,000 72,500
Fedders Corp. Class A ............. 8,750 52,500
Federal Screw Works ............... 1,800 48,600
*#Female Health Co. ................. 3,000 18,375
*Ferrofluidics Corp. ............... 3,031 51,906
*Fiberstars, Inc. .................. 700 3,456
*Fibreboard Corp. .................. 4,200 105,000
Fidelity Bancorp, Inc. Delaware ... 1,300 21,856
Fidelity Federal Bancorp .......... 1,100 13,613
Fidelity Financial Bankshares Corp. 210 2,599
Fidelity National Financial, Inc. . 7,645 106,074
*Fieldcrest Cannon, Inc. ........... 4,500 94,500
*Fifty-Off Stores, Inc. ............ 5,600 6,825
*Figgie International, Inc. Class A 6,800 100,300
*Figgie International, Inc. Class B 3,500 49,000
*Filenes Basement Corp. ............ 12,200 70,913
*Filenet Corp. ..................... 3,200 148,800
*Financial Federal Corp. ........... 4,050 66,319
Financial Trust Corp. ............. 3,520 101,200
*Financing for Science
International, Inc. .............. 2,100 12,797
*Finish Line, Inc. Class A ......... 2,700 68,344
*Finishmaster, Inc. ................ 3,000 34,313
First Albany Companies, Inc. ...... 1,884 19,782
*First Alert, Inc. ................. 12,000 79,500
</TABLE>
122
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
First American Financial Corp. .... 5,700 $174,563
*First American Health Concepts,
Inc. ............................. 1,100 5,225
First Bancorp ..................... 200 5,900
*First Cash, Inc. .................. 1,500 8,906
First Central Financial Corp. ..... 9,300 54,638
First Charter Corp. ............... 1,900 35,388
First Citizens Bancshares, Inc. NC 3,400 218,450
*First Citizens Financial Corp. .... 1,271 23,345
First Colorado Bancorp ............ 5,455 72,620
First Commercial Corp. ............ 9,155 281,516
First Commonwealth Financial Corp. 8,900 169,100
First Defiance Financial Corp. .... 2,159 23,344
First Essex Bancorp ............... 3,000 31,875
First Federal Capital Corp. ....... 2,600 56,875
First Federal Savings & Loan
Association of East Hartford, CT ... 1,500 26,625
First Financial Bancorp ........... 5,200 167,700
First Financial Bankshares, Inc. .. 200 8,300
First Financial Corp. WI .......... 16,100 370,300
First Financial Corp. of Western
Maryland ......................... 900 17,775
First Financial Holdings, Inc. .... 3,000 57,750
First Franklin Corp. .............. 200 3,075
First Georgia Holdings, Inc. ...... 300 2,100
First Home Savings Bank FSB
Pennsville, NJ ................... 200 3,650
First Indiana Corp. ............... 6,439 159,365
First Liberty Financial Corp. ..... 1,200 26,850
*First Merchants Acceptance Corp. .. 2,600 57,525
First Merchants Corp. ............. 300 7,950
First Michigan Bank Corp. ......... 7,796 235,837
First Midwest Bancorp, Inc. ....... 5,500 158,813
First Mississippi Corp. ........... 13,600 336,600
First Mutual Savings Bank ......... 264 3,498
First Northern Capital Corp. ...... 1,800 28,800
First Oak Brook Bancshares, Inc.
Class A .......................... 700 16,625
*First Pacific Networks, Inc. ...... 9,700 27,736
First Palm Beach Bancorp, Inc. .... 2,700 57,713
*First Republic Bancorp, Inc. ...... 4,682 69,645
First Savings Bancorp, Inc. North
Carolina ......................... 1,500 28,313
First Source Corp. ................ 7,493 170,466
First Southeast Financial Corp. ... 1,600 29,000
First State Financial Services,
Inc. ............................. 1,000 10,500
*#First Team Sports, Inc. ........... 2,850 40,078
First United Bancorp .............. 2,700 26,958
First Western Bancorp, Inc. ....... 2,750 72,188
*FirstFed Financial Corp. DE ....... 6,400 106,400
FirstFederal Financial Services
Corp. ............................ 1,342 32,879
Firstbank of Illinois Co. ......... 3,900 121,388
Firstfed Bancshares, Inc. ......... 1,500 23,625
*Firstmiss Gold, Inc. .............. 15,135 587,427
*Fischer Imaging Corp. ............. 2,200 29,013
Fisher Scientific International,
Inc. ............................. 8,000 327,000
Flag Financial Corp. .............. 200 2,600
*Flagstar Companies, Inc. .......... 21,900 78,019
Flamemaster Corp. ................. 200 838
Fleming Companies, Inc. ........... 10,000 156,250
Flexsteel Industries, Inc. ........ 6,200 68,200
*Flores & Rucks, Inc. .............. 2,000 59,750
Florida First Bancorp, Inc. ....... 200 2,225
<PAGE>
Shares Value+
-------- -----------
Florida Public Utilities Co. ...... 500 $ 9,688
Florida Rock Industries, Inc. ..... 4,300 109,650
*Flow International Corp. .......... 14,400 127,800
Fluke Corp. ....................... 4,800 186,600
*Fluor Daniel/GTI, Inc. ............ 1,265 12,808
*Fluoroscan Imaging Systems, Inc. .. 700 6,606
*Foamex International, Inc. ........ 12,900 158,831
*Foilmark, Inc. .................... 1,600 6,550
*Foodarama Supermarkets, Inc. ...... 1,500 31,688
*Foodbrands America, Inc. .......... 3,300 51,150
*Foodmaker, Inc. ................... 28,000 227,500
*Foothill Independent Bancorp ...... 1,770 15,488
Foremost Corp. of America ......... 4,800 276,000
Forest City Enterprises, Inc.
Class A .......................... 2,300 90,563
Forest City Enterprises, Inc.
Class B .......................... 1,700 68,000
*Forest Oil Corp. .................. 3,540 45,135
Fort Wayne National Corp. ......... 5,100 160,969
*#Fortune Petroleum Corp. ........... 5,000 18,750
*Fossil, Inc. ...................... 6,600 105,188
Foster (L.B.) Co. Class A ......... 20,900 86,866
*#Fountain Oil, Inc. ................ 4,200 21,263
*Fountain Powerboat Industries, Inc. 1,200 11,925
*Fourth Shift Corp. ................ 3,700 32,838
*Foxmeyer Health Corp. ............. 13,584 236,022
Framingham Savings Bank MA ........ 5,500 22,000
Franklin Bank National Association
Southfield, MI ................... 1,260 13,939
Franklin Electric Co., Inc. ....... 3,300 119,213
*Franklin Electronic Publishers,
Inc. ............................. 4,700 115,738
*Franklin Quest Co. ................ 10,900 237,075
Frederick's of Hollywood, Inc.
Class A .......................... 3,966 17,599
Frederick's of Hollywood, Inc.
Class B .......................... 7,933 34,707
Freds, Inc. Class A ............... 3,700 40,469
Fremont General Corp. ............. 18,892 451,047
*Fresenius USA, Inc. ............... 10,900 220,725
*Fresh America Corp. ............... 1,400 18,900
*Fresh Choice, Inc. ................ 3,300 23,100
*Fretter, Inc. ..................... 4,284 750
Friedman Industries, Inc. ......... 12,997 53,613
*Friedmans, Inc. Class A ........... 2,800 79,800
Frisch's Restaurants, Inc. ........ 27,746 322,547
Frontier Adjusters of America, Inc. 1,000 3,250
Frontier Insurance Group, Inc. .... 6,535 224,641
Frozen Food Express Industries,
Inc. ............................. 7,607 86,054
*#Fruehauf Trailer Corp. ............ 8,000 5,000
Fuller (H.B.) Co. ................. 7,000 238,875
Fulton Financial Corp. ............ 9,966 198,074
*Funco, Inc. ....................... 2,300 19,550
*Fuqua Enterprises, Inc. ........... 3,600 102,600
*Furniture Brands International,
Inc. ............................. 23,500 255,563
Furon Co. ......................... 4,500 107,438
*Fusion Systems Corp. .............. 3,300 96,938
*Future Healthcare, Inc. ........... 3,400 371
G & K Services, Inc. Class A ...... 13,000 391,625
*G-III Apparel Group, Ltd. ......... 3,685 13,013
GBC Bancorp ....................... 2,700 62,775
*GC Companies, Inc. ................ 3,900 143,325
*GMIS, Inc. ........................ 4,000 58,000
*GNI Group, Inc. ................... 2,400 11,700
*GRC International, Inc. ........... 9,100 389,025
</TABLE>
123
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
*GTI Corp. ......................... 5,600 $ 50,050
*GTS Duratek, Inc. ................. 4,500 77,625
*GZA Geoenvironmental Technologies,
Inc. ............................. 1,700 6,056
Gainsco, Inc. ..................... 10,352 108,696
*Galey & Lord, Inc. ................ 6,000 68,250
*Galileo Electro-Optics Corp. ...... 3,900 111,394
Gallagher (Arthur J.) & Co. ....... 7,800 250,575
*Galoob (Lewis) Toys, Inc. DE ...... 9,600 208,800
Gamma Biologicals, Inc. ........... 5,500 23,031
*Gander Mountain, Inc. ............. 4,300 8,600
*Gantos, Inc. ...................... 3,050 21,159
Garan, Inc. ....................... 7,400 127,650
*Gardner Denver Machinery, Inc. .... 2,400 62,700
*Garnet Resources Corp. ............ 4,500 2,742
*Gasonics International, Inc. ...... 6,650 88,113
*Gaylord Container Corp. Class A ... 21,600 193,050
*Geerling & Wade, Inc. ............. 1,400 7,788
*Gehl Co. .......................... 2,500 20,625
*Gelman Sciences, Inc. ............. 11,475 256,753
Gencorp, Inc. ..................... 16,700 252,588
*Genelabs Technologies, Inc. ....... 19,500 168,188
*Genemedicine, Inc. ................ 4,800 31,200
General Binding Corp. ............. 7,200 157,500
*General Datacomm Industries, Inc. . 11,700 185,738
*General Host Corp. ................ 11,672 39,393
General Housewares Corp. .......... 3,100 39,138
General Magnaplate Corp. .......... 200 1,275
General Physics Corp. ............. 4,100 16,913
*Genesco, Inc. ..................... 11,035 84,142
Genesee Corp. Class B ............. 200 9,025
*#Genesis Health Ventures, Inc. ..... 10,800 341,550
*#Geneva Steel Co. Class A .......... 6,700 39,363
*Genicom Corp. ..................... 4,300 25,531
*Genlyte Group, Inc. ............... 8,900 70,088
*Genome Therapeutics Corp. ......... 6,800 73,525
Genovese Drug Stores, Inc.
Class A .......................... 2,431 23,095
*Genrad, Inc. ...................... 12,000 204,000
*Gensia, Inc. ...................... 17,400 89,175
*Genta, Inc. ....................... 5,600 11,025
*Gentex Corp. ...................... 24,300 1,093,500
*Genus, Inc. ....................... 7,900 85,913
*Genzyme Transgenics Corp. ......... 5,220 46,001
George Mason Bankshares, Inc. ..... 1,500 31,125
*Georgia-Bonded Fibres, Inc. ....... 200 800
*Geotek Communications, Inc. ....... 30,000 418,125
*Geoworks .......................... 5,200 183,300
Gerber Scientific, Inc. ........... 14,200 246,725
*Geriatric & Medical Companies, Inc. 6,100 12,963
Getty Petroleum Corp. ............. 5,100 69,488
*Giant Cement Holding, Inc. ........ 4,000 55,250
*Giant Group, Ltd. ................. 5,300 45,713
Giant Industries, Inc. ............ 7,900 117,513
*Gibraltar Packaging Group, Inc. ... 1,500 7,781
*Gibraltar Steel Corp. ............. 4,100 85,844
*Gibson Greetings, Inc. ............ 9,700 138,225
Giddings & Lewis, Inc. ............ 17,100 283,219
*Giga-Tronics, Inc. ................ 1,600 18,600
Gilbert Associates, Inc. Class A .. 2,500 33,438
*Gilead Sciences, Inc. ............. 10,000 347,500
*Gish Biomedical, Inc. ............. 1,900 13,300
Glacier Bancorp, Inc. ............. 1,342 29,021
*Glacier Water Services, Inc. ...... 2,300 44,275
<PAGE>
Shares Value+
-------- -----------
Gleason Corp. ..................... 3,600 $146,700
*Global Industrial Technologies,
Inc. ............................. 11,700 216,450
*Global Natural Resources, Inc. .... 19,000 306,375
*Global Village Communication, Inc. 7,700 74,594
*Globalink, Inc. ................... 3,000 25,875
*Go Video, Inc. .................... 3,100 3,488
*Golden Books Family Entertainment,
Inc. ............................. 6,400 87,600
Golden Enterprises, Inc. .......... 6,100 59,094
Golden Poultry Co., Inc. .......... 7,283 66,457
*Goldwyn (Samuel) Co. .............. 3,300 15,881
*Golf Enterprises, Inc. ............ 3,000 34,875
*Good Guys, Inc. ................... 6,800 64,600
GoodMark Foods, Inc. .............. 7,800 117,975
*Goodrich Petroleum Corp. .......... 8,400 7,875
Goodys Family Clothing, Inc. ...... 9,700 95,788
Gorman-Rupp Co. ................... 11,575 160,603
*Gottschalks, Inc. ................. 5,800 39,150
Goulds Pumps, Inc. ................ 10,000 238,750
*Government Technology Services,
Inc. ............................. 4,000 27,250
Graco, Inc. ....................... 10,200 216,750
*Gradco Systems, Inc. .............. 4,700 20,563
*Graff Pay-per-View, Inc. .......... 6,500 19,094
*Graham-Field Health Products, Inc. 7,000 49,875
*Grancare, Inc. .................... 13,605 249,992
Granite Construction, Inc. ........ 9,600 214,200
Granite State Bankshares, Inc. .... 800 14,600
*Grant Geophysical, Inc. ........... 3,100 13,369
Graphic Industries, Inc. .......... 3,800 40,850
Great Southern Bancorp, Inc. ...... 200 5,338
*Greater New York Savings Bank NY .. 6,500 73,125
Green (A.P.) Industries, Inc. ..... 5,550 112,388
Green Mountain Power Corp. ........ 19,300 511,450
*Greenbriar Corp. .................. 160 2,440
Greenbrier Companies, Inc. ........ 8,000 128,000
Greenfield Industries, Inc. DE .... 6,500 247,000
#Greenwich Air Services, Inc.
Class A .......................... 3,000 113,250
*Greenwich Air Services, Inc.
Class B .......................... 2,200 70,400
Grey Advertising, Inc. ............ 200 46,700
*Greyhound Lines, Inc. ............. 24,800 113,150
*Griffon Corp. ..................... 51,500 469,938
*Grist Mill & Co. .................. 5,900 38,350
*Grossmans, Inc. ................... 9,900 17,016
*Ground Round Restaurants, Inc. .... 5,500 19,078
*Group 1 Software, Inc. ............ 3,000 27,375
*Group Technologies Corp. .......... 8,700 32,625
Grovebank for Savings ............. 700 18,025
*Grow Biz International, Inc. ...... 2,900 23,381
*Gryphon Holdings, Inc. ............ 100 1,825
Guaranty National Corp. ........... 7,500 127,500
*Guest Supply, Inc. ................ 6,000 93,000
Guilford Mills, Inc. .............. 6,700 163,313
*Gulfmark International, Inc. ...... 1,700 61,838
*Gulfsouth Medical Supply, Inc. .... 5,500 261,250
*Gull Laboratories, Inc. ........... 3,000 14,625
*Gundle/SLT Environmental, Inc. .... 8,200 54,325
*Gupta Corp. ....................... 4,900 30,625
*Gymboree Corp. .................... 2,500 85,313
*HCC Insurance Holdings, Inc. ...... 11,250 243,281
*HD Vest, Inc. ..................... 2,200 8,113
*HEI, Inc. ......................... 1,500 11,813
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
HF Financial Corp. ................ 1,200 $ 18,000
*HMG Worldwide Corp. ............... 2,500 4,375
HMI Industries, Inc. .............. 5,400 44,550
*HMN Financial, Inc. ............... 2,200 34,238
*HPSC, Inc. ........................ 2,600 18,525
*HS Resources, Inc. ................ 5,000 60,000
HUBCO, Inc. ....................... 5,230 110,157
*Ha-Lo Industries, Inc. ............ 2,500 87,188
Hach Co. .......................... 2,125 34,266
*Hadco Corp. ....................... 6,100 144,494
*Haemonetics Corp. ................. 19,700 391,538
Haggar Corp. ...................... 3,400 50,788
*Hahn Automotive Warehouse, Inc. ... 2,080 18,460
Hallwood Energy Corp. ............. 200 2,275
*Hallwood Group, Inc. .............. 950 13,181
*Halsey Drug Co., Inc. ............. 5,604 36,426
*Hamburger Hamlet Restaurants, Inc. 2,300 2,372
*Hammons (John Q.) Hotels, Inc.
Class A .......................... 3,200 34,800
*Hampshire Group, Ltd. ............. 1,400 16,450
*Hampton Industries, Inc. .......... 2,846 12,985
Hancock Fabrics, Inc. ............. 12,900 146,738
Hancock Holding Co. ............... 3,200 119,200
*Handex Environmental Recovery, Inc. 3,100 34,875
Handleman Co. ..................... 18,200 134,225
Handy & Harman .................... 9,100 160,388
*Hanger Orthopedic Group, Inc. ..... 4,100 20,244
*Hanover Direct, Inc. .............. 55,600 79,925
*Happiness Express, Inc. ........... 3,000 7,781
*Harcor Energy, Inc. ............... 3,500 16,078
*Harding Lawson Associates Group,
Inc. ............................. 5,000 31,875
*#Harken Energy Corp. ............... 29,700 83,531
Harleysville Group, Inc. .......... 9,000 239,625
Harleysville National Corp PA ..... 200 5,425
*Harlyn Products, Inc. ............. 2,900 3,172
Harman International Industries,
Inc. ............................. 6,465 339,413
Harmon Industries, Inc. ........... 5,100 86,700
*Harolds Stores, Inc. .............. 2,095 33,782
Harper Group, Inc. ................ 6,500 131,625
*Harris & Harris Group, Inc. ....... 4,800 33,300
*Harry's Farmers Market, Inc.
Class A .......................... 1,600 4,800
Harte-Hanks Communications, Inc. .. 1,902 50,165
*Hartmarx Corp. .................... 15,200 95,000
*Harvard Industries, Inc. .......... 2,600 40,625
*#Harvey Entertainment Co. .......... 2,000 19,000
Harvey's Casino Resorts ........... 3,700 79,550
Haskel International, Inc. ........ 1,900 13,063
Hastings Manufacturing Co. ........ 350 8,859
Hathaway Corp. .................... 2,700 7,425
*Hauser Chemical Research, Inc. .... 4,200 30,975
Haven Bancorp, Inc. ............... 1,800 50,738
Haverfield Corp. .................. 220 3,988
Haverty Furniture Co., Inc. ....... 5,300 71,550
Haverty Furniture Co., Inc. Class A 200 2,700
Hawkins Chemical, Inc. ............ 4,397 38,474
*Hawthorne Financial Corp. ......... 700 5,031
Hayes Wheels International, Inc. .. 8,800 275,000
Health Images, Inc. ............... 5,700 54,863
*Health Management Systems, Inc. ... 8,200 250,100
*Health Management, Inc. ........... 5,200 28,600
<PAGE>
Shares Value+
-------- -----------
*Health O Meter Products, Inc. ..... 3,600 $ 21,263
*Health Power, Inc. ................ 1,900 14,250
*Health Professionals, Inc. ........ 1,250 5,938
*Health Risk Management, Inc. ...... 2,400 29,100
*Health-Chem Corp. ................. 15,400 31,763
*Healthcare Imaging Services, Inc. . 1,200 2,775
*Healthcare Services Group, Inc. ... 9,200 82,225
*Healthdyne Information Enterprises,
Inc. ............................. 10,100 73,856
*Healthdyne Technologies, Inc. ..... 9,572 127,427
*Healthy Planet Products, Inc. ..... 700 4,900
*Heartland Express, Inc. ........... 10,584 312,228
*Heartland Wireless Communications,
Inc. ............................. 1,516 40,458
Hechinger Co. Class A ............. 14,900 66,584
Hechinger Co. Class B ............. 5,800 35,163
*Hecla Mining Co. .................. 26,200 209,600
*Hector Communications Corp. ....... 1,200 9,150
*Heftel Broadcasting Corp. Class A . 1,100 23,925
Heico Corp. ....................... 3,146 62,527
*Hein-Werner Corp. ................. 3,059 24,472
*Heist (C.H.) Corp. ................ 2,100 16,013
Helix Technology Corp. ............ 14,800 538,350
Henry Jack & Associates, Inc. ..... 4,700 155,688
Herbalife International, Inc. ..... 15,000 239,063
Heritage Financial Services, Inc. . 2,700 54,338
*Heritage Media Corp. Class A ...... 7,100 282,225
*Hexcel Corp. ...................... 5,000 75,625
*Hi-Lo Automotive, Inc. ............ 8,700 41,325
*Hi-Shear Industries, Inc. ......... 5,500 34,375
*Hi-Shear Technology Corp. ......... 1,300 9,588
*Hi-Tech Pharmacal, Inc. ........... 3,500 31,938
Hibernia Savings Bank ............. 200 2,925
*High Plains Corp. ................. 9,580 35,626
Hilb Rogal Hamilton Co. ........... 6,500 87,750
*Hilite Industries, Inc. ........... 2,000 20,750
*Hinsdale Financial Corp. .......... 1,250 26,719
*Hirsch International Corp. Class A 1,675 30,464
*Hitox Corp. ....................... 2,500 9,375
Hoenig Group, Inc. ................ 3,900 17,550
*Holiday RV Superstores, Inc. ...... 3,000 5,953
Hollinger International, Inc.
Class A .......................... 3,300 40,838
Holly Corp. ....................... 4,100 110,700
*Hollywood Casino Corp. Class A .... 15,000 74,063
*Hollywood Entertainment Corp. ..... 14,400 221,400
*Hologic, Inc. ..................... 5,000 199,375
*Holopak Technologies, Inc. ........ 3,500 15,313
*Holophane Corp. ................... 7,050 126,019
Home Beneficial Corp. Class B ..... 5,200 133,250
Home Federal Bancorp .............. 900 23,288
Home Financial Corp ............... 10,300 143,556
Home Port Bancorp, Inc. ........... 900 12,263
*Home State Holdings, Inc. ......... 5,000 42,500
*Home Theater Products
International, Inc. .............. 4,000 376
*Homecorp, Inc. .................... 200 3,625
*Homeowners Group, Inc. ............ 1,700 3,241
*Hometown Bancorp., Inc. ........... 200 3,438
*Hometown Buffet, Inc. ............. 5,800 86,638
*Hondo Oil and Gas Co. ............. 5,600 77,000
Hooper Holmes, Inc. ............... 4,000 45,000
Horizon Bancorp, Inc. ............. 200 7,950
Horizon Financial Corp. ........... 3,938 50,702
*Horsehead Resource Development Co.,
Inc. ............................. 16,500 94,875
</TABLE>
125
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<TABLE>
<CAPTION>
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-------- -----------
<S> <C> <C>
*Hospital Staffing Services, Inc. .. 2,200 $ 7,975
*Hosposable Products, Inc. ......... 200 1,550
*Hovnanian Enterprises, Inc.
Class A .......................... 7,550 52,850
*Hovnanian Enterprises, Inc.
Class B .......................... 1,150 8,050
#Howell Corp. ...................... 4,700 68,150
Howell Industries, Inc. ........... 1,600 46,800
*Howtek, Inc. ...................... 3,600 18,675
Hudson Foods, Inc. Class A ........ 12,900 172,538
Hudson General Corp. .............. 1,700 65,450
Huffy Corp. ....................... 6,700 91,288
Hughes Supply, Inc. ............... 5,100 205,275
*Hugoton Energy Corp. .............. 7,900 64,188
*Human Genome Sciences, Inc. ....... 4,200 154,350
Hunt Manufacturing Co. ............ 8,200 135,300
Huntco, Inc. Class A .............. 1,500 28,500
*Hurco Companies, Inc. ............. 3,300 21,863
*Hutchinson Technology, Inc. ....... 2,400 135,300
*Hycor Biomedical, Inc. ............ 5,600 26,600
*Hyde Athletic Industries, Inc.
Class A .......................... 1,100 5,500
*Hyde Athletic Industries, Inc.
Class B .......................... 1,500 7,406
Hydron Technologies, Inc. ......... 9,800 26,950
*Hyperion Software Corp. ........... 8,400 119,175
*#I-Stat Corp. ...................... 4,400 89,650
*ICF Kaiser International, Inc. .... 17,900 55,938
*ICH Corp. ......................... 19,200 1,200
ICN Pharmaceuticals, Inc. ......... 14,692 389,338
ICO, Inc. ......................... 4,500 29,813
*ICOS Corp. ........................ 12,800 115,200
*ICU Medical, Inc. ................. 4,300 95,138
*IDEC Pharmaceuticals Corp. ........ 8,200 211,663
*IDM Environmental Corp. ........... 1,200 9,225
*IEC Electronics Corp. ............. 3,000 24,000
*IFR Systems, Inc. ................. 3,700 55,500
*IGEN, Inc. ........................ 5,900 30,975
*IGI, Inc. ......................... 8,700 75,038
*IHOP Corp. ........................ 4,100 116,338
*II-VI, Inc. ....................... 3,100 46,888
*ILC Technology, Inc. .............. 2,900 35,888
IMCO Recycling, Inc. .............. 7,700 179,025
*IMP, Inc. ......................... 13,400 206,863
*IPC Information Systems, Inc. ..... 300 6,300
*IPL Systems, Inc. Class A ......... 1,800 12,431
*IQ Software Corp. ................. 2,200 52,525
*ITI Technologies, Inc. ............ 3,600 119,700
*IVF America, Inc. ................. 3,000 11,438
*IVI Publishing, Inc. .............. 5,000 47,813
IWC Resources Corp. ............... 2,900 56,188
*Ibah, Inc. ........................ 7,100 60,350
*#Identix, Inc. ..................... 13,400 212,725
Ideon Group, Inc. ................. 6,900 95,738
*Ikos Systems, Inc. ................ 3,500 99,969
*#Illinois Superconductor Corp. ..... 1,400 31,325
*Image Entertainment, Inc. ......... 6,900 44,850
*Image Industries, Inc. ............ 4,000 51,500
*Imatron, Inc. ..................... 31,000 116,250
*Imclone Systems, Inc. ............. 9,800 126,788
*Immucor, Inc. ..................... 3,900 47,775
*Immulogic Pharmaceutical Corp. .... 9,800 90,650
*Immune Response Corp. DE .......... 6,700 83,750
*Immunex Corp. ..................... 5,200 80,925
*Immunogen, Inc. ................... 7,800 38,025
<PAGE>
Shares Value+
-------- -----------
*Immunomedics, Inc. ................ 19,700 $156,369
*Imo Industries, Inc. .............. 8,000 57,000
*Impact Systems, Inc. .............. 6,200 19,956
*Imperial Bancorp .................. 5,913 143,390
*Imperial Credit Industries, Inc. .. 6,375 188,063
*Imperial Holly Corp. .............. 5,100 61,838
*In Focus Systems, Inc. ............ 8,000 462,000
*In Home Health, Inc. .............. 6,400 13,600
*Inacom Corp. ...................... 3,700 79,088
*Inbrand Corp. ..................... 4,000 115,250
*Incontrol, Inc. ................... 2,400 35,850
*Incstar Corp. ..................... 8,200 51,250
*Incyte Pharmaceuticals, Inc. ...... 4,000 135,500
*Indenet, Inc. ..................... 6,100 37,934
Independence Holding Co. .......... 4,500 21,094
Independent Bank Corp. MA ......... 5,800 45,313
Independent Bank East ............. 1,050 29,925
Indiana Energy, Inc. .............. 11,300 268,375
Indiana Federal Corp. ............. 1,500 28,313
Industrial Acoustics Co., Inc. .... 200 2,175
*#Industrial Holdings, Inc. ......... 1,200 11,400
*Industrial Scientific Corp. ....... 700 13,125
*Industrial Training Corp. ......... 1,000 7,938
*Information Resource Engineering,
Inc. ............................. 1,700 45,688
*Information Resources, Inc. ....... 13,800 172,500
*Infrasonics, Inc. ................. 7,100 43,266
Ingles Market, Inc. Class A ....... 900 11,756
*Inhale Therapeutic Systems ........ 3,000 52,125
*Innerdyne, Inc. ................... 8,200 40,488
*Innodata Corp. .................... 900 3,544
*Innoserv Technologies, Inc. ....... 200 925
*#Innovative Gaming Corp of America . 3,000 31,125
Innovex, Inc. ..................... 10,800 183,600
*Inphynet Medical Management, Inc. . 7,300 159,688
*Insignia Financial Group, Inc.
Class A .......................... 1,000 26,000
*Insilco Corp. ..................... 4,800 174,600
*Insite Vision, Inc. ............... 5,700 38,831
Insituform East, Inc. ............. 1,700 6,481
*Insituform Technologies, Inc.
Class A .......................... 11,810 112,933
*Inso Corp. ........................ 400 22,400
Insteel Industries, Inc. .......... 3,770 25,919
Instron Corp. ..................... 11,200 152,600
*Insurance Auto Auctions, Inc. ..... 5,600 66,850
Integon Corp. ..................... 7,900 149,113
*Integrated Circuit Systems, Inc. .. 5,600 68,950
#Integrated Health Services, Inc. .. 8,600 224,675
*Integrated Systems, Inc. .......... 12,000 402,000
*Integrated Waste Services, Inc. ... 2,400 5,400
*Intellicall, Inc. ................. 5,700 34,913
Intelligent Electronics, Inc. ..... 17,228 167,973
Inter-Regional Financial Group,
Inc. ............................. 6,000 150,000
*Inter-Tel, Inc. ................... 6,400 177,200
Intercargo Corp. .................. 3,800 34,200
*Intercel, Inc. .................... 10,300 247,200
Interchange Financial Services
Corp. Saddle Brook ............... 920 18,170
*Interdigital Communications Corp. . 22,200 209,513
Interface Systems, Inc. ........... 3,400 33,575
Interface, Inc. Class A ........... 13,000 184,438
*Interferon Sciences, Inc. ......... 15,900 37,763
*#Interfilm, Inc. ................... 2,500 468
</TABLE>
126
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
*Intergrated Process Equipment Corp. 7,000 $202,125
*Interim Services, Inc. ............ 6,536 308,009
*Interlake Corp. ................... 17,000 51,000
*Interleaf, Inc. ................... 9,000 71,438
*Interlink Electronics ............. 1,700 14,025
*Interlinq Software Corp. .......... 3,200 14,400
*Intermagnetics General Corp. ...... 10,693 172,425
*Intermedia Communications of
Florida, Inc. .................... 5,600 193,900
*Intermet Corp. .................... 14,800 247,900
International Aluminum Corp. ...... 900 23,288
*International Dairy Queen, Inc.
Class A .......................... 7,100 147,325
*International Family Entertainment,
Inc. Class B ..................... 300 5,400
*International Imaging Materials,
Inc. ............................. 3,600 84,150
*International Jensen, Inc. ........ 2,300 23,431
*International Lottery & Totalizer
Systems, Inc. .................... 6,900 16,711
*International Lottery, Inc. ....... 1,600 18,800
International Multifoods Corp. .... 9,000 178,875
*International Remote Imaging
Systems, Inc. .................... 2,800 29,050
*International Research &
Development Corp. .................. 4,600 230
International Shipholding Corp. ... 3,375 64,969
*International Technology Corp. .... 17,300 47,575
*International Thoroughbred
Breeders, Inc. ................... 4,800 19,200
*Interneuron Pharmaceuticals, Inc. . 19,666 766,974
*Interphase Corp. .................. 2,200 41,388
*Interpoint Corp. WA ............... 3,000 88,500
Interpool, Inc. ................... 6,900 133,688
*Interpore International ........... 3,400 26,988
*Interscience Computer Corp. ....... 300 1,463
*Intersolv, Inc. ................... 9,800 115,763
Interstate Johnson Lane, Inc. ..... 3,100 35,650
Interstate Power Co. .............. 2,400 76,800
*#Intertan, Inc. .................... 5,200 35,100
*Intervisual Books, Inc. Class A ... 1,000 2,406
*Intervoice, Inc. .................. 9,300 208,088
Interwest Bancorp, Inc. ........... 2,600 62,888
*Investment Technology Group, Inc. . 9,200 142,600
Investors Financial Services Corp. 503 11,318
Investors Financial Services Corp.
Class A .......................... 96 2,160
Investors Title Co. ............... 800 9,700
*Ionics, Inc. ...................... 8,600 425,700
Iroquois Bancorp .................. 400 6,150
Irwin Financial Corp. ............. 1,000 41,625
Isco, Inc. ........................ 43,935 499,761
*Isis Pharmaceuticals, Inc. ........ 12,600 226,800
*Isolyser Co., Inc. ................ 9,000 124,313
*Isomedix, Inc. .................... 4,900 74,113
*Itron, Inc. ....................... 4,900 167,213
*Iwerks Entertainment, Inc. ........ 5,324 55,569
*J & J Snack Foods Corp. ........... 4,600 61,238
JLG Industries, Inc. .............. 10,400 821,600
*JMAR Industries, Inc. ............. 5,700 18,436
*JP Foodservice, Inc. .............. 3,100 72,463
*JPE, Inc. ......................... 1,300 12,188
JSB Financial, Inc. ............... 5,400 179,213
*Jabil Circuit, Inc. ............... 8,800 116,600
Jackpot Enterprises, Inc. ......... 4,654 58,757
<PAGE>
Shares Value+
-------- -----------
*Jaclyn, Inc. ...................... 1,700 $ 7,650
*Jaco Electronics, Inc. ............ 1,973 24,786
*Jacobs Engineering Group, Inc. .... 10,000 268,750
Jacobson Stores, Inc. ............. 2,900 33,713
*Jacor Communications, Inc. ........ 10,100 294,163
*Jalate, Ltd. ...................... 1,000 4,375
*Jan Bell Marketing, Inc. .......... 18,800 50,525
*Jason, Inc. ....................... 8,187 66,519
*Jean Philippe Fragrances, Inc. .... 3,750 35,156
Jeffbanks, Inc. ................... 1,125 25,734
Jefferson Bankshares, Inc. ........ 9,100 199,063
Jefferson Savings Bancorp, Inc. ... 3,000 81,750
*Jennifer Convertibles, Inc. ....... 1,300 3,819
John Alden Financial Corp. ........ 11,900 266,263
*Johnson Worldwide Associates, Inc.
Class A .......................... 2,900 50,388
Johnston Industries, Inc. ......... 10,800 93,150
*Johnstown American Industries, Inc. 5,200 21,775
*Jones Intercable, Inc. ............ 1,000 14,500
*Jones Intercable, Inc. Class A .... 15,200 207,100
Jones Medical Industries, Inc. .... 12,000 632,250
*Joseph A. Bank Clothiers, Inc. .... 2,700 13,669
Juno Lighting, Inc. ............... 9,200 142,025
*Just Toys, Inc. ................... 2,100 2,888
*Just for Feet, Inc. ............... 7,000 374,938
Justin Industries, Inc. ........... 13,600 168,300
K Swiss, Inc. Class A ............. 2,200 25,025
*K-Tron International, Inc. ........ 6,200 51,150
*K-V Pharmaceutical Co. Class A .... 2,800 37,800
*K-V Pharmaceutical Co. Class B .... 1,900 25,650
KCS Energy, Inc. .................. 5,700 143,213
*KLLM Transport Services, Inc. ..... 2,766 36,995
Kahler Realty Corp. ............... 1,700 28,050
*Kaiser Ventures, Inc. ............. 9,700 103,063
Kaman Corp. Class A ............... 9,400 115,738
*Kaneb Services, Inc. .............. 9,800 35,525
Katy Industries, Inc. ............. 4,400 66,000
Kaydon Corp. ...................... 6,900 296,700
Kaye Group, Inc. .................. 3,000 19,500
*Keane, Inc. ....................... 6,400 255,200
*Kelley Oil & Gas Corp. ............ 34,100 105,497
Kellwood Co. ...................... 10,600 182,850
*#Kenetech Corp. .................... 20,000 13,125
*Kent Electronics Corp. ............ 5,900 209,450
*Kentucky Electric Steel, Inc. ..... 2,000 16,625
*Kenwin Shops, Inc. ................ 400 700
*Kerr Group, Inc. .................. 6,300 32,288
*Kewaunee Scientific Corp. ......... 1,500 6,563
*Key Energy Group, Inc. ............ 5,300 42,400
*Key Production Co., Inc. .......... 4,458 33,992
*Key Technology, Inc. .............. 3,000 76,125
*Key Tronic Corp. .................. 13,000 98,313
*Keystone Consolidated Industries,
Inc. ............................. 5,600 55,650
Keystone Heritage Group, Inc. ..... 2,133 44,793
Kimball International, Inc. Class B 500 15,000
*Kimmins Corp. ..................... 2,700 14,175
*Kinark Corp. ...................... 3,000 13,875
*Kinder-Care Learning Centers, Inc. 15,000 225,000
Kinetic Concepts, Inc. ............ 27,000 459,000
*Kinnard Investment, Inc. .......... 2,500 12,813
*Kirby Corp. ....................... 12,900 227,363
*Kit Manufacturing Co. ............. 2,700 31,219
*Kleinert's, Inc. .................. 2,000 32,250
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
Knape & Vogt Manufacturing Co. .... 1,800 $ 29,025
*Knogo North America, Inc. ......... 5,400 52,650
Knowledgeware, Inc. (Escrow) ...... 6,600 0
*Koala Corp. ....................... 700 12,250
Kollmorgen Corp. .................. 4,300 61,813
*Koo Koo Roo, Inc. (Private
Placement) ....................... 8,300 65,363
*Kopin Corp. ....................... 3,700 36,769
*Koss Corp. ........................ 1,000 7,000
*Kronos, Inc. ...................... 3,000 95,625
*Krug International Corp. .......... 848 4,505
*Krystal Co. ....................... 4,900 21,744
Kuhlman Corp. ..................... 11,699 201,808
#Kulicke & Soffa Industries, Inc. .. 7,700 136,675
Kysor Industrial Corp. ............ 2,800 73,850
*L.A. Gear, Inc. ................... 11,500 38,813
*LAT Sportswear, Inc. .............. 200 513
LCS Industries, Inc. .............. 1,760 29,480
LSB Bancshares, Inc. NC ........... 2,525 39,138
LSB Industries, Inc. .............. 9,100 51,188
LSI Industries, Inc. .............. 10,867 207,831
*LTX Corp. ......................... 14,200 151,763
*LXE, Inc. ......................... 2,400 24,150
*#LXR Biotechnology, Inc. ........... 7,800 35,100
*La Jolla Pharmceutical Co. ........ 6,000 42,000
La-Z-Boy Chair Co. ................ 7,400 241,425
*LaBarge, Inc. ..................... 11,600 106,575
LaCrosse Footwear, Inc. ........... 3,000 31,125
Labone, Inc. ...................... 6,400 116,000
Laclede Gas Co. ................... 8,100 185,288
*Laclede Steel Co. ................. 2,700 17,888
Ladd Furniture, Inc. .............. 2,666 29,826
Lafayette American Bank & Trust Co. 2,000 24,125
*Lakeland Industries, Inc. ......... 1,000 3,469
*Lamson & Sessions Co. ............. 11,100 129,038
Lance, Inc. ....................... 13,100 216,150
*Lancer Corp. ...................... 3,900 88,969
*Lancit Media Productions, Ltd. .... 4,300 56,438
*Landair Services, Inc. ............ 3,000 42,750
Landauer, Inc. .................... 5,900 121,688
*Landmark Graphics Corp. ........... 8,200 155,800
*Landrys Seafood Restaurants, Inc. . 9,000 217,125
*Lands' End, Inc. .................. 20,000 437,500
*Landstar Systems, Inc. ............ 5,100 149,175
*Lasermaster Technologies, Inc. .... 4,720 23,305
*Laserscope ........................ 2,800 21,963
*Lattice Semiconductor Corp. ....... 7,350 254,953
Lawson Products, Inc. ............. 6,500 147,875
Lawter International, Inc. ........ 22,500 258,750
Lawyers Title Corp. ............... 4,400 73,700
*Layne, Inc. ....................... 2,900 36,975
*Lazare Kaplan International, Inc. . 7,700 111,650
Leader Financial Corp. ............ 3,000 136,500
Learonal, Inc. .................... 5,200 146,250
*Leasing Solutions, Inc. ........... 3,200 52,000
*Lechters, Inc. .................... 6,900 47,869
*Lectec Corp. ...................... 1,302 15,299
Legg Mason, Inc. .................. 7,000 232,750
Lennar Corp. ...................... 12,900 320,888
Lesco, Inc. ....................... 6,225 98,822
*Leslie Building Products, Inc. .... 3,200 6,800
*Leslie's Poolmart ................. 1,874 35,138
*Level One Communications, Inc. .... 7,900 202,438
*Levitz Furniture, Inc. ............ 13,600 59,500
<PAGE>
Shares Value+
-------- -----------
Libbey, Inc. ...................... 8,500 $206,125
Liberty Bancorp, Inc. Delaware .... 1,100 25,575
Liberty Bancorp, Inc. Oklahoma .... 4,300 155,338
Liberty Homes, Inc. Class A ....... 200 2,800
*Liberty Technologies, Inc. ........ 2,400 15,600
*Lidak Pharmaceuticals Class A ..... 14,800 40,238
Life Partners Group, Inc. ......... 16,100 340,113
*Life Quest Medical, Inc. .......... 1,000 2,688
Life Re Corp. ..................... 7,000 213,500
Life Technologies, Inc. ........... 2,800 85,925
*Life USA Holdings, Inc. ........... 9,400 75,200
*Lifecore Biomedical, Inc. ......... 4,800 85,800
*Lifeline Systems, Inc. ............ 2,500 35,625
*Lifetime Hoan Corp. ............... 2,420 25,713
*Ligand Pharmaceuticals, Inc.
Class B .......................... 3,021 50,224
Lillian Vernon Corp. .............. 4,300 61,813
Lilly Industry, Inc. Class A ...... 11,100 174,825
Lincoln Telecommunications Co. .... 11,800 196,175
*Lindal Cedar Homes, Inc. .......... 4,482 18,488
Lindberg Corp. .................... 8,200 87,638
Lindsay Manufacturer Co. .......... 3,150 120,488
*Liposome Co., Inc. ................ 11,700 235,463
Liqui Box Corp. ................... 2,500 77,188
Litchfield Financial Corp. ........ 1,510 21,329
*Littlefield, Adams & Co. .......... 900 1,744
*#Littlefuse, Inc. .................. 6,000 230,250
*Liuski International, Inc. ........ 1,800 8,325
*Lodgenet Entertainment Corp. ...... 3,000 42,938
*#Logic Devices, Inc. ............... 3,600 18,900
*Logic Works, Inc. ................. 7,000 106,313
Logicon, Inc. ..................... 7,000 203,875
*Lojack Corp. ...................... 13,600 178,500
Lomak Petroleum, Inc. ............. 6,700 92,963
*#Lomas Financial Corp. ............. 9,000 225
Lone Star Industries, Inc. ........ 6,000 199,500
*Lone Star Technologies, Inc. ...... 9,300 102,300
*Longhorn Steaks, Inc. ............. 4,000 104,000
*Loronix Information Systems, Inc. . 1,900 6,650
*Lottery Enterprises, Inc. ......... 200 163
*Louis Dreyfus Natural Gas Corp. ... 16,000 224,000
Luby's Cafeterias, Inc. ........... 11,800 290,575
Lufkin Industries, Inc. ........... 1,200 25,500
Lukens, Inc. DE ................... 7,400 198,875
*Lumex, Inc. ....................... 4,300 46,763
*Lunar Corp. ....................... 4,150 163,406
*Lund International Holdings, Inc. . 2,200 31,625
*Luria & Son, Inc. ................. 2,500 11,875
*Lydall, Inc. DE ................... 13,800 320,850
*Lynch Corp. ....................... 2,500 205,000
M A R C, Inc. ..................... 1,018 21,378
*M-Wave, Inc. ...................... 1,000 5,000
#MARC, Inc. ........................ 1,018 21,378
MAF Bancorp, Inc. ................. 2,200 53,900
*MAI Systems Corp. ................. 1,416 13,098
*MAIC Holdings, Inc. ............... 2,570 89,950
MDC Holdings, Inc. ................ 7,700 53,900
*MDL Information Systems, Inc. ..... 4,200 127,838
*MDT Corp. ......................... 7,100 31,950
MDU Resources Group, Inc. ......... 5,700 119,700
*MFRI, Inc. ........................ 1,900 13,300
*MGI Pharma, Inc. .................. 11,400 57,713
*MI Schottenstein Homes, Inc. ...... 3,500 34,125
*MK Gold Corp. ..................... 7,800 14,869
*MLX Corp. ......................... 1,000 15,438
</TABLE>
128
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
MMI Companies, Inc. ............... 4,200 $124,425
*MRS Technology, Inc. .............. 3,300 14,850
*#MRV Communications, Inc. .......... 5,700 381,188
*MS Carriers, Inc. ................. 9,300 179,025
*MTI Technology Corp. .............. 5,900 15,856
MTS Systems Corp. ................. 4,800 88,800
MYR Group, Inc. ................... 2,266 25,776
MacDermid, Inc. ................... 200 13,750
*MacFrugals Bargain Close-outs, Inc. 15,000 285,000
MacNeal-Schwendler Corp. .......... 6,700 74,538
*Macheezmo Mouse Restaurants, Inc. . 800 1,950
Madison Gas & Electric Co. ........ 6,450 157,219
*Magainin Pharmaceuticals, Inc. .... 10,200 114,750
*Magellan Health Services, Inc. .... 4,500 108,000
Magna Bancorp ..................... 2,000 71,000
Magna Group, Inc. ................. 8,400 200,550
*Magnetek, Inc. .................... 12,100 117,975
*Magnetic Technologies Corp. ....... 1,100 4,056
*Mail Boxes, Etc. .................. 4,500 75,375
*Main Street & Main, Inc. .......... 1,450 4,894
Maine Public Service Co. .......... 2,700 48,938
Mainstreet Bankgroup, Inc. ........ 3,400 55,250
*Mallon Resources Corp. ............ 1,400 2,975
Managed Care Solutions, Inc. ...... 866 5,304
*Manatron, Inc. .................... 1,102 2,135
Manitowoc Co., Inc. ............... 3,800 141,075
*Manugistic Group, Inc. ............ 4,100 63,550
*Mapinfo Corp. ..................... 2,300 39,100
*Marcam Corp. ...................... 6,200 79,825
Marcus Corp. ...................... 11,850 308,100
*Marine Drilling Companies, Inc. ... 23,000 232,875
*Mariner Health Group, Inc. ........ 13,200 235,950
*Marisa Christina, Inc. ............ 4,200 113,400
Maritrans, Inc. ................... 3,300 19,800
#Mark Twain Bancshares, Inc. ....... 5,450 200,288
*Mark VII, Inc. .................... 3,400 67,788
*Markel Corp. ...................... 2,200 195,250
*Marlton Technologies, Inc. ........ 1,600 4,600
Marsh Supermarkets, Inc. Class A .. 1,800 22,950
Marsh Supermarkets, Inc. Class B .. 1,300 16,819
*Marshall Industries ............... 7,800 244,725
*Martek Biosciences Corp. .......... 5,500 198,000
*Marten Transport, Ltd. ............ 2,800 48,300
Maryland Federal Bancorp .......... 1,400 41,650
Masland Corp. ..................... 5,000 131,250
Massbank Corp. Reading, MA ........ 1,350 44,888
*Mastec, Inc. ...................... 8,000 251,500
*Matec Corp. DE .................... 3,000 18,375
*Material Sciences Corp. ........... 8,850 149,344
*Mathsoft, Inc. .................... 2,000 16,000
*Matlack Systems, Inc. ............. 7,500 61,875
*Matria Healthcare, Inc. ........... 17,100 145,350
*Matrix Pharmaceutical, Inc. ....... 9,600 211,200
*Matrix Service Co. ................ 5,700 34,556
Matthews International Corp.
Class A .......................... 5,000 140,625
*Matthews Studio Equipment Group ... 2,500 5,234
*Mattson Technology, Inc. .......... 11,100 160,950
*Maverick Tube Corp. ............... 3,000 39,000
*Max & Ermas Restaurants, Inc. ..... 1,237 9,896
*Maxco, Inc. ....................... 1,900 17,575
*Maxicare Health Plans, Inc. ....... 11,500 279,594
*Maxim Group, Inc. ................. 3,600 55,125
<PAGE>
Shares Value+
-------- -----------
*Maxwell Laboratories, Inc. ........ 1,746 $ 24,662
*Maxxam, Inc. ...................... 4,000 171,500
*Maxxim Medical, Inc. .............. 5,500 100,375
*Maynard Oil Co. ................... 2,400 20,400
*Mays (J.W.), Inc. ................. 200 1,700
*McClain Industries, Inc. .......... 266 1,131
McDonald & Co. Investment, Inc. ... 4,200 81,900
*McFarland Energy, Inc. ............ 6,100 59,475
McGrath Rent Corp. ................ 4,150 86,631
*McWhorter Technologies, Inc. ...... 4,400 81,400
Measurex Corp. .................... 9,200 265,650
*Medalist Industries, Inc. ......... 1,900 26,838
Medalliance, Inc. (Escrow) ........ 3,800 0
*Medar, Inc. ....................... 4,900 48,081
*Medarex, Inc. ..................... 5,900 59,738
*Medco Research, Inc. .............. 3,800 38,475
Medex, Inc. ....................... 3,000 38,625
Medford Savings Bank MA ........... 2,800 62,300
*Media Arts Group, Inc. ............ 3,700 10,753
*Media Logic, Inc. ................. 2,500 20,000
*Medical Action Industries, Inc. ... 2,100 4,725
*Medical Graphics Corp. ............ 1,000 7,375
*#Medical Resources, Inc. ........... 3,200 28,000
*Medicalcontrol, Inc. .............. 800 4,775
*Medicore, Inc. .................... 2,200 12,788
Medicus Systems Corp. ............. 2,600 15,600
*Medimmune, Inc. ................... 10,400 192,400
*Mediq, Inc. ....................... 7,100 43,488
*#Medquist Inc. ..................... 900 18,000
*Medstone International, Inc. ...... 2,100 18,113
Medusa Corp. ...................... 8,200 251,125
*Megacards, Inc. ................... 333 135
*Mego Financial Corp. .............. 3,600 31,725
*Melamine Chemicals, Inc. .......... 3,300 30,525
*Mem Co., Inc. ..................... 2,700 10,294
*Mens Warehouse, Inc. .............. 6,250 208,594
Mentor Corp. MN ................... 12,400 274,350
*#Mercer International, Inc. ........ 5,600 109,550
Merchants Bancorp, Inc. ........... 500 15,813
*Merchants Bancshares, Inc. ........ 200 2,925
Merchants Group, Inc. ............. 1,300 24,863
Merchants New York Bancorp, Inc. .. 400 11,900
#Mercury Air Group, Inc. ........... 1,760 17,050
*Mercury Interactive Corp. ......... 6,200 89,125
*Meridian Data, Inc. ............... 4,200 72,450
Meridian Diagnostics, Inc. ........ 8,135 97,112
Meridian Insurance Group, Inc. .... 2,700 37,125
*Meridian Sports, Inc. ............. 3,200 12,200
*Meris Laboratories, Inc. .......... 1,600 1,850
*Merisel, Inc. ..................... 16,400 70,725
*Merit Medical Systems, Inc. ....... 2,700 28,688
*Merix Corp. ....................... 3,100 96,681
Merrill Corp. ..................... 3,650 90,794
Merrimac Industries, Inc. ......... 700 7,613
*#Mesa Airlines, Inc. ............... 20,600 274,238
*Mesa, Inc. ........................ 31,300 113,463
Mesaba Holdings, Inc. ............. 6,400 70,800
*Mestek, Inc. ...................... 5,500 74,250
*Met-Coil Systems Corp. ............ 1,000 2,313
Met-Pro Corp. ..................... 9,450 179,550
Metal Management, Inc. ............ 5,121 24,965
*Metatec Corp. Class A ............. 3,500 43,750
Methode Electronics, Inc. Class A . 16,500 288,750
Methode Electronics, Inc. Class B . 500 9,063
*Metricom, Inc. .................... 5,300 99,044
</TABLE>
129
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
*Metrocall, Inc. ................... 7,300 $140,981
*Metrologic Instruments, Inc. ...... 3,000 35,063
*Metromedia International Group,
Inc. ............................. 17,200 240,800
*Metropolitan Bancorp Washington ... 1,500 21,094
*Metrotrans Corp. .................. 1,500 19,688
*Meyer (Fred), Inc. DE ............. 7,900 228,113
*Miami Subs Corp. .................. 9,600 16,500
*Michael Anthony Jewelers, Inc. .... 4,500 15,469
Michael Foods, Inc. ............... 15,700 162,888
*Michaels Stores, Inc. ............. 8,500 142,375
*Micom Communications Corp. ........ 3,333 39,579
*Micrel, Inc. ...................... 1,700 27,413
*Micrion Corp. ..................... 2,000 71,750
*Micro Bio-Medics, Inc. ............ 2,100 30,450
*Micro Linear Corp. ................ 4,900 53,288
*Microage, Inc. .................... 7,150 96,525
*Microcom, Inc. .................... 9,100 178,019
*Microdyne Corp. ................... 5,600 44,450
*Microfluidics International Corp. . 1,000 2,156
*Micrografx, Inc. .................. 5,100 85,744
*Microlog Corp. .................... 1,500 18,094
*Micronics Computers, Inc. ......... 7,200 22,838
*Micros Systems, Inc. .............. 3,200 96,000
*Microsemi Corp. ................... 5,200 49,400
*Microtek Medical, Inc. ............ 1,400 20,300
*Microtel International, Inc. ...... 9,800 14,700
*Microtest, Inc. ................... 3,200 37,800
*Microtouch Systems, Inc. .......... 3,200 67,200
Mid Am, Inc. ...................... 5,751 106,394
Mid America Banccorp .............. 3,941 69,460
*MidAmerican Waste System, Inc. .... 10,200 9,563
Midconn Bank Kensington, CT ....... 900 13,838
*Middleby Corp. .................... 1,100 11,756
Middlesex Water Co. ............... 2,300 38,238
*Midisoft Corp. .................... 3,400 8,713
Midland Co. ....................... 2,600 126,100
Midland Financial Group, Inc. ..... 2,200 27,638
Midwest Grain Products, Inc. ...... 3,900 47,288
*Mikasa, Inc. ...................... 9,700 111,550
*Mikohn Gaming Corp. ............... 3,900 34,856
*Miller Building Systems, Inc. ..... 1,400 6,738
*Miltope Group, Inc. ............... 11,000 28,531
Mine Safety Appliances Co. ........ 2,300 107,813
Minntech Corp. .................... 2,600 44,363
Minuteman International, Inc. ..... 1,000 9,125
*Mission West Properties, Inc. ..... 1,600 10,200
Mississippi Chemical Corp. ........ 8,900 196,913
*Mity-Lite, Inc. ................... 1,000 7,813
Mobile Gas Service Corp. .......... 2,000 48,000
*Mobilemedia Corp. Class A ......... 4,000 77,000
*Mobley Environmental Services, Inc.
Class A .......................... 1,000 875
Modern Controls, Inc. ............. 4,700 48,763
*Mohawk Industries, Inc. ........... 16,500 278,438
*Molecular Biosystems, Inc. ........ 6,634 64,682
*Molecular Dynamics, Inc. .......... 3,000 20,438
*Monaco Coach Corp. ................ 1,800 21,600
*Monaco Finance, Inc. Class A ...... 1,300 3,169
*Monarch Casino and Resort, Inc. ... 5,800 21,750
Monarch Machine Tool Co. .......... 2,300 26,450
*Mondavi (Robert) Corp. Class A .... 2,700 81,000
*Monro Muffler Brake, Inc. ......... 1,102 21,351
*Monroc, Inc. ...................... 1,700 8,819
*Monterey Pasta Co. ................ 2,700 18,563
<PAGE>
Shares Value+
-------- -----------
*Moog, Inc. Class A ................ 2,800 $ 57,400
*Moore Medical Corp. ............... 1,200 16,500
*Moore Products Co. ................ 1,600 30,200
*Moovies, Inc. ..................... 3,300 34,031
Morgan Keegan, Inc. ............... 8,100 107,325
*Morgan Products, Ltd. ............. 6,400 39,200
*Morningstar Group, Inc. ........... 7,600 89,300
Morrison Fresh Cooking, Inc. ...... 3,025 22,309
Morrison Health Care, Inc. ........ 4,033 57,974
*#Morrison Knudsen Corp. ............ 17,700 22,125
*Morton's Restaurant Group, Inc. ... 3,000 54,000
Moscom Corp. ...................... 3,400 48,875
Mosinee Paper Corp. ............... 6,893 183,526
*Mother's Work, Inc. ............... 500 13,125
*Motor Car Parts & Accessories, Inc. 2,600 44,200
*Motor Club of America ............. 2,500 19,063
*Mountain Parks Financial Corp. .... 1,500 33,938
*Mountasia Entertainment
International, Inc. .............. 5,100 14,503
Movado Group, Inc. ................ 1,200 22,875
*#Movie Gallery, Inc. ............... 4,700 141,588
*Moviefone, Inc. Class A ........... 3,100 14,919
Mueller (Paul) Co. ................ 2,200 69,575
*Mueller Industries, Inc. .......... 14,200 615,925
*Multi Color Corp. ................. 1,000 6,938
*#Multicare Companies, Inc. ......... 12,600 252,000
*Munsingwear, Inc. ................. 800 5,300
*Musicland Stores Corp. ............ 17,100 74,813
*Mutual Savings Bank FSB Bay City,
MI ............................... 1,700 9,669
*Mycogen Corp. ..................... 11,000 198,000
Myers Industries, Inc. ............ 8,485 172,882
*Mylex Corp. ....................... 9,100 235,463
*NAB Asset Corp. ................... 200 1,175
*NABI, Inc. ........................ 17,086 232,797
NAC RE Corp. ...................... 3,500 113,750
*NAI Technologies, Inc. ............ 4,087 12,006
NBT Bancorp ....................... 2,482 42,194
*NBTY, Inc. ........................ 4,800 44,700
NCH Corp. ......................... 3,900 221,325
*NCI Building Systems, Inc. ........ 1,000 33,875
*NMR of America, Inc. .............. 2,400 11,850
NN Ball & Roller, Inc. ............ 8,750 202,344
*NPC International, Inc. ........... 300 2,859
*NPS Pharmaceuticals, Inc. ......... 2,100 32,813
*NRG Generating (U.S.), Inc. ....... 792 6,336
NS Bancorp, Inc. .................. 2,200 89,925
*NS Group, Inc. .................... 6,300 18,113
*NSA International, Inc. ........... 1,900 5,938
NSC Corp. ......................... 5,700 13,003
*NTN Communications, Inc. .......... 11,300 70,625
NUI Corp. ......................... 4,700 84,600
NYMAGIC, Inc. ..................... 6,100 114,375
Nacco Industries, Inc. Class A .... 4,500 252,000
*Nantucket Industries, Inc. ........ 1,500 10,406
*Napco Security Systems, Inc. ...... 4,850 19,400
Nash Finch Co. .................... 4,900 83,913
Nashua Corp. ...................... 3,300 55,275
*Nathans Famous, Inc. .............. 1,900 6,472
*National Auto Credit, Inc. ........ 12,760 156,310
National Bancorp of Alaska, Inc. .. 2,200 137,225
*National Beverage Corp. ........... 1,900 25,650
*National City Bancorp ............. 3,264 66,912
National City Bankshares, Inc. .... 3,098 87,519
</TABLE>
130
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
National Computer Systems, Inc. ... 6,700 $160,800
National Data Corp. ............... 6,850 258,588
*National Dentex Corp. ............. 1,000 22,375
*National Education Corp. .......... 14,800 275,650
National Gas & Oil Co. ............ 10,159 104,130
*National Home Centers, Inc. ....... 4,000 11,000
*National Home Health Care Corp. ... 900 6,244
*National Insurance Group .......... 3,000 17,250
*#National Media Corp. .............. 8,032 149,590
National Media Corp. (Escrow) ..... 1,400 0
*National Mercantile Bancorp. ...... 200 356
*National Patent Development Corp. . 3,400 38,675
National Penn Bancshares, Inc. .... 210 5,618
*National Picture and Frame Co. .... 2,000 20,125
National Presto Industries, Inc. .. 4,000 162,000
National RE Corp. ................. 8,000 264,000
*National Record Mart, Inc. ........ 1,000 1,406
National Sanitary Supply Co. ...... 200 2,650
*National Standard Co. ............. 11,000 85,250
*National Steel Corp. Class B ...... 10,600 140,450
*National Techteam, Inc. ........... 4,900 71,356
*National Vision Association, Ltd. . 10,300 45,706
*National Western Life Insurance Co.
Class A .......................... 1,000 66,625
*Natural Alternatives International,
Inc. ............................. 3,400 35,700
*Natural Microsystems Corp. ........ 600 22,500
*Natural Wonders, Inc. ............. 3,000 19,125
Natures Sunshine Products, Inc. ... 19,359 542,052
*Navarre Corp. ..................... 1,900 47,738
*Navigators Group, Inc. ............ 3,300 58,575
Nelson (Thomas), Inc. ............. 9,650 119,419
*Neogen Corp. ...................... 900 7,031
*Neoprobe Corp. .................... 10,200 180,413
*Neorx Corp. ....................... 7,625 55,758
*Neostar Retail Group, Inc. ........ 6,810 36,178
*Netframe Systems, Inc. ............ 7,400 37,000
*Netmanage, Inc. ................... 20,800 352,300
*Netrix Corp. ...................... 3,700 35,613
*Network Computing Devices, Inc. ... 7,700 32,966
*Network Equipment Technologies,
Inc. ............................. 10,300 288,400
*Network Imaging Corp. ............. 7,800 34,856
*Network Peripherals, Inc. ......... 7,000 126,438
*Network Six, Inc. ................. 1,100 3,197
*Neurex Co. ........................ 9,100 189,963
*Neurobiological Technologies, Inc. 800 5,750
*Neurogen Corp. .................... 7,000 202,125
*New Brunswick Scientific Co., Inc. 2,310 19,491
New England Business Services, Inc. 7,000 128,625
New England Community Bancorp, Inc.
Class A .......................... 600 6,600
New Hampsire Thrift BancShares,
Inc. ............................. 200 2,000
*New Image Industries, Inc. ........ 3,300 11,963
New Jersey Resources Corp. ........ 7,100 195,250
*New Jersey Steel Corp. ............ 2,500 20,938
*New Mexico & Arizona Land Co. ..... 1,650 25,163
*New World Power Corp. ............. 5,000 3,438
New York Bancorp, Inc. ............ 5,985 152,618
Newcor, Inc. ...................... 4,750 51,953
*Newfield Exploration Co. .......... 6,400 238,400
Newmil Bancorp, Inc. .............. 3,500 24,938
*Newpark Resources, Inc. ........... 5,250 190,313
<PAGE>
Shares Value+
-------- -----------
Newport Corp. ..................... 10,200 $ 98,175
*Nexstar Pharmaceuticals, Inc. ..... 1,496 36,652
*Nexthealth, Inc. .................. 4,300 11,825
*Nichols Research Corp. ............ 3,100 101,138
*Nitches, Inc. ..................... 785 5,986
Nobility Homes .................... 600 11,663
*Noel Group, Inc. .................. 10,100 83,956
Noland Co. ........................ 200 4,025
*Noodle Kidoodle, Inc. ............. 7,900 52,831
*Norand Corp. ...................... 1,500 30,375
*Nord Resources Corp. .............. 9,500 57,000
*Norrell Corp. ..................... 200 8,275
*Norstan, Inc. ..................... 3,000 106,125
*Nortek, Inc. ...................... 6,000 85,500
North American Mortgage Co. ....... 7,600 131,100
*North American Recycling System,
Inc. ............................. 2,000 686
North Carolina Natural Gas Corp. .. 3,200 82,400
North Fork Bancorporation, Inc. ... 16,267 396,508
North Side Savings Bank NY ........ 678 24,239
*North Star Universal, Inc. ........ 4,300 32,788
Northern Technologies International 1,700 8,500
*Northfield Laboratories, Inc. ..... 6,500 110,094
Northland Cranberries, Inc. Class A 3,000 83,250
*Northstar Health Services, Inc. ... 1,000 3,000
Northwest Natural Gas Co. ......... 5,900 203,550
*Northwest Teleproductions, Inc. ... 200 425
Northwestern Public Service Co. ... 4,500 124,875
*Northwestern Steel & Wire Co. ..... 10,300 63,088
*Norton McNaughton, Inc. ........... 4,000 41,000
Norwich Financial Corp. ........... 2,400 31,050
*Norwood Promotional Products, Inc. 2,200 45,100
*Novacare, Inc. .................... 32,900 213,850
*Novametrix Medical Systems, Inc. .. 7,600 46,550
*Novavax, Inc. ..................... 8,700 68,513
*Noven Pharmaceuticals, Inc. ....... 9,800 170,275
*Novitron Internarional, Inc. ...... 3,900 8,044
*Nu Horizons Electronics Corp. ..... 6,118 89,093
*Nu-Kote Holding, Inc. Class A ..... 16,600 298,800
*Nuclear Metals, Inc. .............. 6,500 112,125
*Nuevo Energy Co. .................. 9,000 279,000
*Numar Corp. ....................... 4,100 72,006
Numerex Corp. Class A ............. 2,000 12,375
*Nutramax Products, Inc. ........... 3,600 35,775
*Nview Corp. ....................... 2,500 18,906
*Nycor, Inc. ....................... 1,700 9,563
*Nycor, Inc. Class A ............... 3,100 17,438
*O Charleys, Inc. .................. 4,350 54,375
*O Reilly Automotive, Inc. ......... 4,100 158,875
O'Sullivan Corp. .................. 13,400 157,450
*O'Sullivan Industries Holdings,
Inc. ............................. 9,500 72,438
*O.I. Corp. ........................ 1,600 7,700
OEA, Inc. ......................... 6,000 246,000
*OEC Medical Systems, Inc. ......... 4,900 60,025
*OHM Corp. ......................... 13,400 118,925
OM Group, Inc. .................... 6,200 249,550
*OMI Corp. ......................... 15,500 135,625
*OTR Express, Inc. ................. 200 1,063
*Oak Hill Sportswear Corp. ......... 800 1,650
*Oak Industries, Inc. .............. 10,700 334,375
*Oceaneering International, Inc. ... 12,000 198,000
*Odetics, Inc. Class A ............. 300 5,513
*#Odwalla, Inc. ..................... 2,000 51,500
*Offshore Logistics, Inc. .......... 7,800 112,125
</TABLE>
131
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
Oglebay Norton Co. ................ 2,200 $ 95,975
Oil-Dri Corp. of America .......... 4,000 54,500
*Old America Stores, Inc. .......... 1,800 14,850
*Old Dominion Freight Lines, Inc. .. 3,800 43,225
*Olympic Financial, Ltd. ........... 13,100 309,488
*Olympic Steel, Inc. ............... 4,000 73,250
*Omega Environmental, Inc. ......... 18,500 56,656
*On Assignment, Inc. ............... 1,900 75,525
OnbanCorp, Inc. ................... 5,500 173,938
*Oncogene Science, Inc. ............ 10,400 120,900
*Oncor, Inc. ....................... 12,600 80,325
*One Price Clothing Stores, Inc. ... 4,100 23,063
One Valley Bancorp of West Virginia 5,138 167,306
Oneida, Ltd. ...................... 5,500 95,563
*Oneita Industries, Inc. ........... 4,220 17,408
Oneok, Inc. ....................... 10,300 280,675
*Opinion Research Corp. ............ 1,700 11,900
*Opta Food Ingredients, Inc. ....... 5,400 94,500
*Opti, Inc. ........................ 4,600 33,925
Optical Coating Laboratory, Inc. .. 4,800 83,700
*Optical Data Systems, Inc. ........ 10,300 234,325
*Option Care, Inc. ................. 5,000 36,250
Orange & Rockland Utilities, Inc. . 6,800 237,150
Orange Co., Inc. .................. 5,200 42,250
*Orbit International Corp. ......... 3,000 3,469
*Orbital Sciences Corp. ............ 13,400 241,200
*Orchard Supply Hardware Stores
Corp. ............................ 3,000 85,875
*Oregon Metallurgical Corp. ........ 5,500 171,531
Oregon Steel Mills, Inc. .......... 10,800 172,800
*#Organogenesis, Inc. ............... 6,975 156,066
*Oriole Homes Corp. Class A
Convertible ...................... 800 6,150
*Oriole Homes Corp. Class B ........ 1,100 8,456
Orion Capital Corp. ............... 5,600 264,600
*Oroamerica, Inc. .................. 2,500 12,188
*Orphan Medical, Inc. .............. 285 2,850
*Ortel Corp. ....................... 5,700 138,938
*Orthologic Corp. .................. 3,500 154,438
*Osborn Communications Corp. ....... 8,100 87,075
Oshkosh B'Gosh, Inc. Class A ...... 4,800 84,900
Oshkosh B'Gosh, Inc. Class B ...... 600 11,550
Oshkosh Truck Corp. Class B ....... 2,300 33,925
*Oshman's Sporting Goods, Inc. ..... 2,900 25,375
*Osmonics, Inc. .................... 8,250 195,938
*Osteotech, Inc. ................... 4,000 29,000
*Ostex International, Inc. ......... 6,200 88,738
Otter Tail Power Co. .............. 5,600 184,800
Outboard Marine Corp. ............. 16,000 310,000
*Outlook Group Corp. ............... 2,500 14,063
Owens & Minor, Inc. ............... 18,375 229,688
Owosso Corp. ...................... 1,200 9,975
Oxford Industries, Inc. ........... 5,600 102,200
*Oxford Resources Corp. Class A .... 2,700 69,525
*Oxis International, Inc. .......... 8,400 19,163
*P&F Industries, Inc. Class A ...... 200 613
*P-Com, Inc. ....................... 6,600 198,000
*PAM Transportation Services, Inc. . 1,500 9,750
*PC Quote, Inc. .................... 2,900 30,450
PCA International, Inc. ........... 3,000 49,500
*PCI Services, Inc. ................ 2,500 50,000
*PHP Healthcare Corp. .............. 4,300 142,438
*PLM International, Inc. ........... 4,600 16,100
*PMR Corp. ......................... 1,300 14,950
<PAGE>
Shares Value+
-------- -----------
*PMT Services, Inc. ................ 5,000 $169,688
*PRI Automation, Inc. .............. 2,800 110,250
*PSC, Inc. ......................... 4,000 45,500
PXRE Corp. ........................ 3,700 90,881
*Pacific Crest Capital, Inc. ....... 1,060 8,546
*Pacific Rehabilitation & Sports
Medicine, Inc. ................... 2,300 11,788
*Pacific Rim Holding Corp. ......... 3,700 8,325
Pacific Scientific Co. ............ 16,000 306,000
*Pacific Sunwear of California, Inc. 2,000 50,250
*Pages, Inc. ....................... 1,700 4,250
Palfed, Inc. ...................... 2,000 24,000
*Pamida Holdings Corp. ............. 4,000 10,000
Pamrapo Bancorp, Inc. ............. 1,300 25,513
*Panaco, Inc. ...................... 5,000 19,375
#Panatech Research and Development
Corp. ............................ 1,400 7,000
Pancho's Mexican Buffet, Inc. ..... 5,000 13,438
*Papa John's International, Inc. ... 5,250 256,594
*Par Technology Corp. .............. 6,000 99,000
*Paragon Trade Brands, Inc. ........ 4,800 118,200
*#Parallel Petroleum Corp. .......... 4,900 18,834
*Parcplace Systems, Inc. ........... 4,500 59,063
*Paris Business Forms, Inc. ........ 200 888
Park Electrochemical Corp. ........ 8,200 197,825
*Park-Ohio Industries, Inc. ........ 7,034 156,946
*Parker Drilling Co. ............... 31,700 225,863
*Parkervision, Inc. ................ 3,500 53,594
Parkvale Financial Corp. .......... 1,562 43,346
*Parlux Fragrances, Inc. ........... 3,900 44,850
*Patina Oil & Gas Corp. ............ 3,134 21,938
*Patlex Corp. ...................... 690 37,001
Patrick Industries, Inc. .......... 2,000 27,500
*Patterson Dental Co. .............. 5,300 170,263
*#Patterson Energy, Inc. ............ 1,300 21,531
*Paul Harris Stores, Inc. .......... 5,000 35,938
*#Paul-Son Gaming Corp. ............. 1,000 8,500
*Paxar Corp. ....................... 23,946 401,096
*Payco American Corp. .............. 3,000 26,625
*Payless Cashways, Inc. ............ 20,000 95,000
*Peak Technologies Group, Inc. ..... 3,400 82,025
*Pediatric Services of America, Inc. 2,000 49,375
Peerless Manufacturing Co. ........ 200 2,063
*Penederm, Inc. .................... 2,800 45,850
Penn Engineering & Manufacturing
Corp. Class A .................... 2,500 63,438
*Penn Engineering & Manufacturing
Corp. Non-voting ................. 7,500 191,250
*Penn National Gaming, Inc. ........ 2,550 63,431
*Penn Traffic Co. .................. 4,300 54,825
*Penn Treaty American Corp. ........ 3,600 69,300
Penn Virginia Corp. ............... 1,700 60,138
Penn-America Group, Inc. .......... 1,300 20,150
Penncorp Financial Group, Inc. .... 5,400 164,700
*Pennfed Financial Services, Inc. .. 2,100 32,813
*#Penril Datacomm Networks, Inc. .... 3,700 34,225
*Pentech International, Inc. ....... 5,300 11,263
Penwest, Ltd. ..................... 2,100 40,425
Peoples Bancorp ................... 200 4,125
Peoples Bancshares, Inc.
Massachusetts .................... 1,000 9,938
*Peoples Choice TV Corp. ........... 5,350 92,288
Peoples Heritage Financial Group,
Inc. ............................. 12,280 244,833
Peoples Savings Financial Corp. ... 900 18,675
</TABLE>
132
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THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
*Peoples Telephone Co., Inc. ....... 6,350 $ 20,241
*Perceptron, Inc. .................. 2,650 95,897
*Performance Food Group Co. ........ 1,800 57,150
*Perfumania, Inc. .................. 3,200 16,700
*Perini Corp. ...................... 2,700 30,038
*Perseptive Biosystems, Inc. ....... 6,400 62,400
*Pet Food Warehouse, Inc. .......... 3,700 14,453
*Petco Animal Supplies, Inc. ....... 5,550 157,481
*Petrocorp, Inc. ................... 3,400 24,225
Petroleum Heat & Power Co., Inc.
Class A .......................... 9,100 63,700
Petrolite Corp. ................... 6,700 216,075
*#Pharmaceutical Marketing Services,
Inc. ............................. 5,800 60,538
*Pharmaceutical Resources, Inc. .... 7,300 52,925
*Pharmchem Laboratories, Inc. ...... 3,300 11,550
*Pharmos Corp. ..................... 9,000 22,359
Philadelphia Suburban Corp. ....... 5,200 126,750
*Phildelphia Consolidated Holding
Corp. ............................ 2,000 39,625
Phillips-Van Heusen Corp. ......... 12,600 168,525
Phoenix Duff & Phelps Corp. ....... 21,800 158,050
*Phoenix Network, Inc. ............. 5,800 31,538
*Phoenix Technologies, Ltd. ........ 5,500 108,969
*Photo Control Corp. ............... 1,000 3,500
*Photronics, Inc. .................. 4,600 136,850
*Physician Computer Network, Inc. .. 21,000 255,938
*Physician Corp. of America ........ 10,000 130,000
*#Physicians Clinical Laboratory,
Inc. ............................. 1,200 1,087
*Physicians Health Services, Inc.
Class A .......................... 2,000 55,000
*Physicians Insurance Co. of Ohio
Class A .......................... 1,000 23,750
Piccadilly Cafeterias, Inc. ....... 4,200 43,050
Piedmont Natural Gas Co. .......... 12,700 274,638
Pier 1 Imports, Inc. DE ........... 19,740 310,905
Pikeville National Corp. .......... 2,700 61,088
Pilgrim Pride Corp. ............... 12,800 91,200
Pillowtex Corp. ................... 6,000 80,250
*Pinkertons, Inc. .................. 3,300 81,675
Pinnacle Financial Services, Inc. . 200 4,050
*#Pinnacle Micro, Inc. .............. 3,100 30,613
*Pinnacle Systems, Inc. ............ 2,200 53,075
#Pioneer Financial Services, Inc. .. 3,700 60,125
Pioneer Standard Electronics, Inc. 16,312 248,758
Piper Jaffray Companies, Inc. ..... 9,100 121,713
Pitt-Des Moines, Inc. ............. 2,400 108,000
*Pittencrieff Communications, Inc. . 5,700 45,244
Pittston Co. Minerals Group ....... 4,400 61,600
*Plains Resources, Inc. ............ 8,900 100,125
*Planar Systems, Inc. .............. 6,000 93,000
*Plantronics, Inc. ................. 3,400 120,275
*Plasti-Line, Inc. ................. 800 6,900
*Platinum Software Corp. ........... 5,300 57,306
*Playboy Enterprises, Inc. Class A . 2,800 33,250
*Playboy Enterprises, Inc. Class B . 6,100 78,538
*Players International, Inc. ....... 13,350 129,954
*Playtex Products, Inc. ............ 20,200 194,425
Plenum Publishing Corp. ........... 1,500 54,563
*Plexus Corp. ...................... 4,400 61,050
Ply-Gem Industries, Inc. DE ....... 5,800 86,275
Poe & Brown, Inc. ................. 3,400 82,025
*Polk Audio, Inc. .................. 500 6,750
*Pollo Tropical, Inc. .............. 5,200 24,700
*Polymedica Industries, Inc. ....... 2,700 24,975
<PAGE>
Shares Value+
-------- -----------
*#Polyphase Corp. ................... 5,200 $ 19,175
*Polyvision Corp. .................. 5,396 9,106
*Pomeroy Computer Resource, Inc. ... 1,100 17,188
*Ponder Industries, Inc. ........... 2,000 9,250
*Pool Energy Services Co. .......... 8,700 122,344
Pope & Talbot, Inc. ............... 5,300 88,775
*Porta Systems Corp. ............... 4,400 3,575
*Portec, Inc. ...................... 7,610 79,905
Portsmouth Bank Shares, Inc. ...... 2,291 33,076
*Positron Corp. .................... 1,500 5,906
*Possis Medical, Inc. .............. 6,700 125,206
Poughkeepsie Savings Bank FSB NY .. 5,000 27,188
*Powell Industries, Inc. ........... 4,200 48,038
*Pratt Hotel Corp. ................. 2,100 6,431
*Pre-Paid Legal Services, Inc. ..... 10,300 215,013
*Precision Standard, Inc. .......... 3,800 6,175
Premier Financial Services, Inc. .. 2,600 26,650
*Premiere Radio Networks, Inc. ..... 1,200 15,300
*Premiere Radio Networks, Inc.
Class A .......................... 600 7,388
*President Casinos, Inc. ........... 11,900 25,288
Presidential Life Corp. ........... 16,900 165,831
*Presley Companies Class A ......... 5,600 10,500
*Price Communications Corp. ........ 4,250 33,203
*Price Enterprises, Inc. ........... 6,600 104,363
*Pride Petroleum Services, Inc. .... 14,700 255,413
*Prima Energy Corp. ................ 1,600 23,800
*Primadonna Resorts, Inc. .......... 12,300 283,669
*Primark Corp. ..................... 8,400 296,100
Prime Bancorp, Inc. ............... 665 11,970
*Prime Hospitality Corp. ........... 14,700 235,200
*Prime Medical Services, Inc. ...... 5,900 111,731
Primesource Corp. ................. 4,581 28,631
*Prins Recycling Corp. ............. 6,000 15,375
*Printronix, Inc. .................. 3,750 95,625
*Procept, Inc. ..................... 3,500 11,047
*Procyte Corp. ..................... 8,000 32,500
Production Operators Corp. ........ 4,100 150,675
*Professional Sports Care
Management, Inc. ................. 3,100 23,928
*Proffitts, Inc. ................... 6,700 247,900
*Progress Financial Corp. .......... 1,000 6,750
*Progress Software Corp. ........... 5,100 80,006
Progressive Bank, Inc. ............ 1,000 29,125
*Progroup, Inc. .................... 1,600 7,700
*Project Software & Development,
Inc. ............................. 3,700 143,838
Proler International Corp. ........ 8,500 61,625
*Pronet, Inc. ...................... 2,600 65,163
*Protein Design Labs, Inc. ......... 6,100 160,888
*Proteon, Inc. ..................... 6,100 34,313
*Protocol Systems, Inc. ............ 4,400 110,000
Providence & Worcester Railroad Co. 800 6,400
Providence Energy Corp. ........... 5,300 91,425
Provident Bankshares Corp. ........ 5,843 194,280
*Proxim, Inc. ...................... 2,800 115,850
*Proxima Corp. ..................... 3,400 56,950
*Psychemedics Corp. ................ 7,900 58,263
Public Service Co. of North
Carolina ......................... 4,900 79,013
*Publicker Industries, Inc. ........ 13,200 28,050
Pulaski Furniture Corp. ........... 1,300 23,563
Pulse Bancorp, Inc. ............... 800 13,650
</TABLE>
133
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
*Pure Tech International, Inc.
(Private Placement) .............. 10,000 $ 27,000
*Pure World, Inc. .................. 3,100 8,331
*Q Logic Corp. ..................... 4,450 47,559
*QMS, Inc. ......................... 6,500 39,000
*Quad Systems Corp. ................ 1,600 14,800
Quaker Chemical Corp. ............. 2,800 37,100
*Quaker City Bancorp, Inc. ......... 1,600 23,300
*Quaker Fabric Corp. ............... 4,000 37,000
Quaker State Corp. ................ 17,900 275,213
*Quality Dining, Inc. .............. 3,000 99,188
*Quality Food Centers, Inc. ........ 9,700 261,900
*Quality Semiconductor, Inc.n ...... 2,200 17,875
*Quality Systems, Inc. ............. 2,300 68,138
Quanex Corp. ...................... 5,500 127,875
*Quantum Health Resources, Inc. .... 9,100 160,388
*Quarterdeck Office Systems, Inc. .. 12,600 182,700
Queens County Bancorp ............. 2,500 119,375
*Quest Medical, Inc. ............... 8,109 101,363
*Quickresponse Services, Inc. ...... 3,300 109,313
*Quickturn Design Systems, Inc. .... 5,400 79,313
*Quidel Corp. ...................... 8,500 47,813
*Quiksilver, Inc. .................. 2,900 126,875
*Quipp, Inc. ....................... 200 2,325
Quixote Corp. ..................... 7,700 61,119
*R & B, Inc. ....................... 3,500 23,406
RCSB Financial, Inc. .............. 5,600 131,600
*RF Monolithics, Inc. .............. 2,000 20,250
RLI Corp. ......................... 5,000 116,250
*RMI Titanium Co. .................. 6,100 122,763
*RPC Energy Services, Inc. ......... 22,800 285,000
*Racotek, Inc. ..................... 9,400 57,575
*Radius, Inc. ...................... 6,919 23,568
*Rag Shops, Inc. ................... 2,300 5,355
*Ragan (Brad), Inc. ................ 3,800 121,600
*Railtex, Inc. ..................... 3,600 87,750
*Rainbow Technologies, Inc. ........ 2,800 64,225
*#Rally's Hamburgers, Inc. .......... 6,200 20,150
*Ramapo Financial Corp. ............ 3,200 15,700
*Ramsay Health Care, Inc. .......... 3,500 12,359
*Ramsay Managed Care, Inc. ......... 913 1,626
*Ramtron International Corp. ....... 11,400 88,706
Raritan Bancorp, Inc. DE .......... 200 4,200
*Rational Software Corp. ........... 5,000 310,625
Raven Industries, Inc. ............ 9,150 187,575
*Rawlings Sporting Goods, Inc. ..... 3,100 28,869
*Raymond Corp. ..................... 6,135 108,129
Raymond James Financial, Inc. ..... 10,200 232,050
*Readicare, Inc. ................... 11,400 54,863
*Reading Co. Class A ............... 2,000 21,500
*Recoton Corp. ..................... 9,066 158,655
*Recovery Engineering, Inc. ........ 1,300 20,963
*Reddi Brake Supply Corp. .......... 6,600 15,469
*Redman Industries, Inc. ........... 4,100 89,688
*Redwood Empire Bancorp ............ 900 9,450
*Reeds Jewelers, Inc. .............. 220 1,870
Refac Technology Development Corp. 7,000 58,625
*Reflectone, Inc. .................. 1,000 22,000
Regal Beloit Corp. ................ 10,200 211,650
*Regal Cinemas, Inc. ............... 5,250 242,813
*Regency Health Services, Inc. ..... 7,100 71,888
*Regeneron Pharmaceuticals, Inc. ... 6,600 115,088
*Regional Acceptance Corp. ......... 6,000 60,000
Regis Corp. ....................... 3,100 138,725
<PAGE>
Shares Value+
-------- -----------
*Rehabcare Corp. ................... 1,800 $ 28,350
*#Rehabilicare, Inc. ................ 1,800 7,200
Reinsurance Group America, Inc. ... 1,200 47,850
*Reliability, Inc. ................. 2,500 18,750
Reliance Steel and Aluminum Co. ... 4,400 165,000
Reliv International, Inc. ......... 2,800 9,100
*Renal Treatment Centers, Inc. ..... 8,600 292,400
*#Reno Air, Inc. .................... 4,400 55,275
*Rentrak Corp. ..................... 4,500 23,203
*Repligen Corp. .................... 6,100 7,625
*Reptron Electronics, Inc. ......... 1,900 33,131
*Republic Automotive Parts, Inc. ... 4,100 62,525
Republic Bancorp, Inc. ............ 8,465 95,231
*#Republic Environmental Systems,
Inc. ............................. 2,200 40,425
Republic Gypsum Co. ............... 13,300 187,863
Republic Savings Financial Corp. .. 1,500 8,813
*Res-Care, Inc. .................... 3,200 111,600
*Research Industries Corp. ......... 5,000 126,875
*Resound Corp. ..................... 7,700 92,881
*Resource Bancshares Mortgage Group,
Inc. ............................. 9,800 131,075
*Respironics, Inc. ................. 10,600 206,700
*Response Oncology, Inc. ........... 2,480 48,050
*Retirement Care Association, Inc. . 4,410 58,433
*Retix, Inc. ....................... 7,000 62,563
*Rex Stores Corp. .................. 5,600 87,500
*Rexall Sundown, Inc. .............. 2,550 66,938
*Rexel, Inc. ....................... 17,900 261,788
Rexene Corp. ...................... 7,400 86,950
*Rexhall Industries, Inc. .......... 1,050 7,613
*Rexon, Inc. ....................... 5,600 0
*Rexworks, Inc. .................... 1,000 3,000
*Rhodes, Inc. ...................... 3,200 40,400
*Ribi Immunochem Research, Inc. .... 19,400 97,000
*Riddell Sports, Inc. .............. 3,255 16,784
Riggs National Corp. .............. 17,800 213,600
*Right Management Consultants, Inc. 1,800 63,900
*Right Start, Inc. ................. 1,900 12,706
*Rightchoice Managed Care, Inc.
Class A .......................... 1,500 25,688
*Rimage Corp. ...................... 2,000 18,250
*Ringer Corp. ...................... 6,500 13,406
*Rio Hotel & Casino, Inc. .......... 10,700 192,600
Riser Foods, Inc. Class A ......... 3,500 74,375
Rival Co. ......................... 3,900 92,625
River Forest Bancorp .............. 6,800 205,700
*River Oaks Furniture, Inc. ........ 2,400 14,700
*Riverside Group, Inc. ............. 1,000 3,375
Riverside National Bank CA ........ 1,000 13,563
*#Roadmaster Industries, Inc. ....... 16,900 31,688
Roanoke Electric Steel Corp. ...... 1,200 17,475
Robbins & Myers, Inc. ............. 3,900 173,063
*Roberds, Inc. ..................... 2,300 23,288
*Roberts Pharmaceutical Corp. ...... 7,400 156,325
*Robertson-Ceco Corp. .............. 6,418 33,695
Robinson Nugent, Inc. ............. 4,000 26,250
*Robotic Vision Systems, Inc. ...... 6,584 125,508
*Rock Bottom Restaurants, Inc. ..... 3,700 50,413
Rock-Tenn Co. Class A ............. 8,600 168,775
*Rocky Mountain Chocolate Factory .. 1,500 13,313
*Rocky Shoes & Boots, Inc. ......... 2,000 14,500
*Rodman & Renshaw Capital Group,
Inc. ............................. 1,300 2,600
</TABLE>
134
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THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
*Rogers Corp. ...................... 10,000 $ 243,750
*Rohr, Inc. ........................ 13,000 274,625
*Rollins Environmental Services,
Inc. ............................. 27,800 97,300
Rollins Truck Leasing Corp. ....... 23,000 250,125
Roper Industries, Inc. ............ 6,000 278,250
Ross Stores, Inc. ................. 12,000 469,500
*#Ross Systems, Inc. ................ 6,500 45,500
*Rotech Medical Corp. .............. 13,400 284,750
Roto-Rooter, Inc. ................. 3,600 143,100
Rotonics Manufacturing, Inc. ...... 2,500 3,750
*Rottlund, Inc. .................... 1,700 13,388
Rouge Steel Co. Class A ........... 5,400 120,150
Rowe Furniture Corp. .............. 5,412 29,766
*#Royal Appliance Manufacturing Co. . 9,600 60,000
Royal Bancshares of Pennsylvania
Class A .......................... 2,450 25,878
*Royal Grip, Inc. .................. 1,100 5,844
*Ruby Tuesday, Inc. ................ 7,050 149,813
Ruddick Corp. ..................... 18,600 251,100
*Rural/Metro Corp. ................. 4,200 142,275
Russ Berrie & Co., Inc. ........... 12,800 222,400
Ryan Beck & Co. ................... 210 1,523
*Ryans Family Steak Houses, Inc. ... 21,400 187,250
Rykoff-Sexton, Inc. ............... 8,750 135,625
Ryland Group, Inc. ................ 7,800 127,725
*Rymer Foods, Inc. ................. 5,400 4,556
*S&K Famous Brands, Inc. ........... 1,900 16,744
S&T Bancorp, Inc. ................. 2,200 66,000
*S3, Inc. .......................... 13,000 185,250
*SBE, Inc. ......................... 900 9,675
*SBS Technologies, Inc. ............ 1,100 17,531
SEI Corp. ......................... 7,400 162,338
*SFX Broadcasting, Inc. Class A .... 1,900 70,300
SI Handling, Inc. ................. 1,050 10,434
SJW Corp. ......................... 600 22,313
SKI, Ltd. ......................... 1,700 29,644
SL Industries, Inc. ............... 9,200 94,300
*#SLM International, Inc. ........... 5,200 7,311
*SMC Corp. ......................... 2,600 23,075
*SMT Health Services, Inc. ......... 1,100 9,694
*SPS Technologies, Inc. ............ 2,600 159,250
*SPSS, Inc. ........................ 2,900 72,500
SPX Corp. ......................... 6,300 168,525
*SSE Telecom, Inc. ................. 2,300 33,063
*STB Systems, Inc. ................. 1,800 28,575
*STM Wireless, Inc. Class A ........ 2,900 36,069
*Safeguard Health Enterprises, Inc. 6,900 129,375
*Safeguard Scientifics, Inc. ....... 20,700 1,823,803
*Safeskin Corp. .................... 4,700 170,081
*Safety 1st, Inc. .................. 2,900 44,225
*Safety Components International,
Inc. ............................. 2,100 28,613
*Safetytek Corp. ................... 1,000 12,375
*Saga Communications, Inc.
Class A .......................... 2,781 57,011
Saint Francis Capital Corp. ....... 2,400 61,200
Saint John Knits, Inc. ............ 6,600 278,850
Saint Joseph Light & Power Co. .... 27,200 887,400
Saint Mary Land & Exploration Co. . 1,800 31,388
Saint Paul Bancorp, Inc. .......... 9,800 227,850
*Salant Corp. DE ................... 5,900 23,600
Salem Corp. ....................... 2,950 63,425
*Salick Health Care, Inc. Redeemable
Shares ........................... 2,850 108,656
<PAGE>
Shares Value+
-------- -----------
*Salton/Maxim Housewares, Inc. ..... 2,600 $ 10,319
*Sam & Libby, Inc. ................. 3,400 2,656
*San Filippo (John B.) & Son, Inc. . 3,000 21,375
*San Francisco Co. Class A ......... 400 140
Sanderson Farms, Inc. ............. 5,400 72,900
Sands Regent Casino Hotel ......... 2,000 11,000
Sandwich Co-Operative Bank MA ..... 200 3,950
*Sangstat Medical Corp. ............ 5,000 99,688
*Sanmina Corp. ..................... 6,800 249,900
*Santa Cruz Operation, Inc. ........ 17,000 128,563
*Santa Fe Gaming Corp. ............. 2,500 7,500
Santa Monica Bank CA .............. 2,800 35,700
*Satcon Technology Corp. ........... 2,200 21,450
Savannah Foods & Industries, Inc. . 10,500 129,938
*Savoy Pictures Entertainment, Inc. 9,800 58,188
Sbarro, Inc. ...................... 8,100 215,663
*Scan-Optics, Inc. ................. 14,900 59,600
Schawk, Inc. Class A .............. 4,300 36,013
*Schieb (Earl), Inc. ............... 7,900 62,213
*Schuler Homes, Inc. ............... 12,300 86,100
Schult Homes Corp. ................ 1,100 21,175
Schultz Sav-O Stores, Inc. ........ 3,000 40,875
*Sciclone Pharmaceuticals, Inc. .... 9,400 116,325
*Science Dynamics Corp. ............ 1,700 1,700
*Scientific Games Holdings Corp. ... 5,200 171,600
*Scientific Software-Intercomp, Inc. 3,500 9,188
Scientific Technologies, Inc. ..... 3,800 54,625
*Scios-Nova, Inc. .................. 14,087 101,691
Scope Industries, Inc. ............ 3,500 129,500
*Score Board, Inc. ................. 6,700 33,919
Scotsman Industries, Inc. ......... 3,400 69,275
*Scott's Liquid Gold, Inc. ......... 4,000 10,000
*Scotts Co. Class A ................ 11,300 207,638
Seacoast Banking Corp. Class A .... 1,500 33,375
*Seacor Holdings, Inc. ............. 3,200 154,800
Seafield Capital Corp. ............ 1,700 66,513
Sealright Co., Inc. ............... 4,400 58,300
*Seattle Filmworks, Inc. ........... 5,300 94,075
Seaway Food Town, Inc. ............ 200 3,325
Second Bancorp, Inc. .............. 300 7,913
Security Connecticut Corp. ........ 3,400 98,600
*Seda Specialty Packaging Corp. .... 2,000 43,750
*Seeq Technology, Inc. DE .......... 12,000 44,625
*Seitel, Inc. ...................... 3,700 97,125
Selas Corp. of America ............ 1,400 15,050
Selective Insurance Group, Inc. ... 6,000 192,000
*Selfix, Inc. ...................... 1,000 4,625
*Semiconductor Packaging Materials
Co., Inc. ........................ 2,300 26,594
*Semitool, Inc. .................... 1,500 23,250
*#Semtech Corp. ..................... 2,300 26,594
*Seneca Foods Corp. ................ 1,100 18,700
*Seneca Foods Corp. Class A ........ 200 3,413
*Sepracor, Inc. .................... 13,300 192,850
*Sequa Corp. Class A ............... 2,600 106,275
*Sequent Computer Systems, Inc. .... 13,300 175,394
*Sequoia Systems, Inc. ............. 6,100 22,494
*Sequus Pharmaceuticals, Inc. ...... 11,400 243,675
*Seragen, Inc. ..................... 6,600 31,350
*Serv-Tech, Inc. ................... 2,600 15,925
*Service Merchandise Co., Inc. ..... 46,900 252,088
*Servico, Inc. ..................... 3,700 52,725
*Servotronics, Inc. ................ 1,030 5,023
Sevenson Environmental Services,
Inc. ............................. 1,300 25,025
</TABLE>
135
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
*Shaman Pharmaceuticals ............ 5,200 $ 42,900
*Shared Technologies Fairchild, Inc. 4,700 39,950
*Sharper Image Corp. ............... 5,900 30,975
*Shaw Group, Inc. .................. 3,400 59,288
*Sheffield Medical Technologies,
Inc. ............................. 3,700 20,119
Shelby Williams Industries, Inc. .. 3,300 37,538
*Sheldahl, Inc. .................... 10,300 264,581
Shelter Components, Inc. .......... 2,425 37,891
*Sherwood Group, Inc. .............. 5,000 53,750
*Shiloh Industries, Inc. ........... 3,000 47,438
*Shoe Carnival, Inc. ............... 5,200 24,375
*Sholodge, Inc. .................... 3,600 54,450
*Shoney's, Inc. .................... 16,600 203,350
Shopko Stores, Inc. ............... 19,400 293,425
Shoreline Financial Corp. ......... 1,680 35,490
*Shorewood Packaging Corp. ......... 7,700 126,569
*Show Biz Pizza Time, Inc. ......... 11,100 178,988
Showboat, Inc. .................... 6,800 189,550
*Showscan Corp. .................... 4,000 30,000
*#Shuffle Master, Inc. .............. 4,400 66,000
*Sierra Health Services, Inc. ...... 6,365 205,271
*Sierra On-Line, Inc. .............. 3,200 143,000
*Sierra Semiconductor Corp. ........ 13,600 201,450
Sierra Tahoe Bancorp .............. 200 2,663
*Sifco Industries, Inc. ............ 8,800 70,675
Sigcorp, Inc. ..................... 5,900 196,913
*Sight Resource Corp. .............. 1,600 11,000
*Sigma Circuits, Inc. .............. 1,600 12,500
*Sigma Designs, Inc. ............... 8,700 113,100
*Sigmatron International, Inc. ..... 800 10,950
*#Signal Apparel Co., Inc. Class A .. 4,200 23,100
*Signal Technology Corp. ........... 2,700 22,950
*Silicon Valley Bancshares ......... 4,200 101,850
*Siliconix, Inc. ................... 4,000 107,000
*Silver King Communications, Inc. .. 2,800 91,700
*Silverado Foods, Inc. ............. 2,400 8,400
Simmons First National Corp.
Class A .......................... 1,100 36,575
Simpson Industries, Inc. .......... 8,750 85,313
*Simula, Inc. ...................... 5,450 109,000
*Sinter Metals, Inc. Class A ....... 2,000 34,000
*Sirena Apparel Group, Inc. ........ 2,100 8,794
Sizzler International, Inc. ....... 16,200 60,750
Skyline Corp. ..................... 4,200 108,675
Skywest, Inc. ..................... 5,400 102,600
*Sloane's Supermarkets, Inc. ....... 1,900 5,938
Smart & Final Food, Inc. .......... 12,150 296,156
Smith (A.O.) Corp. ................ 7,500 200,625
Smith (A.O.) Corp. Convertible
Class A .......................... 1,500 40,781
*Smith Environmental Technologies
Corp. ............................ 2,900 7,431
*Smithfield Foods, Inc. ............ 7,200 185,400
Smucker (J.M.) Co. Class A ........ 4,800 97,800
Smucker (J.M.) Co. Class B ........ 4,400 87,450
Snyder Oil Corp. .................. 17,600 173,800
*Sodak Gaming, Inc. ................ 4,400 135,850
*Softdesk, Inc. .................... 3,000 33,000
*Softech, Inc. ..................... 1,600 5,000
*Softkey International, Inc. ....... 2,971 73,532
*Softnet Systems, Inc. (Private
Placement) ....................... 2,536 18,117
*Software Publishing Corp. ......... 5,525 14,503
*Software Spectrum, Inc. ........... 1,900 47,025
*Somatix Therapies Corp. ........... 9,200 70,725
<PAGE>
Shares Value+
-------- -----------
*Somatogen, Inc. ................... 8,200 $136,838
Somerset Group, Inc. .............. 250 3,875
*Sonic Corp. ....................... 6,000 143,250
*Sonic Solutions ................... 3,000 25,500
*Sound Advice, Inc. ................ 1,900 4,928
South Jersey Industries, Inc. ..... 3,948 89,817
Southdown, Inc. ................... 12,400 286,750
Southeastern Michigan Gas
Enterprises, Inc. ................ 4,749 76,578
Southern California Water Co. ..... 3,900 86,775
*Southern Electronics Corp. ........ 2,750 15,984
*Southern Energy Homes, Inc. ....... 4,250 89,516
*Southern Union Co. ................ 7,986 187,671
*Southwall Technologies, Inc. ...... 3,500 28,438
Southwest Bancorp, Inc. ........... 1,500 28,500
Southwest Bancshares, Inc. DE ..... 900 24,413
Southwest Gas Corp. ............... 9,700 167,325
Southwest National Corp. .......... 200 6,600
Southwest Securities Group, Inc ... 3,000 34,313
Southwest Water Co. ............... 1,050 11,681
Southwestern Energy Co. ........... 10,700 152,475
Sovereign Bancorp, Inc. ........... 20,272 214,123
*Spacelabs Medical, Inc. ........... 3,000 72,000
*Spaghetti Warehouse, Inc. ......... 3,400 18,700
Span-American Medical System, Inc. 1,700 8,819
Spartan Motors, Inc. .............. 8,900 70,922
Spartech Corp. .................... 9,300 94,163
*Sparton Corp. ..................... 7,700 34,650
*Spec's Music, Inc. ................ 5,300 10,931
*Special Devices, Inc. ............. 2,900 58,363
*Specialty Chemical Resources, Inc. 2,600 8,775
*Specialty Equipment Co., Inc. ..... 8,800 121,550
*Specialty Paperboard, Inc. ........ 1,600 23,000
*Spectran Corp. .................... 3,200 66,400
*Spectranetics Corp. ............... 7,302 46,550
*Spectrian Corp. ................... 3,200 62,000
*Spectrum Control, Inc. ............ 4,200 24,150
*Spectrum Holobyte, Inc. ........... 10,400 76,050
*Speizman Industries, Inc. ......... 1,800 8,550
*Spire Corp. ....................... 3,200 13,000
*Sport Chalet, Inc. ................ 1,400 3,413
Sport Supply Group, Inc. .......... 3,350 24,706
*Sportmart, Inc. ................... 2,100 9,975
*Sports & Recreation, Inc. ......... 9,900 94,050
*Sports Authority, Inc. ............ 7,200 214,200
*Sports Club Co., Inc. ............. 4,500 11,813
*Spreckels Industries, Inc. Class A 1,200 19,875
*Staar Surgical Co. ................ 5,100 75,863
*#Stac Electronics .................. 9,900 127,463
*Stacey's Buffet, Inc. ............. 3,700 2,486
*Staff Builders, Inc. Class A ...... 13,300 45,719
*Stage II Apparel Corp. ............ 1,700 5,100
*Standard Commercial Corp. ......... 3,669 33,483
*Standard Management Corp. ......... 2,100 9,056
*Standard Microsystems Corp. ....... 8,800 136,400
Standard Motor Products, Inc.
Class A .......................... 5,300 90,100
Standard Pacific Corp. DE ......... 12,200 88,450
Standard Products Co. ............. 6,700 182,575
Standard Register Co. ............. 4,500 126,000
Standex International Corp. ....... 5,500 146,438
*Stanford Telecommunications, Inc. . 6,900 385,538
Stanhome, Inc. .................... 8,000 232,000
*Stanley Furniture, Inc. ........... 200 2,400
</TABLE>
136
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
Stant Corp. ....................... 10,000 $115,625
*Starcraft Corp. ................... 1,300 5,606
Starret Housing Corp. ............. 3,900 45,338
Starrett (L.S.) Co. Class A ....... 2,400 61,800
*Starsight Telecast, Inc. .......... 8,400 82,950
*Starter Corp. ..................... 10,500 93,188
State Auto Financial Corp. ........ 4,800 120,000
*State of the Art, Inc. ............ 5,200 99,450
*Station Casinos, Inc. ............. 14,100 221,194
*Steck-Vaughn Publishing Corp. ..... 1,000 12,875
Steel Technologies, Inc. .......... 4,800 69,600
*Steel of West Virginia, Inc. ...... 4,400 40,700
*Stein Mart, Inc. .................. 8,900 152,969
Stepan Co. ........................ 6,400 125,600
Stephan Co. ....................... 1,700 25,713
Sterile Concepts Holdings, Inc. ... 1,700 39,100
*Steris Corp. ...................... 14,452 496,788
Sterling Bancorp .................. 3,900 44,363
Sterling Bancshares ............... 2,350 32,313
*Sterling Chemicals, Inc. .......... 16,700 192,050
*Sterling Electronics Corp. ........ 5,040 76,230
*Sterling Financial Corp. WA ....... 1,820 24,570
*Stevens Graphics Corp. Class A .... 4,000 11,000
Stewart Information Services Corp. 1,500 30,375
Stifel Financial Corp. ............ 1,680 13,440
*Stimsonite Corp. .................. 3,600 31,725
*Stokely USA, Inc. ................. 10,100 36,613
Stone & Webster, Inc. ............. 7,200 252,000
*Stone Energy Corp. ................ 1,900 35,388
*Strategic Distribution, Inc. ...... 12,692 105,502
Strawbridge & Clothier Class A .... 4,200 76,650
*Streamlogic Corp. ................. 8,400 53,550
Stride Rite Corp. ................. 29,300 263,700
*Strouds, Inc. ..................... 4,700 17,919
*Struthers Industries, Inc. ........ 4,700 18,800
*Stuart Entertainment, Inc. ........ 2,700 18,394
Student Loan Corp. ................ 5,600 200,900
Sturm Ruger & Co., Inc. ........... 8,500 421,813
*Submicron Systems Corp. ........... 4,600 46,863
*Sudbury, Inc. ..................... 4,200 37,275
Suffolk Bancorp ................... 1,000 31,875
*#Sugen, Inc. ....................... 5,100 69,806
*Sulcus Computer Corp. ............. 5,800 20,300
Sullivan Dental Products, Inc. .... 5,800 65,613
Sumitomo Bank of California ....... 4,400 109,450
*Summa Four, Inc. .................. 2,500 45,313
*Summagraphics Corp. ............... 1,500 4,453
*Summit Care Corp. ................. 2,700 64,800
*Summit Family Restaurants, Inc. ... 2,900 14,319
*#Summit Technology, Inc. ........... 14,600 250,938
*Sun Coast Plastics, Inc. .......... 1,600 8,000
*Sun Healthcare Group, Inc. ........ 26,000 383,500
*Sun Sportswear, Inc. .............. 2,300 7,475
Sun Television and Appliances, Inc. 8,600 43,000
*Sunair Electronics, Inc. .......... 3,000 10,875
*Sunbelt Nursery Group, Inc. ....... 2,600 3,981
*Suncoast Savings & Loan Association
FSA .............................. 1,200 7,425
*Sundance Homes, Inc. .............. 4,300 6,719
*Sunrise Bancorp CA ................ 1,300 3,575
*Sunrise Medical, Inc. ............. 7,200 135,900
*Sunrise Resources, Inc. ........... 2,200 7,425
*#Sunshine Mining and Refining Co. .. 3,000 4,500
Super Food Services, Inc. ......... 7,300 89,425
*Superconductor Technologies, Inc. . 2,400 18,450
<PAGE>
Shares Value+
-------- -----------
*Supercuts, Inc. ................... 6,800 $ 53,975
Superior Surgical Manufacturing
Co., Inc. ........................ 39,800 457,700
*Supertex, Inc. .................... 31,300 624,044
*Suprema Specialties, Inc. ......... 1,000 5,250
*Supreme Industries, Inc. .......... 2,530 19,924
*Supreme International Corp. ....... 1,800 29,700
*Surety Capital Corp. .............. 1,100 4,675
*Surgical Laser Technologies, Inc. . 2,800 7,875
*Surgical Technologies, Inc. ....... 1,000 6,000
*#Survival Technology, Inc. ......... 1,200 11,625
Susquehanna Bancshares, Inc. ...... 5,175 149,428
*Swift Energy Corp. ................ 6,820 121,908
*Swift Transportation, Inc. ........ 9,500 174,563
*Swing-n-Slide Corp. ............... 1,936 7,018
*Swisher International, Inc. ....... 200 863
*Swiss Army Brands, Inc. ........... 4,800 64,200
*Sybron Chemicals, Inc. ............ 1,100 15,400
*Sylvan Foods Holdings, Inc. ....... 2,469 34,103
*Sylvan Learning Systems, Inc. ..... 4,600 177,388
*Symix Systems, Inc. ............... 1,000 16,125
*Symmetricom, Inc. ................. 9,800 131,688
*Syms Corp. ........................ 9,900 77,963
Synalloy Corp. DE ................. 14,400 280,800
*Synbiotics Corp. .................. 2,300 10,206
*Syncor International Corp. DE ..... 4,200 58,275
*Synetic, Inc. ..................... 7,100 244,063
*Syntellect, Inc. .................. 5,300 34,781
*#Syquest Technology, Inc. .......... 4,400 47,850
*Syratech Corp. .................... 4,600 121,325
*Systemed, Inc. .................... 17,976 51,681
*Systemix, Inc. .................... 4,300 76,056
*Systems & Computer Technology Corp. 16,700 285,988
*Systemsoft Corp. .................. 4,100 192,444
*T Cell Sciences, Inc. ............. 8,900 33,375
*T-HQ, Inc. ........................ 200 1,163
*TBC Corp. ......................... 9,550 85,950
TCBY Enterprises, Inc. ............ 10,100 44,188
*TCC Industries, Inc. .............. 1,100 2,475
*TCI International, Inc. ........... 1,600 11,600
*TCSI Corp. ........................ 5,000 151,875
*TESSCO Technologies, Inc. ......... 1,000 35,875
*TFC Enterprises, Inc. ............. 4,500 11,250
*TII Industries, Inc. .............. 2,260 16,103
TJ International, Inc. ............ 8,800 167,200
*TMBR/Sharp Drilling, Inc. ......... 1,300 10,156
TNP Enterprises, Inc. ............. 4,400 117,700
*TPC Corp. ......................... 7,900 65,175
*TPI Enterprises, Inc. ............. 6,100 23,638
TR Financial Corp. ................ 3,900 105,788
*TRC Companies, Inc. ............... 4,600 28,750
*TRM Copy Centers Corp. ............ 4,000 44,000
*TRO Learning, Inc. ................ 2,400 40,800
*TSF Communications Corp. .......... 2,400 42,000
TSI, Inc. MN ...................... 3,300 69,713
TSR, Inc. ......................... 200 2,400
*TSX Corp. ......................... 3,500 101,500
Tab Products Co. DE ............... 2,400 18,000
*Taco Cabana Inc. .................. 9,200 80,500
*Talley Industries, Inc. ........... 5,400 43,875
*Tandy Brand Accessories, Inc. ..... 2,100 18,375
*Tandy Crafts, Inc. ................ 5,600 42,700
*Tanknology Environmental, Inc. .... 5,700 15,497
*Target Technologies, Inc. ......... 2,200 14,163
</TABLE>
137
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
*Target Therapeutics, Inc. ......... 2,800 $137,550
*Targeted Genetics Corp. ........... 5,000 26,875
Tasty Baking Co. .................. 3,700 42,088
*#Tatham Off-Shore, Inc. ............ 5,000 6,719
*Team, Inc. ........................ 2,300 5,750
*Tech Data Corp. ................... 11,400 265,763
*Tech-Sym Corp. .................... 2,700 92,138
Tech/Ops Sevcon, Inc. ............. 2,800 53,900
*Techne Corp. ...................... 3,800 111,625
*Technical Communications Corp. .... 1,000 19,000
Technitrol, Inc. .................. 4,700 168,025
*Technol Medical Products, Inc. .... 7,900 158,000
*Technology Solutions Corp. ........ 5,000 177,500
*Tejas Gas Corp. ................... 6,990 256,009
Tejon Ranch Co. ................... 9,100 161,525
*Tekelec ........................... 4,200 64,575
*Telco Systems, Inc. ............... 6,200 111,600
*Telebit Corp. ..................... 5,300 60,288
Telxon Corp. ...................... 6,400 118,000
*Temtex Industries, Inc. ........... 1,400 6,125
Tennant Co. ....................... 2,200 56,650
*Terex Corp. ....................... 4,500 40,500
*Tesoro Petroleum Corp. ............ 10,300 115,875
*Tetra Tech, Inc. .................. 4,250 106,250
*Tetra Technologies, Inc. .......... 6,200 129,425
*Texas Biotechnology Corp. ......... 8,500 46,219
Texas Industries, Inc. ............ 7,700 482,213
*Texas Meridian Resources Corp. .... 5,800 62,350
*Texfi Industries, Inc. ............ 5,200 12,350
*Thackeray Corp. ................... 3,600 12,600
*Theragenics Corp. ................. 4,400 65,450
*Theratech, Inc. UT ................ 5,300 121,900
*Theratx, Inc. ..................... 9,586 140,195
*Thermo Ecotek Corp. ............... 4,100 98,913
*Thermo Fibertek, Inc. ............. 5,550 165,113
*Thermo Power Corp. ................ 7,600 106,400
Thermo Remediation, Inc. .......... 5,000 70,625
*Thermo Terratech, Inc. ............ 6,400 80,000
*#Thermo Voltek Corp. ............... 1,200 26,400
*Thermwood Corp. ................... 1,000 1,938
Thiokol Corp. ..................... 2,400 98,700
*Thomas Group, Inc. ................ 3,100 59,675
Thomas Industries, Inc. ........... 4,000 82,500
Thomaston Mills, Inc. ............. 1,500 16,875
Thor Industries, Inc. ............. 4,000 87,000
Thorn Apple Valley, Inc. .......... 4,000 55,500
*Three-Five Systems, Inc. .......... 3,100 42,625
*Tide West Oil Co. ................. 3,900 62,888
*Timberland Co. Class A ............ 3,000 68,250
Timberline Software Corp. ......... 2,100 20,738
*Tipperary Corp. ................... 4,500 23,344
*Titan Corp. ....................... 8,300 57,063
Titan Holdings, Inc. .............. 4,420 69,615
#Titan Wheel International, Inc. ... 8,900 153,525
Toastmaster, Inc. ................. 3,000 16,125
*#Todays Man, Inc. .................. 4,900 10,413
*Todd Shipyards Corp. .............. 4,200 32,025
Todd-AO Corp. Class A ............. 220 3,823
*Todhunter International, Inc. ..... 3,600 35,100
*Tokheim Corp. ..................... 3,100 29,450
*Toll Brothers, Inc. ............... 13,400 224,450
Tompkins County Trustco, Inc. ..... 220 6,463
*Top Source Technologies, Inc. ..... 11,200 81,200
*Topps, Inc. ....................... 20,000 126,250
*#Tops Appliance City, Inc. ......... 2,900 6,525
<PAGE>
Shares Value+
-------- -----------
*Toreador Royalty Corp. ............ 1,500 $ 4,031
Toro Co. .......................... 4,900 154,963
Tosco Corp. ....................... 1,417 70,154
Tower Air, Inc. ................... 9,000 54,000
*Tower Automotive, Inc. ............ 3,200 76,800
*Toy Biz, Inc. Class A ............. 6,700 146,563
*Tracor, Inc. ...................... 5,300 111,300
*Tractor Supply Co. ................ 5,000 121,875
*Trak Auto Corp. ................... 3,300 54,863
Trans Financial, Inc. ............. 3,400 52,700
*Trans World Entertainment Corp. ... 3,900 22,425
*TransNet Corp. .................... 2,000 6,000
*Transaction Network Services, Inc. 3,600 90,450
*Transcend Services, Inc. .......... 200 2,175
*Transcisco Industries, Inc. ....... 1,600 9,100
*Transmation, Inc. ................. 1,000 8,938
Transmedia Network, Inc. .......... 5,650 49,438
Transnational RE Corp. Class A .... 2,200 53,075
Transport Leasing International,
Inc. .............................. 1,700 6,003
Transtechnology Corp. ............. 3,000 58,875
*#Transworld Bancorp ................ 250 2,938
*#Travel Ports of America, Inc. ..... 1,500 4,219
Treadco, Inc. ..................... 3,000 21,188
Tredegar Industries, Inc. ......... 2,050 65,600
*Tremont Corp. DE .................. 4,700 174,488
*Trend-Lines, Inc. Class A ......... 2,500 12,031
Trenwick Group, Inc. .............. 3,000 141,750
*Tri-Lite, Inc. .................... 29 0
*Triad Guaranty, Inc. .............. 1,800 64,013
*Triad Systems Corp. ............... 5,600 37,100
Triangle Bancorp, Inc. ............ 4,100 56,888
*Triangle Pacific Corp. ............ 6,500 133,250
*Tricord Systems, Inc. ............. 5,200 32,663
*Trident Microsystems, Inc. ........ 5,400 79,988
*Tridex Corp. ...................... 1,500 17,250
*Trimark Holdings, Inc. ............ 1,700 10,200
*Trimble Navigation, Ltd. .......... 8,600 206,400
*Trimedyne, Inc. ................... 3,800 31,469
*Trinitec Systems, Inc. Class A .... 2,900 14,500
Trion, Inc. ....................... 2,300 19,119
*Triple S Plastics, Inc. ........... 700 4,550
*Tripos, Inc. ...................... 2,000 13,500
*Triquint Semiconductor, Inc. ...... 4,700 116,031
*Trism, Inc. ....................... 1,100 5,775
*Tristar Corp. ..................... 1,000 7,688
True North Communications, Inc. ... 12,600 324,450
*Truevision, Inc. .................. 5,000 39,688
Trust Company of New Jersey ....... 7,700 103,469
Trustco Bank Corp. NY ............. 8,184 180,048
Tseng Laboratories, Inc. .......... 7,600 86,925
*Tuboscope Vetco International, Inc. 10,600 141,113
*Tucker Drilling Co., Inc. ......... 500 5,906
*Tucson Electric Power Co. ......... 11,780 173,755
*Tuesday Morning Corp. ............. 3,600 47,250
*Tultex Corp. ...................... 14,900 80,088
*Turner Corp. ...................... 2,600 26,650
Tuscarora Plastics, Inc. .......... 3,500 86,188
Twin Disc, Inc. ................... 1,400 33,075
*Tyco Toys, Inc. ................... 17,200 92,450
*Tyler Corp. ....................... 10,900 29,975
U.S. Bancorp, Inc. ................ 1,300 42,169
*U.S. Bioscience, Inc. ............. 11,200 191,800
U.S. Freightways Corp. ............ 13,100 286,563
*UNC, Inc. ......................... 12,600 113,400
</TABLE>
138
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
UNR Industries, Inc. .............. 18,300 $178,425
*URS Corp. ......................... 6,460 48,450
*US Can Corp. ...................... 8,800 150,700
*US Servis, Inc. ................... 2,500 12,578
US Trust Corp. .................... 3,900 210,113
*US Xpress Enterprises, Inc.
Class A .......................... 2,700 19,238
*USA Truck, Inc. ................... 1,900 22,563
*USA Waste Services, Inc. .......... 15,600 460,200
*USData Corp. ...................... 3,450 75,038
*USMX, Inc. ........................ 5,900 17,516
UST Corp. ......................... 7,900 104,181
USX-Delhi Group ................... 5,000 68,750
*UTI Energy Corp. .................. 1,000 12,250
*Ultimate Electronics, Inc. ........ 3,100 15,113
*Ultra Pacific, Inc. ............... 1,700 7,384
*Ultrak, Inc. ...................... 2,600 50,213
*#Ultralife Batteries, Inc. ......... 3,000 43,500
*Ultratech Stepper, Inc. ........... 9,900 249,356
Uni-Marts, Inc. ................... 4,500 35,438
Unico American Corp. .............. 3,000 22,688
Unifirst Corp. .................... 8,200 186,550
*Uniflex, Inc. ..................... 900 7,875
Uniforce Temporary Personnel, Inc. 2,700 48,938
*#Unigene Laboratories, Inc. ........ 8,500 33,336
*Unilab Corp. ...................... 11,900 23,056
*Unimed, Inc. ...................... 2,800 22,750
*Union Corp. DE .................... 3,900 77,513
*Union Switch & Signal, Inc. ....... 5,900 61,213
*Uniphase Corp. .................... 3,000 197,625
*Unique Mobility, Inc. ............. 4,000 17,500
*Uniroyal Technology Corp. ......... 5,200 19,013
*Unit Corp. ........................ 12,600 89,775
Unit Instruments, Inc. ............ 2,100 29,663
*United American Healthcare Corp. .. 3,700 42,550
United Bankshares, Inc. WV ........ 4,600 124,775
United Carolina Bancshares Corp. .. 9,450 209,081
United Cities Gas Co. ............. 4,950 74,869
*United Foods, Inc. Class A ........ 1,000 2,063
*United Guardian, Inc. ............. 1,900 5,700
United Illuminating Co. ........... 5,600 206,500
United Industrial Corp. ........... 5,300 33,125
*United Insurance Companies, Inc. .. 9,000 193,500
*United Meridian Corp. ............. 8,400 239,400
United National Bancorp ........... 1,012 31,625
*United Retail Group, Inc. ......... 5,500 24,063
*United States Alcohol Testing
America, Inc. .................... 15,200 45,600
*United States Energy Corp. ........ 2,100 43,444
United States Facilities Corp. .... 5,700 101,531
*United States Filter Corp. ........ 6,000 209,250
*United States Home Corp. .......... 3,900 100,425
*United States Homecare Corp. ...... 3,800 8,075
*United States Long Distance Corp. . 5,400 194,063
*United Stationers, Inc. ........... 222 4,745
*United Video Satellite Group, Inc.
Class A .......................... 3,300 64,763
*United Waste Systems, Inc. ........ 2,400 131,850
United Water Resources, Inc. ...... 13,300 177,888
United Wisconsin Services, Inc. ... 5,000 98,750
*Unitel Video, Inc. ................ 600 3,600
Unitil Corp. ...................... 1,100 25,369
Unitog Co. ........................ 2,800 74,900
*Unitrode Corp. .................... 4,600 131,675
Univar Corp. ...................... 8,700 107,663
<PAGE>
Shares Value+
-------- -----------
*Universal Electronics, Inc. ....... 2,700 $ 31,219
Universal Forest Products, Inc. ... 8,700 92,438
*Universal Health Services, Inc.
Class B .......................... 11,000 286,000
*Universal Hospital Services, Inc. . 2,200 18,425
*Universal International, Inc. ..... 1,500 7,359
*Universal Seismic Association, Inc. 1,700 8,819
*Universal Standard Medical Labs,
Inc. ............................. 2,500 14,063
*Uno Restaurant Corp. .............. 7,000 49,875
Upper Peninsula Energy Corp. ...... 1,000 19,125
*Uranuim Resources, Inc. ........... 3,300 49,913
*Urban Outfitters, Inc. ............ 2,600 109,525
Urogen Corp. ...................... 2,100 0
*Uromed Corp. ...................... 10,000 120,000
*Utah Medical, Inc. ................ 3,000 44,813
*Utilx Corp. ....................... 2,900 8,338
*V Band Systems, Inc. .............. 2,100 6,300
*V Mark Software, Inc. ............. 3,238 37,642
*VLSI Technology, Inc. ............. 7,300 125,469
*VTEL Corp. ........................ 5,400 64,463
VWR Scientific Products Corp. ..... 3,900 64,838
*Valence Technology, Inc. .......... 12,100 78,272
*Vallen Corp. ...................... 4,200 82,950
Valley Forge Corp. ................ 850 12,644
Valley Resources, Inc. ............ 2,600 30,875
Vallicorp Holdings, Inc. .......... 6,700 91,288
Valmont Industries, Inc. .......... 4,100 128,125
*Value City Department Stores, Inc. 17,800 182,450
Value Line, Inc. .................. 4,000 149,000
*Valuevision International, Inc.
Class A .......................... 11,700 83,363
*Vans, Inc. ........................ 5,000 100,000
*Varco International, Inc. ......... 13,400 222,775
*Vari L Co., Inc. .................. 1,400 19,688
*Variflex, Inc. .................... 3,900 28,763
Varlen Corp. ...................... 2,200 48,263
Varsity Spirit Corp. .............. 200 3,250
*Vaughn Communications, Inc. ....... 1,100 18,975
*Vectra Banking Corp. .............. 800 9,800
*Vectra Technologies, Inc. ......... 2,700 8,775
*#Ventritex, Inc. ................... 8,300 165,481
*Ventura County National Bancorp ... 2,564 10,176
Venture Stores, Inc. .............. 10,400 75,400
*Venturian Corp. ................... 200 2,475
Vermont Financial Services Corp. .. 2,000 66,500
*Vermont Teddy Bear, Inc. .......... 200 550
Versa Technologies, Inc. .......... 2,400 32,700
*Versar, Inc. ...................... 1,300 4,550
*Vertex Communications Corp. ....... 2,800 49,875
*Vertex Pharmaceuticals, Inc. ...... 6,400 236,800
Vesta Insurance Group, Inc. ....... 9,200 319,700
*Veterinary Centers of America, Inc. 4,600 113,563
*Vical, Inc. ....................... 7,000 135,188
*Vicorp Restaurants, Inc. .......... 3,600 46,800
*Video Display Corp. ............... 1,200 7,425
*Video Lottery Technologies, Inc. .. 3,200 16,000
*Videonics, Inc. ................... 1,100 10,450
*Vie de France Corp. ............... 8,300 22,825
*Viewlogic Systems, Inc. ........... 6,700 103,850
Vintage Petroleum, Inc. ........... 8,300 215,800
Virco Manufacturing Corp. ......... 1,464 14,274
Virginia Beach Federal Financial
Corp. ............................ 2,000 15,500
Virginia First Financial Corp. .... 400 4,800
</TABLE>
139
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
*Vision Sciences, Inc. ............. 5,100 $ 13,069
*Visx, Inc. DE ..................... 5,900 192,488
Vital Signs, Inc. ................. 5,200 125,775
*Vitalink Pharmacy Services, Inc. .. 8,300 194,013
*Vitesse Semiconductor, Inc. ....... 8,800 247,500
*Vitronics Corp. ................... 3,000 6,000
*Vivus, Inc. ....................... 5,400 159,975
*Volt Information Sciences, Inc. ... 2,000 59,750
*Volunteer Capital Corp. ........... 1,800 19,575
Vulcan International Corp. ........ 700 17,675
*WCI Steel, Inc. ................... 6,500 30,875
WD-40 Co. ......................... 2,000 95,250
*WHX Corp. ......................... 20,300 203,000
WICOR, Inc. ....................... 8,500 310,250
WLR Foods, Inc. ................... 8,700 112,556
*WMS Industries, Inc. .............. 9,600 211,200
*WPI Group, Inc. ................... 2,300 23,719
*#WRT Energy Corp. .................. 3,700 1,040
Wabash National Corp. ............. 11,600 236,350
Wackenhut Corp. Class A ........... 1,100 29,975
Wackenhut Corp. Class B Non- Voting 3,156 72,983
*Wahlco Environmental System, Inc. . 5,400 5,400
*Wainoco Oil Corp. ................. 14,900 55,875
Walbro Corp. ...................... 6,000 131,625
Walden Bancorp, Inc. .............. 3,600 68,850
*Walker Interactive Systems, Inc. .. 7,400 88,338
*Wall Data, Inc. ................... 3,700 82,788
*Wall Street Deli, Inc. ............ 1,500 8,344
Walshire Assurance Co. ............ 1,655 25,239
*Warner Insurance Services, Inc. ... 5,300 27,163
*Warrantech Corp. .................. 5,200 22,750
Warren Bancorp, Inc. .............. 1,000 12,813
*Washington Construction Group, Inc. 17,700 183,638
Washington Energy Co. ............. 9,400 176,250
*Washington Homes, Inc. ............ 4,400 18,700
Washington National Corp. ......... 7,300 193,450
Washington Savings Bank FSB
Waldorf, MD ...................... 1,700 9,031
*Washington Scientific Industries,
Inc. ............................. 1,000 4,063
#Waterhouse Investor Services, Inc. 6,250 228,906
#Waters Instruments, Inc. .......... 200 1,025
Watkins-Johnson Co. ............... 4,900 150,063
Watsco, Inc. Class A .............. 2,900 87,363
Watsco, Inc. Class B .............. 600 17,775
Watts Industries, Inc. Class A .... 8,600 162,325
*Wave Technologies International,
Inc. ............................. 1,100 6,463
*Waxman Industries, Inc. ........... 3,800 17,575
Webb (Del) Corp. .................. 6,700 118,925
Webster Financial Corp. ........... 3,184 91,739
*Wedco Technology, Inc. ............ 2,155 40,137
*Weirton Steel Corp. ............... 16,700 64,713
*Weitek Corp. ...................... 6,000 8,250
*Welcome Home, Inc. ................ 1,000 2,563
*#Wellcare Management Group, Inc. ... 1,900 23,750
*#Wells-Gardner Electronics Corp. ... 2,400 9,900
Werner Enterprises, Inc. .......... 5,300 128,525
Wesbanco, Inc. .................... 2,500 66,875
West Coast Bancorp ................ 1,490 27,193
*West Marine, Inc. ................. 2,200 156,750
West, Inc. ........................ 9,900 246,263
Westamerica Bancorporation ........ 4,800 233,400
<PAGE>
Shares Value+
-------- -----------
*Westbridge Capital Corp. .......... 1,100 $ 7,288
Westco Bancorp, Inc. .............. 1,200 25,350
Westcorp, Inc. .................... 18,197 327,537
Westerfed Financial Corp. ......... 1,400 20,388
*Western Beef, Inc. ................ 2,700 25,144
Western Gas Resources, Inc. ....... 10,300 153,213
*Western Micro Technology, Inc. .... 1,000 10,500
*Western Water Co. ................. 3,500 70,875
*Westmoreland Coal Co. ............. 3,800 15,200
*Weston (Roy F.), Inc. Class A ..... 3,000 15,563
*Westwood One, Inc. ................ 13,800 240,638
*Wet Seal, Inc. Class A ............ 1,700 43,031
*Whitehall Corp. ................... 1,600 62,400
Whitney Holdings Corp. ............ 9,300 288,300
*Whittaker Corp. ................... 3,800 73,150
*Whole Foods Market, Inc. .......... 7,800 192,075
*Wholesome & Hearty Foods, Inc. .... 4,100 29,725
*Wickes Lumber Co. ................. 1,800 9,675
Wiley (John) & Sons, Inc. Class A . 400 12,650
*Williams Clayton Energy, Inc. ..... 2,300 14,950
*Williams Controls, Inc. ........... 6,700 14,238
*Williams-Sonoma, Inc. ............. 10,125 282,234
Wilshire Oil Co. of Texas ......... 3,975 22,359
*Wind River Systems, Inc. .......... 4,200 133,875
Windmere Corp. .................... 7,400 96,200
Winnebago Industries, Inc. ........ 10,100 103,525
*Winstar Communications, Inc. ...... 15,500 484,375
Winthrop Resources Corp. .......... 4,600 100,050
Wireless Telecom Group, Inc. ...... 6,900 101,775
Wiser Oil Co. ..................... 2,300 30,188
Wolohan Lumber Co. ................ 2,200 23,788
*Wolverine Tube, Inc. .............. 5,500 200,750
Wolverine World Wide, Inc. ........ 5,175 172,069
*Wonderware Corp. .................. 8,000 160,000
Woodhead Industries, Inc. ......... 3,100 43,206
#Workingmens Capital Holdings, Inc. 200 4,000
*World Acceptance Corp. ............ 12,300 110,700
World Fuel Services Corp. ......... 4,704 84,084
*Worldcorp, Inc. ................... 12,200 94,550
*Worldtex, Inc. .................... 8,800 55,000
Worthington Foods, Inc. ........... 2,575 40,234
Wyle Laboratories, Inc. ........... 4,100 174,250
*Wyman-Gordon Co. .................. 13,900 237,169
Wynns International, Inc. ......... 7,125 195,047
X-Rite, Inc. ...................... 6,800 119,425
*Xicor, Inc. ....................... 7,300 88,513
*Xircom, Inc. ...................... 7,600 124,450
*#Xoma Corp. ........................ 11,300 81,572
*Xpedite Systems, Inc. ............. 1,900 51,300
*Xytronyx, Inc. .................... 1,100 3,369
Yankee Energy Systems, Inc. ....... 4,700 104,575
*Yellow Corp. ...................... 11,200 144,900
*Yes Clothing Co. .................. 1,500 2,813
York Financial Corp. .............. 1,810 30,091
*York Research Corp. ............... 5,000 48,750
*Youth Services International, Inc. 3,000 79,500
*Zale Corp. ........................ 14,500 280,938
*Zaring Homes, Inc. ................ 1,500 18,375
*Zebra Technologies Corp. Class A .. 200 5,000
*Zemex Corp. ....................... 3,528 32,634
*Zenith Electronics Corp. .......... 20,300 294,350
Zenith National Insurance Corp. ... 8,500 236,938
Zero Corp. ........................ 4,800 102,600
*Zing Technologies, Inc. ........... 1,500 16,688
*Zitel Corp. ....................... 4,300 76,594
</TABLE>
140
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
*Zoll Medical Corp. ................ 1,800 $ 27,900
*#Zoltek Companies, Inc. ............ 2,500 211,875
Zurn Industries, Inc. ............. 7,800 158,925
*Zycad Corp. ....................... 11,800 87,394
*Zygo Corp. ........................ 1,950 113,344
*Zytec Corp. ....................... 1,700 73,738
-----------
TOTAL COMMON STOCKS
(Cost $222,063,825) ................ 302,049,287
-----------
PREFERRED STOCKS -- (0.0%)
Phoenix Duff & Phelps Corp. Class A
(Cost $25,085) .................... 770 19,924
-----------
RIGHTS/WARRANTS -- (0.0%) ...........
*Advanced NMR Systems, Inc. Warrants
08/30/00 .......................... 696 413
*Allied Capital Lending Corp. Rights
06/04/96 .......................... 2,200 0
*American Satellite Network, Inc.
Warrants 06/30/99 ................. 2,525 0
*Amvestors Financial Corp. Warrants
Class A 03/04/02 .................. 391 2,077
*Envoy Corp. Contingent Payment
Rights ............................ 2,000 0
*Jamesway Corp. Warrants 01/28/10 .. 559 56
*Krug International Corp. Warrants
01/31/98 .......................... 169 58
*Millicom, Inc. Contingent Value
Rights ............................ 10,100 0
*Patina Oil & Gas Corp. Warrants
05/02/01 .......................... 1,567 2,742
*Sound Advice, Inc. Warrants
06/14/99 .......................... 478 0
*Statesman Group, Inc. Contingent
Payment Rights .................... 9,765 0
-----------
TOTAL RIGHTS/WARRANTS
(Cost $2,895) ...................... 5,346
-----------
Face
Amount Value+
-------- ---------
(000)
TEMPORARY CASH INVESTMENTS -- (2.9%)
Repurchase Agreement, PNC
Securities Corp. 5.05%, 06/03/96
(Collateralized by U.S. Treasury
Notes 6.50%, 09/30/96)
(Cost $9,058,000) ................ $9,058 $ 9,058,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $231,149,805) .............. 311,132,557
------------
OTHER ASSETS AND LIABILITIES -- (0.0%)
Other Assets .................... 368,397
Payable for Investment Securities
Purchased .................... (247,655)
Other Liabilities ............... (67,182)
------------
53,560
------------
NET ASSETS -- (100.0%) Applicable
to 24,037,996 Outstanding $.01
Par Value Shares (Unlimited
Number of Shares Authorized) .... $311,186,117
============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ...... $ 12.95
============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
141
<PAGE>
STATEMENT OF NET ASSETS
THE U.S. LARGE COMPANY SERIES
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
COMMON STOCKS -- (98.8%)
*AMR Corp. ........................... 2,200 $ 207,625
AON Corp. ........................... 2,900 146,088
AT & T Corp. ........................ 40,919 2,552,323
Abbott Laboratories ................. 20,300 875,438
*Advanced Micro Devices, Inc. ........ 3,500 61,688
Aetna Life & Casualty Co. ........... 3,000 221,250
Ahmanson (H.F.) & Co. ............... 2,900 74,675
Air Products & Chemicals, Inc. ...... 2,900 172,550
*Airtouch Communications, Inc. ....... 12,800 408,000
Alberto-Culver Co. Class B .......... 700 27,738
Albertson's Inc. .................... 6,500 259,188
Alcan Aluminum, Ltd. ................ 5,800 189,950
Alco Standard Corp. ................. 3,300 206,250
Alexander & Alexander Services, Inc. 1,200 23,850
Allergan, Inc. ...................... 1,800 69,300
AlliedSignal, Inc. .................. 7,200 394,200
Allstate Corp. ...................... 11,338 479,031
Alltel Corp. ........................ 4,900 154,350
Aluminium Co. of America ............ 4,600 283,475
*Alza Corp. .......................... 2,100 59,850
*Amdahl Corp. ........................ 3,000 35,250
Amerada Hess Corp. .................. 2,300 131,100
American Brands, Inc. ............... 4,700 205,625
American Electric Power Co., Inc. ... 4,800 192,600
American Express Co. ................ 12,500 571,875
American General Corp. .............. 5,400 191,700
American Greetings Corp. Class A .... 1,900 51,419
American Home Products Corp. ........ 15,900 850,650
American International Group, Inc. .. 12,000 1,131,000
American Stores Co. ................. 3,800 142,025
Ameritech Corp. ..................... 14,100 796,650
*Amgen, Inc. ......................... 6,800 404,175
Amoco Corp. ......................... 12,800 928,000
Amp, Inc. ........................... 5,440 229,160
*Andrew Corp. ........................ 1,425 77,128
Anheuser-Busch Companies, Inc. ...... 6,500 463,125
Apple Computer, Inc. ................ 3,300 86,006
*Applied Materials, Inc. ............. 4,600 171,063
Archer-Daniels Midland Co. .......... 13,292 259,194
*Armco, Inc. ......................... 2,700 14,175
Armstrong World Industries, Inc. .... 1,000 58,875
Asarco, Inc. ........................ 1,150 36,081
Ashland, Inc. ....................... 1,800 76,950
Atlantic Richfield Co. .............. 4,000 478,500
Autodesk, Inc. ...................... 1,200 41,475
Automatic Data Processing, Inc. ..... 7,400 283,975
Avery Dennison Corp. ................ 1,400 79,800
Avon Products, Inc. ................. 1,800 166,500
Baker Hughes, Inc. .................. 3,600 112,950
Ball Corp. .......................... 800 22,100
*Bally Entertainment Corp. ........... 1,200 28,800
Baltimore Gas & Electric Co. ........ 3,850 105,394
Banc One Corp. ...................... 11,762 435,194
Bank of Boston Corp. ................ 2,400 119,700
Bank of New York Co., Inc. .......... 5,000 259,375
BankAmerica Corp. ................... 9,356 704,039
Bankers Trust New York Corp. ........ 2,000 150,250
Bard (C.R.), Inc. ................... 1,400 46,025
<PAGE>
Shares Value+
-------- -----------
Barnett Banks, Inc. ................. 2,400 $ 150,000
Barrick Gold Corp. .................. 8,900 280,350
Bausch & Lomb, Inc. ................. 1,400 60,200
Baxter International, Inc. .......... 6,900 305,325
*Bay Networks, Inc. .................. 4,800 139,200
Becton Dickinson & Co. .............. 1,600 136,000
Bell Atlantic Corp. ................. 11,100 692,363
Bellsouth Corp. ..................... 25,400 1,031,875
Bemis Co., Inc. ..................... 1,400 46,375
Beneficial Corp. .................... 1,300 75,725
*Bethlehem Steel Corp. ............... 2,800 35,700
*Beverly Enterprises ................. 2,400 29,400
*Biomet, Inc. ........................ 3,100 43,206
Black & Decker Corp. ................ 2,200 90,475
Block (H.&R.), Inc. ................. 2,600 90,675
Boatmen's Bancshares, Inc. .......... 4,100 165,794
Boeing Co. .......................... 8,700 741,675
Boise Cascade Corp. ................. 1,200 50,400
*Boston Scientific Corp. ............. 4,500 192,938
Briggs & Stratton Corp. ............. 800 34,400
Bristol Myers Squibb Co. ............ 13,000 1,109,875
Brown Group, Inc. ................... 400 6,800
Brown-Forman Corp. Class B .......... 1,900 77,188
Browning-Ferris Industries, Inc. .... 5,600 170,800
Brunswick Corp. ..................... 2,400 53,700
Burlington Northern Santa Fe Corp. .. 3,889 329,593
Burlington Resources, Inc. .......... 3,400 129,200
CIGNA Corp. ......................... 1,900 218,263
CPC International, Inc. ............. 3,800 262,675
CSX Corp. ........................... 5,400 267,300
*CUC International, Inc. ............. 4,700 173,900
*Cabletron Systems, Inc. ............. 2,000 145,500
Caliber Systems, Inc. ............... 1,000 37,125
Campbell Soup Co. ................... 6,400 412,800
Carolina Power & Light Co. .......... 4,000 144,500
Case Corp. .......................... 1,700 85,213
Caterpillar, Inc. ................... 5,100 334,688
Centex Corp. ........................ 800 24,100
Central & South West Corp. .......... 5,400 149,175
Ceridian Corp. ...................... 1,700 89,888
Champion International Corp. ........ 2,400 105,900
Charming Shoppes, Inc. .............. 2,800 22,313
Chase Manhattan Corp. ............... 11,266 788,620
Chevron Corp. ....................... 16,800 1,003,800
Chrysler Corp. ...................... 9,800 652,925
Chubb Corp. ......................... 4,400 205,150
Cincinnati Milacron, Inc. ........... 900 21,600
Cinergy Corp. ....................... 3,918 116,071
Circuit City Stores, Inc. ........... 2,400 78,300
*Cisco Sytems, Inc. .................. 14,000 765,625
Citicorp ............................ 12,400 1,041,600
Clorox Co. .......................... 1,300 110,663
Coastal Corp. ....................... 2,600 106,600
Coca-Cola Co. ....................... 64,100 2,948,545
Colgate-Palmolive Co. ............... 3,800 299,250
Columbia Gas System, Inc. ........... 1,400 68,425
Columbia/HCA Healthcare Corp. ....... 11,255 606,363
Comcast Corp. Class A Special ....... 6,200 107,338
Comerica, Inc. ...................... 3,000 131,250
*Community Psychiatric Centers ....... 1,100 10,450
</TABLE>
142
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
*Compaq Computer Corp. ............... 6,800 $ 330,650
Computer Associates International,
Inc. ................................ 6,150 447,413
*Computer Sciences Corp. ............. 1,400 110,425
Conagra, Inc. ....................... 6,450 274,931
Conrail, Inc. ....................... 2,000 140,500
Consolidated Edison Co. of New York,
Inc. ................................ 6,000 167,250
Consolidated Freightways, Inc. ...... 1,100 26,125
Consolidated Natural Gas Co. ........ 2,300 111,263
Cooper Industries, Inc. ............. 2,900 123,613
Cooper Tire & Rubber Co. ............ 2,100 50,663
Coors (Adolph) Co. Class B .......... 1,000 18,625
Corestates Financial Corp. .......... 5,700 224,438
Corning, Inc. ....................... 5,900 225,675
Crane Co. ........................... 950 40,019
Crown Cork & Seal Co., Inc. ......... 3,300 154,275
Cummins Engine Co., Inc. ............ 1,000 42,500
Cyprus Amax Minerals Co., Inc. ...... 2,300 55,200
*DSC Communications Corp. ............ 3,100 93,194
DTE Energy Co. ...................... 3,800 111,150
Dana Corp. .......................... 2,500 83,750
Darden Restaurants, Inc. ............ 4,100 48,688
*Data General Corp. .................. 1,000 12,750
Dayton-Hudson Corp. ................. 1,900 193,800
Dean Witter, Discover & Co. ......... 4,366 258,686
Deere & Co. ......................... 6,700 278,888
Delta Air Lines, Inc. ............... 1,200 99,450
Deluxe Corp. ........................ 2,100 76,125
Dial Corp. .......................... 2,300 66,125
*Digital Equipment Corp. ............. 3,800 198,075
Dillard Department Stores, Inc.
Class A ............................. 2,800 112,000
Disney (Walt) Co. ................... 17,200 1,044,900
Dominion Resources, Inc. VA ......... 4,550 172,331
Donnelley (R.R.) & Sons Co. ......... 4,000 147,000
Dover Corp. ......................... 2,800 133,000
Dow Chemical Co. .................... 6,700 560,288
Dow Jones & Co., Inc. ............... 2,400 93,900
Dresser Industries, Inc. ............ 4,800 140,400
DuPont (E.I.) de Nemours & Co. ...... 14,300 1,140,425
Duke Power Co. ...................... 5,400 260,550
Dun & Bradstreet Corp. .............. 4,200 268,275
E G & G, Inc. ....................... 1,200 26,100
*EMC Corp. MA ........................ 5,900 130,538
Eastern Enterprises ................. 600 20,475
Eastman Chemical Co. ................ 2,025 135,675
Eastman Kodak Co. ................... 8,700 647,063
Eaton Corp. ......................... 2,000 115,750
Echlin, Inc. ........................ 1,600 55,000
Echo Bay Mines, Ltd. ................ 3,400 45,900
Ecolab, Inc. ........................ 1,600 52,000
Edison International ................ 11,300 186,450
Emerson Electric Co. ................ 5,600 479,500
Engelhard Corp. ..................... 3,637 89,107
Enron Corp. ......................... 6,400 256,000
Enserch Corp. ....................... 1,700 36,763
Entergy Corp. ....................... 5,900 154,875
Exxon Corp. ......................... 31,700 2,686,575
*FMC Corp. ........................... 1,000 67,250
FPL Group, Inc. ..................... 4,800 205,200
*Federal Express Corp. ............... 1,400 107,275
Federal Home Loan Mortgage Corp. .... 4,700 388,338
Federal National Mortgage
Association ......................... 27,900 861,413
<PAGE>
Shares Value+
-------- -----------
*Federated Department Stores, Inc. ... 5,200 $ 180,050
Fifth Third Bancorp ................. 2,700 146,813
First Bank System, Inc. ............. 3,800 229,425
First Chicago NBD Corp. ............. 8,208 358,074
First Data Corp. .................... 5,700 454,575
First Union Corp. ................... 7,260 443,768
Fleet Financial Group, Inc. ......... 6,819 300,888
Fleetwood Enterprises, Inc. ......... 1,100 33,138
Fleming Companies, Inc. ............. 1,000 15,625
Fluor Corp. ......................... 2,100 137,025
Ford Motor Co. ...................... 29,900 1,091,350
Foster Wheeler Corp. ................ 1,050 46,725
Freeport McMoran Copper & Gold, Inc.
Class B ............................. 5,200 172,900
*Fruit of The Loom, Inc. Class A ..... 1,900 51,300
GTE Corp. ........................... 24,800 1,060,200
Gannett Co., Inc. ................... 3,600 251,100
Gap, Inc. ........................... 7,300 245,463
General Dynamics Corp. .............. 1,500 92,438
General Electric Co. ................ 42,700 3,533,425
*General Instrument Corp. ............ 3,300 101,888
General Mills, Inc. ................. 4,000 229,500
General Motors Corp. ................ 19,300 1,063,913
General Public Utilities Corp. ...... 3,200 107,200
General RE Corp. .................... 2,100 306,600
General Signal Corp. ................ 1,200 45,900
Genuine Parts Co. ................... 3,250 147,875
Georgia-Pacific Corp. ............... 2,300 166,175
Giant Food, Inc. Class A ............ 1,500 51,750
Giddings & Lewis, Inc. .............. 950 15,734
Gillette Co. ........................ 11,300 668,113
Golden West Financial Corp. ......... 1,400 76,825
Goodrich (B.F.) Co. ................. 1,500 59,438
Goodyear Tire & Rubber Co. .......... 3,900 196,950
Grace (W.R.) & Co. .................. 2,400 178,800
Grainger (W.W.), Inc. ............... 1,200 80,250
Great Atlantic & Pacific Tea Co.,
Inc. ................................ 900 30,825
Great Lakes Chemical Corp. .......... 1,800 116,100
Great Western Financial Corp. ....... 3,600 82,800
Green Tree Financial Corp. .......... 3,600 117,900
Halliburton Co. ..................... 2,800 155,750
Harcourt General, Inc. .............. 1,823 92,517
Harland (John H.) Co. ............... 850 23,056
Harnischfeger Industries, Inc. ...... 1,200 42,000
*Harrahs Entertainment, Inc. ......... 2,500 84,063
Harris Corp. ........................ 1,000 64,625
Hasbro, Inc. ........................ 2,150 81,163
Heinz (H.J.) Co. .................... 9,600 319,200
Helmerich & Payne, Inc. ............. 700 25,375
Hercules, Inc. ...................... 2,700 153,225
Hershey Foods Corp. ................. 2,000 145,500
Hewlett-Packard Co. ................. 13,000 1,387,750
Hilton Hotels Corp. ................. 1,200 129,300
Home Depot, Inc. .................... 12,066 616,874
Homestake Mining Co. ................ 3,900 80,438
Honeywell, Inc. ..................... 3,300 167,475
Household International, Inc. ....... 2,400 166,200
Houston Industries, Inc. ............ 6,800 148,750
*Humana, Inc. ........................ 4,200 92,400
*ITT Corp. ........................... 3,100 190,650
ITT Hartford Group, Inc. ............ 3,200 165,600
ITT Industries, Inc. ................ 3,200 87,600
Illinois Tool Works, Inc. ........... 2,900 194,300
Inco, Ltd. .......................... 2,900 94,613
Ingersoll-Rand Co. .................. 2,700 113,738
</TABLE>
143
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
Inland Steel Industries, Inc. ....... 1,300 $ 28,113
Intel Corp. ......................... 20,900 1,576,644
*Intergraph Corp. .................... 1,100 14,300
International Business Machines Corp. 14,500 1,547,875
International Flavors & Fragrances,
Inc. ................................ 3,000 145,875
International Paper Co. ............. 7,600 303,050
Interpublic Group of Companies, Inc. 2,000 92,750
James River Corp. of Virginia ....... 2,100 52,238
Jefferson-Pilot Corp. ............... 1,775 91,191
Johnson & Johnson ................... 16,900 1,645,638
Johnson Controls, Inc. .............. 1,000 69,750
Jostens, Inc. ....................... 1,000 22,625
K Mart Corp. ........................ 11,800 137,175
Kaufman & Broad Home Corp. .......... 1,100 16,363
Kellogg Co. ......................... 5,600 407,400
Kerr-McGee Corp. .................... 1,300 76,375
Keycorp ............................. 6,100 236,375
Kimberly Clark Corp. ................ 7,152 521,202
*King World Productions, Inc. ........ 1,000 41,750
Knight Ridder, Inc. ................. 1,200 89,700
*Kroger Co. .......................... 3,300 129,525
*LSI Logic Corp. ..................... 3,400 105,825
Laidlaw, Inc. Class B Non-Voting .... 7,500 75,938
Lilly (Eli) & Co. ................... 14,000 899,500
Limited, Inc. ....................... 7,000 145,250
Lincoln National Corp. .............. 2,600 122,200
Liz Claiborne, Inc. ................. 1,900 70,538
Lockheed Martin Corp. ............... 5,104 428,098
Loews Corp. ......................... 2,900 231,275
Longs Drug Stores Corp. ............. 400 17,150
Louisiana Land & Exploration Co. .... 800 43,100
Louisiana-Pacific Corp. ............. 2,900 71,413
Lowe's Companies, Inc. .............. 4,000 137,000
Luby's Cafeterias, Inc. ............. 500 12,313
MBNA Corp. .......................... 5,850 179,156
MCI Communications Corp. ............ 17,300 502,781
Mallinckrodt Group, Inc. ............ 1,800 67,725
Manor Care, Inc. .................... 1,750 68,250
Marriott International, Inc. ........ 3,100 147,250
Marsh & McLennan Companies, Inc. .... 2,000 187,250
Masco Corp. ......................... 4,000 125,000
Mattel, Inc. ........................ 7,000 190,750
May Department Stores Co. ........... 6,400 303,200
Maytag Corp. ........................ 2,900 62,350
McDermott International, Inc. ....... 1,400 30,450
McDonalds Corp. ..................... 17,700 851,813
McDonnell Douglas Corp. ............. 2,800 282,800
McGraw-Hill Companies, Inc. ......... 2,700 126,563
Mead Corp. .......................... 1,300 69,875
Medtronic, Inc. ..................... 6,000 337,500
Mellon Bank Corp. ................... 3,300 188,513
Melville Corp. ...................... 2,600 105,625
Mercantile Stores Co., Inc. ......... 1,000 64,500
Merck & Co., Inc. ................... 31,600 2,042,150
Meredith Corp. ...................... 600 27,525
Merrill Lynch & Co., Inc. ........... 4,500 291,375
Micron Technology, Inc. ............. 5,300 170,925
*Microsoft Corp. ..................... 15,100 1,792,181
Millipore Corp. ..................... 1,100 48,263
Minnesota Mining & Manufacturing Co. 10,700 730,275
Mobil Corp. ......................... 10,200 1,151,325
Monsanto Co. ........................ 3,000 455,625
<PAGE>
Shares Value+
-------- -----------
Moore Corp., Ltd. ................... 2,700 $ 50,288
Morgan (J.P.) & Co., Inc. ........... 4,800 417,000
Morgan Stanley Group, Inc. .......... 3,900 193,050
Morton International, Inc. .......... 3,900 148,200
Motorola, Inc. ...................... 15,200 1,014,600
Nacco Industries, Inc. Class A ...... 200 11,200
Nalco Chemical Co. .................. 1,700 53,975
National City Corp. ................. 6,500 231,563
*National Semiconductor Corp. ........ 3,400 55,250
National Service Industries, Inc. ... 1,200 46,650
NationsBank Corp. ................... 7,524 610,385
*Navistar International Corp. ........ 2,050 21,269
New York Times Class A .............. 2,400 78,900
Newell Co. .......................... 4,100 123,000
Newmont Mining Corp. ................ 2,623 158,036
Niagara Mohawk Power Corp. .......... 3,800 28,975
Nicor, Inc. ......................... 1,200 33,300
Nike, Inc. Class B .................. 3,600 361,350
Noram Energy Corp. .................. 3,100 32,938
Nordstrom, Inc. ..................... 2,200 111,788
Norfolk Southern Corp. .............. 3,400 293,250
Northern States Power Co. MN ........ 1,900 89,300
Northern Telecom, Ltd. .............. 6,500 352,625
Northrop Grumman Corp. .............. 1,200 75,150
Norwest Corp. ....................... 8,900 310,388
*Novell, Inc. ........................ 9,300 131,944
Nucor Corp. ......................... 2,200 121,000
Nynex Corp. ......................... 10,900 502,763
Occidental Petroleum Corp. .......... 8,100 209,588
Ogden Corp. ......................... 1,300 25,188
Ohio Edison Co. ..................... 4,000 87,500
Oneok, Inc. ......................... 600 16,350
*Oracle Systems Corp. ................ 16,825 556,277
*Oryx Energy Co. ..................... 2,600 42,250
Outboard Marine Corp. ............... 600 11,625
*Owens Corning ....................... 1,200 48,300
PECO Energy Co. ..................... 5,800 142,825
PNC Bank Corp. ...................... 8,650 262,744
PP&L Resources, Inc. ................ 4,000 91,500
PPG Industries, Inc. ................ 5,100 263,925
Paccar, Inc. ........................ 1,060 51,940
PacifiCorp .......................... 7,400 148,925
Pacific Enterprises ................. 2,100 55,388
Pacific Gas & Electric Co. .......... 10,700 248,775
Pacific Telesis Group ............... 10,900 363,788
Pall Corp. .......................... 3,100 82,925
Panenergy Corp. ..................... 3,900 125,288
Parker-Hannifin Corp. ............... 1,900 77,425
Penney (J.C.) Co., Inc. ............. 5,700 295,688
Pennzoil Co. ........................ 1,200 51,900
Peoples Energy Corp. ................ 900 28,800
Pep Boys -- Manny, Moe & Jack ....... 1,600 52,800
Pepsico, Inc. ....................... 40,400 1,343,300
Perkin Elmer Corp. .................. 1,100 58,300
Pfizer, Inc. ........................ 16,200 1,146,150
Pharmacia & Upjohn, Inc. ............ 12,865 525,857
Phelps Dodge Corp. .................. 1,800 123,300
Philip Morris Companies, Inc. ....... 21,400 2,126,625
Phillips Petroleum Co. .............. 6,700 278,050
Pioneer Hi-Bred International, Inc. . 2,100 118,650
Pitney Bowes, Inc. .................. 3,800 188,575
Placer Dome, Inc. ................... 6,100 180,713
Polaroid Corp. ...................... 1,100 49,500
Potlatch Corp. ...................... 800 33,000
Praxair, Inc. ....................... 4,000 162,500
</TABLE>
144
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- -----------
<S> <C> <C>
Premark International, Inc. ......... 1,500 $ 24,188
*Price/Costco, Inc. .................. 5,065 100,983
Procter & Gamble Co. ................ 17,400 1,529,025
Providian Corp. ..................... 2,400 104,700
Public Service Enterprise Group, Inc. 6,300 166,950
Pulte Corp. ......................... 600 16,800
Quaker Oats Co. ..................... 3,600 126,450
Ralston Purina Group ................ 2,600 159,250
Raychem Corp. ....................... 1,100 82,225
Raytheon Co. ........................ 6,200 330,150
Reebok International, Ltd. .......... 1,900 57,713
Republic New York Corp. ............. 1,400 88,550
Reynolds Metals Co. ................. 1,500 81,000
Rite Aid Corp. ...................... 2,100 61,688
Rockwell International Corp. ........ 5,600 326,900
Rohm & Haas Co. ..................... 1,600 108,400
Rowan Companies, Inc. ............... 2,100 31,763
Royal Dutch Petroleum Co. ........... 13,600 2,040,000
Rubbermaid, Inc. .................... 4,100 114,800
Russell Corp. ....................... 1,000 27,500
*Ryans Family Steak Houses, Inc. ..... 1,400 12,250
Ryder System, Inc. .................. 2,000 58,500
SBC Communications, Inc. ............ 15,500 765,313
Safeco Corp. ........................ 3,100 104,431
Safety Kleen Corp. .................. 1,500 24,938
*Saint Jude Medical, Inc. ............ 1,800 68,400
Saint Paul Companies, Inc. .......... 2,100 111,038
Salomon, Inc. ....................... 2,600 108,875
*Santa Fe Energy Resources, Inc. ..... 2,200 26,400
Santa Fe Pacific Corp. .............. 3,503 53,421
Sara Lee Corp. ...................... 12,500 417,188
Schering-Plough Corp. ............... 9,200 539,350
Schlumberger, Ltd. .................. 6,200 516,925
Scientific-Atlanta, Inc. ............ 2,100 39,638
Seagram Co., Ltd. ................... 9,700 335,863
Sears, Roebuck & Co. ................ 10,100 513,838
Service Corp. International ......... 3,050 170,419
Shared Medical Systems Corp. ........ 500 33,438
Sherwin-Williams Co. ................ 2,300 103,213
*Shoney's, Inc. ...................... 1,100 13,475
Sigma-Aldrich Corp. ................. 1,200 66,900
*Silicon Graphics, Inc. .............. 4,300 118,250
Snap-On, Inc. ....................... 1,100 52,938
Sonat, Inc. ......................... 2,200 93,225
Southern Co. ........................ 16,900 390,813
Southwest Airlines Co. .............. 3,800 104,025
Springs Industries, Inc. Class A .... 450 20,869
Sprint Corp. ........................ 11,000 466,125
Stanley Works ....................... 1,100 66,688
Stone Container Corp. ............... 2,514 38,967
Stride Rite Corp. ................... 1,300 11,700
Sun Company, Inc. ................... 1,900 58,188
*Sun Microsystems .................... 4,700 294,044
Suntrust Banks, Inc. ................ 5,800 211,700
Supervalu, Inc. ..................... 1,700 52,700
Sysco Corp. ......................... 4,700 160,388
TJX Companies, Inc. ................. 1,800 63,450
TRW, Inc. ........................... 1,600 150,800
*Tandem Computers, Inc. .............. 2,900 36,250
Tandy Corp. ......................... 1,515 81,810
Tektronix, Inc. ..................... 900 34,200
*Tele-Communications, Inc. Class A ... 16,800 316,050
Teledyne, Inc. ...................... 1,400 52,850
*Tellabs, Inc. ....................... 2,200 141,350
<PAGE>
Shares Value+
-------- -----------
Temple-Inland, Inc. ................. 1,400 $ 68,950
*Tenet Healthcare Corp. .............. 5,500 118,250
Tenneco, Inc. ....................... 4,500 241,875
Texaco, Inc. ........................ 6,700 561,125
Texas Instruments, Inc. ............. 4,700 264,375
Texas Utilities Co. ................. 5,800 237,075
Textron, Inc. ....................... 2,100 177,975
Thomas & Betts Corp. ................ 1,000 38,500
*Three COM Corp. ..................... 4,300 211,506
Time Warner, Inc. ................... 10,060 406,173
Times Mirror Co. Class A ............ 2,700 117,788
Timken Co. .......................... 900 35,438
Torchmark Corp. ..................... 1,850 78,856
*Toys 'R' Us, Inc. ................... 7,000 203,000
Transamerica Corp. .................. 1,900 153,900
Travelers Group, Inc. ............... 12,078 501,237
Tribune Co. ......................... 1,500 111,188
Trinova Corp. ....................... 800 26,400
*Tupperware Corp. .................... 1,500 68,625
Tyco International, Ltd. ............ 4,000 158,000
UNUM Corp. .......................... 2,000 118,000
US Bancorp .......................... 3,950 140,966
US Healthcare, Inc. ................. 4,000 216,750
US West, Inc. ....................... 11,900 388,238
*US West, Inc. Media Group Class ..... 12,200 230,275
*USAir Group, Inc. ................... 1,600 31,600
USF&G Corp. ......................... 3,000 48,000
USLIFE Corp. ........................ 1,050 31,500
UST, Inc. ........................... 5,000 165,000
USX-Marathon Group, Inc. ............ 7,300 159,688
USX-US Steel Group .................. 2,120 65,720
Unicom Corp., Inc. .................. 5,500 151,938
Unilever NV ......................... 4,000 539,500
Union Camp Corp. .................... 1,800 94,725
Union Carbide Corp. ................. 3,600 155,250
Union Electric Co. .................. 2,500 98,438
Union Pacific Corp. ................. 5,300 371,663
*Unisys Corp. ........................ 4,500 36,563
United Healthcare Corp. ............. 4,500 246,938
United States Surgical Corp. ........ 1,500 51,375
United Technologies Corp. ........... 3,000 328,125
Unocal Corp. ........................ 6,300 204,750
VF Corp. ............................ 1,800 109,575
*Varity Corp. ........................ 1,100 54,038
*Viacom, Inc. Class B ................ 9,321 394,977
WMX Technologies, Inc. .............. 12,300 433,575
Wachovia Corp. ...................... 4,400 188,650
Wal-Mart Stores, Inc. ............... 58,700 1,518,863
Walgreen Co. ........................ 6,300 200,813
Warner-Lambert Co. .................. 6,800 380,800
Wells Fargo & Co. ................... 2,566 618,406
Wendy's International, Inc. ......... 3,400 61,200
*Western Atlas, Inc. ................. 1,400 85,750
Westinghouse Electric Corp. ......... 10,500 192,938
Westvaco Corp. ...................... 2,550 81,600
Weyerhaeuser Co. .................... 5,200 235,950
Whirlpool Corp. ..................... 1,900 108,063
Whitman Corp. ....................... 2,600 65,325
Williamette Industries, Inc. ........ 1,300 77,838
Williams Companies, Inc. ............ 2,500 125,625
Winn-Dixie Stores, Inc. ............. 3,800 131,100
*Woolworth Corp. ..................... 3,300 67,650
*Worldcom, Inc. ...................... 5,100 248,625
Worthington Industries, Inc. ........ 2,475 49,500
Wrigley (Wm.) Jr. Co. ............... 3,100 162,363
</TABLE>
145
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- --------------
<S> <C> <C>
Xerox Corp. ............................................................................. 2,700 $ 424,913
*Yellow Corp. ............................................................................ 900 11,644
-----------
TOTAL COMMON STOCKS (Cost $90,603,486) ................................................... 129,111,538
-----------
Face
Amount
--------
(000)
TEMPORARY CASH INVESTMENTS -- (0.6%)
Repurchase Agreement, PNC Securities Corp. 5.05%, 06/03/96 (Collateralzied by U.S. Treasury
Notes 6.50%, 09/30/96) (Cost $771,000) .............................................. $ 771 771,000
-----------
TOTAL INVESTMENTS -- (99.4%) (Cost $91,374,486) .......................................... 129,882,538
-----------
OTHER ASSETS AND LIABILITIES -- (0.6%)
Other Assets ........................................................................... 802,316
Liabilities ............................................................................ (13,412)
-----------
788,904
-----------
NET ASSETS -- (100.0%) Applicable to 8,827,156 Outstanding $.01 Par Value Shares (Unlimited
Number of Shares Authorized) ........................................................... $130,671,442
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE ................................. $ 14.80
===========
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
146
<PAGE>
STATEMENT OF NET ASSETS
THE U.S. SMALL CAP VALUE SERIES
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
--------- -------------
<S> <C> <C>
COMMON STOCKS -- (96.9%)
AAR Corp. ......................... 105,400 $2,331,975
ABS Industries, Inc. .............. 22,900 17,175
*ACX Technologies, Inc. ............ 212,400 4,354,200
AEP Industries, Inc. .............. 25,150 639,753
*AG Services America, Inc. ......... 2,900 37,700
*AM International, Inc. ............ 20,000 60,000
*ARI Holdings Corp. (in Liquidation) 7,700 0
*AST Research, Inc. ................ 353,506 2,828,048
*#Aasche Transportation Services,
Inc. .............................. 10,000 52,500
Abington Savings Bank MA .......... 12,200 189,100
Abrams Industries, Inc. ........... 10,000 39,375
*Abraxas Petroleum Corp. ........... 55,000 378,125
*Accell International Corp. ........ 44,500 136,281
*Acceptance Insurance Companies,
Inc. .............................. 98,700 1,714,913
Aceto Corp. ....................... 36,740 560,285
*Acme Metals, Inc. ................. 77,400 1,315,800
*Acme United Corp. ................. 8,700 32,625
Acme-Cleveland Corp. .............. 22,700 672,488
*Adage, Inc. ....................... 34,354 155,667
*Addington Resources, Inc. ......... 3,000 61,875
*Advanced Logic Research, Inc. ..... 81,200 791,700
*Advanced Marketing Services, Inc. . 35,500 516,969
*Advanced NMR Systems, Inc. ........ 16,933 26,722
*Advanced Technology Labs, Inc. .... 100,827 3,579,359
Advantage Bancorp, Inc. ........... 23,225 780,941
*Advest Group, Inc. ................ 56,000 602,000
*Aequitron Medical, Inc. ........... 15,400 115,500
*Aeroflex, Inc. .................... 81,200 507,500
*Aerosonic Corp. DE ................ 3,200 8,000
*Aerovox, Inc. ..................... 39,100 310,356
Affiliated Community Bancorp ...... 6,800 116,025
*Air & Water Technologies Corp.
Class A ........................... 100,000 637,500
*Air Methods Corp. ................. 53,200 226,100
Airborne Freight Corp. ............ 189,600 4,787,400
*Airways Corp. ..................... 14,600 135,963
*Alamco, Inc. ...................... 28,600 300,300
*#Alaska Air Group, Inc. ............ 95,000 2,458,125
*Alba-Waldensian, Inc. ............. 4,700 36,425
Albank Financial Corp. ............ 85,080 2,329,065
*Aldila, Inc. ...................... 113,300 520,472
*Alexander Energy Co. .............. 14,300 53,625
Alfa Corp. ........................ 10,000 120,625
*Alkermes, Inc. .................... 78,000 1,213,875
*Allegiant Physician Services, Inc. 32,800 16,072
*#Alliance Semiconductor Corp. ...... 12,000 119,250
Allied Group, Inc. ................ 33,000 1,303,500
*Allied Holdings, Inc. ............. 26,300 259,713
Allied Life Financial Corp. ....... 31,500 661,500
Allied Products Corp. ............. 18,400 540,500
*Allied Research Corp. ............. 49,500 235,125
*Allied Waste Industries, Inc. ..... 57,900 579,000
*Allou Health & Beauty Care, Inc.
Class A ........................... 29,900 209,300
*Allstate Financial Corp. .......... 20,900 120,175
*Allwaste, Inc. .................... 252,900 1,074,825
*Aloette Cosmetics, Inc. ........... 17,300 70,281
<PAGE>
Shares Value+
--------- -------------
*Alpha Industries, Inc. ............ 36,200 $ 348,425
*#Alpha Microsystems, Inc. .......... 19,400 78,206
*Alpha Technologies Group, Inc. .... 3,200 21,700
*#Ambar, Inc. ....................... 20,700 243,225
Amcast Industrial Corp. ........... 58,000 1,123,750
Amcore Financial, Inc. ............ 24,800 502,200
*America Services Group, Inc. ...... 18,000 331,875
American Annuity Group, Inc. ...... 41,500 539,500
*American Banknote Corp. ........... 97,900 440,550
American Biltrite, Inc. ........... 17,600 349,800
American Eagle Group, Inc. ........ 75,600 378,000
*American Ecology Corp. ............ 51,900 90,825
*American Exploration Co. .......... 77,700 1,014,956
*American Freightways Corp. ........ 112,000 1,442,000
American Heritage Life Investment
Corp. ............................. 78,500 1,648,500
American Indemnity Financial Corp. 14,200 181,050
*American Media, Inc. Class A ...... 106,500 505,875
*American Medical Electronics, Inc.
(Escrow-Bonus) .................... 20,800 0
*American Medical Electronics, Inc.
(Escrow-Earnings) ................. 20,800 0
*American Mobile Satellite Corp. ... 148,000 2,701,000
*American Oilfield Divers, Inc. .... 41,800 412,775
*American Pacific Corp. ............ 65,100 419,081
American Recreation Centers, Inc. . 31,800 204,713
*American Software, Inc. Class A ... 110,100 591,788
*American Technical Ceramics Corp. . 19,000 182,875
*American Travellers Corp. ......... 123,600 2,672,850
American Vanguard Corp. ........... 7,040 80,080
*American Waste Services, Inc.
Class A .......................... 163,300 591,963
*American White Cross, Inc. ........ 66,800 152,388
*American Woodmark Corp. ........... 35,010 181,614
Americana Bancorp, Inc. ........... 23,300 307,268
*Ameriquest Technology, Inc. ....... 20,430 20,430
*Ameriwood Industries International
Corp. ............................. 29,900 179,400
Ameron, Inc. ...................... 26,400 1,098,900
Ampco-Pittsburgh Corp. ............ 65,600 770,800
*Amrep Corp. ....................... 49,992 243,711
Amresco, Inc. ..................... 15,000 278,438
*Amtech Corp. ...................... 93,700 837,444
*Amtran, Inc. ...................... 81,900 778,050
Amvestors Financial Corp. ......... 99,848 1,497,720
Amwest Insurance Group, Inc. ...... 16,050 200,625
Analogic Corp. .................... 79,500 1,997,438
Analysis & Technology, Inc. ....... 19,200 264,000
*Anaren Microwave, Inc. ............ 35,800 252,838
Anchor Bancorp Wisconsin, Inc. .... 28,725 983,831
Andover Bancorp, Inc. DE .......... 28,800 739,800
*Andover Togs, Inc. ................ 3,600 2,250
Angelica Corp. .................... 60,200 1,482,425
*#Ann Taylor Stores Corp. ........... 163,400 3,370,125
*Anuhco, Inc. ...................... 47,700 447,188
*Apertus Technologies, Inc. ........ 17,700 71,353
*Applied Extrusion Technologies,
Inc. .............................. 67,100 914,238
*Applied Magnetics Corp. ........... 11,800 202,075
</TABLE>
147
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- -------------
<S> <C> <C>
*Applied Signal Technologies, Inc. . 50,400 $ 296,100
*Arbatax International, Inc. ....... 6,000 37,500
*Arden Industrial Products, Inc. ... 49,200 252,150
Arkansas Best Corp. ............... 141,000 1,092,750
*Arrow Automotive Industries, Inc. . 19,200 110,400
Arrow Financial Corp. ............. 4,759 105,293
*Artistic Greetings, Inc. .......... 40,600 153,519
Arvin Industries, Inc. ............ 146,900 3,599,050
Ashland Coal, Inc. ................ 90,700 2,142,788
*Astec Industries, Inc. ............ 55,100 557,888
Astoria Financial Corp. ........... 74,000 4,111,625
Astro-Med, Inc. ................... 32,175 281,531
*Astronics Corp. ................... 15,500 99,781
*Astrosystems, Inc. ................ 30,300 170,438
*Astrotech International Corp. ..... 66,000 466,125
*Athey Products Corp. .............. 7,140 31,684
*Atkinson (Guy F.) of California ... 62,100 826,706
*Atlantic Gulf Communities Corp. ... 65,500 397,094
*Atlantic Tele-Network, Inc. ....... 66,200 1,712,925
Atlantis Plastics, Inc. ........... 40,800 229,500
*Atlas Corp. ....................... 11,600 15,950
Atrion Corp. ...................... 11,100 274,725
*Atwood Oceanics, Inc. ............. 38,800 1,605,350
*Au Bon Pain, Inc. Class A ......... 70,300 615,125
*#Audiovox Corp. Class A ............ 60,100 371,869
Augat, Inc. ....................... 149,300 3,228,613
*Autoinfo, Inc. .................... 56,100 189,338
*Autologic Information
International, Inc. ............... 7,100 55,913
*Avatar Holdings, Inc. ............. 22,400 803,600
Aviall, Inc. ...................... 152,500 1,525,000
*Avondale Industries, Inc. ......... 85,900 1,632,100
*Aydin Corp. ....................... 51,200 787,200
*Aztar Corp. ....................... 254,300 2,924,450
Aztec Manufacturing Co. ........... 45,000 275,625
*BEC Group, Inc. ................... 8,381 51,331
BEI Electronics, Inc. ............. 46,100 561,838
*BF Enterprises, Inc. .............. 2,300 15,813
BHC Financial, Inc. ............... 60,800 847,400
*BI, Inc. .......................... 25,400 409,575
*BMC West Corp. .................... 64,300 1,125,250
BMJ Financial Corp. ............... 6,900 93,150
*BPI Packaging Technologies, Inc. .. 78,200 261,481
BSB Bancorp, Inc. ................. 49,800 1,288,575
BT Financial Corp. ................ 15,395 559,993
*BWAY Corp. ........................ 50,800 927,100
*Bachman Information Systems, Inc. . 52,100 426,569
*Back Bay Restaurant Group, Inc. ... 22,600 91,813
Badger Meter, Inc. ................ 10,600 287,525
Badger Paper Mills, Inc. .......... 10,400 149,500
*Bailey Corp. ...................... 30,900 256,856
Bairnco Corp. ..................... 63,100 457,475
Baker (J.), Inc. .................. 109,318 1,065,851
*Baker (Michael) Corp. ............. 60,800 334,400
Baldwin & Lyons, Inc. Class B ..... 1,600 28,200
*Baldwin Piano & Organ Co. ......... 27,000 389,813
*Baldwin Technology, Inc. Class A .. 108,100 418,888
*Bally Entertainment Corp. ......... 110,000 2,640,000
*Bally Total Fitness Holding Corp. . 48,175 240,875
*Baltek Corp. ...................... 4,500 47,531
*BancTec, Inc. ..................... 90,357 1,829,729
*Bancinsurance Corp. ............... 8,300 28,013
BankAtlantic Bancorp, Inc. ........ 73,331 1,054,133
BankNorth Group, Inc. DE .......... 24,200 807,675
Bankers Corp. ..................... 87,940 1,527,958
<PAGE>
Shares Value+
--------- -------------
*Banner Aerospace, Inc. ............ 157,400 $1,101,800
*Barry (R.G.) Corp. ................ 14,400 284,400
*Basin Exploration, Inc. ........... 78,600 451,950
Bassett Furniture Industries, Inc. 87,350 2,216,506
Bay View Capital Corp. ............ 49,000 1,607,813
*Bayou Steel Corp. Class A ......... 69,100 267,763
*Bayport Restaurant Group, Inc. .... 11,300 44,847
*Be Aerospace, Inc. ................ 126,100 1,844,213
Bearings, Inc. .................... 17,100 489,488
*Beazer Homes USA, Inc. ............ 49,200 842,550
*Bel Fuse, Inc. .................... 26,500 433,938
*Belden & Blake Corp. .............. 76,300 1,478,313
Bell Bancorp, Inc. ................ 51,300 1,923,750
*Bell Industries, Inc. ............. 49,536 1,089,789
*Bell Microproducts, Inc. .......... 56,500 490,844
*Bell Sports Corp. ................. 87,500 853,125
*Bellwethwer Exporation Co. ........ 59,600 365,050
*Ben & Jerry's Homemade, Inc.
Class A .......................... 47,700 781,088
*Ben Franklin Retail Stores, Inc. .. 47,331 118,328
*Berlitz International, Inc. ....... 79,100 1,512,788
*Bertuccis, Inc. ................... 59,400 378,675
Big B, Inc. ....................... 103,300 1,013,631
Bindley Western Industries, Inc. .. 77,800 1,332,325
Binks Manufacturing Co. ........... 30,918 730,438
*Bird Corp. ........................ 18,800 75,200
Birmingham Steel Corp. ............ 214,500 3,458,813
*Biscayne Apparel, Inc. ............ 32,870 32,870
*Black Hawk Gaming & Development,
Inc. .............................. 17,400 155,513
Blair Corp. ....................... 77,100 1,917,863
*Bluegreen Corp. ................... 125,098 531,667
*Bombay Co., Inc. .................. 24,000 186,000
*Bon-Ton Stores, Inc. .............. 73,700 474,444
*Boomtown, Inc. .................... 66,500 382,375
*Borland International, Inc. ....... 36,000 483,750
*Borror Corp. ...................... 41,000 181,938
Bowl America, Inc. Class A ........ 20,000 142,500
Bowne & Co., Inc. ................. 112,616 2,308,628
*#Bradlees, Inc. .................... 62,100 108,675
*Brauns Fashions Corp. ............. 22,200 31,219
Brenton Banks, Inc. ............... 650 15,438
*Brite Voice Systems, Inc. ......... 2,000 51,000
*Brookstone, Inc. .................. 46,800 520,650
*Brooktree Corp. ................... 110,600 1,327,200
*Brothers Gourmet Coffees, Inc. .... 94,000 358,375
*Brown & Sharpe Manufacturing Co.
Class A ........................... 41,400 424,350
Brown Group, Inc. ................. 122,000 2,074,000
Brush Wellman, Inc. ............... 127,900 2,398,125
*Buffton Corp. ..................... 38,100 66,675
*Builders Transport, Inc. .......... 42,900 337,838
*Bull Run Corp. GA ................. 37,900 108,963
*Burlington Coat Factory Warehouse
Corp. ............................. 263,300 2,797,563
*Burr Brown Corp. .................. 46,200 987,525
*Butler International, Inc. ........ 23,200 188,500
*Buttrey Food & Drug Stores Co. .... 59,600 473,075
CFX Corp. ......................... 50,663 709,282
CML Group, Inc. ................... 233,400 1,254,525
CPB, Inc. ......................... 27,900 899,775
CPI Corp. ......................... 94,000 1,539,250
*CSP, Inc. ......................... 29,200 273,750
*CSS Industries, Inc. .............. 17,900 458,688
*CTL Credit, Inc. .................. 17,400 307,763
</TABLE>
148
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- -------------
<S> <C> <C>
CTS Corp. ......................... 32,100 $1,448,513
CU Bancorp ........................ 36,200 389,150
Cabot Oil & Gas Corp. Class A ..... 109,700 1,864,900
Cadmus Communications Corp. ....... 17,900 296,469
*#Caldor Corp. ...................... 111,100 347,188
California Financial Holding Corp. 38,830 805,723
Calmat Co. ........................ 182,800 3,358,950
*Calumet Bancorp, Inc. ............. 18,000 504,000
*Cambridge Soundworks, Inc. ........ 20,000 71,250
*Campo Eletronics, Appliances &
Computers, Inc. ................... 43,900 104,263
*Canisco Resources, Inc. ........... 5,700 13,894
Cape Cod Bank & Trust Co. ......... 11,200 243,600
*Capital Pacific Holdings, Inc. .... 5,000 19,375
Capital Re Corp. .................. 104,100 3,799,650
Capitol American Financial Corp. .. 110,400 2,732,400
Capitol Bancorp, Ltd. ............. 28,700 301,350
*Capsure Holdings Corp. ............ 109,600 2,013,900
*Care Group, Inc. .................. 71,130 124,478
*Carlisle Plastics, Inc. Class A ... 97,000 654,750
*Carmike Cinemas, Inc. Class A ..... 42,400 1,181,900
Carolina First Corp. .............. 22,102 447,566
Carpenter Technology Corp. ........ 56,600 2,044,675
*Carr-Gottstein Foods Co. .......... 108,157 513,746
*Carson Pirie Scott & Co. .......... 58,000 1,609,500
Carter-Wallace, Inc. .............. 225,800 3,161,200
*Carver Corp. WA ................... 12,900 37,894
Cash America International, Inc. .. 188,100 1,081,575
*Catalina Lighting, Inc. ........... 44,700 262,613
*Catherines Stores Corp. ........... 53,600 522,600
Cato Corp. Class A ................ 133,700 1,015,284
*Celebrity, Inc. ................... 41,200 193,125
*Cell Genesys, Inc. ................ 35,500 310,625
Cenfed Financial Corp. ............ 36,520 766,920
#Cenit Bancorp, Inc. ............... 13,300 463,838
*Centennial Cellular Corp. Class A . 139,800 2,376,600
Center Banks, Inc. ................ 9,300 130,200
Center Financial Corp. ............ 40,589 862,516
*Centigram Communications Corp. .... 38,100 654,844
Central & Southern Holding Co. .... 14,700 126,788
*Central Co-Operative Bank
Somerville, MA .................... 12,700 200,025
Central Reserve Life Corp. ........ 26,400 216,150
*Central Sprinkler Corp. ........... 17,200 395,600
*Cephalon, Inc. .................... 48,600 1,318,275
*Ceradyne, Inc. .................... 11,100 120,713
*Champion Parts, Inc. .............. 12,100 12,478
Chaparral Steel Co. ............... 156,400 2,287,350
*Charming Shoppes, Inc. ............ 366,600 2,921,344
*Chart House Enterprises, Inc. ..... 65,500 524,000
Charter Power Systems, Inc. ....... 12,000 409,500
*Check Technology Corp. ............ 7,600 89,775
*Checkers Drive-In Restaurant, Inc. 76,300 110,873
*Chemfab Corp. ..................... 16,050 216,675
*Chempower, Inc. ................... 7,300 31,025
*Cherry Corp. Class A .............. 45,700 536,975
*Cherry Corp. Class B .............. 28,400 358,550
Chester Valley Bancorp ............ 578 11,054
*Chic by His, Inc. ................. 65,200 391,200
Chicago Rivet & Machine Co. ....... 5,900 206,500
*Chips & Technologies, Inc. ........ 5,700 63,413
Chittenden Corp. .................. 30,820 668,409
*#Chock Full O' Nuts Corp. .......... 107,323 550,030
*Cincinnati Microwave, Inc. ........ 22,000 99,000
*Cinergi Pictures Entertainment,
Inc. .............................. 37,000 73,422
<PAGE>
Shares Value+
--------- -------------
*Circon Corp. ...................... 26,500 $ 344,500
*Circuit Systems, Inc. ............. 26,500 175,563
*Citadel Holding Corp. ............. 40,200 95,475
*Citation Computer System, Inc. .... 11,200 202,300
*Citation Insurance Group .......... 43,400 195,300
Citfed Bancorp, Inc. .............. 27,200 1,030,200
Citizens Bancorp MD ............... 87,600 2,628,000
Citizens Banking Corp. ............ 3,000 88,125
City National Corp. ............... 98,500 1,514,438
*Civic Bancorp ..................... 33,200 278,050
*Clean Harbors, Inc. ............... 65,200 236,350
Cleveland Cliffs, Inc. ............ 78,900 3,165,863
*Cliffs Drilling Co. ............... 28,210 752,854
*Clothestime, Inc. ................. 88,000 126,500
*Coast Distribution System ......... 37,600 277,300
*Coast Savings Financial, Inc. ..... 121,000 4,053,500
Coastal Bancorp, Inc. ............. 33,700 621,344
*Cobra Electronic Corp. ............ 42,400 116,600
Coca Cola Bottling Co. Consolidated 9,700 334,650
*Code Alarm, Inc. .................. 23,200 116,000
Coeur d'Alene Mines Corp. ID ...... 4,200 92,925
*Coherent, Inc. .................... 36,800 1,803,200
*Coho Energy, Inc. ................. 83,700 544,050
Collective Bancorp, Inc. .......... 42,800 1,040,575
*Collins Industries, Inc. .......... 12,500 55,469
*Columbia Banking System, Inc. ..... 26,040 410,130
*Columbus Energy Corp. ............. 16,700 118,988
Commerce Bancorp, Inc. ............ 13,230 319,174
Commercial Bancshares, Inc. ....... 22,900 320,600
Commercial Federal Corp. .......... 52,863 2,048,441
Commercial Metals Co. ............. 95,400 2,993,175
*Communications Central, Inc. ...... 57,200 421,850
Community Bank System, Inc. ....... 24,900 799,913
#Community Bankshares, Inc. NH ..... 11,800 205,763
Community First Bankshares, Inc. .. 16,700 390,363
*Community Psychiatric Centers ..... 283,800 2,696,100
Computer Data Systems, Inc. ....... 18,700 412,569
*Computer Outsourcing Services, Inc. 12,000 51,000
Computer Task Group, Inc. ......... 21,900 621,413
*Computrac, Inc. ................... 25,900 71,225
*Comshare, Inc. .................... 14,250 425,719
*Comstock Resources, Inc. .......... 14,000 108,500
*Comtech Telecommunications Corp. .. 19,600 101,675
*Concord Fabrics, Inc. Class A ..... 15,900 91,425
*Cone Mills Corp. NC ............... 42,900 498,713
*Conmed Corp. ...................... 961 31,713
*Continental Can, Inc. DE .......... 22,400 319,200
Continental Homes Holding Corp. ... 45,348 1,116,695
*Continental Materials Corp. ....... 2,300 35,650
*Control Data Systems, Inc. ........ 81,800 2,029,663
*Convest Energy Corp. .............. 10,000 52,813
*Cooperative Bankshares, Inc. ...... 10,200 179,775
*Coram Healthcare Corp. ............ 34,300 167,213
Core Industries, Inc. ............. 47,400 687,300
*Core, Inc. ........................ 7,400 122,100
*Corrpro Companies, Inc. ........... 48,800 457,500
*Cortech, Inc. ..................... 71,900 222,441
*Cosmetic Centers, Inc. Class A .... 18,600 104,625
*Cosmetic Centers, Inc. Class B .... 15,600 89,700
Courier Corp. ..................... 13,400 249,575
*Craig Corp. ....................... 37,300 447,600
*Cray Research, Inc. ............... 2,201 60,252
</TABLE>
149
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- -------------
<S> <C> <C>
*Criticare Systems, Inc. ........... 37,100 $ 138,545
*Crosscomm Corp. ................... 55,500 631,313
*Crown Books Corp. ................. 20,300 256,288
*Crown Central Petroleum Corp.
Class A ........................... 31,000 534,750
*Crown Central Petroleum Corp.
Class B ........................... 32,800 528,900
Crown Crafts, Inc. ................ 78,300 822,150
*Crown Vantage, Inc. ............... 4,820 79,530
*Crown-Andersen, Inc. .............. 10,700 78,913
*Cruise America, Inc. .............. 42,100 284,175
Cubic Corp. ....................... 39,900 1,336,650
*Culbro Corp. ...................... 18,700 1,077,588
Cullen Frost Bankers, Inc. ........ 16,700 862,138
Culp, Inc. ........................ 8,100 111,375
Curtiss-Wright Corp. .............. 21,100 1,086,650
*Customedix Corp. .................. 15,000 30,938
*Cycare Systems, Inc. .............. 14,800 734,450
*Cygne Designs, Inc. ............... 59,100 67,411
*Cyrk, Inc. ........................ 73,000 926,188
*D&N Financial Corp. ............... 44,000 536,250
*DBA Systems, Inc. ................. 30,300 153,394
*DM Management Co. ................. 32,300 151,406
DS Bancor, Inc. ................... 28,801 914,432
*DSP Technology, Inc. .............. 2,000 12,875
DT Industries, Inc. ............... 50,000 956,250
*DVI, Inc. ......................... 11,800 163,725
*Dairy Mart Convenience Stores, Inc.
Class A ........................... 9,000 51,750
*Damark International, Inc. Class A 56,800 688,700
Dames & Moore, Inc. ............... 149,300 1,810,263
Daniel Industries, Inc. ........... 95,400 1,407,150
*Danskin, Inc. ..................... 29,600 99,900
Dart Group Corp. Class A .......... 5,600 473,900
*Data Broadcasting Corp. ........... 33,870 338,700
*Data General Corp. ................ 168,200 2,144,550
*Data I/O Corp. .................... 25,900 171,588
*Data Race, Inc. ................... 29,800 132,238
*Data Systems & Software, Inc. ..... 49,300 412,888
*Data Translation, Inc. ............ 9,000 235,125
*Dataflex Corp. .................... 32,500 219,375
*Datakey, Inc. ..................... 19,100 150,413
*Dataram Corp. ..................... 26,600 162,925
*Datron Systems, Inc. .............. 17,500 230,781
*Datum, Inc. ....................... 27,000 366,188
*Davco Restaurants, Inc. ........... 42,800 326,350
*Dave and Busters, Inc. ............ 2,140 48,819
Davis Water & Waste Industries,
Inc. .............................. 12,100 361,488
*Dawson Geophysical Co. ............ 25,300 284,625
*Daxor Corp. ....................... 32,400 388,800
*De Soto, Inc. ..................... 46,800 257,400
Deb Shops, Inc. ................... 86,800 444,850
*Deckers Outdoor Corp. ............. 53,400 467,250
Decorator Industries, Inc. ........ 10,000 111,250
Defiance, Inc. .................... 50,200 298,063
*Deflecta-Shield Corp. ............. 30,000 176,250
*Del Electronics Corp. ............. 17,700 227,888
Del Laboratories, Inc. ............ 8,000 228,000
*Delaware Ostego Corp. ............. 1,157 11,715
Delchamps, Inc. ................... 46,500 1,086,938
*Delphi Financial Group, Inc.
Class A ........................... 10,000 276,250
Delta Woodside Industries, Inc. ... 191,300 1,099,975
*Designs, Inc. ..................... 107,300 710,863
<PAGE>
Shares Value+
--------- -------------
*Detection Systems, Inc. ........... 20,000 $ 286,250
*Detrex Corp. ...................... 2,800 17,150
*Devcon International Corp. ........ 29,100 287,363
Dexter Corp. CT ................... 52,000 1,488,500
*Dianon Systems, Inc. .............. 40,000 282,500
*#Digicon, Inc. ..................... 68,200 1,142,350
*Digital Systems International, Inc. 31,100 682,256
Dime Financial Corp. .............. 38,900 534,875
*#Discovery Zone, Inc. .............. 22,400 9,800
*Dixie Yarns, Inc. ................. 65,900 345,975
*Dixon Ticonderoga Co. ............. 21,750 146,813
Donegal Group, Inc. ............... 27,900 488,250
Donnelly Corp. Class A ............ 50,600 803,275
*Dotronix, Inc. .................... 1,000 1,750
Douglas & Lomason Co. ............. 28,700 383,863
Downey Financial Corp. ............ 142,335 3,095,786
*Dress Barn, Inc. .................. 160,423 1,905,023
*Drug Emporium, Inc. ............... 91,300 382,319
*Drypers Corp. ..................... 49,400 191,425
*Dual Drilling Co. ................. 80,800 1,545,300
*Durakon Industries, Inc. .......... 32,300 432,013
Duty Free International, Inc. ..... 51,700 775,500
Dyersburg Corp. ................... 98,200 540,100
Dynamics Corp. of America ......... 38,300 976,650
*Dynamics Research Corp. ........... 36,840 280,905
*Dynatech Corp. .................... 57,800 2,008,550
*E-Z-Em, Inc. Class A .............. 22,700 320,638
*E-Z-Em, Inc. Class B .............. 1,443 19,120
*EA Engineering Science &
Technology, Inc. .................. 43,825 136,953
*ECC International Corp. ........... 13,200 118,800
*ELXSI Corp. ....................... 13,500 86,906
EMC Insurance Group, Inc. ......... 33,600 457,800
*ESCO Electronics Corp. Trust
Receipts .......................... 88,400 1,116,050
Eagle Bancshares, Inc. ............ 8,400 138,600
Eagle Financial Corp. ............. 30,837 701,542
*Eagle Food Centers, Inc. .......... 74,300 338,994
*Eagle Hardware & Garden, Inc. ..... 145,500 2,018,813
Eastern Bancorp, Inc. ............. 16,100 388,413
Eastern Co. ....................... 18,200 211,575
Eaton Vance Corp. ................. 64,923 2,101,882
Ecology & Environment, Inc.
Class A ........................... 15,000 127,500
#Edison Brothers Stores, Inc. ...... 44,500 116,813
*Edisto Resources Corp. ............ 102,200 1,009,225
*Edo Corp. ......................... 18,600 144,150
*Education Alternatives, Inc. ...... 42,300 163,913
*Educational Insights, Inc. ........ 37,300 132,881
*Egghead, Inc. ..................... 130,500 1,557,844
Ekco Group, Inc. .................. 112,300 687,838
*El Chico Restaurants, Inc. ........ 40,900 334,869
Eldorado Bancorp CA ............... 16,610 249,150
*Electric & Gas Technology, Inc. ... 3,000 7,781
*Electro Rent Corp. ................ 39,000 945,750
*Electro Scientific Industries, Inc. 20,600 548,475
*Electromagnetic Sciences, Inc. .... 66,350 953,781
*Electronic Fab Technology, Inc. ... 27,400 104,463
*Elek-Tek, Inc. .................... 41,900 167,600
*Emcon ............................. 57,000 249,375
*Emisphere Technologies, Inc. ...... 17,000 200,813
*Emulex Corp. ...................... 11,750 224,719
Energen Corp. ..................... 116,300 2,733,050
Engineered Support Systems, Inc. .. 19,800 149,738
Engle Homes, Inc. ................. 45,500 409,500
</TABLE>
150
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- -------------
<S> <C> <C>
Enhance Financial Services Group,
Inc. .............................. 141,100 $4,091,900
*Ensys Environmental Products, Inc. 45,000 81,563
*Environmental Elements Corp. ...... 30,300 56,813
*Enviroq Corp. ..................... 2,420 0
*Envirotest Systems Corp. Class A .. 98,100 294,300
*Equinox Systems, Inc. ............. 21,000 292,688
*Equitrac Corp. .................... 23,700 217,744
*Equity Oil Co. .................... 122,000 724,375
*Ernst Home Center, Inc. ........... 94,100 229,369
Espey Manufacturing & Electronics
Corp. ............................. 3,500 55,125
*Esterline Technologies Corp. ...... 23,100 531,300
*Ethan Allen Interiors, Inc. ....... 100,000 2,625,000
*Evans & Sutherland Computer Corp. . 52,600 1,222,950
*Evans Systems, Inc. ............... 19,700 124,972
*Evans, Inc. ....................... 17,800 37,825
Evergreen Bancorp, Inc. DE ........ 31,400 771,263
*Evergreen Resources, Inc. ......... 39,000 270,563
*Exabyte Corp. ..................... 400 7,875
*Exar Corp. ........................ 63,500 1,016,000
Excel Industries, Inc. ............ 72,500 1,087,500
*Executone Information Systems, Inc. 78,600 277,556
Exide Corp. ....................... 145,000 3,407,500
*Express America Holdings Corp. .... 33,600 149,100
*Ezcorp, Inc. Class A Non-Voting ... 48,500 312,219
FDP Corp. ......................... 7,000 84,875
FFLC Bancorp ...................... 18,600 340,613
FFY Financial Corp. ............... 33,900 792,413
*FNB Rochester Corp. ............... 20,600 190,550
*FPA Corp. ......................... 20,100 23,869
*FSI International, Inc. ........... 24,000 315,000
Fab Industries, Inc. .............. 41,081 1,196,484
*Fabri-Centers of America, Inc.
Class A ........................... 35,700 526,575
*Fabri-Centers of America, Inc.
Class B ........................... 35,700 513,188
*Failure Group, Inc. ............... 59,100 347,213
*Fairchild Corp. Class A ........... 78,900 1,153,913
*Fairfield Communities, Inc. ....... 66,300 679,575
Family Bancorp .................... 27,550 657,756
Fansteel, Inc. .................... 64,600 419,900
*Farah, Inc. ....................... 68,300 580,550
Farmer Brothers Co. ............... 84 11,718
*Farr Co. .......................... 23,200 323,350
Farrel Corp. ...................... 39,800 171,638
Fay's, Inc. ....................... 97,000 788,125
Federal Screw Works ............... 2,000 54,000
Fidelity Bancorp, Inc. Delaware ... 21,900 368,194
*Fieldcrest Cannon, Inc. ........... 79,600 1,671,600
*Fifty-Off Stores, Inc. ............ 42,600 51,919
*Figgie International, Inc. Class B 17,700 247,800
*Filenes Basement Corp. ............ 136,900 795,731
First Albany Companies, Inc. ...... 24,937 261,839
First American Financial Corp. .... 90,800 2,780,750
*First Cash, Inc. .................. 24,500 145,469
First Central Financial Corp. ..... 38,600 226,775
First Citizens Bancshares, Inc. NC 30,400 1,953,200
*First Citizens Financial Corp. .... 19,616 360,450
First Essex Bancorp ............... 40,900 434,563
First Federal Capital Corp. ....... 42,040 919,625
First Federal Savings & Loan
Association of East Hartford, CT .. 16,800 298,200
<PAGE>
Shares Value+
--------- -------------
First Financial Corp. WI .......... 12,000 $ 276,000
First Financial Corp. of Western
Maryland .......................... 14,500 286,375
First Financial Holdings, Inc. .... 35,700 687,225
First Indiana Corp. ............... 37,318 923,621
First Liberty Financial Corp. ..... 19,900 445,263
First Mississippi Corp. ........... 40,100 992,475
First Northern Capital Corp. ...... 29,200 467,200
First Oak Brook Bancshares, Inc.
Class A ........................... 14,500 344,375
First Palm Beach Bancorp, Inc. .... 35,300 754,538
*First Republic Bancorp, Inc. ...... 46,903 697,682
First Savings Bancorp, Inc.
North Carolina ..................... 27,300 515,288
First Southeast Financial Corp. ... 27,800 503,875
First State Financial Services,
Inc. .............................. 10,300 108,150
*FirstFed Financial Corp. DE ....... 79,400 1,320,025
Firstbank of Illinois Co. ......... 1,200 37,350
Firstfed Bancshares, Inc. ......... 32,550 512,663
*Firstmiss Gold, Inc. .............. 10,409 403,999
*Fischer Imaging Corp. ............. 21,600 284,850
Fleming Companies, Inc. ........... 54,297 848,391
Flexsteel Industries, Inc. ........ 56,700 623,700
Florida Rock Industries, Inc. ..... 64,700 1,649,850
Fluke Corp. ....................... 34,000 1,321,750
*Fluor Daniel/GTI, Inc. ............ 15,822 160,198
*Foodarama Supermarkets, Inc. ...... 2,400 50,700
*Foodbrands America, Inc. .......... 88,200 1,367,100
*Foothill Independent Bancorp ...... 30,220 264,425
Forest City Enterprises, Inc.
Class A ........................... 31,700 1,248,188
Foster (L.B.) Co. Class A ......... 69,000 286,781
*Four Kids Entertainment, Inc. ..... 17,000 43,563
*Foxmeyer Health Corp. ............. 111,987 1,945,774
Freds, Inc. Class A ............... 63,500 694,531
Fremont General Corp. ............. 199,590 4,765,211
*Fresh Choice, Inc. ................ 55,200 386,400
*Fretter, Inc. ..................... 19,500 3,413
Friedman Industries, Inc. ......... 46,974 193,768
Frisch's Restaurants, Inc. ........ 46,140 536,378
*Funco, Inc. ....................... 34,300 291,550
Fund American Enterprises Holdings,
Inc. .............................. 3,400 275,400
*Fuqua Enterprises, Inc. ........... 23,800 678,300
Furon Co. ......................... 9,900 236,363
*G-III Apparel Group, Ltd. ......... 42,600 150,431
GBC Bancorp ....................... 48,200 1,120,650
*GNI Group, Inc. ................... 42,700 208,163
*GZA Geoenvironmental Technologies,
Inc. .............................. 24,600 87,638
*Galey & Lord, Inc. ................ 104,000 1,183,000
*Galileo Electro-Optics Corp. ...... 28,900 825,456
Gamma Biologicals, Inc. ........... 45,500 190,531
*Gantos, Inc. ...................... 40,950 284,091
Garan, Inc. ....................... 33,000 569,250
*Garnet Resources Corp. ............ 50,600 30,834
*Gehl Co. .......................... 40,600 334,950
*General Host Corp. ................ 129,658 437,596
General Housewares Corp. .......... 38,700 488,588
*General Microwave Corp. ........... 400 3,175
General Physics Corp. ............. 22,900 94,463
*Genesco, Inc. ..................... 138,000 1,052,250
*Genicom Corp. ..................... 37,100 220,281
*Genlyte Group, Inc. ............... 83,000 653,625
*Genus, Inc. ....................... 37,800 411,075
</TABLE>
151
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- -------------
<S> <C> <C>
George Mason Bankshares, Inc. ..... 15,000 $ 311,250
Gerber Scientific, Inc. ........... 4,800 83,400
Getty Petroleum Corp. ............. 1,000 13,625
*Giant Group, Ltd. ................. 50,600 436,425
Giant Industries, Inc. ............ 64,200 954,975
*Gibraltar Packaging Group, Inc. ... 33,800 175,338
*Gibson Greetings, Inc. ............ 120,700 1,719,975
Giddings & Lewis, Inc. ............ 136,200 2,255,813
*Giga-Tronics, Inc. ................ 19,900 231,338
Gilbert Associates, Inc. Class A .. 41,800 559,075
*Gish Biomedical, Inc. ............. 28,800 201,600
Gleason Corp. ..................... 17,700 721,275
*Golden Books Family Entertainment,
Inc. .............................. 54,000 739,125
Golden Poultry Co., Inc. .......... 74,950 683,919
*Good Guys, Inc. ................... 99,300 943,350
*Goodrich Petroleum Corp. .......... 26,800 25,125
*Gottschalks, Inc. ................. 67,700 456,975
*Government Technology Services,
Inc. .............................. 44,700 304,519
*Gradco Systems, Inc. .............. 78,000 341,250
*Graham Corp. ...................... 2,300 37,950
*Graham-Field Health Products, Inc. 92,400 658,350
Granite Construction, Inc. ........ 87,150 1,944,534
Granite State Bankshares, Inc. .... 15,200 277,400
*Grant Geophysical, Inc. ........... 21,600 93,150
Graphic Industries, Inc. .......... 74,500 800,875
*Greater New York Savings Bank NY .. 87,600 985,500
Green (A.P.) Industries, Inc. ..... 27,697 560,864
Greenbrier Companies, Inc. ........ 65,400 1,046,400
*Greyhound Lines, Inc. ............. 156,000 711,750
*Grossmans, Inc. ................... 202,300 347,703
*Ground Round Restaurants, Inc. .... 76,100 263,972
*Group Technologies Corp. .......... 105,000 393,750
Grovebank for Savings ............. 11,200 288,400
Guaranty National Corp. ........... 102,200 1,737,400
Guilford Mills, Inc. .............. 92,000 2,242,500
*Gulfmark International, Inc. ...... 11,100 403,763
*Gundle/SLT Environmental, Inc. .... 103,600 686,350
HF Financial Corp. ................ 20,400 306,000
*HMG Worldwide Corp. ............... 50,700 88,725
HMI Industries, Inc. .............. 9,000 74,250
*HMN Financial, Inc. ............... 36,200 563,363
*HPSC, Inc. ........................ 42,000 299,250
*HS Resources, Inc. ................ 75,400 904,800
*Hadco Corp. ....................... 42,500 1,006,719
Haggar Corp. ...................... 66,400 991,850
*Hahn Automotive Warehouse, Inc. ... 29,656 263,197
*Hallwood Group, Inc. .............. 2,075 28,791
*Hamburger Hamlet Restaurants, Inc. 17,800 18,356
*Hampshire Group, Ltd. ............. 19,100 224,425
*Hampton Industries, Inc. .......... 24,690 112,648
*Handex Environmental Recovery, Inc. 49,800 560,250
Handleman Co. ..................... 247,336 1,824,103
*Hanger Orthopedic Group, Inc. ..... 55,600 274,525
*Harding Lawson Associates Group,
Inc. .............................. 31,800 202,725
Harleysville Group, Inc. .......... 90,700 2,414,888
*Harlyn Products, Inc. ............. 22,200 24,281
*Harry's Farmers Market, Inc.
Class A ........................... 27,900 83,700
*Hartmarx Corp. .................... 154,700 966,875
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Shares Value+
--------- -------------
<S> <C> <C>
Harvey's Casino Resorts ........... 61,300 $1,317,950
Hastings Manufacturing Co. ........ 850 21,516
Hathaway Corp. .................... 18,400 50,600
*Hauser Chemical Research, Inc. .... 73,000 538,375
Haven Bancorp, Inc. ............... 30,800 868,175
Haverty Furniture Co., Inc. ....... 66,100 892,350
*Hawthorne Financial Corp. ......... 17,600 126,500
Hayes Wheels International, Inc. .. 119,500 3,734,375
Health Images, Inc. ............... 77,800 748,825
*Health O Meter Products, Inc. ..... 60,800 359,100
*Health Risk Management, Inc. ...... 15,300 185,513
*Healthcare Services Group, Inc. ... 53,500 478,156
*Heartland Wireless Communications,
Inc. .............................. 11,505 307,040
Hechinger Co. Class A ............. 233,100 1,041,666
Hechinger Co. Class B ............. 36,700 222,494
*Hector Communications Corp. ....... 8,500 64,813
Heico Corp. ....................... 16,153 321,041
*Hein-Werner Corp. ................. 16,087 128,696
*Heist (C.H.) Corp. ................ 16,800 128,100
*Herley Industries, Inc. ........... 15,400 174,213
*Hexcel Corp. ...................... 11,100 167,888
*Hi-Lo Automotive, Inc. ............ 69,300 329,175
*Hi-Shear Industries, Inc. ......... 58,500 365,625
*High Plains Corp. ................. 27,300 101,522
*Hitox Corp. ....................... 9,100 34,125
Hoenig Group, Inc. ................ 64,300 289,350
*Holiday RV Superstores, Inc. ...... 41,900 83,145
*Hologic, Inc. ..................... 19,600 781,550
*Holopak Technologies, Inc. ........ 15,800 69,125
Home Beneficial Corp. Class B ..... 58,500 1,499,063
Home Federal Bancorp .............. 15,500 401,063
Home Financial Corp ............... 145,800 2,032,088
Home Port Bancorp, Inc. ........... 12,500 170,313
*Homecorp, Inc. .................... 5,100 92,438
*Homeowners Group, Inc. ............ 21,600 41,175
*Hometown Bancorp., Inc. ........... 800 13,750
Hooper Holmes, Inc. ............... 38,800 436,500
*Horsehead Resource Development Co.,
Inc. .............................. 100 575
*Hospital Staffing Services, Inc. .. 28,200 102,225
*Hosposable Products, Inc. ......... 600 4,650
*Hovnanian Enterprises, Inc.
Class A ........................... 115,284 806,988
Howell Corp. ...................... 34,200 495,900
Howell Industries, Inc. ........... 1,600 46,800
Hudson Foods, Inc. Class A ........ 217,150 2,904,381
Hudson General Corp. .............. 2,500 96,250
Huffy Corp. ....................... 89,500 1,219,438
Hughes Supply, Inc. ............... 46,000 1,851,500
*Hurco Companies, Inc. ............. 9,700 64,263
*Hycor Biomedical, Inc. ............ 50,800 241,300
*Hyde Athletic Industries, Inc.
Class A ........................... 19,800 99,000
*Hyde Athletic Industries, Inc.
Class B ........................... 30,000 146,250
*ICH Corp. ......................... 1,400 88
#ICO, Inc. ......................... 62,300 412,738
*IFR Systems, Inc. ................. 26,000 390,000
*Image Industries, Inc. ............ 35,000 450,625
*Imo Industries, Inc. .............. 20,900 148,913
*Imperial Bancorp .................. 61,213 1,484,415
*Imperial Credit Industries, Inc. .. 1,485 43,808
*Imperial Holly Corp. .............. 70,900 859,663
*In Home Health, Inc. .............. 88,800 188,700
</TABLE>
152
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- -------------
<S> <C> <C>
*Inacom Corp. ...................... 68,000 $1,453,500
*Inco Homes Corp. .................. 27,940 22,701
*Incstar Corp. ..................... 18,200 113,750
Independence Holding Co. .......... 92,500 433,594
Independent Bank Corp. MA ......... 61,200 478,125
Independent Bank East ............. 8,400 239,400
Indiana Federal Corp. ............. 31,950 603,056
Industrial Acoustics Co., Inc. .... 700 7,613
*Information Resources, Inc. ....... 53,600 670,000
*Infrasonics, Inc. ................. 90,000 548,438
Ingles Market, Inc. Class A ....... 40,900 534,256
*Innoserv Technologies, Inc. ....... 13,700 63,363
Insituform East, Inc. ............. 29,200 111,325
Insteel Industries, Inc. .......... 56,300 387,063
*Insurance Auto Auctions, Inc. ..... 74,200 885,763
#Integrated Health Services, Inc. .. 16,500 431,063
*Integrated Waste Services, Inc. ... 46,400 104,400
*Intellicall, Inc. ................. 49,500 303,188
Intelligent Electronics, Inc. ..... 97,639 951,980
Inter-Regional Financial Group,
Inc. .............................. 82,250 2,056,250
Interface Systems, Inc. ........... 16,700 164,913
Interface, Inc. Class A ........... 120,600 1,711,013
*Interlinq Software Corp. .......... 40,800 183,600
International Aluminum Corp. ...... 33,600 869,400
*International Jensen, Inc. ........ 45,000 458,438
*International Lottery & Totalizer
Systems, Inc. ..................... 18,400 44,563
International Multifoods Corp. .... 187,500 3,726,563
*International Research &
Development Corp. ................. 18,600 930
International Shipholding Corp. ... 45,775 881,169
*International Technology Corp. .... 276,100 759,275
*International Thoroughbred
Breeders, Inc. .................... 65,100 260,400
*Interphase Corp. .................. 15,200 285,950
Interpool, Inc. ................... 39,400 763,375
Interstate Bakeries Corp. DE ...... 41,800 1,154,725
*#Intertan, Inc. .................... 75,100 506,925
Interwest Bancorp, Inc. ........... 17,600 425,700
Investors Financial Services Corp. 5,408 121,680
Investors Financial Services Corp.
Class A ........................... 1,039 23,378
Investors Title Co. ............... 18,200 220,675
Isco, Inc. ........................ 14,600 166,075
*Isomedix, Inc. .................... 52,500 794,063
*Iwerks Entertainment, Inc. ........ 52,400 546,925
*J & J Snack Foods Corp. ........... 63,200 841,350
JSB Financial, Inc. ............... 80,800 2,681,550
Jackpot Enterprises, Inc. ......... 29,800 376,225
*Jaclyn, Inc. ...................... 26,900 121,050
*Jaco Electronics, Inc. ............ 23,946 300,822
*Jacobs Jay, Inc. .................. 31,300 60,644
Jacobson Stores, Inc. ............. 38,650 449,306
*Jan Bell Marketing, Inc. .......... 182,900 491,544
Jefferson Savings Bancorp, Inc. ... 23,000 626,750
John Alden Financial Corp. ........ 149,700 3,349,538
*Johnson Worldwide Associates, Inc.
Class A ........................... 47,000 816,625
Johnston Industries, Inc. ......... 59,825 515,991
*Johnstown American Industries, Inc. 55,900 234,081
*Jones Intercable, Inc. Class A .... 71,000 958,500
*Joseph A. Bank Clothiers, Inc. .... 40,300 204,019
*Just Toys, Inc. ................... 14,000 19,250
Justin Industries, Inc. ........... 167,600 2,074,050
<PAGE>
Shares Value+
--------- -------------
K Swiss, Inc. Class A ............. 30,400 $ 345,800
*K-Tron International, Inc. ........ 6,300 51,975
*KLLM Transport Services, Inc. ..... 31,999 427,987
*Kaiser Ventures, Inc. ............. 37,400 397,375
Kaman Corp. Class A ............... 120,300 1,481,194
Katy Industries, Inc. ............. 58,500 877,500
Keithley Instruments, Inc. ........ 1,000 18,000
Kellwood Co. ...................... 164,918 2,844,836
Kenan Transport Co. ............... 200 3,900
*#Kenetech Corp. .................... 6,000 3,938
*Kentucky Electric Steel, Inc. ..... 32,600 270,988
*Kerr Group, Inc. .................. 25,300 129,663
*Kewaunee Scientific Corp. ......... 700 3,063
*Key Energy Group, Inc. ............ 40,000 320,000
*Key Production Co., Inc. .......... 63,962 487,710
*Key Tronic Corp. .................. 58,100 439,381
*Keystone Consolidated Industries,
Inc. .............................. 37,950 377,128
*Kinark Corp. ...................... 21,600 99,900
*Kinder-Care Learning Centers, Inc. 130,600 1,959,000
Kinetic Concepts, Inc. ............ 3,900 66,300
*Kinnard Investment, Inc. .......... 42,700 218,838
*Kit Manufacturing Co. ............. 11,100 128,344
Knape & Vogt Manufacturing Co. .... 42,631 687,425
*Knogo North America, Inc. ......... 20,200 196,950
*Krug International Corp. .......... 35,400 188,063
*Krystal Co. ....................... 24,000 106,500
LCS Industries, Inc. .............. 13,200 221,100
LSB Industries, Inc. .............. 99,500 559,688
LSI Industries, Inc. .............. 13,230 253,024
*LTX Corp. ......................... 30,700 328,106
*Laclede Steel Co. ................. 8,700 57,638
Ladd Furniture, Inc. .............. 52,527 587,646
Lafayette American Bank & Trust Co. 1,050 12,666
*Lamson & Sessions Co. ............. 28,300 328,988
*Lancer Corp. ...................... 7,200 164,250
*Laserscope ........................ 61,000 478,469
Lawyers Title Corp. ............... 62,212 1,042,051
*Layne, Inc. ....................... 29,600 377,400
*Lazare Kaplan International, Inc. . 11,300 163,850
*Lechters, Inc. .................... 113,900 790,181
Lennar Corp. ...................... 150,350 3,739,956
Liberty Bancorp, Inc. Delaware .... 18,000 418,500
Liberty Bancorp, Inc. Oklahoma .... 67,700 2,445,663
*Liberty Technologies, Inc. ........ 30,400 197,600
Life Partners Group, Inc. ......... 148,400 3,134,950
Life Re Corp. ..................... 72,800 2,220,400
*Life USA Holdings, Inc. ........... 120,800 966,400
*Lifeline Systems, Inc. ............ 19,500 277,875
*Ligand Pharmaceuticals, Inc.
Class B ........................... 25,497 423,888
Lillian Vernon Corp. .............. 73,800 1,060,875
*Lindal Cedar Homes, Inc. .......... 8,000 33,000
Lindberg Corp. .................... 27,900 298,181
*Littlefield, Adams & Co. .......... 12,000 23,250
*Liuski International, Inc. ........ 29,700 137,363
*#Live Entertainment, Inc. .......... 6,740 44,653
*Lodgenet Entertainment Corp. ...... 31,500 450,844
*#Lomas Financial Corp. ............. 89,700 2,243
*Longhorn Steaks, Inc. ............. 19,500 507,000
*Louis Dreyfus Natural Gas Corp. ... 187,100 2,619,400
Lufkin Industries, Inc. ........... 37,900 805,375
Lukens, Inc. DE ................... 95,800 2,574,625
*Lumex, Inc. ....................... 42,300 460,013
</TABLE>
153
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- -------------
<S> <C> <C>
*Luria & Son, Inc. ................. 34,100 $ 161,975
*Lynch Corp. ....................... 2,300 188,600
M A R C, Inc. ..................... 3,335 70,035
*M-Wave, Inc. ...................... 20,400 102,000
#MAF Bancorp, Inc. ................. 35,320 865,340
MDC Holdings, Inc. ................ 127,588 893,116
*MDT Corp. ......................... 65,500 294,750
*MFRI, Inc. ........................ 36,300 254,100
*MHM Services, Inc. ................ 712 1,068
*MI Schottenstein Homes, Inc. ...... 61,800 602,550
*MK Gold Corp. ..................... 140,100 267,066
MMI Companies, Inc. ............... 9,100 269,588
*MRS Technology, Inc. .............. 36,000 162,000
*MS Carriers, Inc. ................. 90,200 1,736,350
*MTI Technology Corp. .............. 87,000 233,813
MTS Systems Corp. ................. 71,600 1,324,600
MYR Group, Inc. ................... 30,966 352,238
*Macheezmo Mouse Restaurants, Inc. . 5,000 12,188
Magna Bancorp ..................... 900 31,950
Magna Group, Inc. ................. 18,700 446,463
*Magnetek, Inc. .................... 150,000 1,462,500
Marcus Corp. ...................... 26,500 689,000
*Marine Drilling Companies, Inc. ... 100,000 1,012,500
*Mariner Health Group, Inc. ........ 126,000 2,252,250
Maritrans, Inc. ................... 78,500 471,000
*Mark VII, Inc. .................... 9,900 197,381
Marsh Supermarkets, Inc. Class A .. 25,200 321,300
Marsh Supermarkets, Inc. Class B .. 31,400 406,238
Maryland Federal Bancorp .......... 27,300 812,175
Massbank Corp. Reading, MA ........ 18,400 611,800
*Mastec, Inc. ...................... 12,700 399,256
*Matec Corp. DE .................... 6,900 42,263
*Matlack Systems, Inc. ............. 61,642 508,547
*Matria Healthcare, Inc. ........... 22,800 193,800
*Matrix Service Co. ................ 94,900 575,331
*Maverick Tube Corp. ............... 44,000 572,000
*Maxco, Inc. ....................... 28,300 261,775
*Maxwell Laboratories, Inc. ........ 17,045 240,761
*Maxxam, Inc. ...................... 58,000 2,486,750
*Maxxim Medical, Inc. .............. 58,800 1,073,100
*Maynard Oil Co. ................... 34,500 293,250
McDonald & Co. Investment, Inc. ... 24,500 477,750
*McFarland Energy, Inc. ............ 52,300 509,925
McGrath Rent Corp. ................ 40,000 835,000
McRae Industries, Inc. Class A .... 1,000 7,375
*Medalist Industries, Inc. ......... 17,200 242,950
*Medalliance, Inc. (in Liquidation) 39,500 0
Medex, Inc. ....................... 42,300 544,613
Medford Savings Bank MA ........... 33,000 734,250
*Media Logic, Inc. ................. 20,100 160,800
*Medical Graphics Corp. ............ 12,200 89,975
*Mediq, Inc. ....................... 5,700 34,913
*Medstone International, Inc. ...... 14,500 125,063
*Melamine Chemicals, Inc. .......... 38,000 351,500
*Mem Co., Inc. ..................... 5,300 20,206
Mercantile Bancorporation, Inc. ... 1 47
*Mercer International, Inc. ........ 12,000 234,750
Merchants Bancorp, Inc. ........... 19,700 623,013
Merchants Group, Inc. ............. 21,000 401,625
*Meridian Data, Inc. ............... 20,000 345,000
Meridian Insurance Group, Inc. .... 47,000 646,250
*Meris Laboratories, Inc. .......... 12,000 13,875
*Merisel, Inc. ..................... 213,300 919,856
Merrimac Industries, Inc. ......... 10,300 112,013
<PAGE>
Shares Value+
--------- -------------
*#Mesa Airlines, Inc. ............... 276,100 $3,675,581
Mesaba Holdings, Inc. ............. 27,100 299,794
*Mestek, Inc. ...................... 13,500 182,250
Metal Management, Inc. ............ 15,900 77,513
*Metromedia International Group,
Inc. .............................. 60,000 840,000
*Michael Anthony Jewelers, Inc. .... 68,800 236,500
Michael Foods, Inc. ............... 131,800 1,367,425
*#Michaels Stores, Inc. ............. 129,100 2,162,425
*Microage, Inc. .................... 97,600 1,317,600
*Microcom, Inc. .................... 4,600 89,988
*Micronics Computers, Inc. ......... 100,700 319,408
Mid America Banccorp .............. 63,032 1,110,939
*MidAmerican Waste System, Inc. .... 167,500 157,031
Midconn Bank Kensington, CT ....... 13,500 207,563
Middlesex Water Co. ............... 7,500 124,688
*Midisoft Corp. .................... 35,000 89,688
Midland Co. ....................... 5,600 271,600
Midwest Grain Products, Inc. ...... 67,200 814,800
*Mikasa, Inc. ...................... 89,300 1,026,950
*Mikohn Gaming Corp. ............... 63,600 568,425
*Miles Homes, Inc. ................. 19,900 35,447
*Miller Building Systems, Inc. ..... 27,300 131,381
*Miltope Group, Inc. ............... 57,100 148,103
Mine Safety Appliances Co. ........ 37,600 1,762,500
Minuteman International, Inc. ..... 9,000 85,500
*Mobley Environmental Services, Inc.
Class A ........................... 10,500 9,188
*Molecular Dynamics, Inc. .......... 40,000 272,500
Monarch Machine Tool Co. .......... 34,900 401,350
*Moog, Inc. Class A ................ 38,500 789,250
*Moog, Inc. Class B ................ 9,500 207,813
*Moore Handley, Inc. ............... 2,000 8,000
*Moore Medical Corp. ............... 20,000 275,000
*Moore Products Co. ................ 7,300 137,788
*Morgan Products, Ltd. ............. 61,400 376,075
*#Morrison Knudsen Corp. ............ 93,000 116,250
*Motor Club of America ............. 5,600 42,700
*Mountasia Entertainment
International, Inc. ............... 33,000 90,750
Movado Group, Inc. ................ 34,400 655,750
*Moviefone, Inc. Class A ........... 29,500 141,969
Mueller (Paul) Co. ................ 3,900 123,338
*Mueller Industries, Inc. .......... 64,000 2,776,000
*Multi Color Corp. ................. 7,600 52,725
*Munsingwear, Inc. ................. 14,800 98,050
*Musicland Stores Corp. ............ 256,600 1,122,625
*Mutual Savings Bank FSB Bay City,
MI ................................ 29,300 166,644
NAC RE Corp. ...................... 17,200 559,000
*NAI Technologies, Inc. ............ 26,700 78,431
NBT Bancorp ....................... 55,497 943,449
*NMR of America, Inc. .............. 42,700 210,831
NS Bancorp, Inc. .................. 30,200 1,234,425
*NS Group, Inc. .................... 91,100 261,913
*NSA International, Inc. ........... 25,800 80,625
NSC Corp. ......................... 71,200 162,425
NYMAGIC, Inc. ..................... 75,800 1,421,250
*Nantucket Industries, Inc. ........ 6,500 45,094
*Napco Security Systems, Inc. ...... 29,900 119,600
Nash Finch Co. .................... 77,200 1,322,050
Nashua Corp. ...................... 42,300 708,525
*Nathans Famous, Inc. .............. 31,500 107,297
*National Auto Credit, Inc. ........ 168,790 2,067,678
*National City Bancorp ............. 44,445 911,123
</TABLE>
154
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- -------------
<S> <C> <C>
National Gas & Oil Co. ............ 36,462 $ 373,736
*National Home Centers, Inc. ....... 54,500 149,875
*National Home Health Care Corp. ... 8,600 59,663
*National Insurance Group .......... 24,400 140,300
*National Mercantile Bancorp. ...... 2,400 4,275
*National Patent Development Corp. . 39,375 447,891
National Presto Industries, Inc. .. 54,300 2,199,150
*National Record Mart, Inc. ........ 1,500 2,109
*National Standard Co. ............. 8,100 62,775
*National Steel Corp. Class B ...... 31,800 421,350
*National Western Life Insurance Co.
Class A ........................... 22,100 1,472,413
*Natural Wonders, Inc. ............. 52,400 334,050
*Navigators Group, Inc. ............ 2,100 37,275
*Neostar Retail Group, Inc. ........ 44,900 238,531
*Netframe Systems, Inc. ............ 99,000 495,000
*Netrix Corp. ...................... 73,800 710,325
*Network Computing Devices, Inc. ... 106,300 455,097
*New Brunswick Scientific Co., Inc. 21,735 183,389
*New Image Industries, Inc. ........ 28,900 104,763
New Jersey Resources Corp. ........ 79,212 2,178,330
*New Jersey Steel Corp. ............ 37,400 313,225
*New Mexico & Arizona Land Co. ..... 23,650 360,663
Newcor, Inc. ...................... 19,836 216,956
Newmil Bancorp, Inc. .............. 41,100 292,838
Newport Corp. ..................... 55,800 537,075
*Nexthealth, Inc. .................. 56,700 155,925
*Nichols Research Corp. ............ 9,100 296,888
*Nitches, Inc. ..................... 3,679 28,052
*Noel Group, Inc. .................. 95,400 793,013
Noland Co. ........................ 2,000 40,250
*Noodle Kidoodle, Inc. ............. 23,100 154,481
*Nord Resources Corp. .............. 98,600 591,600
*Nortek, Inc. ...................... 82,100 1,169,925
North Fork Bancorporation, Inc. ... 71,339 1,738,888
North Side Savings Bank NY ........ 32,537 1,163,198
*North Star Universal, Inc. ........ 62,600 477,325
*Northstar Health Services, Inc. ... 31,000 93,000
Norwich Financial Corp. ........... 37,900 490,331
*Novacare, Inc. .................... 384,400 2,498,600
*Nuevo Energy Co. .................. 86,100 2,669,100
*Nview Corp. ....................... 33,000 249,563
*Nycor, Inc. ....................... 28,000 157,500
*Nycor, Inc. Class A ............... 24,600 138,375
O'Sullivan Corp. .................. 65,100 764,925
*O'Sullivan Industries Holdings,
Inc. .............................. 126,500 964,563
*O.I. Corp. ........................ 25,600 123,200
*OEC Medical Systems, Inc. ......... 37,000 453,250
*OHM Corp. ......................... 10,800 95,850
*OMI Corp. ......................... 234,300 2,050,125
*OTR Express, Inc. ................. 15,000 79,688
*Offshore Logistics, Inc. .......... 120,100 1,726,438
Oglebay Norton Co. ................ 15,500 676,188
Oil-Dri Corp. of America .......... 48,000 654,000
*Old America Stores, Inc. .......... 36,000 297,000
*Old Dominion Freight Lines, Inc. .. 61,000 693,875
*Olympic Steel, Inc. ............... 86,000 1,574,875
*Omega Environmental, Inc. ......... 25,000 76,563
OnbanCorp, Inc. ................... 96,000 3,036,000
*Oncogene Science, Inc. ............ 56,300 654,488
*One Price Clothing Stores, Inc. ... 67,800 381,375
One Valley Bancorp of West Virginia 9,280 302,180
Oneida, Ltd. ...................... 80,200 1,393,475
*Oneita Industries, Inc. ........... 48,200 198,825
<PAGE>
Shares Value+
--------- -------------
Optical Coating Laboratory, Inc. .. 31,900 $ 556,256
*Option Care, Inc. ................. 65,500 474,875
Orange Co., Inc. .................. 69,700 566,313
*Orchard Supply Hardware Stores
Corp. ............................. 55,000 1,574,375
*Oregon Metallurgical Corp. ........ 40,300 1,256,856
Oregon Steel Mills, Inc. .......... 152,661 2,442,576
*Oriole Homes Corp. Class B ........ 21,400 164,513
Orion Capital Corp. ............... 48,300 2,282,175
*Oroamerica, Inc. .................. 40,000 195,000
*Osborn Communications Corp. ....... 6,300 67,725
Oshkosh B'Gosh, Inc. Class A ...... 46,300 818,931
Oshkosh Truck Corp. Class B ....... 55,900 824,525
*Oshman's Sporting Goods, Inc. ..... 40,900 357,875
Outboard Marine Corp. ............. 170,700 3,307,313
*Outlook Group Corp. ............... 34,100 191,813
Oxford Industries, Inc. ........... 107,400 1,960,050
*PCI Services, Inc. ................ 35,900 718,000
*PLM International, Inc. ........... 48,200 168,700
PXRE Corp. ........................ 60,700 1,490,944
*Pacific Rim Holding Corp. ......... 64,800 145,800
Pacific Scientific Co. ............ 19,200 367,200
*Pacific Sunwear of California, Inc. 32,200 809,025
*Pages, Inc. ....................... 11,800 29,500
Palfed, Inc. ...................... 34,400 412,800
Pamrapo Bancorp, Inc. ............. 22,900 449,413
Pancho's Mexican Buffet, Inc. ..... 43,800 117,713
*Par Technology Corp. .............. 47,000 775,500
*Paragon Trade Brands, Inc. ........ 65,000 1,600,625
*Park-Ohio Industries, Inc. ........ 49,100 1,095,544
*Parker Drilling Co. ............... 56,000 399,000
Parkvale Financial Corp. .......... 25,002 693,806
*Patina Oil & Gas Corp. ............ 49,126 343,882
Patrick Industries, Inc. .......... 38,700 532,125
*Payless Cashways, Inc. ............ 245,900 1,168,025
Peerless Manufacturing Co. ........ 10,000 103,125
*Penn Treaty American Corp. ........ 43,200 831,600
Penn Virginia Corp. ............... 27,800 983,425
*Penril Datacomm Networks, Inc. .... 30,400 281,200
*Pentech International, Inc. ....... 45,600 96,900
Peoples Bancshares, Inc.
Massachusetts ..................... 15,600 155,025
Peoples Heritage Financial Group,
Inc. .............................. 127,700 2,546,019
Peoples Savings Financial Corp. ... 13,300 275,975
*Peoples Telephone Co., Inc. ....... 91,000 290,063
*Perfumania, Inc. .................. 44,400 231,713
*Perini Corp. ...................... 35,500 394,938
*Petrocorp, Inc. ................... 53,400 380,475
*Pharmchem Laboratories, Inc. ...... 64,900 227,150
Phillips-Van Heusen Corp. ......... 172,600 2,308,525
*Photo Control Corp. ............... 4,200 14,700
*Photronics, Inc. .................. 5,550 165,113
Piccadilly Cafeterias, Inc. ....... 68,100 698,025
Pikeville National Corp. .......... 6,000 135,750
Pilgrim Pride Corp. ............... 180,200 1,283,925
Pillowtex Corp. ................... 9,600 128,400
*Pinkertons, Inc. .................. 23,000 569,250
Pinnacle Bank Jasper, AL .......... 4,300 69,338
#Pioneer Financial Services, Inc. .. 69,600 1,131,000
Piper Jaffray Companies, Inc. ..... 69,496 929,509
Pitt-Des Moines, Inc. ............. 18,400 828,000
*Pittencrieff Communications, Inc. . 93,600 742,950
*Plains Resources, Inc. ............ 51,300 577,125
*Plasti-Line, Inc. ................. 10,000 86,250
</TABLE>
155
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
<S> <C> <C>
Ply-Gem Industries, Inc. DE ....... 89,800 $1,335,775
*Polk Audio, Inc. .................. 4,900 66,150
*Polymedica Industries, Inc. ....... 41,840 387,020
*Pool Energy Services Co. .......... 97,858 1,376,128
Pope & Talbot, Inc. ............... 105,500 1,767,125
*Porta Systems Corp. ............... 25,500 20,719
*Portec, Inc. ...................... 26,306 276,213
Portsmouth Bank Shares, Inc. ...... 39,087 564,319
Poughkeepsie Savings Bank FSB NY .. 84,900 461,644
*Powell Industries, Inc. ........... 49,000 560,438
Premier Financial Services, Inc. .. 43,700 447,925
*President Casinos, Inc. ........... 126,000 267,750
Presidential Life Corp. ........... 217,800 2,137,163
*Presley Companies Class A ......... 83,300 156,188
*Price Communications Corp. ........ 56,300 434,566
*Pride Petroleum Services, Inc. .... 69,900 1,214,513
*Primark Corp. ..................... 26,500 934,125
Prime Bancorp, Inc. ............... 26,447 476,046
Primesource Corp. ................. 5,254 32,838
*Printronix, Inc. .................. 15,000 382,500
*Procyte Corp. ..................... 89,300 362,781
*Proffitts, Inc. ................... 98,772 3,654,564
*Progress Financial Corp. .......... 20,200 136,350
Progressive Bank, Inc. ............ 19,200 559,200
*Progroup, Inc. .................... 9,900 47,644
Proler International Corp. ........ 31,800 230,550
Providence & Worcester Railroad Co. 13,200 105,600
Provident Bankshares Corp. ........ 44,504 1,479,758
Pulaski Furniture Corp. ........... 20,600 373,375
Pulse Bancorp, Inc. ............... 26,300 448,744
*Pure World, Inc. .................. 34,900 93,794
*QMS, Inc. ......................... 66,500 399,000
*Quad Systems Corp. ................ 27,400 253,450
Quaker Chemical Corp. ............. 33,000 437,250
*Quaker Fabric Corp. ............... 64,000 592,000
Quaker State Corp. ................ 215,000 3,305,625
Quanex Corp. ...................... 44,500 1,034,625
*Quantum Health Resources, Inc. .... 38,700 682,088
*Quarterdeck Office Systems, Inc. .. 71,900 1,042,550
Queens County Bancorp ............. 17,200 821,300
*Quest Medical, Inc. ............... 12,360 154,500
*Quiksilver, Inc. .................. 1,800 78,750
Quixote Corp. ..................... 78,600 623,888
*R & B, Inc. ....................... 62,900 420,644
RCSB Financial, Inc. .............. 99,800 2,345,300
RLI Corp. ......................... 51,350 1,193,888
*RPC Energy Services, Inc. ......... 44,500 556,250
*Radius, Inc. ...................... 83,150 283,230
*Rag Shops, Inc. ................... 32,800 76,363
*#Rally's Hamburgers, Inc. .......... 60,300 195,975
*Ramsay Health Care, Inc. .......... 51,400 181,506
*Ramsay Managed Care, Inc. ......... 7,306 13,012
Raritan Bancorp, Inc. DE .......... 1,050 22,050
*#Raymond Corp. ..................... 24,732 435,902
*Readicare, Inc. ................... 14,000 67,375
*Reading Co. Class A ............... 32,536 349,762
*Redwood Empire Bancorp ............ 20,200 212,100
Refac Technology Development Corp. 34,985 292,999
*Regeneron Pharmaceuticals, Inc. ... 2,000 34,875
Reliance Steel and Aluminum Co. ... 56,700 2,126,250
*Repligen Corp. .................... 30,200 37,750
*Republic Automotive Parts, Inc. ... 22,800 347,700
<PAGE>
Shares Value+
--------- -------------
Republic Bancorp, Inc. ............ 28,736 $ 323,280
*#Republic Environmental Systems,
Inc. .............................. 18,980 348,758
Republic Savings Financial Corp. .. 30,100 176,838
*Rexel, Inc. ....................... 74,500 1,089,563
Rexene Corp. ...................... 126,400 1,485,200
*Rexhall Industries, Inc. .......... 12,180 88,305
*Rexon, Inc. ....................... 34,400 0
*Rhodes, Inc. ...................... 57,200 722,150
Richardson Electronics, Ltd. ...... 41,400 429,525
*Riddell Sports, Inc. .............. 49,300 254,203
Riggs National Corp. .............. 236,800 2,841,600
*Rightchoice Managed Care, Inc.
Class A ........................... 16,500 282,563
*Rimage Corp. ...................... 3,300 30,113
Riser Foods, Inc. Class A ......... 36,900 784,125
*River Oaks Furniture, Inc. ........ 35,600 218,050
*Riverside Group, Inc. ............. 3,200 10,800
*#Roadmaster Industries, Inc. ....... 118,500 222,188
Roanoke Electric Steel Corp. ...... 14,700 214,069
*Roberts Pharmaceutical Corp. ...... 18,900 399,263
Robinson Nugent, Inc. ............. 53,900 353,719
*Rocky Shoes & Boots, Inc. ......... 24,600 178,350
*Rodman & Renshaw Capital Group,
Inc. .............................. 19,700 39,400
*Rohr, Inc. ........................ 110,300 2,330,088
*Rollins Environmental Services,
Inc. .............................. 418,134 1,463,469
Rollins Truck Leasing Corp. ....... 282,300 3,070,013
Ross Stores, Inc. ................. 60,092 2,351,100
Rouge Steel Co. Class A ........... 115,800 2,576,550
*Royal Appliance Manufacturing Co. . 62,400 390,000
*Royal Grip, Inc. .................. 10,900 57,906
Russ Berrie & Co., Inc. ........... 169,300 2,941,588
*Ryans Family Steak Houses, Inc. ... 116,300 1,017,625
Rykoff-Sexton, Inc. ............... 112,875 1,749,563
Ryland Group, Inc. ................ 102,664 1,681,123
*Rymer Foods, Inc. ................. 15,300 12,909
*S&K Famous Brands, Inc. ........... 42,200 371,888
*SBE, Inc. ......................... 14,100 151,575
SKI, Ltd. ......................... 31,500 549,281
*#SLM International, Inc. ........... 44,000 61,864
*SPS Technologies, Inc. ............ 42,300 2,590,875
SPX Corp. ......................... 101,700 2,720,475
Saint Paul Bancorp, Inc. .......... 136,500 3,173,625
*Salant Corp. DE ................... 96,200 384,800
Salem Corp. ....................... 12,200 262,300
*San Filippo (John B.) & Son, Inc. . 67,400 480,225
Sanderson Farms, Inc. ............. 42,700 576,450
Sands Regent Casino Hotel ......... 43,282 238,051
Santa Monica Bank CA .............. 38,700 493,425
Savannah Foods & Industries, Inc. . 3,278 40,770
*Savoy Pictures Entertainment, Inc. 105,900 628,781
*Scan-Optics, Inc. ................. 42,200 168,800
*Schieb (Earl), Inc. ............... 20,500 161,438
*Schuler Homes, Inc. ............... 105,100 735,700
Schultz Sav-O Stores, Inc. ........ 10,200 138,975
*Scientific Software-Intercomp, Inc. 22,200 58,275
*Scios-Nova, Inc. .................. 209,300 1,510,884
Scope Industries, Inc. ............ 4,200 155,400
*Score Board, Inc. ................. 32,500 164,531
Seaboard Corp. .................... 100 21,950
*Seacor Holdings, Inc. ............. 35,000 1,693,125
Seafield Capital Corp. ............ 41,500 1,623,688
Sealright Co., Inc. ............... 72,000 954,000
</TABLE>
156
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- -------------
<S> <C> <C>
*Secom General Corp. ............... 21,300 $ 67,228
Security Connecticut Corp. ........ 56,000 1,624,000
*Seda Specialty Packaging Corp. .... 9,600 210,000
Selas Corp. of America ............ 22,000 236,500
Selective Insurance Group, Inc. ... 98,000 3,136,000
*Selfix, Inc. ...................... 4,900 22,663
*Sequa Corp. Class A ............... 39,500 1,614,563
*Sequent Computer Systems, Inc. .... 122,200 1,611,513
*Serv-Tech, Inc. ................... 47,755 292,499
*Service Merchandise Co., Inc. ..... 766,000 4,117,250
*Servico, Inc. ..................... 30,400 433,200
*Shaman Pharmaceuticals ............ 35,800 295,350
*Sharper Image Corp. ............... 46,600 244,650
Shelby Williams Industries, Inc. .. 8,000 91,500
*Shiloh Industries, Inc. ........... 58,300 921,869
*Shoe Carnival, Inc. ............... 97,000 454,688
*Sholodge, Inc. .................... 29,700 449,213
Shopko Stores, Inc. ............... 258,800 3,914,350
*Show Biz Pizza Time, Inc. ......... 141,600 2,283,300
Showboat, Inc. .................... 46,300 1,290,613
*Sifco Industries, Inc. ............ 35,600 285,913
*Sigma Designs, Inc. ............... 11,300 146,900
*Signal Technology Corp. ........... 38,000 323,000
*Silicon Valley Bancshares ......... 26,700 647,475
Simmons First National Corp.
Class A ........................... 27,400 911,050
Simpson Industries, Inc. .......... 118,900 1,159,275
Sizzler International, Inc. ....... 212,700 797,625
Skyline Corp. ..................... 61,100 1,580,963
Skywest, Inc. ..................... 84,900 1,613,100
Smith (A.O.) Corp. ................ 118,500 3,169,875
Smith (A.O.) Corp. Convertible
Class A ........................... 19,700 535,594
*Smith Environmental Technologies
Corp. ............................. 54,200 138,888
Snyder Oil Corp. .................. 223,500 2,207,063
*Softech, Inc. ..................... 27,200 85,000
*Software Publishing Corp. ......... 86,000 225,750
*Software Spectrum, Inc. ........... 27,200 673,200
*Sound Advice, Inc. ................ 16,600 43,056
South Jersey Industries, Inc. ..... 66,277 1,507,802
Southdown, Inc. ................... 135,200 3,126,500
*Southern Electronics Corp. ........ 51,200 297,600
*Southwall Technologies, Inc. ...... 40,800 331,500
Southwest Bancshares, Inc. DE ..... 13,000 352,625
Southwestern Energy Co. ........... 161,900 2,307,075
*Spacelabs Medical, Inc. ........... 69,400 1,665,600
*Spaghetti Warehouse, Inc. ......... 44,800 246,400
Span-American Medical System, Inc. 21,200 109,975
*Sparton Corp. ..................... 50,800 228,600
*Spec's Music, Inc. ................ 36,900 76,106
*Specialty Chemical Resources, Inc. 23,000 77,625
*Specialty Paperboard, Inc. ........ 27,700 398,188
*Spectran Corp. .................... 53,500 1,110,125
*Speizman Industries, Inc. ......... 26,500 125,875
*Sport Chalet, Inc. ................ 42,300 103,106
Sport Supply Group, Inc. .......... 46,600 343,675
*Sportmart, Inc. ................... 34,400 163,400
*Sports & Recreation, Inc. ......... 147,000 1,396,500
*Spreckels Industries, Inc. Class A 16,400 271,625
*Stacey's Buffet, Inc. ............. 10,700 7,189
*Staff Builders, Inc. Class A ...... 157,900 542,781
*Stage II Apparel Corp. ............ 25,300 75,900
*Standard Commercial Corp. ......... 59,977 547,289
<PAGE>
Shares Value+
--------- -------------
*Standard Microsystems Corp. ....... 89,900 $1,393,450
Standard Motor Products, Inc.
Class A ............................ 84,100 1,429,700
Standard Pacific Corp. DE ......... 199,472 1,446,172
Standard Products Co. ............. 131,900 3,594,275
*Stanford Telecommunications, Inc. . 17,500 977,813
*Stanley Furniture, Inc. ........... 32,400 388,800
Stant Corp. ....................... 126,600 1,463,813
*Staodyn, Inc. ..................... 19,700 40,016
Starret Housing Corp. ............. 62,600 727,725
Starrett (L.S.) Co. Class A ....... 32,700 842,025
Steel Technologies, Inc. .......... 66,100 958,450
*Steel of West Virginia, Inc. ...... 44,000 407,000
Stepan Co. ........................ 82,100 1,611,213
*Steris Corp. ...................... 47,242 1,623,944
Sterling Bancorp .................. 63,500 722,313
*Sterling Financial Corp. WA ....... 42,180 569,430
*Stevens Graphics Corp. Class A .... 53,000 145,750
Stewart Information Services Corp. 41,600 847,600
Stifel Financial Corp. ............ 32,000 256,000
*Stokely USA, Inc. ................. 80,700 292,538
Stone & Webster, Inc. ............. 104,300 3,650,500
Strawbridge & Clothier Class A .... 71,881 1,311,828
*Streamlogic Corp. ................. 136,100 867,638
Stride Rite Corp. ................. 113,700 1,023,300
*Strouds, Inc. ..................... 98,000 373,625
*Stuart Entertainment, Inc. ........ 43,700 297,706
*Sulcus Computer Corp. ............. 92,000 322,000
Sullivan Dental Products, Inc. .... 39,300 444,581
Sumitomo Bank of California ....... 39,100 972,613
*Summagraphics Corp. ............... 25,200 74,813
*Summit Family Restaurants, Inc. ... 48,000 237,000
*Sun Healthcare Group, Inc. ........ 178,000 2,625,500
*Sun Sportswear, Inc. .............. 37,300 121,225
Sun Television and Appliances, Inc. 117,300 586,500
*Sunbelt Nursery Group, Inc. ....... 22,700 34,759
*#Suncoast Savings & Loan Association
FSA ............................... 19,900 123,131
*Sunrise Bancorp CA ................ 33,380 91,795
*Sunrise Medical, Inc. ............. 39,400 743,675
*Sunrise Resources, Inc. ........... 46,400 156,600
Super Food Services, Inc. ......... 76,100 932,225
*#Supercuts, Inc. ................... 72,000 571,500
Superior Surgical Manufacturing
Co., Inc. ......................... 48,700 560,050
*Surety Capital Corp. .............. 3,000 12,938
Susquehanna Bancshares, Inc. ...... 87,110 2,515,301
*#Swift Energy Corp. ................ 30,170 539,289
*Swiss Army Brands, Inc. ........... 79,000 1,056,625
*Sybron Chemicals, Inc. ............ 1,600 22,400
*Symix Systems, Inc. ............... 4,300 69,338
*Syms Corp. ........................ 128,700 1,013,513
*Syncor International Corp. DE ..... 69,600 965,700
*Syntellect, Inc. .................. 52,400 343,875
*#Syquest Technology, Inc. .......... 75,900 825,413
TCBY Enterprises, Inc. ............ 145,866 638,164
*TCC Industries, Inc. .............. 6,500 14,625
*TCI International, Inc. ........... 20,300 147,175
TJ International, Inc. ............ 105,800 2,010,200
*TPI Enterprises, Inc. ............. 98,400 381,300
TR Financial Corp. ................ 19,000 515,375
*TRC Companies, Inc. ............... 49,550 309,688
*TRM Copy Centers Corp. ............ 38,000 418,000
*TSF Communications Corp. .......... 2,000 35,000
Tab Products Co. DE ............... 34,800 261,000
</TABLE>
157
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- -------------
<S> <C> <C>
*Taco Cabana Inc. .................. 103,400 $ 904,750
*Tandy Crafts, Inc. ................ 80,200 611,525
*Tanknology Environmental, Inc. .... 89,300 242,784
*Team, Inc. ........................ 21,800 54,500
*Tech-Sym Corp. .................... 34,000 1,160,250
Technitrol, Inc. .................. 3,000 107,250
*Technology Solutions Corp. ........ 34,400 1,221,200
*Tekelec ........................... 17,600 270,600
*Telco Systems, Inc. ............... 43,500 783,000
Telxon Corp. ...................... 22,500 414,844
*Temtex Industries, Inc. ........... 29,700 129,938
*Tesoro Petroleum Corp. ............ 106,300 1,195,875
*Tetra Technologies, Inc. .......... 37,900 791,163
Texas Industries, Inc. ............ 71,981 4,507,810
*Texfi Industries, Inc. ............ 29,100 69,113
*Theratx, Inc. ..................... 9,196 134,492
Thiokol Corp. ..................... 61,800 2,541,525
Thomas Industries, Inc. ........... 70,500 1,454,063
Thomaston Mills, Inc. ............. 34,800 391,500
Thor Industries, Inc. ............. 1,600 34,800
Thorn Apple Valley, Inc. .......... 38,415 533,008
*Tipperary Corp. ................... 40,000 207,500
#Titan Holdings, Inc. .............. 43,008 677,376
Titan Wheel International, Inc. ... 4,500 77,625
Toastmaster, Inc. ................. 50,800 273,050
*#Todays Man, Inc. .................. 86,000 182,750
*Todd Shipyards Corp. .............. 65,500 499,438
Todd-AO Corp. Class A ............. 3,740 64,983
Tower Air, Inc. ................... 110,000 660,000
*Tracor, Inc. ...................... 29,700 623,700
*Trak Auto Corp. ................... 40,200 668,325
*Trans World Entertainment Corp. ... 63,800 366,850
*Transcend Services, Inc. .......... 20,100 218,588
Transport Leasing International,
Inc. .............................. 26,500 93,578
Transport Lux Corp. ............... 2,546 36,917
Transtechnology Corp. ............. 33,300 653,513
*Travel Ports of America, Inc. ..... 33,600 94,500
Treadco, Inc. ..................... 40,000 282,500
*Tremont Corp. DE .................. 35,833 1,330,300
Trenwick Group, Inc. .............. 32,000 1,512,000
*Triangle Pacific Corp. ............ 30,000 615,000
*Tricord Systems, Inc. ............. 77,500 486,797
*Trimark Holdings, Inc. ............ 30,300 181,800
*Triple S Plastics, Inc. ........... 23,600 153,400
*Tripos, Inc. ...................... 16,166 109,121
*Trism, Inc. ....................... 36,000 189,000
*Truevision, Inc. .................. 31,700 251,619
*Tuboscope Vetco International, Inc. 112,000 1,491,000
*Tucker Drilling Co., Inc. ......... 18,400 217,350
*Tuesday Morning Corp. ............. 54,700 717,938
*Tultex Corp. ...................... 189,107 1,016,450
*Turner Corp. ...................... 21,932 224,803
Twin Disc, Inc. ................... 19,900 470,138
*Tyco Toys, Inc. ................... 272,600 1,465,225
*Tyler Corp. ....................... 151,700 417,175
U.S. Bancorp, Inc. ................ 35,900 1,164,506
*UNC, Inc. ......................... 125,600 1,130,400
UNR Industries, Inc. .............. 83,800 817,050
*URS Corp. ......................... 54,402 408,015
*US Servis, Inc. ................... 18,400 92,575
*US Xpress Enterprises, Inc.
Class A ........................... 26,100 190,856
*USA Waste Services, Inc. .......... 31,500 929,250
*USData Corp. ...................... 6,750 146,813
<PAGE>
Shares Value+
--------- -------------
*USMX, Inc. ........................ 12,000 $ 35,625
UST Corp. ......................... 37,500 494,531
*Ultimate Electronics, Inc. ........ 41,000 199,875
*Ultra Pacific, Inc. ............... 22,200 96,431
Uni-Marts, Inc. ................... 25,700 202,388
Unico American Corp. .............. 44,700 338,044
*Unilab Corp. ...................... 55,900 108,306
*Union Corp. DE .................... 35,200 699,600
*Union Switch & Signal, Inc. ....... 58,050 602,269
*Uniroyal Technology Corp. ......... 85,900 314,072
*Unit Corp. ........................ 80,900 576,413
Unit Instruments, Inc. ............ 29,400 415,275
United Carolina Bancshares Corp. .. 51,900 1,148,288
United Fire Casualty Co. .......... 450 17,325
United Industrial Corp. ........... 84,800 530,000
*United Retail Group, Inc. ......... 84,700 370,563
*United States Energy Corp. ........ 15,700 324,794
United States Facilities Corp. .... 44,900 799,781
*United States Home Corp. .......... 77,300 1,990,475
*United States Homecare Corp. ...... 54,200 115,175
United Wisconsin Services, Inc. ... 28,000 553,000
*Unitel Video, Inc. ................ 19,200 115,200
Univar Corp. ...................... 116,400 1,440,450
*Universal Electronics, Inc. ....... 49,400 571,188
*Universal Health Services, Inc.
Class B ........................... 96,200 2,501,200
*Universal International, Inc. ..... 33,300 163,378
*Universal Standard Medical Labs,
Inc. .............................. 41,800 235,125
*Uranuim Resources, Inc. ........... 57,000 862,125
*Utilx Corp. ....................... 49,000 140,875
*V Band Systems, Inc. .............. 32,700 98,100
*VLSI Technology, Inc. ............. 205,000 3,523,438
*Valence Technology, Inc. .......... 120,000 776,250
*Vallen Corp. ...................... 55,800 1,102,050
Valley Forge Corp. ................ 15,000 223,125
Vallicorp Holdings, Inc. .......... 29,900 407,388
*Value City Department Stores, Inc. 208,800 2,140,200
*Vans, Inc. ........................ 47,000 940,000
*Varco International, Inc. ......... 152,300 2,531,988
*Variflex, Inc. .................... 40,800 300,900
#Varlen Corp. ...................... 42,580 934,099
*Vectra Technologies, Inc. ......... 44,100 143,325
*Ventura County National Bancorp ... 45,809 181,804
Venture Stores, Inc. .............. 135,679 983,673
Vermont Financial Services Corp. .. 12,400 412,300
*Versar, Inc. ...................... 1,300 4,550
*Vertex Communications Corp. ....... 29,200 520,125
*Vicorp Restaurants, Inc. .......... 61,000 793,000
*Video Display Corp. ............... 26,400 163,350
*Video Lottery Technologies, Inc. .. 74,200 371,000
Virco Manufacturing Corp. ......... 37,059 361,325
Virginia Beach Federal Financial
Corp. ............................. 40,050 310,388
*Volt Information Sciences, Inc. ... 12,600 376,425
*Vrogen Corp. ...................... 14,500 0
Vulcan International Corp. ........ 12,200 308,050
*WHX Corp. ......................... 235,900 2,359,000
WICOR, Inc. ....................... 25,000 912,500
WLR Foods, Inc. ................... 115,000 1,487,813
*WPI Group, Inc. ................... 9,200 94,875
*WSMP, Inc. ........................ 2,000 10,750
Walbro Corp. ...................... 51,652 1,133,116
Walden Bancorp, Inc. .............. 35,600 680,850
*Walker Interactive Systems, Inc. .. 47,600 568,225
</TABLE>
158
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- -------------
<S> <C> <C>
*Wall Street Deli, Inc. ............ 23,000 $ 127,938
Walshire Assurance Co. ............ 11,434 174,369
*Warner Insurance Services, Inc. ... 50,000 256,250
Warren Bancorp, Inc. .............. 36,000 461,250
*Washington Construction Group, Inc. 20,200 209,575
*Washington Homes, Inc. ............ 60,900 258,825
Washington National Corp. ......... 80,300 2,127,950
Washington Savings Bank FSB
Waldorf, MD ....................... 21,000 111,563
Watkins-Johnson Co. ............... 11,900 364,438
Watsco, Inc. Class A .............. 11,450 344,931
Watts Industries, Inc. Class A .... 120,400 2,272,550
Webb (Del) Corp. .................. 114,888 2,039,262
Webster Financial Corp. ........... 48,380 1,393,949
*Wedco Technology, Inc. ............ 10,000 186,250
*Weirton Steel Corp. ............... 255,800 991,225
*Weitek Corp. ...................... 12,000 16,500
*Welcome Home, Inc. ................ 14,000 35,875
Wellco Enterprises, Inc. .......... 1,600 35,200
*Wells-Gardner Electronics Corp. ... 21,700 89,513
West, Inc. ........................ 28,100 698,988
Westco Bancorp, Inc. .............. 11,400 240,825
Westcorp, Inc. .................... 46,856 843,413
Westerfed Financial Corp. ......... 30,000 436,875
*Western Beef, Inc. ................ 34,800 324,075
*Western Micro Technology, Inc. .... 12,300 129,150
*Westmoreland Coal Co. ............. 20,600 82,400
*Weston (Roy F.), Inc. Class A ..... 48,600 252,113
*Wet Seal, Inc. Class A ............ 23,300 589,781
Weyco Group, Inc. ................. 800 32,600
*Whitehall Corp. ................... 700 27,300
Whitney Holdings Corp. ............ 90,171 2,795,301
*Whittaker Corp. ................... 30,100 579,425
*Wickes Lumber Co. ................. 37,900 203,713
*Williams Clayton Energy, Inc. ..... 49,500 321,750
Wilshire Oil Co. of Texas ......... 63,454 356,929
Windmere Corp. .................... 126,200 1,640,600
Wiser Oil Co. ..................... 57,275 751,734
Wolf (Howard B.), Inc. ............ 5,000 37,188
Wolohan Lumber Co. ................ 39,378 425,775
*Worldtex, Inc. .................... 97,400 608,750
Worthington Foods, Inc. ........... 13,250 207,031
Wyle Laboratories, Inc. ........... 33,200 1,411,000
*Wyman-Gordon Co. .................. 50,800 866,775
Wynns International, Inc. ......... 42,700 1,168,913
*Xicor, Inc. ....................... 55,100 668,088
Yankee Energy Systems, Inc. ....... 71,600 1,593,100
*Yellow Corp. ...................... 196,100 2,537,044
York Financial Corp. .............. 41,190 684,784
*Zale Corp. ........................ 154,500 2,993,438
*Zaring Homes, Inc. ................ 31,100 380,975
*Zemex Corp. ....................... 61,706 570,781
*Zenith Electronics Corp. .......... 29,900 433,550
Zenith National Insurance Corp. ... 104,100 2,901,788
<PAGE>
Shares Value+
--------- -------------
Ziegler Co., Inc. ................. 1,700 $ 32,088
*Zitel Corp. ....................... 37,000 659,063
Zurn Industries, Inc. ............. 99,900 2,035,303
*Zygo Corp. ........................ 12,600 732,375
*Zynaxis, Inc. ..................... 31,000 32,938
-------------
TOTAL COMMON STOCKS
(Cost $817,516,137) ................ 1,013,117,675
-------------
RIGHTS/WARRANTS -- (0.0%)
*Advanced NMR Systems, Inc. Warrants
08/30/00 ........................... 5,920 3,515
*Amvestors Financial Corp. Warrants
Class A 03/04/02 ................... 3,620 19,231
*Jamesway Corp. Warrants 01/28/10 .. 1,009 101
*Patina Oil & Gas Corp. Warrants
05/02/01 ........................... 24,563 42,985
*Statesman Group, Inc. Contingent
Payment Rights ..................... 37,500 0
-------------
TOTAL RIGHTS/WARRANTS
(Cost $40,545) ..................... 65,832
-------------
Face
Amount
---------
(000)
TEMPORARY CASH INVESTMENTS -- (3.3%)
Repurchase Agreement, PNC
Securities Corp. 5.05%, 06/03/96
(Collateralized by U.S. Treasury
Notes 6.50%, 09/30/96)
(Cost $34,762,000) ................. $34,762 34,762,000
-------------
TOTAL INVESTMENTS -- (100.2%)
(Cost $852,318,682) ................ 1,047,945,507
-------------
OTHER ASSETS AND LIABILITIES --
(-0.2%)
Other Assets ...................... 1,470,596
Payable for Investment Securities
Purchased ... .................. (3,719,257)
Other Liabilities ................. (300,907)
-------------
(2,549,568)
-------------
NET ASSETS -- (100.0%) Applicable to
65,574,767 Outstanding $.01 Par
Value Shares (Unlimited Number of
Shares Authorized) ................ $1,045,395,939
=============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ........ $ 15.94
=============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
159
<PAGE>
STATEMENT OF NET ASSETS
THE U.S. LARGE CAP VALUE SERIES
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
----------- -------------
<S> <C> <C>
COMMON STOCKS -- (98.5%)
*AMR Corp. ....................... 91,000 $ 8,588,125
*#Advanced Micro Devices, Inc. .... 191,900 3,382,238
Aetna Life & Casualty Co. ....... 154,526 11,396,293
Ahmanson (H.F.) & Co. ........... 156,200 4,022,150
Alexander & Baldwin, Inc. ....... 60,900 1,564,369
Alleghany Corp. ................. 8,432 1,633,700
Allstate Corp. .................. 37,400 1,580,150
*Alumax, Inc. .................... 60,200 2,001,650
Ambac, Inc. ..................... 45,200 2,344,750
*Amdahl Corp. .................... 168,333 1,977,913
Amerada Hess Corp. .............. 110,800 6,315,600
American General Corp. .......... 279,300 9,915,150
American National Insurance Co. . 17,900 1,170,213
Apple Computer, Inc. ............ 166,400 4,336,800
Argonaut Group, Inc. ............ 32,100 1,019,175
Asarco, Inc. .................... 79,900 2,506,863
Avnet, Inc. ..................... 34,200 1,761,300
*BHC Communications, Inc. Class A 5,900 573,775
Ball Corp. ...................... 112,500 3,107,813
Bancorp Hawaii, Inc. ............ 54,800 1,993,350
Bank of Boston Corp. ............ 51,500 2,568,563
BankAmerica Corp. ............... 272,075 20,473,644
Bankers Trust New York Corp. .... 101,900 7,655,238
Bear Stearns Companies, Inc. .... 150,775 3,637,441
*Bethlehem Steel Corp. ........... 149,800 1,909,950
*Beverly Enterprises ............. 132,500 1,623,125
Block Drug Co., Inc. Class A .... 15,464 655,287
Borg Warner Automotive, Inc. .... 27,300 1,078,350
Bowater, Inc. ................... 52,600 2,071,125
*Burlington Industries, Inc. ..... 83,700 1,067,175
CIGNA Corp. ..................... 102,008 11,718,169
*CNA Financial Corp. ............. 83,100 8,310,000
CSX Corp. ....................... 255,700 12,657,150
*Cal Fed Bancorp, Inc. ........... 56,500 1,038,188
*Castle & Cooke, Inc. ............ 14,700 257,250
Centex Corp. .................... 36,400 1,096,550
Champion International Corp. .... 129,000 5,692,125
Chase Manhattan Corp. ........... 272,480 19,073,600
Chesapeake Corp. ................ 15,100 402,038
Chiquita Brands International,
Inc. ............................ 39,500 528,313
*Chris-Craft Industries, Inc. .... 29,259 1,195,962
Chrysler Corp. .................. 447,413 29,808,891
Cincinnati Financial Corp. ...... 72,960 4,345,680
Citizens Corp. .................. 14,000 255,500
Coca-Cola Enterprises, Inc. ..... 168,600 5,353,050
Comdicso, Inc. .................. 66,000 1,815,000
Commerce Bancshares, Inc. ....... 22,624 783,356
Commerce Group, Inc. ............ 44,800 980,000
Comsat Corp. Series 1 ........... 61,200 1,736,550
Conrail, Inc. ................... 109,000 7,657,250
Coors (Adolph) Co. Class B ...... 80,500 1,499,313
Countrywide Credit Industries,
Inc. ............................ 130,900 2,977,975
Cummins Engine Co., Inc. ........ 54,100 2,299,250
Cyprus Amax Minerals Co., Inc. .. 138,900 3,333,600
Diamond Shamrock, Inc. .......... 37,600 1,236,100
Dillard Department Stores, Inc.
Class A ......................... 135,300 5,412,000
*Dime Bancorp, Inc. .............. 134,100 1,676,250
Dole Food, Inc. ................. 44,100 1,664,775
<PAGE>
Shares Value+
----------- -------------
Enserch Corp. ................... 88,200 $ 1,907,325
Equitable Companies, Inc. ....... 47,500 1,145,938
*FHP International Corp. ......... 16,300 468,625
Federal-Mogul Corp. ............. 15,500 284,813
*Federated Department Stores, Inc. 261,000 9,037,125
Fina, Inc. Class A .............. 34,800 1,853,100
Finova Group, Inc. .............. 36,400 1,929,200
First Colony Corp. .............. 66,300 1,740,375
First Hawaiian, Inc. ............ 37,400 1,065,900
First of America Bank Corp. ..... 25,800 1,180,350
Florida East Coast Industries,
Inc. ............................ 11,400 1,001,775
Ford Motor Co. .................. 1,445,200 52,749,800
*Fruit of The Loom, Inc. Class A . 88,600 2,392,200
GATX Corp. ...................... 25,800 1,161,000
General Motors Corp. ............ 1,184,500 65,295,547
General Motors Corp. Class H .... 130,946 7,954,970
Georgia-Pacific Corp. ........... 112,700 8,142,575
Golden West Financial Corp. ..... 90,800 4,982,650
Goodyear Tire & Rubber Co. ...... 30,000 1,515,000
Great Atlantic & Pacific Tea Co.,
Inc. ............................ 49,200 1,685,100
Great Western Financial Corp. ... 182,800 4,204,400
Greenpoint Financial Corp. ...... 69,200 2,058,700
Helmerich & Payne, Inc. ......... 29,800 1,080,250
Inland Steel Industries, Inc. ... 65,600 1,418,600
International Paper Co. ......... 397,900 15,866,263
*International Speciality
Products, Inc. ................. 71,800 798,775
James River Corp. of Virginia ... 114,200 2,840,725
K Mart Corp. .................... 618,100 7,185,413
*LTV Corp. ....................... 141,500 1,821,813
Lafarge Corp. ................... 81,700 1,746,338
Lehman Brothers Holdings, Inc. .. 138,500 3,393,250
Liberty Corp. ................... 22,000 704,000
Lincoln National Corp. .......... 140,150 6,587,050
Loews Corp. ..................... 151,800 12,106,050
Longs Drug Stores Corp. ......... 13,000 557,375
Louisiana-Pacific Corp. ......... 139,000 3,422,875
MBIA, Inc. ...................... 55,800 4,247,775
MCI Communications Corp. ........ 333,400 9,689,438
Mead Corp. ...................... 69,800 3,751,750
Mercantile Stores Co., Inc. ..... 44,012 2,838,774
*Meyer (Fred), Inc. DE ........... 33,100 955,763
Mitchell Energy & Development
Corp. Class A ................... 28,200 521,700
Mitchell Energy & Development
Corp. Class B ................... 34,800 643,800
Morgan (J.P.) & Co., Inc. ....... 94,300 8,192,313
Murphy Oil Corp. ................ 57,700 2,546,013
*National Semiconductor Corp. .... 158,200 2,570,750
*Navistar International Corp. .... 101,300 1,050,988
*Nextel Communications Corp.
Class A ......................... 324,800 6,719,300
Norfolk Southern Corp. .......... 140,400 12,109,500
Occidental Petroleum Corp. ...... 429,200 11,105,550
Ogden Corp. ..................... 66,496 1,288,360
Ohio Casualty Corp. ............. 47,800 1,625,200
Old Republic International Corp. 109,050 2,385,469
Overseas Shipholding Group, Inc. 26,400 495,000
PHH Corp. ....................... 22,000 1,218,250
</TABLE>
160
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
----------- -------------
<S> <C> <C>
PNC Bank Corp. .................. 180,725 $ 5,489,522
Paccar, Inc. .................... 55,300 2,709,700
Paine Webber Group, Inc. ........ 76,300 1,669,063
Paul Revere Corp. ............... 57,500 1,577,656
Pennzoil Co. .................... 34,200 1,479,150
Potlatch Corp. .................. 38,300 1,579,875
Providian Corp. ................. 126,800 5,531,650
Pulte Corp. ..................... 35,700 999,600
*Quantum Corp. ................... 50,400 1,209,600
RJR Nabisco Holdings Corp. ...... 367,080 12,159,525
Rayonier, Inc. .................. 38,100 1,431,131
Republic New York Corp. ......... 61,700 3,902,525
Reynolds Metals Co. ............. 85,600 4,622,400
Ryder System, Inc. .............. 106,700 3,120,975
Safeco Corp. .................... 163,400 5,504,538
Saint Paul Companies, Inc. ...... 113,000 5,974,875
Salomon, Inc. ................... 143,200 5,996,500
Sensormatic Electronics Corp. ... 80,400 1,437,150
Smiths Food & Drug Centers, Inc.
Class B ......................... 15,400 356,125
Southern New England
Telecommunications Corp. ........ 42,800 1,845,750
Springs Industries, Inc. Class A 25,400 1,177,925
St. Joe Paper Co. ............... 35,000 2,248,750
Standard Federal Bancorporation,
Inc. ............................ 15,100 594,563
Stone Container Corp. ........... 132,900 2,059,950
*Storage Technology Corp. ........ 61,100 2,092,675
Sun Company, Inc. ............... 64,080 1,962,450
TIG Holdings, Inc. .............. 75,300 2,259,000
*Tandem Computers, Inc. .......... 158,100 1,976,250
#Tecumseh Products Co. Class A ... 20,300 1,154,563
Tecumseh Products Co. Class B ... 3,500 189,000
Telephone & Data Systems, Inc. .. 56,000 2,443,000
Temple-Inland, Inc. ............. 74,200 3,654,350
Textron, Inc. ................... 37,500 3,178,125
Timken Co. ...................... 41,800 1,645,875
Transamerica Corp. .............. 91,400 7,403,400
Tyson Foods, Inc. Class A ....... 113,500 2,787,844
UMB Financial Corp. ............. 27,030 1,020,383
*USAir Group, Inc. ............... 12,300 242,925
USF&G Corp. ..................... 158,500 2,536,000
USLIFE Corp. .................... 46,400 1,392,000
USX-Marathon Group, Inc. ........ 356,750 7,803,906
USX-US Steel Group .............. 112,000 3,472,000
Union Camp Corp. ................ 92,400 4,862,550
Union Pacific Corp. ............. 104,800 7,349,100
Unionbancal Corp. ............... 46,200 2,396,625
*Unisys Corp. .................... 228,000 1,852,500
*#United States Cellular Corp. .... 64,800 2,049,300
Unitrin, Inc. ................... 51,900 2,484,713
<PAGE>
Shares Value+
----------- ------------
Valero Energy Corp. ............. 57,900 $ 1,592,250
Valhi, Inc. ..................... 46,000 322,000
Washington Mutual, Inc. ......... 91,900 2,636,381
Wellman, Inc. ................... 44,600 1,009,075
Wesco Financial Corp. ........... 8,500 1,530,000
Westvaco Corp. .................. 136,750 4,376,000
*Woolworth Corp. ................. 158,500 3,249,250
*Zurich Reinsurance Centre
Holdings, Inc. .................. 33,900 1,082,681
-----------
TOTAL COMMON STOCKS
(Cost $611,932,566) .............. 714,660,767
-----------
Face
Amount
-----------
(000)
TEMPORARY CASH INVESTMENTS --
(1.1%)
Repurchase Agreement, PNC
Securities Corp. 5.05%, 06/03/96
(Collateralized by U.S. Treasury
Notes 6.50%, 09/30/96)
(Cost $8,034,000) ............... $ 8,034 8,034,000
-----------
TOTAL INVESTMENTS -- (99.6%)
(Cost $619,966,566) .............. 722,694,767
-----------
OTHER ASSETS AND LIABILITIES --
(0.4%)
Other Assets .................... 3,208,776
Payable for Investment Securities
Purchased .................... (34,362)
Other Liabilities ............... (133,052)
-----------
3,041,362
-----------
NET ASSETS -- (100.0%) Applicable
to 50,157,608 Outstanding $.01
Par Value Shares (Unlimited
Number of Shares Authorized) .... $725,736,129
===========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ...... $ 14.47
===========
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
161
<PAGE>
STATEMENT OF NET ASSETS
THE DFA ONE-YEAR FIXED INCOME SERIES
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Face
Amount Value+
--------- -------------
(000)
<S> <C> <C>
COMMERCIAL PAPER -- (44.5%)
AIG Funding, Inc. C.P.
5.300%, 06/07/96 ................... $ 2,200 $ 2,197,737
Anheuser-Busch Companies, Inc. C.P. .
5.320%, 06/03/96 ................... 9,000 8,996,032
5.300%, 06/03/96 ................... 10,000 9,995,591
Banc One Corp. C.P.
5.330%, 06/03/96 ................... 2,000 1,999,118
5.300%, 07/08/96 ................... 22,000 21,877,154
Barton Capital Corp. C.P.
5.300%, 06/14/96 ................... 1,000 997,931
5.310%, 06/24/96 ................... 2,000 1,992,947
Beta Finance, Inc. C.P.
5.330%, 06/10/96 ................... 10,000 9,985,305
5.320%, 06/10/96 ................... 1,000 998,531
5.300%, 06/25/96 ................... 850 846,877
5.300%, 07/12/96 ................... 3,000 2,981,485
Caisse des Depots et
Consignations C.P.
5.300%, 07/08/96 ................... 2,000 1,988,832
Cargill, Inc. C.P. ..................
5.300%, 06/03/96 ................... 14,000 13,993,827
5.280%, 06/05/96 ................... 9,850 9,842,762
Ciesco L.P. C.P.
5.290%, 06/14/96 ................... 10,000 9,979,427
Corporate Asset Funding Corp. C.P.
5.320%, 06/14/96 ................... 6,000 5,987,656
5.280%, 07/17/96 ................... 8,000 7,944,749
5.300%, 07/19/96 ................... 1,000 992,800
Delaware Funding Corp. C.P.
5.280%, 06/07/96 ................... 21,000 20,978,397
5.280%, 06/21/96 ................... 1,518 1,513,316
5.310%, 07/08/96 ................... 1,000 994,416
Export Development Corp. C.P.
5.300%, 06/03/96 ................... 11,000 10,995,150
France Telecom C.P.
5.300%, 06/06/96 ................... 16,850 16,835,143
Glaxo Wellcome P.L.C. C.P.
5.300%, 08/12/96 ................... 5,000 4,945,960
McKenna Triangle National Corp. C.P.
5.310%, 06/17/96 ................... 7,000 6,982,513
5.310%, 07/03/96 ................... 8,000 7,961,280
5.300%, 07/23/96 ................... 1,000 992,212
Michelin Tire Corp. C.P.
5.280%, 06/07/96 ................... 4,842 4,837,019
5.280%, 06/14/96 ................... 13,000 12,973,255
National Rural Utilities Cooperative
Finance Corp. C.P.
5.280%, 06/12/96 ................... 13,000 12,977,076
Nestle Capital Corp. C.P.
5.200%, 06/04/96 ................... 24,000 23,985,893
Paccar Financial Corp. C.P.
5.250%, 06/03/96 ................... 2,000 1,999,118
Sheffield Receivables Corp. C.P.
5.300%, 06/05/96 ................... 16,800 16,787,656
5.300%, 06/20/96 ................... 5,850 5,832,807
<PAGE>
Face
Amount Value+
--------- -------------
(000)
Sigma Finance Corp. C.P.
5.350%, 06/05/96 ................... $ 3,100 $ 3,097,722
5.320%, 06/28/96 ................... 2,500 2,489,733
5.310%, 07/08/96 ................... 3,650 3,629,619
St. Michael Finance Ltd. C.P.
5.310%, 07/11/96 ................... 13,850 13,766,557
Stanley Works C.P. ..................
5.290%, 06/10/96 ................... 3,250 3,245,197
5.320%, 07/19/96 ................... 6,000 5,956,798
Triple A One Plus Funding Corp. C.P.
5.300%, 06/07/96 ................... 12,000 11,987,656
5.310%, 07/10/96 ................... 12,000 11,929,466
USAA Capital Corp. C.P.
5.330%, 06/03/96 ................... 13,000 12,994,268
5.310%, 06/06/96 ................... 7,200 7,193,652
United Parcel Service C.P.
5.300%, 06/07/96 ................... 2,825 2,822,094
Wal-Mart Stores, Inc. C.P.
5.270%, 06/04/96 ................... 24,000 23,985,893
-------------
TOTAL COMMERCIAL PAPER
(Cost $368,340,726) ................ 368,288,627
-------------
BONDS AND CERTIFICATES OF DEPOSIT --
(30.4%)
Associates Corp. of North America
Medium Term Notes
6.710%, 08/11/97 ................... 6,000 6,034,992
8.125%, 01/15/98 ................... 10,367 10,629,213
Bankers Trust N.Y., Inc. Corporate
Bonds
4.700%, 07/01/96 ................... 11,200 11,192,149
Bayerische Landesbank U.S. Finance,
Inc. Medium Term Notes
5.800%, 10/21/97 ................... 1,350 1,338,985
Canada (Government of) Bonds
5.825%, 03/26/98 ................... 23,000 22,835,826
Chevron Canada Financial, Ltd. Medium
Term Notes
5.600%, 04/01/98 ................... 6,600 6,507,138
Chubb Capital Corp. Corporate Bonds
6.000%, 02/01/98 ................... 5,000 4,964,445
FCC National Bank Medium Term Notes
6.000%, 04/02/98 ................... 23,000 22,834,515
Ford Motor Credit Co. Medium Term
Notes
6.250%, 02/26/98 ................... 21,850 21,744,836
General Electric Capital Corp. Medium
Term Notes
7.875%, 11/15/97 ................... 16,000 16,311,184
8.700%, 02/09/98 ................... 4,000 4,139,648
7.050%, 03/27/98 ................... 4,750 4,795,334
IBM Credit Corp. Medium Term Notes
6.375%, 05/11/98 ................... 24,000 23,963,040
KFW International Finance, Inc.
Medium Term Notes
8.250%, 03/18/98 ................... 6,650 6,853,304
</TABLE>
162
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
Face
Amount Value+
--------- -------------
(000)
<S> <C> <C>
National Rural Utilities Cooperative
Finance Corp. Medium Term Notes
8.500%, 02/15/98 ................... $ 9,850 $ 10,177,660
Norwest Corp. Medium Term Notes
7.700%, 11/15/97 ................... 3,000 3,055,326
Ontario Hydro Medium Term Notes
5.800%, 03/31/98 ................... 17,850 17,635,443
Paccar Financial Corp. Medium Term
Notes
4.500%, 07/01/96 ................... 5,000 4,996,100
4.800%, 08/20/96 ................... 5,000 4,992,265
8.090%, 11/14/97 ................... 3,910 3,999,105
Rabobank Nederland Deposit Notes
6.390%, 06/25/96 ................... 4,000 4,002,532
Society National Bank, Cleveland Bank
Note
6.125%, 11/21/97 ................... 24,000 23,941,223
WMX Technologies, Inc. Corporate
Bonds
4.875%, 06/15/96 ................... 15,000 14,996,400
-------------
TOTAL BONDS AND CERTIFICATES OF
DEPOSIT (Cost $253,219,441) 251,940,663
-------------
U.S. TREASURY OBLIGATIONS -- (10.8%)
U.S. Treasury Notes
6.000%, 08/31/97 ................... 22,000 21,982,818
5.625%, 08/31/97 ................... 22,000 21,890,000
7.375%, 11/15/97 ................... 23,000 23,388,125
5.000%, 01/31/98 ................... 23,000 22,568,750
-------------
TOTAL U.S. TREASURY
OBLIGATIONS
(Cost $90,230,932) 89,829,693
-------------
AGENCY OBLIGATIONS -- (3.8%)
Federal Home Loan Bank
5.715%, 03/20/98 ................... 22,000 21,786,886
Student Loan Marketing Association
7.000%, 03/03/98 ................... 9,400 9,499,640
-------------
TOTAL AGENCY OBLIGATIONS
(Cost $31,554,168) 31,286,526
-------------
SUPRANATIONAL OBLIGATIONS -- (0.7%)
African Development Bank
(Cost $5,639,071)
10.000%, 11/01/97 .................. 5,345 5,609,235
-------------
<PAGE>
Face
Amount Value+
--------- -----------
(000)
REPURCHASE AGREEMENTS -- (9.8%)
Goldman, Sachs & Co. 5.15%, 06/03/96
(Collateralized by U.S. Treasury
Bonds 11.75%, 02/15/10) $24,000 $ 24,000,000
Merrill Lynch, Pierce, Fenner &
Smith, Inc. 5.20%, 06/03/96
(Collateralized by U.S. Treasury
Notes 7.25%, 08/31/06) ............. 24,000 24,000,000
Morgan (J.P.) Securities, Inc. 5.30%,
06/03/96 (Collateralized by U.S.
Treasury Bonds 7.125%, 02/15/23) 24,000 24,000,000
PNC Securities Corp. 5.05%, 06/03/96
(Collateralized by U.S. Treasury
Notes 6.50%, 09/30/96) 8,711 8,711,000
-----------
TOTAL REPURCHASE
AGREEMENTS
(Cost $80,711,000) ................. 80,711,000
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $829,695,338) ................ 827,665,744
-----------
OTHER ASSETS AND LIABILITIES --
(0.0%)
Other Assets ........................ 4,819,043
Payable for Fund Shares Redeemed .... (4,887,631)
Other Liabilities ................... (91,556)
-----------
(160,144)
-----------
NET ASSETS -- (100.0%) Applicable to
82,988,401 Outstanding $.01 Par
Value Shares (Unlimited Number of
Shares Authorized) ................. $827,505,600
===========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ......... $ 9.97
===========
</TABLE>
- ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements
163
<PAGE>
STATEMENT OF NET ASSETS
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Face
Amount@ Value+
--------- -------------
(000)
<S> <C> <C>
CANADA -- (27.4%)
BONDS -- (27.4%)
Alberta (Province of)
7.750%, 02/04/98 ............... 7,000 $ 5,245,912
British Columbia (Province of)
Series BCCD-O
7.000%, 03/02/98 ............... 9,000 6,669,197
Canada (Government of)
6.250%, 02/01/98 ............... 9,000 6,595,620
Canadian Wheat Board Euro Medium
Term Notes
7.500%, 12/29/97 ............... 3,265 2,439,217
Credit Local de France SA
7.750%, 12/18/97 ............... 5,247 3,918,015
Denmark (Kingdom of)
7.500%, 03/10/98 ............... 3,000 2,239,708
Deutsche Finance BV, Netherlands
7.750%, 01/28/98 ............... 9,000 6,722,409
Electricite de France
7.750%, 02/09/98 ............... 9,000 6,721,752
Export-Import Bank of Japan
8.500%, 12/19/97 ............... 3,000 2,264,014
France Telecom SA
8.250%, 12/01/97 ............... 3,000 2,253,722
General Electric Capital Corp.
8.000%, 01/27/98 ............... 5,000 3,745,985
KFW International Finance, Inc.
7.750%, 02/25/98 ............... 4,000 2,988,905
Oesterreichische Kontrollbank AG
8.500%, 12/31/97 ............... 2,000 1,515,328
Rabobank Nederland Euro Medium
Term Notes
8.125%, 11/25/97 ............... 2,696 2,026,920
7.250%, 03/31/98 ............... 3,000 2,232,044
Regional Municipality of Ottawa
Carleton
9.375%, 05/15/98 ............... 5,184 3,997,734
SNCF (Societe Nationale des
Chemins de fer Francais)
6.250%, 09/02/97 ............... 5,000 3,669,708
Tokyo Electric Power Co., Inc.
7.625%, 08/06/97 ............... 9,000 6,673,795
-------------
TOTAL BONDS (Cost $71,936,141) .... 71,919,985
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Canadian Dollars (Cost $4) ...... 4
-------------
TOTAL -- CANADA
(Cost $71,936,145) .............. 71,919,989
-------------
UNITED STATES -- (22.0%)
BONDS -- (17.3%)
Abbey National Treasury Services
P.L.C.
6.000%, 10/30/97 ............... 5,000 4,972,500
Associates Corp. of North America
Medium Term Notes
6.710%, 08/11/97 ............... 5,000 5,029,160
<PAGE>
Face
Amount@ Value+
--------- -------------
(000)
Bayerische Landesbank
Girozentrale
7.750%, 12/19/97 ............... 5,000 $ 5,087,000
Ford Motor Credit Corp. Medium
Term Notes
6.250%, 02/26/98 ............... 7,000 6,966,309
International Finance Corp.
8.250%, 03/18/98 ............... 5,000 5,143,500
Landesbank Rheinland-Pfalz
Girozentrale & Landesbank Euro
Medium Term Notes
8.000%, 02/13/98 ............... 4,000 4,092,000
Ontario-Hydro Medium Term Notes .
7.750%, 12/05/97 ............... 7,000 7,123,900
Pepsico, Inc. Euro Medium Term
Notes
8.000%, 12/28/97 ............... 7,000 7,140,000
-------------
TOTAL BONDS (Cost $45,947,701) .... 45,554,369
-------------
AGENCY OBLIGATIONS -- (3.5%)
Federal Home Loan Bank
5.715%, 03/20/98 ............... 7,000 6,932,187
Student Loan Marketing
Association ...................
7.000%, 03/03/98 ............... 2,000 2,021,200
-------------
TOTAL AGENCY OBLIGATIONS
(Cost $9,030,029) ............... 8,953,387
-------------
TEMPORARY CASH INVESTMENTS --
(1.2%)
Repurchase Agreement, PNC
Securities Corp. 5.05%,
06/03/96 (Collateralized by
U.S. Treasury Notes 6.50%,
09/30/96)
(Cost $3,187,000) ............ 3,187 3,187,000
-------------
TOTAL -- UNITED STATES
(Cost $58,164,730) .............. 57,694,756
-------------
GERMANY -- (16.0%)
BONDS -- (16.0%)
Austria (Republic of)
6.250%, 01/27/98 ............... 8,142 5,545,420
Belgium (Kingdom of)
6.375%, 03/30/98 ............... 9,000 6,143,953
Dresdner Finance BV, Amsterdam
8.000%, 03/17/98 ............... 8,000 5,603,409
Germany (Federal Republic of)
6.625%, 01/20/98 ............... 8,000 5,471,780
International Finance Corp. Euro
Medium Term Notes
5.000%, 04/27/98 ............... 2,000 1,332,678
KFW International Finance, Inc.
7.250%, 12/03/97 ............... 5,500 3,789,249
LKB Baden-Wuerttemberg Finance NV
7.000%, 02/09/98 ............... 8,000 5,503,245
McDonald's Corp.
6.250%, 05/27/98 ............... 3,000 2,040,904
Nippon Telegraph & Telephone
Corp.
6.125%, 02/08/98 ............... 6,587 4,465,170
</TABLE>
164
<PAGE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
Face
Amount@ Value+
--------- -------------
(000)
<S> <C> <C>
United Kingdom of Great Britian &
Northern Ireland
7.125%, 10/28/97 ............... 3,000 $ 2,056,047
-------------
TOTAL BONDS (Cost $43,200,152) .... 41,951,855
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $181,296) .... 183,791
-------------
TOTAL -- GERMANY
(Cost $43,381,448) .............. 42,135,646
-------------
JAPAN -- (11.8%)
BONDS -- (11.8%)
African Development Bank
4.750%, 11/18/97 ............... 600,000 5,852,709
European Bank for Reconstruction
& Development
4.500%, 11/05/97 ............... 600,000 5,824,919
European Investment Bank
4.500%, 10/08/97 ............... 500,000 4,845,762
Inter-American Development Bank
4.500%, 12/15/97 ............... 500,000 4,870,310
Oesterreichische Kontrollbank AG
4.625%, 11/06/97 ............... 500,000 4,863,362
World Bank (International Bank
for Reconstruction and
Development)
4.500%, 12/22/97 ............... 500,000 4,879,574
-------------
TOTAL BONDS (Cost $31,936,004) .... 31,136,636
-------------
INVESTMENT IN CURRENCY -- (0.0%) .
*Japanese Yen (Cost $278) ........ 271
-------------
TOTAL -- JAPAN (Cost $31,936,282) . 31,136,907
-------------
NETHERLANDS -- (8.9%)
BONDS -- (8.9%)
Bayerische Landesbank
Girozentrale .................
6.375%, 10/07/97 ............... 3,000 1,821,798
Credit Local de France SA
7.000%, 03/09/98 ............... 4,500 2,778,769
General Electric Capital Corp.
7.000%, 02/24/98 ............... 5,000 3,086,058
Netherlands (Kingdom of)
6.375%, 12/15/97 ............... 9,000 5,507,517
Rabobank Nederland Cooperative
Centrale Raiffeisen
Boerenleenbank B.A.
8.500%, 10/01/97 ............... 4,000 2,492,248
Suedwestdeutsche Landesbank
Girozentrale & Suedwestlb
Capital Markets P.L.C. Euro
Medium Term Notes
7.000%, 02/20/98 ............... 7,000 4,316,387
Toyota Motor Credit Corp. Euro
Medium Term Notes
6.750%, 03/23/98 ............... 2,500 1,540,104
World Bank (International Bank
for Reconstruction and
Development)
7.625%, 10/15/97 ............... 3,000 1,851,635
-------------
TOTAL BONDS (Cost $24,098,369) .... 23,394,516
-------------
INVESTMENT IN CURRENCY -- (0.0%)
<PAGE>
Face
Amount@ Value+
--------- -------------
(000)
*Netherlands Guilder (Cost $110) 110
-----------
TOTAL -- NETHERLANDS
(Cost $24,098,479) .............. $ 23,394,626
-----------
FRANCE -- (7.2%)
BONDS -- (7.2%)
Caisse Nationale des Autoroutes
10.000%, 03/05/98 .............. 7,000 1,477,928
Dresdner Finance BV, Amsterdam
8.800%, 03/14/98 ............... 22,880 4,748,763
France (Republic of)
5.750%, 03/12/98 ............... 34,000 6,728,906
Halifax Building Society Euro
Medium Term Notes
7.500%, 03/06/98 ............... 30,000 6,072,604
-----------
TOTAL BONDS (Cost $19,262,063) .... 19,028,201
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs (Cost $591) ....... 592
-----------
TOTAL -- FRANCE
(Cost $19,262,654) .............. 19,028,793
-----------
UNITED KINGDOM -- (4.2%)
BONDS -- (4.2%)
Eurofima (Europaeische
Gesellschaft fuer die
Finanzierung von
Eisenbahnmaterial, Basel)
7.500%, 02/05/98 ............... 2,000 3,121,846
National Grid Co. P.L.C.
7.375%, 03/26/98 ............... 4,000 6,231,316
Toyota Motor Finance
(Netherlands) BV
7.500%, 12/22/97 ............... 1,000 1,566,337
----------
TOTAL BONDS (Cost $10,841,820) .... 10,919,499
----------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $882) ................... 900
----------
TOTAL -- UNITED KINGDOM
(Cost $10,842,702) .............. 10,920,399
----------
TOTAL INVESTMENTS -- (97.5%)
(Cost $259,622,440) ............. $256,231,116
----------
OTHER ASSETS AND
LIABILITIES-(2.5%)
Other Assets ...................... 6,949,835
Unrealized Loss on Forward Foreign
Currency Contracts .... ......... (219,335)
Payable for Investment Securities
Purchased ....................... (78,949)
Other Liabilities ................. (44,608)
----------
6,606,943
----------
NET ASSETS -- (100.0% ) Applicable
to 25,936,939 Outstanding $.01
Par Value Shares (Unlimited
Number of Shares Authorized) .... $262,838,059
==========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ...... $ 10.13
==========
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
@Denominated in Local Currency
See accompanying Notes to Financial Statements
165
<PAGE>
STATEMENT OF NET ASSETS
THE DFA INTERNATIONAL VALUE SERIES
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
----------- -----------
<S> <C> <C>
JAPAN -- (36.3%)
COMMON STOCKS -- (36.3%)
Achilles Corp. .................... 25,000 $ 104,910
Aica Kogyo Co., Ltd. .............. 39,000 278,184
Aichi Bank, Ltd. .................. 3,000 273,738
#Aichi Machine Industry Co., Ltd. .. 68,000 469,291
Aichi Steel Works, Ltd. ........... 152,000 943,400
Aida Engineering, Ltd. ............ 68,000 558,740
Aisin Seiki Co., Ltd. ............. 129,000 1,983,696
Alps Electric Co., Ltd. ........... 134,000 1,526,818
Amada Co., Ltd. ................... 223,000 2,313,664
Amada Metrecs Co., Ltd. ........... 55,000 789,718
Amada Sonoike Co., Ltd. ........... 67,000 449,977
Amano Corp ........................ 31,000 425,012
Ando Corp. ........................ 12,000 67,809
*Aoki Corp. ........................ 327,000 1,290,431
Aoki International Co., Ltd. ...... 29,000 620,565
#Aomori Bank, Ltd. ................. 125,000 774,664
Aoyama Trading Co., Ltd. .......... 41,100 1,096,508
#Asahi Breweries, Ltd. ............. 327,000 3,877,351
#Asahi Denka Kogyo KK .............. 55,000 500,834
Asahi Organic Chemicals Industry
Co., Ltd. ......................... 66,000 521,519
Asanuma Corp. ..................... 50,000 310,792
Ashikaga Bank, Ltd. ............... 478,000 3,073,015
*Asics Corp. ....................... 160,000 564,706
Atsugi Nylon Industrial Co., Ltd. . 205,000 1,025,475
#Awa Bank, Ltd. .................... 139,000 952,849
Bank of Ikeda, Ltd. ............... 10,600 716,813
Bank of Iwate, Ltd. ............... 13,200 748,346
Bank of Kyoto, Ltd. ............... 221,400 1,384,391
Bank of Nagoya, Ltd. .............. 118,000 917,110
Bank of Okinawa, Ltd. ............. 1,000 35,016
*Bank of Osaka, Ltd. ............... 223,000 861,427
Bank of Saga, Ltd. ................ 131,000 847,040
Bank of Yokohama, Ltd. ............ 56,000 479,852
Bank of the Ryukyus, Ltd. ......... 1,000 35,572
Best Denki Co., Ltd. .............. 3,000 41,130
Brother Industries, Ltd. .......... 202,000 1,238,759
Bunka Shutter Co., Ltd. ........... 57,000 425,058
CMK Corp. ......................... 38,000 594,905
CSK Corp. ......................... 49,300 1,447,717
#Calpis Food Industry Co., Ltd. .... 59,000 497,906
Calsonic Corp. .................... 19,000 155,943
#Canon Sales Co., Inc. ............. 59,000 1,606,855
#Casio Computer Co., Ltd. .......... 204,000 1,946,457
*Central Finance Co., Ltd. ......... 91,000 413,062
*Central Glass Co., Ltd. ........... 30,000 122,279
Chiba Bank, Ltd. .................. 136,000 1,182,992
Chiba Kogyo Bank, Ltd. ............ 16,900 610,560
Chiyoda Fire and Marine Insurance
Co., Ltd. ......................... 132,000 822,937
Chudenko Corp. .................... 47,000 1,698,008
*#Chuetsu Pulp and Paper Co., Ltd. .. 20,000 128,208
Chugoku Bank, Ltd. ................ 156,000 2,702,362
Chukyo Coca-Cola Bottling Co.,
Ltd. .............................. 23,000 266,327
Chukyo Sogo Bank, Ltd. ............ 104,000 548,180
#Chuo Trust and Banking Co., Ltd. .. 177,000 1,770,820
Citizen Watch Co., Ltd. ........... 241,000 1,962,381
<PAGE>
Shares Value+
----------- -----------
#Cleanup Corp. ..................... 37,000 $ 507,272
Dai Tokyo Fire & Marine Insurance
Co., Ltd. ......................... 250,000 1,817,971
Dai-Dan Co., Ltd. ................. 12,000 204,539
*Dai-Ichi Securities Co., Ltd. ..... 18,000 82,872
Daicel Chemical Industries, Ltd. .. 262,000 1,584,863
#Daido Hoxan, Inc. ................. 75,000 493,284
Daido Steel Co., Ltd. ............. 274,000 1,436,628
Daiei OMC, Inc. ................... 170,000 984,252
Daiichi Corp. Hiroshima ........... 31,700 825,169
Daiichi Pharmaceutical Co., Ltd. .. 33,000 510,514
Daikyo, Inc. ...................... 139,000 1,098,351
#Daio Paper Corp. .................. 51,750 632,793
Daisan Bank, Ltd. ................. 108,000 599,277
Daishi Bank, Ltd. ................. 108,000 585,271
Daito Trust Construction Co., Ltd. 37,900 558,231
*Daiwa Danchi Co., Ltd. ............ 89,000 575,470
#Daiwa House Industry Co., Ltd. .... 127,000 1,941,176
Daiwa Securities Co., Ltd. ........ 100,000 1,343,214
Descente, Ltd. .................... 59,000 420,297
Dowa Fire & Marine Insurance Co.,
Ltd. .............................. 194,000 1,069,291
Ehime Bank, Ltd. .................. 115,000 649,838
Eighteenth Bank, Ltd. ............. 134,000 1,216,489
Ezaki Glico Co., Ltd. ............. 99,000 1,008,800
Fuji Denki Reiki Co., Ltd. ........ 37,400 443,465
Fuji Fire & Marine Insurance Co.,
Ltd. .............................. 164,000 888,745
Fuji Oil Co., Ltd. ................ 66,000 525,799
Fuji Photo Film Co., Ltd. ......... 396,000 12,325,706
Fujisawa Pharmaceutical Co., Ltd. . 241,000 2,567,392
Fujita Corp. ...................... 380,000 1,999,444
Fujitsu, Ltd. ..................... 274,000 2,487,448
Fukuda Corp. ...................... 9,000 87,541
Fukui Bank, Ltd. .................. 47,000 279,518
Fukuoka City Bank, Ltd. ........... 157,000 1,217,314
*Fukutoku Bank, Ltd. ............... 27,000 90,542
Fuso Pharmaceutical Industries,
Ltd. .............................. 26,000 177,508
Futaba Corp. ...................... 16,000 782,585
#Futaba Industrial Co., Ltd. ....... 47,000 827,235
*Gakken Co., Ltd. .................. 78,000 550,588
Godo Steel, Ltd. .................. 120,000 822,603
Gun-Ei Chemical Industry Co., Ltd. 82,000 439,815
Gunze, Ltd. ...................... 163,000 1,049,421
*Hanshin Electric Railway Co., Ltd. 141,000 607,365
Hanshin Sogo Bank, Ltd. ........... 94,000 631,311
Haseko Corp. ...................... 330,000 1,476,517
Hazama Corp. ...................... 241,000 1,105,095
Heiwado Co., Ltd. ................. 10,000 190,829
Higo Bank, Ltd. ................... 198,000 1,632,422
Hiroshima Bank, Ltd. .............. 471,000 2,757,499
Hiroshima-Sogo Bank, Ltd. ......... 119,000 771,654
Hitachi Cable, Ltd. ............... 69,000 587,411
Hitachi Koki Co., Ltd. ............ 92,000 911,904
Hitachi Maxell, Ltd. .............. 78,000 1,589,625
Hitachi Plant Engineering &
Construction Co., Ltd. ............ 22,000 171,190
#Hitachi Transport System, Ltd. .... 82,000 865,956
Hitachi, Ltd. ..................... 2,086,000 19,323,761
</TABLE>
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THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
----------- -----------
<S> <C> <C>
Hokkai Can Co., Ltd., Tokyo ....... 50,000 $ 412,228
Hokkaido Bank, Ltd. ............... 281,000 877,230
Hokkaido Takushoku Bank, Ltd.,
Takugin ........................... 717,000 1,939,453
Hokuetsu Bank ..................... 149,000 808,837
Hokuriku Bank, Ltd. ............... 528,000 3,277,073
Horiba, Ltd. ...................... 6,000 87,263
House Foods Corp. ................. 87,000 1,700,509
Hyakugo Bank, Ltd. ................ 204,000 1,300,157
Hyakujushi Bank, Ltd. ............. 247,000 1,626,836
#Ibiden Co., Ltd. .................. 77,000 676,915
Inax Corp. ........................ 184,000 1,874,942
*Ines Corp. ........................ 16,000 303,844
#Intec, Inc. ....................... 27,000 435,202
*Ishihara Sangyo Kaisha, Ltd. ...... 69,000 255,035
Itochu Fuel Corp. ................. 109,000 952,172
Itoham Foods, Inc. ................ 175,000 1,371,468
#Izumiya Co., Ltd. ................. 82,000 1,519,222
Japan Airport Terminal Co., Ltd. .. 6,000 88,374
#Japan Pulp and Paper Co., Ltd. .... 16,000 99,453
*Japan Steel Works, Ltd. ........... 81,000 267,124
#Japan Synthetic Rubber Co., Ltd. .. 65,000 455,211
Japan Vilene Co., Ltd. ............ 16,000 109,829
Japan Wool Textile Co., Ltd. ...... 42,000 431,867
Joshin Denki Co., Ltd. ............ 41,000 588,698
Juroku Bank, Ltd. ................. 200,000 1,074,572
Kagawa Bank, Ltd. ................. 51,000 510,236
Kagoshima Bank, Ltd. .............. 161,000 1,237,888
Kandenko Co., Ltd. ................ 30,800 388,031
Kaneka Corp. ...................... 214,000 1,387,679
Kanematsu Corp. ................... 46,000 298,286
Kansai Paint Co., Ltd., Osaka ..... 18,000 92,543
Kanto Auto Works, Ltd., Yokosuka .. 10,000 76,887
Kanto Natural Gas Development Co.,
Ltd. .............................. 17,000 140,945
Kasuga Electric Works, Ltd. ....... 31,000 505,419
#Kasumi Co., Ltd. .................. 39,000 361,278
Katokichi Co., Ltd. ............... 42,000 992,126
*Kawasho Corp. ..................... 90,000 450,209
Keiyo Bank, Ltd. .................. 226,000 1,281,260
Keiyo Co., Ltd. ................... 44,000 574,711
Kikkoman Corp. .................... 35,000 280,130
Kinden Corp. ...................... 45,100 714,414
#Kinseki, Ltd. ..................... 9,000 142,566
Kitano Construction Corp. ......... 13,000 89,236
Kitz Corp. ........................ 101,000 500,556
#Kiyo Bank, Ltd. ................... 209,000 1,219,731
Koa Fire & Marine Insurance Co.,
Ltd. .............................. 45,000 285,549
Koito Manufacturing Co., Ltd. ..... 105,000 958,082
Kokusai Denshin Denwa Co., Ltd.,
Tokyo ............................. 11,800 1,104,030
Kokusai Securities Co., Ltd. ...... 71,000 1,072,070
Komatsu Forklift Co., Ltd., Tochigi 66,000 459,768
Komatsu, Ltd. ..................... 726,000 6,927,096
Komori Corp. ...................... 46,000 1,193,145
Konica Corp. ...................... 66,000 475,053
#Koyo Seiko Co., Ltd. .............. 37,000 363,316
Kumagai Gumi Co., Ltd. ............ 524,000 2,208,615
Kurabo Industries, Ltd. ........... 202,000 799,018
Kureha Chemical Industry Co., Ltd. 166,000 1,007,226
Kurimoto, Ltd. .................... 58,000 639,370
Kyudenko Corp. .................... 60,000 872,626
#Lintec Corp. ...................... 33,000 556,369
<PAGE>
Shares Value+
----------- -----------
Long Term Credit Bank of Japan,
Ltd. .............................. 277,000 $ 2,242,686
#Maeda Corp. ....................... 138,000 1,418,990
Makita Corp. ...................... 123,000 1,937,008
Marubeni Corp. .................... 248,000 1,353,145
Marudai Food Co., Ltd. ............ 99,000 687,818
#Maruetsu, Inc. .................... 113,000 1,008,050
Maruichi Steel Tube, Ltd. ......... 73,000 1,325,428
Marusan Securities Co., Ltd. ...... 30,450 307,462
Maruzen Showa Unyu Co., Ltd. ...... 76,000 465,364
Matsushita Electric Industrial Co.,
Ltd. .............................. 1,319,000 22,726,633
#Matsushita Electric Works, Ltd. ... 187,000 1,992,126
Matsushita Refrigeration Co. ...... 49,000 364,039
Matsushita Seiko Co., Ltd. ........ 133,000 985,642
*#Mazda Motor Corp. ................. 810,000 3,864,289
Meija Seika Kaisha, Ltd. Tokyo .... 73,000 461,871
#Michinoku Bank, Ltd. .............. 106,000 893,562
Mitsubishi Chemical Corp. ......... 800 3,957
Mitsubishi Gas Chemical Co., Inc. . 374,000 1,680,315
Mitsui Construction Co., Ltd. ..... 134,000 558,592
Mitsui Fudosan Co., Ltd. .......... 247,000 3,134,692
Mitsui Petrochemical Industries,
Ltd. ............................... 203,000 1,671,765
Mitsui Trust & Banking Co., Ltd. .. 81,000 892,913
Mitsuuroko Co., Ltd. .............. 54,000 430,199
Miyazaki Bank, Ltd. ............... 80,000 563,224
Mizuno Corp. ...................... 102,000 1,001,575
Musashino Bank, Ltd. .............. 19,700 992,756
#NHK Spring Co., Ltd. .............. 84,000 462,214
NOK Corp. ......................... 101,000 809,310
Nagase & Co., Ltd. ................ 113,000 1,120,056
Naigai Co., Ltd. .................. 12,000 64,585
#Nakayama Steel Works, Ltd. ........ 117,000 769,523
Nanto Bank, Ltd. .................. 75,000 524,548
Nichicon Corp. .................... 63,000 922,094
Nichiei Construction Co., Ltd. .... 45,000 521,075
Nichii Co., Ltd. .................. 77,000 1,219,731
Nichimen Corp. .................... 326,000 1,476,739
Nifco, Inc. ....................... 46,000 566,744
#Nihon Cement Co., Ltd. ............ 252,000 1,841,853
#Nihon Kohden Corp. ................ 21,000 210,097
Nihon Nohyaku Co., Ltd. ........... 7,000 58,685
Nippon Beet Sugar Manufacturing
Co., Ltd. ......................... 48,000 261,010
*Nippon Chemi-Con Corp. ............ 93,000 619,426
#Nippon Credit Bank, Ltd. .......... 1,336,000 4,999,944
Nippon Densetsu Kogyo Co., Ltd. ... 50,000 574,340
Nippon Flour Mills Co., Ltd. ...... 21,000 126,447
Nippon Hodo Co., Ltd. ............. 90,000 1,475,683
Nippon Kakayu Co., Ltd. ........... 36,000 260,120
Nippon Meat Packers, Inc., Osaka .. 71,000 1,039,185
Nippon Metal Industry Co., Ltd. ... 31,000 159,379
Nippon Oil Co., Ltd. .............. 947,000 6,272,395
Nippon Paint Co., Ltd., Osaka ..... 199,000 1,059,981
Nippon Road Co., Ltd. ............. 73,000 620,787
Nippon Sanso Corp. ................ 166,000 841,149
Nippon Sheet Glass Co., Ltd. ...... 338,000 1,618,768
Nippon Shinpan Co., Ltd., Tokyo ... 239,000 1,771,190
Nippon Shinyaku Co., Ltd. ......... 52,000 510,607
*Nippon Suisan Kaisha, Ltd. ........ 49,000 213,793
Nippon Synthetic Chemical Industry
Co., Ltd. ......................... 66,000 391,292
*Nippon Yakin Kogyo Co., Ltd. ...... 29,000 139,426
Nishi-Nippon Bank, Ltd. ........... 20,000 160,259
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
----------- -----------
<S> <C> <C>
Nissan Motor Co., Ltd. ............ 200,000 $1,647,059
Nissan Shatai Co., Ltd. ........... 158,000 974,785
#Nissei Sangyo Co., Ltd. ........... 30,000 514,127
Nisshin Oil Mills, Ltd. ........... 110,000 909,958
Nisshin Steel Co., Ltd. ........... 644,000 2,601,056
Nisshinbo Industries, Inc. ........ 177,000 1,754,423
Nissin Food Products Co., Ltd. .... 24,000 624,734
Nittetsu Mining Co., Ltd. ......... 64,000 652,154
*Nitto Boseki Co., Ltd. ............ 43,000 145,391
#Nitto Denko Corp. ................. 116,000 1,901,992
Noritz Corp. ...................... 55,000 937,471
North Pacific Bank, Ltd. .......... 101,000 547,337
Ogaki Kyoritsu Bank, Ltd. ......... 50,000 331,172
Oita Bank, Ltd. ................... 111,000 966,559
Okamura Corp. ..................... 44,000 373,358
Okumura Corp. ..................... 99,000 872,154
Okura Industrial Co., Ltd. ........ 18,000 128,393
Olympus Optical Co., Ltd. ......... 203,000 2,087,355
#Optec Dai-Ichi Denko Co., Ltd. .... 76,000 387,216
#Parco Co., Ltd. ................... 36,000 416,860
*Pasco Corp. ....................... 16,000 106,716
Pioneer Electronic Corp. .......... 138,000 3,068,087
Q.P. Corp. ........................ 121,000 1,132,098
#Rengo Co., Ltd. ................... 148,000 1,055,674
*Renown, Inc. ...................... 208,000 855,507
#Rhythm Watch Co., Ltd. ............ 89,000 428,717
Royal Co., Ltd. ................... 31,000 600,185
#Ryosan Co., Ltd. .................. 30,000 778,138
Ryoyo Electro Corp. ............... 24,000 546,920
#SXL Corp. ......................... 62,000 631,774
#Sakai Chemical Industry Co., Ltd. . 65,000 430,523
San-In Godo Bank, Ltd. ............ 134,000 1,092,358
Sanden Corp. ...................... 24,000 171,413
Sanki Engineering Co., Ltd. ....... 50,000 676,239
Sankyo Aluminum Industry Co., Ltd. 191,000 1,134,145
Sanyo Electric Co., Ltd. .......... 1,007,000 5,998,157
Sanyo Shokai, Ltd. ................ 77,000 577,767
Sanyo Special Steel Co., Ltd. ..... 142,000 631,403
#Seino Transportation Co., Ltd. .... 117,000 1,972,580
Seiren Co., Ltd. .................. 8,000 54,914
Seiyo Food Systems, Inc. .......... 59,000 639,463
#Sekisui House, Ltd. ............... 539,000 6,341,176
Sekisui Plastics Co., Ltd. ........ 77,000 498,592
Senko Co., Ltd. ................... 87,000 564,150
Senshukai Co., Ltd. ............... 35,000 622,510
*Settsu Corp. ...................... 164,000 590,977
Shiga Bank, Ltd. .................. 179,000 1,125,901
Shimizu Bank, Ltd. ................ 7,300 506,503
Shinmaywa Industries, Ltd. ........ 86,000 786,308
Shinwa Bank, Ltd. ................. 123,000 757,712
Shionogi & Co., Ltd. .............. 270,000 2,348,587
Shiseido Co., Ltd. ................ 308,000 3,823,252
*#Shokusan Jutaku Sogo Co., Ltd. .... 108,000 440,204
Showa Electric Wire & Cable Co.,
Ltd., Kawasaki .................... 47,000 271,246
#Showa Sangyo Co., Ltd. ............ 103,000 552,450
Sintokogio, Ltd., Nagoya .......... 46,000 443,168
Snow Brand Milk Products Co., Ltd. 90,000 616,952
*Sogo Co., Ltd. .................... 22,000 123,298
#Stanley Electric Co., Ltd. ........ 142,000 947,105
Star Micronics Co., Ltd. .......... 42,000 396,850
Sumitomo Corp. .................... 268,000 2,979,157
<PAGE>
Shares Value+
----------- -----------
*Sumitomo Metal Industries, Ltd.,
Osaka ............................. 177,000 $ 546,003
Sumitomo Realty & Development Co.,
Ltd. .............................. 313,000 2,473,265
Sumitomo Warehouse Co., Ltd. ...... 16,000 114,572
Sun Wave Corp. .................... 37,000 527,837
Suruga Bank, Ltd. ................. 201,000 1,387,170
Suzuki Motor Corp. ................ 85,000 1,078,740
*Suzutan Co., Ltd. ................. 2,000 14,358
TDK Corp. ......................... 24,000 1,367,300
*TEC Corp. ......................... 177,000 1,023,140
#TOC Co., Ltd. ..................... 52,000 626,216
Tadano, Ltd. ...................... 22,000 209,912
*Taiheiyo Securities Co., Ltd. ..... 86,000 417,453
Taikisha, Ltd. .................... 28,000 521,352
Taisei Corp. ...................... 185,000 1,396,711
#Taisei Rotec Corp. ................ 66,000 498,286
Taiyo Yuden Co., Ltd. ............. 82,000 919,129
Takiron Co., Ltd. ................. 59,000 400,621
Tamura Corp. ...................... 18,000 112,886
Tanabe Seiyaku Co., Ltd. .......... 186,000 1,385,308
Teijin, Ltd. ...................... 272,000 1,408,504
Tenma Corp. ....................... 25,000 625,289
Toa Steel Co., Ltd. ............... 105,000 599,166
Tochigi Sogo Bank, Ltd. ........... 54,000 555,257
Toda Corp. ........................ 50,000 500,232
Toenec Corp. ...................... 91,000 851,413
Toho Bank, Ltd. ................... 169,000 1,243,038
Tokai Rika Co., Ltd. .............. 54,000 525,243
Tokico, Ltd. ...................... 96,000 488,226
Toko, Inc. ........................ 8,000 54,766
Tokushu Paper Manufacturing Co.,
Ltd. .............................. 29,000 319,685
Tokuyama Corp. .................... 48,000 308,143
Tokyo Broadcasting System, Inc. ... 134,000 2,209,541
*Tokyo Securities Co., Ltd. ........ 100,000 514,127
Tokyo Sowa Bank, Ltd. ............. 199,000 1,308,847
Tokyo Steel Manufacturing Co., Ltd. 117,300 2,434,016
Tokyo Style Co., Ltd. ............. 78,000 1,380,083
*Tokyo Tatemono Co., Ltd. .......... 171,000 1,075,581
*Tokyo Tekko Co., Ltd. ............. 9,000 62,696
Tokyo Tomin Bank, Ltd. ............ 22,300 1,208,476
Tokyu Car Corp. ................... 33,000 197,480
#Tokyu Construction Co., Ltd. ...... 173,000 857,388
Tokyu Department Store Co., Ltd. .. 34,000 241,260
Tokyu Land Corp. .................. 57,000 297,805
#Tokyu Store Chain Corp. ........... 52,000 467,253
*#Tomoku Co., Ltd. .................. 70,000 407,226
#Tonami Transportation Co., Ltd. ... 73,000 503,798
Toshiba Engineering & Construction
Co., Ltd. ......................... 48,000 444,650
Towa Bank, Ltd. ................... 102,000 679,370
Toyo Engineering Corp. ............ 132,000 899,972
*Toyo Information System Co., Ltd. . 22,000 303,659
Toyo Ink Manufacturing Co., Ltd. .. 219,000 1,239,546
#Toyo Kanetsu K.K. ................. 88,000 450,801
Toyo Kohan Co., Ltd. .............. 41,000 299,287
Toyo Seikan Kaisha, Ltd ........... 55,000 1,966,651
#Toyo Suisan Kaisha, Ltd. .......... 47,000 574,711
*#Toyo Tire & Rubber Co., Ltd. ...... 33,000 152,237
Toyo Trust & Banking Co., Ltd. .... 590,000 5,629,458
Toyoda Machine Works, Ltd. ........ 98,000 1,089,393
#Toyota Auto Body Co., Ltd. ........ 86,000 955,998
#Toyota Motor Corp. ................ 734,000 16,794,627
</TABLE>
168
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
----------- -------------
<S> <C> <C>
Toyota Tsusho Corp. ............... 190,000 $ 1,320,056
#Tsubaki Nakashima Co., Ltd. ....... 34,000 434,646
Tsubakimoto Chain Co. ............. 48,000 305,475
Tsutsunaka Plastic Industry Co.,
Ltd. .............................. 13,000 133,673
Unisia Jecs Corp. ................. 98,000 762,575
*Victor Co. of Japan, Ltd. ......... 195,000 2,781,843
Wacoal Corp. ...................... 118,000 1,650,579
Yakult Honsha Co., Ltd. ........... 135,000 1,888,374
Yamagata Bank, Ltd. ............... 121,000 662,446
Yamaguchi Bank, Ltd. .............. 56,000 954,516
Yamaichi Securities Co., Ltd. ..... 930,000 6,719,778
Yamamura Glass Co., Ltd. .......... 91,000 543,724
Yamatake Honeywell Co., Ltd. ...... 50,000 893,932
#Yamato Kogyo Co., Ltd. ............ 96,000 1,049,375
#Yasuda Trust & Banking Co., Ltd. .. 849,000 5,143,548
#Yodogawa Steel Works, Ltd. ........ 163,000 1,318,194
Yokogawa Bridge Corp. ............. 33,000 455,489
Yokogawa Electric Corp. ........... 169,000 1,722,094
Yokohama Reito Co., Ltd. .......... 33,000 458,546
Yurtec Corp. ...................... 8,000 142,288
-------------
TOTAL COMMON STOCKS
(Cost $412,911,545) ................ 433,257,402
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $89,175) ....... 89,327
-------------
TOTAL -- JAPAN
(Cost $413,000,720) ................ 433,346,729
-------------
UNITED KINGDOM -- (18.7%)
COMMON STOCKS -- (18.6%)
ASDA Group P.L.C. ................. 1,140,300 2,085,982
Abbey National P.L.C. ............. 764,600 6,541,084
Anglian Water P.L.C. .............. 161,900 1,504,008
Argyll Group P.L.C. ............... 576,577 3,162,015
Arjo Wiggins Appleton P.L.C. ...... 494,500 1,354,035
Associated British Foods P.L.C. ... 547,200 3,208,305
Associated British Ports Holdings
P.L.C. ............................ 232,400 1,031,831
BAA P.L.C. ........................ 629,320 4,770,434
BICC P.L.C. ....................... 134,750 679,574
Bank of Scotland
(Governor and Company of the) ..... 1,550 6,450
Barclays P.L.C. ................... 963,955 11,199,200
Barratt Developments P.L.C. ....... 93,000 369,749
Bass P.L.C. ....................... 536,700 6,762,589
Beazer Homes P.L.C. ............... 101,257 296,058
Berkeley Group P.L.C. ............. 31,312 285,310
Blenheim Group P.L.C. ............. 26,200 126,053
British Gas P.L.C. ................ 2,675,400 7,843,109
British Land Co. P.L.C. ........... 259,146 1,643,685
British Petroleum Co. P.L.C. ...... 733,904 6,306,866
British Steel P.L.C. .............. 1,239,600 3,269,612
British Telecommunications P.L.C. . 2,308,296 12,694,670
British Vita P.L.C. ............... 126,200 421,700
Brixton Estate P.L.C. ............. 142,200 384,971
Bryant Group P.L.C. ............... 170,080 328,892
Burford Holdings P.L.C. ........... 171,000 349,189
Burton Group P.L.C. ............... 460,700 1,060,146
Calor Group P.L.C. ................ 63,000 256,322
Camas P.L.C. ...................... 37,100 49,359
Capital Shopping Centres P.L.C. ... 224,407 999,814
Chelsfield P.L.C. ................. 96,000 389,101
<PAGE>
Shares Value+
----------- -------------
Christies International P.L.C. .... 61,000 $ 206,664
Coats Viyella P.L.C. .............. 420,250 1,179,980
Commercial Union P.L.C. ........... 414,786 3,888,544
Courtaulds Textiles P.L.C. ........ 59,550 347,307
Delta P.L.C. ...................... 90,000 584,766
English China Clays P.L.C. ........ 184,387 775,871
First Leisure Corp. P.L.C. ........ 16,900 96,995
General Accident P.L.C. ........... 291,900 3,005,194
Grand Metropolitan P.L.C. ......... 811,400 5,460,276
Great Portland Estates P.L.C. ..... 188,175 506,526
Great Universal Stores P.L.C. ..... 578,300 6,079,012
Greenalls Group P.L.C. ............ 106,446 950,157
Guardian Royal Exchange P.L.C. .... 541,921 2,242,591
Hambros P.L.C. .................... 96,854 353,606
Harrisons & Crosfield P.L.C.. ..... 433,000 957,887
Highland Distilleries Co. P.L.C. .. 76,000 439,719
Hillsdown Holdings P.L.C. ......... 426,044 1,179,771
House of Fraser P.L.C. ............ 132,000 359,399
ICI (Imperial Chemical Industries
P.L.C.) ........................... 441,500 5,839,654
Iceland Group P.L.C. .............. 153,000 369,238
Kwik Save Group P.L.C. ............ 94,551 659,679
Ladbroke Group P.L.C. ............. 710,321 2,082,352
Laird Group P.L.C. ................ 62,400 449,843
Lasmo P.L.C. ...................... 589,035 1,658,452
Lex Service P.L.C. ................ 69,483 392,339
London Electricity P.L.C. ......... 100,088 1,121,014
Lonrho P.L.C. ..................... 474,138 1,371,629
Lucas Industries P.L.C. ........... 1,214 4,601
Marley P.L.C. ..................... 204,528 427,147
Meyer International P.L.C. ........ 76,267 501,436
Midlands Electricity P.L.C. ....... 42,473 279,906
Mirror Group P.L.C. ............... 255,000 863,922
National Grid Group P.L.C. ........ 36,720 103,387
National Westminster Bank P.L.C. .. 1,079,733 10,414,613
North West Water Group P.L.C. ..... 318,517 2,872,708
Northern Electric P.L.C. .......... 60,000 528,146
Peel Holdings P.L.C. .............. 32,500 211,166
Persimmon P.L.C. .................. 162,000 576,412
Pilkington P.L.C. ................. 316,774 931,094
Powell Duffryn P.L.C. ............. 47,037 299,069
Powergen P.L.C. ................... 178,516 1,419,484
Racal Electronics P.L.C. .......... 162,800 795,851
Redland P.L.C. .................... 316,000 1,965,185
Rolls-Royce P.L.C. ................ 305,473 1,063,275
Royal Insurance Holdings P.L.C. ... 397,108 2,601,671
Rugby Group P.L.C. ................ 350,000 649,740
Sainsbury (J.) P.L.C. ............. 427,000 2,619,156
Scottish & Newcastle P.L.C. ....... 47,600 496,315
Scottish Hydro-Electric P.L.C. .... 231,000 1,125,675
Scottish Power P.L.C. ............. 101,169 497,697
Sears P.L.C. ...................... 916,800 1,340,284
Severn Trent P.L.C. ............... 223,206 2,085,610
Shell Transport & Trading Co.
P.L.C. ............................ 1,919,015 27,252,815
Slough Estates P.L.C. ............. 227,000 765,548
South West Water P.L.C. ........... 75,131 781,050
Southern Water P.L.C. ............. 101,501 1,538,031
Stakis P.L.C. ..................... 284,033 487,733
Sun Alliance Group P.L.C. ......... 488,465 3,003,730
T & N P.L.C. ...................... 305,397 741,745
Tarmac P.L.C. ..................... 563,470 1,037,309
Taylor Woodrow P.L.C. ............. 232,286 571,361
Telegraph P.L.C. .................. 68,800 594,964
Tesco P.L.C. ...................... 1,312,045 6,119,647
</TABLE>
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<S> <C> <C>
Thames Water P.L.C. ............... 243,059 $ 2,225,993
*Tiphook P.L.C. .................... 5,500 1,106
Transport Development Group P.L.C. 49,200 149,561
*Trocadero P.L.C. .................. 67,000 70,481
Unigate P.L.C. .................... 89,300 556,733
Unilever P.L.C. ................... 496,300 9,213,313
United Biscuits Holdings P.L.C. ... 316,782 1,078,136
Vaux Group P.L.C. ................. 82,524 363,844
*Waste Management International
P.L.C. ............................ 24,000 141,458
Welsh Water P.L.C. ................ 84,166 977,838
Wessex Water P.L.C. ............... 130,246 721,336
Whitbread P.L.C. .................. 290,600 3,286,270
Wilson (Connolly) Holdings P.L.C. . 113,000 316,408
Wilson Bowden P.L.C. .............. 57,000 388,869
Wimpey (George) P.L.C. ............ 198,350 432,655
Wolverhampton & Dudley Breweries
P.L.C. ............................ 38,700 381,365
Yorkshire Water P.L.C. ............ 124,324 1,404,003
-------------
TOTAL COMMON STOCKS
(Cost $201,481,429) ................ 221,215,430
-------------
INVESTMENT IN CURRENCY -- (0.1%)
*British Pound Sterling
(Cost $1,341,870) .................. 1,382,344
-------------
PREFERRED STOCK -- (0.0%)
Hyder P.L.C. ...................... 76,860 121,875
*Wessex Water P.L.C. Cumulative
Redeemable ......................... 149,096 118,209
-------------
TOTAL PREFERRED STOCK
(Cost $111,389) .................... 240,084
-------------
RIGHTS/WARRANTS -- (0.0%)
*Chelsfield P.L.C. Rights 06/13/96
(Cost $0) .......................... 28,800 17,822
-------------
TOTAL -- UNITED KINGDOM
(Cost $202,934,688) ................ 222,855,680
-------------
FRANCE -- (7.9%)
COMMON STOCKS -- (7.3%)
Accor SA .......................... 5,446 785,531
Alcatel Alsthom Cie Generale
d'Electricite SA .................. 81,412 7,424,018
Au Bon Marche SA .................. 3,670 930,823
#Axa SA ............................ 51,518 2,923,509
*Axa SA Em 96 ...................... 1,058 58,707
Bongrain SA ....................... 586 289,880
Bouygues .......................... 12,400 1,349,235
CPR (Cie Parisienne de Reescompte) 8,200 673,146
*Cap Gemini Sogeti SA .............. 26,625 935,612
Cardif SA ......................... 929 149,287
*Centrale du Groupe des
Assurances Nationales SA .......... 30,900 879,439
Chargeurs SA ...................... 2,310 659,681
Christian Dior SA ................. 21,100 2,982,188
Ciments Vicat ..................... 800 69,545
Credit Commercial de France ....... 13,133 633,130
Credit Foncier de France .......... 17,100 103,626
Credit National ................... 7,912 548,402
Dassault Aviation SA .............. 4,200 555,392
<PAGE>
Shares Value+
----------- -------------
ECIA (Equipements et Composants
pour l'Industrie Automobile) ...... 2,300 $ 340,658
Elf Aquitaine SA .................. 146,484 10,612,645
Eridania Beghin-Say SA ............ 15,600 2,446,467
Esso SA ........................... 576 70,815
*Financiere de Paribas SA Series A . 67,372 4,119,279
*GTM Entrepose ..................... 3,200 189,274
Groupe Andre SA ................... 2,228 209,212
Groupe Danone ..................... 11,800 1,727,164
LaFarge Coppee SA ................. 49,900 3,288,666
Labinal SA ........................ 2,100 303,311
Pechiney International SA ......... 26,150 524,013
Peugeot SA ........................ 27,050 3,770,765
Poliet SA ......................... 14,222 1,536,472
Rallye SA ......................... 1,000 41,626
Rhone-Poulenc SA Series A ......... 139,407 3,476,403
Rue Imperiale de Lyon ............. 310 263,785
Saint Louis (SLB) ................. 4,300 1,165,537
Saint-Gobain ...................... 45,158 5,796,661
Schneider SA ...................... 25,760 1,192,990
*Societe Centrale d'Investissements 100 22,072
Societe Centrale des Assurances
Generales de France SA ............ 73,600 1,967,891
#Societe Generale Paris ............ 47,290 5,035,721
Sommer-Allibert SA ................ 1,100 297,096
Sophia SA ......................... 7,700 341,394
Suez SA ........................... 86,204 3,329,661
Thomson CSF ....................... 63,056 1,649,345
Total SA Series B ................. 108,544 7,853,416
UAP SA ............................ 168,088 3,325,962
-------------
TOTAL COMMON STOCKS
(Cost $85,668,501) ................. 86,849,452
-------------
INVESTMENT IN CURRENCY -- (0.6%)
*French Francs (Cost $6,671,020) ... 6,657,011
-------------
RIGHTS/WARRANTS -- (0.0%)
*Bongrain SA Rights 07/15/96 ....... 500 24,685
*Credit Commercial de France
06/18/96 .......................... 13,333 0
*Societe Generale Paris 06/12/96 ... 44,990 0
*Sophia SA Warrants 03/31/99 ....... 400 364
-------------
TOTAL RIGHTS/WARRANTS
(Cost $0) .......................... 25,049
-------------
TOTAL -- FRANCE
(Cost $92,339,521) ................. 93,531,512
-------------
GERMANY -- (7.4%)
COMMON STOCKS -- (7.4%)
AGIV AG fuer Industrie &
Verkehrswesen ..................... 28,500 567,945
Ava Allgemeine Handelsgesellschaft
der Verbraucher AG, Bielefeld ..... 2,300 618,158
#BASF AG ........................... 45,000 12,507,375
#BHF Bank .......................... 62,000 1,558,637
#BMW (Bayerische Motorenwerke AG),
Muenchen ........................... 3,836 2,112,252
Badenwerk AG ...................... 3,352 1,149,194
Bankgesellschaft Berlin AG ........ 13,650 2,952,802
#Bayer AG .......................... 17,450 5,833,825
#Bayerische Hypotheken und
Wechselbank AG .................... 194,300 4,894,755
</TABLE>
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<CAPTION>
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<S> <C> <C>
#Bayerische Vereinsbank AG ......... 178,350 $ 5,027,237
Berliner Kraft & Licht Bewag AG
Series A .......................... 5,650 1,533,333
Bilfinger & Berger Bau AG,
Mannheim .......................... 2,700 1,123,894
#Commerzbank AG .................... 26,275 5,477,188
#Continental AG .................... 61,000 1,051,655
DBV Holding AG .................... 1,900 539,299
*Daimler-Benz AG ................... 9,030 4,936,755
*Deutsche Babcock AG,
Oberhausen ........................ 2,500 154,212
#Deutsche Bank AG .................. 31,600 1,484,195
Deutsche Hypothekenbank
Frankfurt AG ...................... 300 157,915
Deutsche Pfandbrief und
Hypothekenbank AG ................. 27,200 1,089,426
#Dresdner Bank AG, Frankfurt ....... 336,500 8,437,316
Dyckerhoff AG ..................... 450 146,018
GEA AG ............................ 1,400 474,467
Heidelberger Zement AG,
Heidelberg ........................ 900 592,920
Hochtief AG ....................... 4,350 1,924,779
Holzmann (Philipp) AG ............. 3,100 977,450
Karstadt AG ....................... 1,750 689,446
Koelnische Rueckversicherungs-
Gesellschaft AG ................... 100 69,158
#Man AG, Muenchen .................. 8,300 2,143,691
*Metallgesellschaft AG, Frankfurt .. 17,640 331,755
#Preussag AG ....................... 3,050 778,745
*Ruetgerswerke AG .................. 467 68,267
Schmalbach-Lubeca AG .............. 2,670 493,569
Siemens AG ........................ 63,500 3,562,327
Spar Handels AG ................... 1,300 541,986
Thuega AG ......................... 557 169,053
Thyssen Industrie AG, Essen ....... 6,700 579,744
*Veba AG ........................... 50,000 2,617,175
Vereins & Westbank AG ............. 3,776 849,025
#Volkswagen AG ..................... 20,400 7,199,843
WCM Beteiligungs und Grundbesitz
AG ................................ 45,300 385,740
*Wella AG .......................... 200 107,112
-----------
TOTAL COMMON STOCKS
(Cost $81,854,102) ................. 87,909,638
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $575,935) ...... 578,847
-----------
TOTAL -- GERMANY
(Cost $82,430,037) ................. 88,488,485
-----------
SWITZERLAND -- (6.3%)
COMMON STOCKS -- (6.3%)
Ascom Holding AG, Bern ............ 600 652,278
Baer Holding AG, Zuerich .......... 1,526 1,622,366
Baloise Holding, Basel ............ 2,784 6,030,887
Banque Cantonale Vaudois .......... 5,795 1,662,994
Bobst SA, Prilly .................. 1,912 2,751,079
#CS Holding, Zuerich (Namen) ....... 146,628 12,658,532
*Danzas Holding AG, Basel .......... 1,452 1,590,120
EGL (Elektrizitaets-Gesellschaft
Laufenberg) AG, Laufenberg ........ 3,173 641,702
Forbo Holding AG, Eglisau ......... 6,081 2,576,283
Georg Fischer AG, Schaffhausen .... 617 138,098
<PAGE>
Shares Value+
----------- -----------
*Oerlikon-Buehrle Holding AG,
Zuerich ........................... 35,681 $ 3,707,858
Pargesa Holding SA, Geneve ........ 1,935 2,296,943
Rieter Holding AG, Winterthur ..... 6,597 1,845,324
SBG (Schweizerische
Bankgesellschaft) ................. 478 447,815
SBV (Schweizerischer Bankverein)
(Namen) ........................... 82,332 14,643,381
SIG (Schweizerische Industrie
Gesellschaft Holding AG),
Neuhausen am Rheinfall ............ 840 1,960,671
*Saurer AG, Arbon .................. 6,027 2,384,784
Schindler Holding AG, Hergiswil ... 1,179 1,258,165
Schindler Holding AG, Hergiswil
(Participating) ................... 95 101,379
Schweizerische Bankgesellschaft
SBG ............................... 675 136,511
Schweizerische National
Versicherungs Gesellschaft, Basel .. 886 1,912,230
Sig Schweizerische Industrie
Gesellschaft Holding AG ........... 1,233 1,399,568
*Societe International Pirelli SA,
Basel ............................. 4,100 553,877
Sulzer AG, Winterthur ............. 9,924 6,306,619
Sulzer AG, Winterthur
(Participating) ................... 175 103,237
*Swissair Schweizerische
Luftverkehr AG, Zuerich ........... 5,838 5,763,333
*Von Roll AG, Gerlafingen .......... 15,045 333,732
-----------
TOTAL COMMON STOCKS
(Cost $74,349,480) ................. 75,479,766
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $139,505) ...... 141,106
-----------
RIGHTS/WARRANTS -- (0.0%)
*Rieter Holding AG, Winterthur
Warrants 02/28/97 ................. 6,552 10,737
*Schindler Holding AG, Hergiswil
Warrants 12/16/96 ................. 1,224 2,152
-----------
TOTAL RIGHTS/WARRANTS
(Cost $14,034) ..................... 12,889
-----------
TOTAL -- SWITZERLAND
(Cost $74,503,019) ................. 75,633,761
-----------
NETHERLANDS -- (4.9%)
COMMON STOCKS -- (4.9%)
ABN Amro Holding NV ............... 259,855 14,320,682
Akzo Nobel NV ..................... 2,900 350,687
Bijenkorf Beheer KBB NV,
Amsterdam ......................... 10,285 806,289
DSM NV ............................ 30,500 3,129,761
Fortis Amev NV .................... 54,608 4,252,223
Gist-Brocades NV .................. 11,712 364,522
Heineken Holding NV Series A ...... 800 162,640
Hollandsche Beton Groep NV ........ 2,572 479,701
Internationale Nederlanden Groep
NV ................................ 235,106 19,338,854
KLM Royal Dutch Airlines NV ....... 73,000 2,605,160
#Koninklijke Hoogovens NV .......... 27,500 1,036,097
Koninklijke KNP BT ................ 86,000 2,143,334
Nationale Investeringsbank NV
Series A .......................... 8,074 628,235
</TABLE>
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Nedlloyd Groep NV, Rotterdam ...... 17,100 $ 384,157
Oce Van der Grinten NV, Venlo ..... 3,918 382,792
Pakhoed NV ........................ 26,728 675,510
Philips Electronics NV ............ 149,900 5,314,421
Royal Dutch Petroleum Co., Den
Haag .............................. 400 60,633
Stad Rotterdam .................... 39,030 1,365,468
Stork NV .......................... 25,575 689,760
-----------
TOTAL COMMON STOCKS
(Cost $43,908,042) ................. 58,490,926
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $12,445) 12,555
-----------
RIGHTS/WARRANTS -- (0.0%)
*Fortis Amev NV Rights 06/05/96
(Cost $0) .......................... 8 12
-----------
TOTAL -- NETHERLANDS
(Cost $43,920,487) ................. 58,503,493
-----------
HONG KONG -- (3.9%)
COMMON STOCKS -- (3.9%)
Allied Properties (Hong Kong), Ltd. 1,778,000 248,221
#Amoy Properties, Ltd. ............. 2,338,000 2,901,344
CDL Hotels International, Ltd. .... 1,189,710 676,671
Century City International
Holdings, Ltd. .................... 1,482,646 354,563
Chinese Estates Holdings, Ltd. .... 1,476,000 1,316,494
Consolidated Electric Power Asia,
Ltd. .............................. 420,800 723,454
Great Eagle Holdings, Ltd. ........ 447,680 1,371,512
HKR International, Ltd. ........... 890,400 1,018,620
Hang Lung Development Co., Ltd. ... 1,263,000 2,457,103
#Hong Kong & Shanghai Hotels, Ltd. 971,500 1,714,190
Hopewell Holdings, Ltd. ........... 4,103,000 2,466,255
#Hysan Development Co., Ltd. ....... 946,000 3,051,021
Lai Sun Development Co., Ltd. ..... 3,874,000 666,032
Lai Sun Garment (International),
Ltd. .............................. 71,000 81,224
Miramar Hotel & Investment Co.,
Ltd. .............................. 513,000 1,120,696
New World Development Co., Ltd. ... 1,240,739 5,886,133
*Orient Telecom & Technology
Holdings, Ltd. .................... 1,178,000 548,190
Paliburg Holdings, Ltd. ........... 1,768,500 1,108,742
Realty Development Corp., Ltd.
Series A .......................... 188,000 624,560
#Regal Hotels International
Holdings, Ltd. .................... 3,771,816 975,133
Semi-Tech (Global) Co., Ltd. ...... 331,346 498,989
Sino Hotels (Holdings), Ltd. ...... 494,230 153,329
#Sino Land Co., Ltd. ............... 2,473,200 2,509,646
Stelux Holdings International, Ltd. 451,552 99,229
*Tai Cheung Holdings, Ltd. ......... 547,000 484,352
#Tsim Sha Tsui Properties, Ltd. .... 1,154,000 1,387,306
Wharf Holdings, Ltd. .............. 2,032,000 7,840,641
Wheelock and Co., Ltd. ............ 1,888,000 3,819,442
-----------
TOTAL COMMON STOCKS
(Cost $42,029,145) ................. 46,103,092
-----------
<PAGE>
</TABLE>
<TABLE>
<CAPTION>
Shares Value+
----------- -----------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $12,992) .. $12,989
-----------
RIGHTS/WARRANTS -- (0.0%)
*HKR International, Ltd. Warrants
06/23/00 .......................... 143,840 46,484
*Hysan Development Co., Ltd.
Warrants 04/30/98 ................. 42,600 25,881
*Paliburg Holdings, Ltd. Warrants
12/31/98 .......................... 88,254 6,731
-----------
TOTAL RIGHTS/WARRANTS
(Cost $0) .......................... 79,096
-----------
Face
Amount@
---------
(000)
BONDS -- (0.0%)
HKR International, Ltd.
6.00% 06/26/00 (Cost
$219,959) .......................... 19 204,994
-----------
TOTAL -- HONG KONG
(Cost $42,262,096) ................. 46,400,171
-----------
Shares
---------
AUSTRALIA -- (3.0%)
COMMON STOCKS -- (3.0%)
*Ampolex, Ltd. .................... 37,857 140,245
Australia and New Zealand Banking
Group, Ltd. ...................... 504,800 2,321,475
Australian National Industries,
Ltd. .............................. 381,934 332,382
#Boral, Ltd. ...................... 556,633 1,462,134
Burns, Philp & Co., Ltd. ......... 249,443 483,949
#CSR, Ltd. ........................ 474,669 1,731,926
Caltex Australia, Ltd. ........... 121,480 476,221
Coles Myer, Ltd. ................. 225,281 823,782
#Commonwealth Bank of Australia ... 301,082 2,451,925
*#Email, Ltd. ...................... 139,438 391,874
Fosters Brewing Group, Ltd. ...... 596,284 1,085,451
Gio Australia Holdings, Ltd. ..... 281,987 693,429
Goodman Fielder, Ltd. ............ 602,380 625,225
Hardie (James) Industries, Ltd. .. 259,580 532,631
MIM Holdings, Ltd. ............... 786,933 1,118,356
#National Australia Bank, Ltd ..... 706,160 6,624,655
News Corp., Ltd. ................. 943,022 5,292,970
#Pacific Dunlop, Ltd. ............. 491,502 1,063,449
*#Pacific Magazines and Printing,
Ltd. ............................. 104,970 263,158
Pasminco, Ltd. ................... 75,500 104,886
Pioneer International, Ltd. ...... 190,000 582,515
Publishing and Broadcasting, Ltd. 160,987 694,076
Santos, Ltd. ..................... 261,045 921,213
Southcorp Holdings, Ltd. ......... 173,760 446,712
St. George Bank, Ltd. ............ 62,098 406,550
#Stockland Trust Group Units ...... 141,647 322,311
*TNT, Ltd. ........................ 258,188 311,269
Weston (George) Foods, Ltd. ...... 24,571 143,208
#Westpac Banking Corp. ............ 922,774 4,309,962
----------
TOTAL COMMON STOCKS
(Cost $32,571,866) ................ 36,157,939
----------
</TABLE>
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<TABLE>
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<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $21,084) ..................... $ 21,014
-------------
TOTAL -- AUSTRALIA
(Cost $32,592,950) ................. 36,178,953
-------------
ITALY -- (2.7%)
COMMON STOCKS -- (2.7%)
#Banca Commerciale Italiana SpA .... 1,632,000 3,446,329
Banca Toscana ..................... 302,500 566,516
#Banca di Roma ..................... 3,063,500 3,017,008
Banco Ambrosiano Veneto SpA ....... 349,000 978,147
*Banco di Napoli ................... 335,000 166,581
*CIR SpA (Cie Industriale Riunite),
Torino ............................ 885,000 581,237
*#Cartiere Burgo SpA ................ 129,000 797,242
#Credito Italiano .................. 2,030,000 2,517,016
*FERFIN (Ferruzzi Finanziaria SpA) . 27,740 14,260
#Fiat SpA .......................... 1,102,000 3,878,528
*Finmeccanica SpA .................. 200,000 109,784
*Gemina SpA, Milano ................ 1,094,000 493,130
#Ifil Finanziaria Partecipazioni
SpA, Torino ...................... 303,000 1,007,717
#Istituto Bancario San Paolo Torino
SpA ............................... 409,500 2,496,403
Istituto Mobiliare Italiano IMI SpA 222,500 1,814,054
#Italcementi Fabbriche Riunite
Cemento SpA, Bergamo .............. 157,000 1,293,717
Italmobiliare SpA, Milano ......... 14,330 255,876
*La Fondiara Assicurazioni SpA ..... 54,800 275,681
*Magneti Marelli SpA ............... 360,000 519,600
*Milano Assicurazioni SpA .......... 49,520 166,612
*Olivetti (Ing C & C) SpA, Ivrea ... 1,617,000 1,009,777
*Pirelli SpA ....................... 447,000 736,099
#Telecom Italia SpA ................ 2,290,000 4,569,648
#Toro Assicurazioni Cia Anonima
d'Assicurazione di Torino SpA ..... 48,000 626,154
Unipol SpA ........................ 37,870 257,765
-------------
TOTAL -- ITALY
(Cost $30,488,731) ................. 31,594,881
-------------
SWEDEN -- (2.5%)
COMMON STOCKS -- (2.5%)
*#Celsius Industrier AB Series B .... 24,200 744,118
Electrolux AB Series B ............ 8,900 453,461
Foereningsbanken AB Series A ...... 161,600 499,299
*Gullspangs Kraft AB Series B ...... 10,700 178,015
Industrie AB Euroc, Malmoe
Series A .......................... 7,700 221,895
*Kinnevik Industrifoervaltnings AB
Series A .......................... 3,200 87,463
Kinnevik Industrifoervaltnings AB
Series B .......................... 11,500 319,444
Marieberg Tidnings AB Series A .... 21,900 527,005
Mo Och Domsjoe AB Series A ........ 2,000 62,388
Mo Och Domsjoe AB Series B ........ 59,400 1,522,059
*NCC AB Series A ................... 45,400 472,074
*NCC AB Series B ................... 69,900 711,252
*Naeckebro AB Units ................ 216,300 300,417
*Netcom Systems AB Series A ........ 6,500 74,346
SSAB Swedish Steel Series A ....... 90,200 1,152,288
SSAB Swedish Steel Series B ....... 33,300 425,401
<PAGE>
Shares Value+
----------- -------------
Skandinaviska Enskilda Banken
Series A .......................... 484,000 $ 3,810,458
Skandinaviska Enskilda Banken
Series C .......................... 23,700 167,224
Stora Kopparbergs Bergslags AB
Series A .......................... 252,800 3,360,903
Stora Kopparbergs Bergslags AB
Series B .......................... 57,600 757,219
*Svenka Cellulosa AB Series B ...... 142,100 2,786,275
*#Svenska Cellulosa AB Series A ..... 57,000 1,113,414
Svenska Handelsbanken Series A .... 200,300 4,120,848
*Svenska Handelsbanken Series B .... 16,000 312,537
Svenska Kullagerfabriken AB
Series B .......................... 14,600 318,806
Svenska Kullagerfabriken AB
Series B .......................... 5,500 123,775
*Swedish Match AB (Frueher
Svenska Taendsticks AB) ........... 135,400 450,529
*Sydkraft AB Series C .............. 8,800 167,320
Trelleborg AB Series B ............ 89,100 1,138,235
Trelleborg AB Series C ............ 5,000 66,845
Volvo AB Series A ................. 51,600 1,096,078
Volvo AB Series B ................. 83,800 1,773,841
-------------
TOTAL COMMON STOCKS
(Cost $24,974,950) ................. 29,315,232
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $18,534) ...... 18,862
-------------
TOTAL -- SWEDEN
(Cost $24,993,484) ................. 29,334,094
-------------
SPAIN -- (2.1%)
COMMON STOCKS -- (2.1%)
Autopistas del Mare Nostrum SA .... 43,300 518,995
Banco Central Hispanoamericano SA 106,400 2,133,778
*Banco Pastor SA ................... 5,700 318,386
Dragados y Construcciones SA ...... 37,289 499,019
Ebro Agricolas Compania de
Alimentacion SA ................... 29,500 328,414
Fabricacion de Automoviles Renault
de Espana SA ...................... 9,146 191,577
Fuerzas Electricas de Cataluna SA
Series A .......................... 132,600 946,408
GESA (Gas y Electricidad SA) ...... 7,100 385,570
Iberdrola SA ...................... 588,200 5,909,379
Metrovacesa (Inmobiliaria
Metropolitana Vasco Central) ...... 11,000 355,857
Sevillana de Electricidad ......... 182,600 1,565,345
Telefonica de Espana SA ........... 577,700 10,352,886
Union Electrica Fenosa SA ......... 189,100 1,145,750
*Uralita SA ........................ 24,500 215,729
Vallehermoso SA ................... 27,900 490,252
-------------
TOTAL COMMON STOCKS
(Cost $20,521,866) ................. 25,357,345
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $9,551) ...... 9,477
-------------
TOTAL -- SPAIN
(Cost $20,531,417) ................. 25,366,822
-------------
</TABLE>
173
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
----------- -------------
<S> <C> <C>
BELGIUM -- (1.3%)
COMMON STOCKS -- (1.3%)
#Banque Bruxelles Lambert .......... 15,400 $ 2,840,244
Banque Bruxelles Lambert
(Precompte Reduit) ................ 128 22,997
CMB (Cie Martime Belge) ........... 6,000 490,333
Cofinimmo SA ...................... 1,550 182,611
Electrafina SA .................... 8,000 747,901
#Generale de Banque SA ............. 6,100 2,114,284
Gevaert Photo-Producten NV ........ 2,700 182,015
Glaverbel SA ...................... 922 106,132
*Glaverbel SA VVPR ................. 22 3
Groupe Bruxelles Lambert SA,
Bruxelles ......................... 6,300 831,373
Nationale a Portefeuille .......... 4,700 276,488
Petrofina SA, Bruxelles ........... 5,400 1,602,073
Powerfin SA ....................... 8,350 1,160,312
#Societe Generale de Belgique SA ... 19,080 1,401,514
Sofina SA ......................... 500 254,388
Solvay SA ......................... 3,400 2,032,562
*Union Miniere SA .................. 14,900 1,103,950
-------------
TOTAL COMMON STOCKS
(Cost $13,987,839) ................. 15,349,180
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs (Cost $472,691) .... 474,360
-------------
TOTAL -- BELGIUM
(Cost $14,460,530) ................. 15,823,540
-------------
SINGAPORE -- (1.3%)
COMMON STOCKS -- (1.3%)
*Creative Technology, Ltd. ......... 104,500 722,606
*Far East Levingston Shipbuilding,
Ltd. .............................. 30,000 180,851
Hotel Properties, Ltd. ............ 716,000 1,264,425
Industrial & Commercial Bank, Ltd. 13,000 51,170
Marco Polo Developments, Ltd. ..... 265,000 499,929
Natsteel, Ltd. .................... 397,000 746,135
*Neptune Orient Lines, Ltd. ........ 885,000 903,830
Shangri-La Hotel, Ltd. ............ 177,000 607,574
Singapore Airlines, Ltd. (Foreign) 40,000 411,348
Singapore Land, Ltd. .............. 421,000 2,836,525
Straits Steamship Land, Ltd. ...... 735,000 2,366,596
Straits Trading Co., Ltd. ......... 364,000 903,546
*Tuan Sing Holdings, Ltd. .......... 1,179,000 489,160
United Industrial Corp., Ltd. ..... 1,657,000 1,774,518
*United Overseas Land, Ltd. ........ 621,000 1,109,872
Wing Tai Holdings, Ltd. ........... 96,000 208,340
-------------
<PAGE>
Shares Value+
----------- -------------
TOTAL COMMON STOCKS
(Cost $14,283,317) ................. $15,076,425
-------------
RIGHTS/WARRANTS -- (0.0%)
*United Overseas Land, Ltd. Rights
06/11/96 (Cost $0) ................ 62,100 0
-------------
TOTAL -- SINGAPORE
(Cost $14,283,317) ................. 15,076,425
-------------
Face
Amount
---------
(000)
TEMPORARY CASH INVESTMENTS --
(1.3%)
Repurchase Agreement, PNC
Securities Corp. 5.05%, 06/03/96
(Collateralized by U.S. Treasury
Notes 6.50%, 09/30/96)
(Cost $15,003,000) ............. $15,003 15,003,000
-----------
TOTAL INVESTMENTS -- (99.6%)
(Cost $1,103,743,997) .......... 1,187,137,546
-----------
OTHER ASSETS AND LIABILITIES --
(0.4%)
Other Assets .................. 15,048,066
Payable for Investment
Securities Purchased ........... (9,225,186)
Other Liabilities ............. (553,640)
-----------
5,269,240
-----------
NET ASSETS -- (100.0%) Applicable
to 102,655,096 Outstanding $.01
Par Value Shares (Unlimited
Number of Shares Authorized) ... $1,192,406,786
===========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ..... $ 11.62
==============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
@Denominated in Local Currency
See accompanying Notes to Financial Statements
174
<PAGE>
STATEMENT OF NET ASSETS
THE EMERGING MARKETS SERIES
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------- -----------
<S> <C> <C>
MALAYSIA -- (12.5%)
COMMON STOCKS -- (10.8%)
AMMB Holdings Berhad ................. 16,800 $226,936
AMMB Holdings Berhad 7.5%
Unsecured Loan Stock 1999 ............ 2,000 1,217
Amsteel Corp. Berhad ................. 96,000 73,388
Aokam Perdana Berhad ................. 10,000 17,930
Asiatic Development Berhad ........... 62,000 64,271
Berjaya Leisure Berhad ............... 10,000 9,206
*Commerce Asset Holding Berhad ........ 25,000 168,101
DCB Holdings Berhad .................. 82,000 272,403
Edaran Otomobil Nasional Berhad ...... 20,000 178,507
Ekran Berhad ......................... 21,000 79,007
*Faber Group Berhad ................... 169,600 192,781
Genting Berhad ....................... 73,000 619,412
Golden Hope Plantations Berhad ....... 87,000 138,587
Guiness Anchor Berhad ................ 21,000 45,387
*Hicom Holdings Berhad ................ 108,000 309,065
Highlands and Lowlands Berhad ........ 43,000 82,610
Hong Leong Credit Berhad ............. 30,000 141,685
Hong Leong Industries Berhad ......... 7,000 35,301
Hume Industries (Malaysia) Berhad .... 17,000 85,731
*Jaya Tiasa Holdings Berhad ........... 26,000 162,337
Kamunting Corp. Berhad ............... 40,000 30,418
Kedah Cement Holdings Berhad ......... 37,000 72,267
Kuala Lumpur Kepong Berhad ........... 61,500 150,150
Land -- General Berhad ............... 35,000 82,650
Leader Universal Holdings Berhad ..... 36,000 108,065
*Lingui Development Berhad ............ 37,000 89,594
Lion Land Berhad ..................... 1,000 1,185
Magnum Corp. Berhad .................. 156,500 263,078
*Malakoff Berhad ...................... 16,000 69,802
Malayan Banking Berhad ............... 100,000 948,569
Malayan Cement Berhad ................ 19,000 44,106
Malayan United Industries Berhad ..... 50,000 42,425
Malaysia Mining Corp. Berhad ......... 28,000 31,379
Malaysian Airlines System ............ 73,000 229,358
*Malaysian Helicopter Services
Berhad ............................... 53,000 79,336
Malaysian International Shipping Corp.
(Foreign) ............................ 85,666 264,010
Malaysian Oxygen Berhad .............. 7,000 35,862
*Malaysian Resources Corp. Berhad ..... 37,000 85,892
*Multi-Purpose Holdings Berhad ........ 53,000 82,305
Nestle (Malaysia) Berhad ............. 21,000 163,058
New Straits Times Press (M) Berhad ... 17,000 87,773
Nylex (Malaysia) Berhad .............. 8,000 31,699
Oriental Holdings Berhad ............. 12,000 72,043
*Perlis Plantations Berhad ............ 22,000 88,933
Perusahaan Otomobil Nasional
Berhad ............................... 45,000 232,339
*Petronas Gas Berhad .................. 113,000 492,976
*Public Bank Berhad (Foreign) ......... 8,000 21,613
RJ Reynolds Berhad ................... 13,000 39,544
*Rashid Hussain Berhad ................ 23,000 85,611
*Renong Berhad ........................ 175,000 291,375
Resorts World Berhad ................. 95,000 547,529
Rothmans of Pall Mall Malaysia
Berhad ............................... 25,000 242,145
*Sarawak Enterprise Corp. Berhad ...... 44,000 91,575
<PAGE>
Shares Value+
------------- -----------
Shell Refining Co. Federation of
Malaysia Berhad ...................... 25,000 $ 84,050
Sime Darby Berhad (Malaysia) ......... 221,800 594,781
Sime UEP Properties Berhad ........... 21,000 44,967
*Sri Hartamas Corp. Berhad ............ 65,000 48,129
Tan Chong Motor Holdings Berhad ...... 57,000 84,411
*Technology Resources (Industries)
Berhad ............................... 71,000 235,862
*Telekom Malaysia Berhad .............. 209,000 1,907,224
Tenaga Nasional Berhad ............... 269,000 1,141,245
UMW Holdings Berhad .................. 14,800 48,573
United Engineers (Malaysia) Berhad ... 78,198 544,585
*YTL Corp. Berhad ..................... 56,500 273,624
-----------
TOTAL COMMON STOCKS
(Cost $12,404,006) ................... 13,109,977
-----------
INVESTMENT IN CURRENCY -- (1.7%)
*Malaysian Ringetts
(Cost $2,000,165) .................... 1,998,571
-----------
RIGHTS/WARRANTS -- (0.0%)
*Malaysia Mining Corp. Berhad Rights
06/20/96 (Cost $0) ................... 12,000 3,842
-----------
TOTAL -- MALAYSIA
(Cost $14,404,171) ................... 15,112,390
-----------
INDONESIA -- (12.1%)
COMMON STOCKS -- (11.3%)
*PT Andayani Megah (Foreign) .......... 35,000 19,886
*PT Asahimas Flat Glass Co., Ltd.
(Foreign) ............................ 75,000 86,835
PT Astra International (Foreign) ..... 234,000 351,201
*PT Bakrie & Brothers (Foreign) ....... 103,500 164,215
*PT Bank Dagang Nasional Indonesia
(Foreign) ............................ 118,000 117,013
*PT Bank Danamon (Foreign) ............ 50,750 50,598
PT Bank International Indonesia
(Foreign) ............................ 67,500 352,407
*PT Bank Niaga (Foreign) .............. 13,000 32,193
*PT Barito Pacific Timber (Foreign) ... 300,500 257,719
*PT Bimantara Citra (Foreign) ......... 218,000 313,165
PT Charoen Pokphand Indonesia
(Foreign) ............................ 38,000 74,550
*PT Ciputra Development (Foreign) ..... 44,000 94,340
*PT Citra Marga Nusaphala Persada
(Foreign) ............................ 107,000 174,357
PT Dankos Laboratories (Foreign) ..... 10,500 25,552
*PT Duta Pertiwi (Foreign) ............ 40,000 40,309
PT Gadjah Tunggal (Foreign) .......... 298,000 159,734
PT Hadtex Indosyntec (Foreign) ....... 103,600 33,319
PT Hanjaya Mandala Sampoerna (Foreign) 157,250 1,953,825
PT Hero Supermarket (Foreign) ........ 78,000 78,602
PT Indah Kiat Pulp & Paper Corp.
(Foreign) ............................ 378,926 361,540
PT Indocement Tunggal Prakarsa
(Foreign) ............................ 259,000 921,827
*PT Indofood Sukses Makmur
(Foreign) ............................ 164,000 743,696
PT Indorama Synthetics (Foreign) ..... 39,550 110,238
</TABLE>
175
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------- -----------
<S> <C> <C>
PT Indosat (Foreign) ................. 222,500 $ 765,679
PT Inti Indorayon Utama (Foreign) .... 141,000 126,973
PT Jakarta International Hotel and
Development (Foreign) ................ 145,000 191,199
PT Japfa Comfeed Indonesia
(Foreign) ............................ 29,000 18,964
*PT Jaya Real Property (Foreign) ...... 50,000 165,094
PT Kabelmetal Indonesia (Foreign) .... 53,000 27,841
PT Kalbe Farma (Foreign) ............. 75,000 180,103
PT Kawasan Industri Jababeka
(Foreign) ............................ 55,500 124,946
*PT Lippo Bank (Foreign) .............. 14,000 31,818
PT Lippo Land Development ............ 87,000 202,391
*PT Matahari Putra Prima (Foreign) .... 29,000 63,733
PT Mayora Indah (Foreign) ............ 288,720 176,426
PT Modern Photo Film Co. (Foreign) ... 47,000 229,760
*PT Mulia Industrindo (Foreign) ....... 95,340 157,401
*PT Pabrik Kertas Tjiwi Kimia
(Foreign) ............................ 26,550 28,178
PT Pakuwon Jati (Foreign) ............ 312,000 120,412
*PT Perusahaan Rokok Tjap Gudang Garam
(Foreign) ............................ 141,000 1,148,799
PT Polysindo Eka Perkasa (Foreign) ... 195,000 106,614
PT Semen Cibinong (Foreign) .......... 33,000 86,321
*PT Semen Gresik (Foreign) ............ 127,500 422,357
PT Summarecon Agung (Foreign) ........ 41,000 22,856
PT Tambang Timah (Persero)
(Foreign) ............................ 108,000 213,036
*PT Telekomunikasi Indonesia
(Persero) (Foreign) .................. 1,517,500 2,310,088
*PT Tempo Scan Pacific (Foreign) ...... 19,500 45,154
PT Tigaraksa Satria (Foreign) ........ 14,000 70,840
PT Unggul Indah Corp. (Foreign) ...... 55,000 60,142
*PT United Tractors (Foreign) ......... 15,000 27,498
-----------
TOTAL COMMON STOCKS
(Cost $12,637,992) ................... 13,641,744
-----------
INVESTMENT IN CURRENCY --
(0.8%) ...............................
*Indonesian Rupee (Cost $946,285) ..... 946,191
-----------
RIGHTS/WARRANTS -- (0.0%) .............
*PT Bank Danamon (Foreign) Rights
06/18/96 ............................. 50,750 17,410
*PT Indah Kiat Pulp & Paper Corp.
Warrants for Foreign 04/13/01 ........ 45,471 19,791
*PT Polysindo Eka Perkasa (Foreign)
Rights 07/09/96 ...................... 195,000 39,719
-----------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................ 76,920
-----------
TOTAL -- INDONESIA
(Cost $13,584,277) ................... 14,664,855
-----------
BRAZIL -- (11.3%)
COMMON STOCKS -- (4.2%)
*Acos Especiais Itabira-Acesita Aces .. 18,375,000 65,362
Antarctica Paulista I.B.B.C. Anta .... 2,000 238,477
*Banco Bamerindus do Brazil SA ........ 2,400,000 54,830
Banco Bradesco SA .................... 72,879,443 737,557
*Banco do Estado de Sao Paulo SA ...... 5,100,000 17,886
Belgo Mineira ........................ 970,000 56,373
*Lojas Americanas SA .................. 10,520,000 182,361
*Mannesmann SA ........................ 149,000 18,961
Petroquimica do Sul .................. 3,160,000 187,130
Siderurgica Nacional Sid Nacional .... 13,700,000 345,795
Souza Cruz Industria e Comercio ...... 53,000 379,709
<PAGE>
Shares Value+
------------- -----------
*Telecomunicacoes Brasileiras SA ...... 54,050,000 $ 2,697,085
VSMA (Cia Vidraria Santa Marina) ..... 46,000 170,541
-----------
TOTAL COMMON STOCKS
(Cost $4,457,167) .................... 5,152,067
-----------
PREFERRED STOCK -- (7.1%)
Aracruz Celulose SA Series B ......... 197,999 355,128
Banco Bradesco SA .................... 53,348,695 620,085
Banco Itau SA ........................ 2,090,000 847,099
Banco do Brasil SA ................... 25,190,000 228,426
*Brasiliero de Petroleo Ipiranga ...... 7,900,000 110,030
Brasmotor SA ......................... 600,000 161,723
*COFAP (Cia Fabricadora De Pecas) ..... 5,100 28,873
Cervejaria Brahma .................... 2,060,767 1,228,614
Cimento Portland Itau ................ 550,000 155,962
Copene-Petroquimica do Nordeste SA
Series A ............................. 340,000 168,637
*Coteminas Cia Tecidos Norte de Minas . 400,000 173,146
Duratex SA ........................... 2,900,000 129,309
Embraco SA ........................... 130,000 74,900
Ericsson Telecomunicacoes SA ......... 11,120,000 123,679
IKPC Industrias Klabin de Papel e
Celulose SA .......................... 176,875 193,180
Investimentos Itau SA ................ 690,000 511,623
*Lojas Americanas SA .................. 1,610,000 30,345
Multibras Eletrodomesticos SA ........ 315,000 366,132
Paranapanema SA ...................... 2,120,000 21,242
Sadia Concordia SA ................... 100,000 71,142
*Siderurgica Paulista Casipa Series B . 65,000 65,130
*Siderurgica de Tubarao Sid Tubaroo
Series B ............................. 9,820,000 179,968
*Telecomunicacoes Brasileiras SA ...... 137,922 8,921
*USIMINAS (Usinas Siderurgicas de Minas
Gerais SA) ........................... 390,390,000 426,378
*Unibanco Unias de Bancos Brasileiros
SA ................................... 15,510,000 419,609
Vale do Rio Doce ..................... 68,160 1,430,814
*Votorantim Celulose e Papel SA ....... 6,500,000 117,235
White Martins SA ..................... 224,700,000 294,947
-----------
TOTAL PREFERRED STOCK
(Cost $7,110,902) .................... 8,542,277
-----------
RIGHTS/WARRANTS -- (0.0%)
*Telecomunicacoes Brasileiras SA
Preferred Rights 06/12/96 ............ 5,150 0
*Telecomunicacoes Brasileiras SA Rights
06/12/96 ............................. 939,500 0
*Telecomunicacoes Brasileiras SA Rights
06/12/96 ............................. 1,078,793 0
-----------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................ 0
-----------
TOTAL -- BRAZIL
(Cost $11,568,069) ................... 13,694,344
-----------
MEXICO -- (11.3%)
COMMON STOCKS -- (11.3%)
*Altos Hornos de Mexico S.A. .......... 34,000 272,989
Apasco S.A. de C.V. .................. 61,000 328,708
CEMEX (Cementos de Mexico S.A. de
C.V.) Series B ....................... 158,000 634,299
*COMERCI (Controladora Comercial
Mexicana S.A. de C.V.) Series B ...... 175,000 166,442
*Cifra S.A. de C.V. Series C .......... 475,000 703,893
*Desc S.A. de C.V. Series B ........... 30,000 168,126
</TABLE>
176
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------- -----------
<S> <C> <C>
*Desc S.A. de C.V. Series C ........... 625 $ 3,368
El Puerto de Liverpool S.A.
Series C1 ............................ 178,500 129,372
*Empresas ICA Sociedad Controladora
S.A. de C.V. ......................... 33,000 477,017
Empresas la Moderna S.A. de C.V.
Series A ............................. 120,000 565,809
Fomento Economico Mexicano S.A. de
C.V. Series B ........................ 119,000 351,886
*Gruma S.A. de C.V. Series B .......... 57,750 287,855
*Grupo Carso S.A. de C.V.
Series A-1 ........................... 192,000 1,417,432
Grupo Celanese SA Series B-1 ......... 120,000 218,241
*Grupo Financiero Banamex Accival S.A.
de C.V. Series B ..................... 225,000 512,259
*Grupo Financiero Banamex Accival S.A.
de C.V. Series L ..................... 13,187 27,713
*Grupo Financiero Bancomer S.A. de C.V.
Series B ............................. 210,380 93,811
*Grupo Financiero Bancomer S.A. de C.V.
Series L ............................. 7,792 2,803
*Grupo Financiero GBM Atlantico S.A. de
C.V. Series B ........................ 30,000 17,783
Grupo Financiero Inbursa S.A. de C.V.
Series B ............................. 99,000 396,107
*Grupo Financiero Invermexico S.A. de
C.V. Series B ........................ 231,811 32,790
*Grupo Financiero Invermexico S.A. de
C.V. Series L ........................ 500 67
*Grupo Financiero Serfin S.A. de C.V.
Series B ............................. 527,000 340,779
*Grupo Gigante S.A. Series B .......... 30,000 10,265
Grupo Industrial Alfa S.A. Series A .. 40,000 638,556
Grupo Industrial Bimbo S.A. de C.V.
Series A ............................. 98,000 473,959
*Grupo Mexico S.A. de C.V. Series B ... 127,000 441,412
Grupo Modelo S.A. de C.V. --
Series C ............................. 36,000 171,925
*Grupo Televisa S.A. (Certificate
Representing Series A, Series D, +
Series L) ............................ 50,000 774,619
Hylsamex S.A. de C.V. Series B ....... 54,000 228,425
Industrias Penoles S.A. de C.V. ...... 91,000 452,977
Kimberly Clark de Mexico S.A. de C.V.
Series A ............................. 45,000 831,739
*Seguros Comercial America S.A. de C.V.
Series B ............................. 250,000 79,483
Telefonos de Mexico S.A. Series A .... 50,000 82,716
Telefonos de Mexico S.A. Series L .... 1,170,000 1,932,399
*Tolmex S.A. de C.V. Series B-2 ....... 16,000 84,065
Vitro S.A. ........................... 121,600 288,315
-----------
TOTAL -- MEXICO
(Cost $12,456,998) ................... 13,640,404
-----------
THAILAND -- (11.2%)
COMMON STOCKS -- (11.2%)
Adkinson Securities Public Co., Ltd.
(Foreign) ............................ 2,100 4,524
Advanced Info Service Public Co., Ltd.
(Foreign) ............................ 59,100 1,002,130
Amarin Plaza Public Co., Ltd.
(Foreign) ............................ 7,400 5,923
Asia Securities Trading Public Co.,
Ltd. (Foreign) ....................... 19,300 54,543
<PAGE>
Shares Value+
------------- -----------
Ayudhya Insurance Public Co., Ltd.
(Foreign) ............................ 1,000 $ 7,431
*Bangkok Bank of Commerce Public Co.,
Ltd. (Foreign) ....................... 152,949 96,727
*Bangkok Expressway Public Co., Ltd.
(Foreign) ............................ 257,900 451,070
Bangkok Land Public Co., Ltd.
(Foreign) ............................ 65,200 83,111
*Bangkok Metropolitan Bank Public Co.,
Ltd. ................................. 122,000 98,854
Bangkok Metropolitan Bank Public Co.,
Ltd. (Foreign) ....................... 184,559 162,310
Bangkok Rubber Public Co., Ltd.
(Foreign) ............................ 14,600 5,915
Bangkok Steel Industry Public Co.,
Ltd. (Foreign) ....................... 20,000 16,996
Bank of Asia Public Co., Ltd.
(Foreign) ............................ 12,870 27,724
Bank of Ayudhya Public Co., Ltd.
(Foreign) ............................ 15,400 92,522
Banpu Public Co., Ltd. (Foreign) ..... 9,400 270,482
Berli Jucker Public Co., Ltd.
(Foreign) ............................ 10,100 36,128
Capital Nomura Securities Public Co.,
Ltd. (Foreign) ....................... 14,000 30,711
Charoen Pokphand Feedmill Public Co.,
Ltd. (Foreign) ....................... 14,000 85,217
*Christiani and Nielson (Thai) Public
Co., Ltd. (Foreign) .................. 7,097 4,138
*Compass East Industry (Thailand)
Public Co., Ltd. (Foreign) ........... 2,400 12,854
Dusit Thani Public Co., Ltd.
(Foreign) ............................ 8,933 14,476
Ekachart Finance and Securities Co.,
Ltd. (Foreign) ....................... 10,200 20,057
First Asia Securities Public Co., Ltd.
(Foreign) ............................ 10,400 42,340
First Bangkok City Bank Public Co.,
Ltd. (Foreign) ....................... 126,550 246,347
First City Investment Public Co., Ltd.
(Foreign) ............................ 44,200 59,399
*Five Stars Property Public Co., Ltd.
(Foreign) ............................ 3,800 12,466
*GSS Array Technology Public Co., Ltd.
(Foreign) ............................ 3,200 10,119
General Finance and Securities
Public Co., Ltd. (Foreign) ........... 46,300 177,514
Hana Microelectronics Co., Ltd.
(Foreign) ............................ 6,000 39,130
Hemaraj Land and Development Public
Co., Ltd. (Foreign) .................. 12,600 86,656
*ITF Finance and Securities Public Co.,
Ltd. (Foreign) ....................... 16,050 9,992
*International Broadcasting Corp.
Public Co., Ltd. (Foreign) ........... 2,900 7,508
International Cosmetics Public Co.,
Ltd. (Foreign) ....................... 3,500 27,391
International Engineering Public Co.,
Ltd. (Foreign) ....................... 2,000 9,328
Italian Thai -- (Foreign) ............ 66,200 654,150
Jasmine International Public Co., Ltd. 40,700 155,239
Jasmine International Public Co., Ltd.
(Foreign) ............................ 69,100 259,466
</TABLE>
177
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------- -----------
<S> <C> <C>
Juldis Develop Public Co., Ltd.
(Foreign) ............................ 1,000 $ 3,063
Kiatnakin Finance and Securities
Public Co., Ltd. (Foreign) ........... 12,800 39,462
*Krisda Mahanakorn Public Co., Ltd.
(Foreign) ............................ 23,300 39,140
Krung Thai Bank Public Co., Ltd.
(Foreign) ............................ 344,270 1,755,369
Land and House Public Co., Ltd.
(Foreign) ............................ 1,000 15,810
MK Real Estate Development Public Co.,
Ltd. (Foreign) ....................... 2,600 5,447
Mutual Fund Public Co., Ltd.
(Foreign) ............................ 500 8,577
*NTS Steel Group Public Co., Ltd.
(Foreign) ............................ 35,500 23,854
Nakornthon Bank Public Co., Ltd.
(Foreign) ............................ 21,940 80,649
National Finance and Securities
Public Co., Ltd. (Foreign) ........... 33,000 160,435
Natural Park Public Co., Ltd.
(Foreign) ............................ 105,000 224,111
*New Imperial Hotel Public Co., Ltd.
(Foreign) ............................ 30,000 29,644
*Padaeng Industry Public Co., Ltd
(Foreign) ............................ 5,200 3,237
Phatra Thanakit Public Co., Ltd.
(Foreign) ............................ 26,000 226,087
Phoenix Pulp and Paper Public Co.,
Ltd. (Foreign) ....................... 19,700 62,292
Poonipat Finance and Securities Public
Co., Ltd. (Foreign) .................. 4,987 11,433
Power P (Foreign) .................... 1,600 4,806
Premier Enterprises Public Co., Ltd.
(Foreign) ............................ 6,000 9,605
Property Perfect Public Co., Ltd.
(Foreign) ............................ 10,050 46,874
Quality Houses Public Co., Ltd.
(Foreign) ............................ 12,000 40,316
Regional Container Lines Public Co.,
Ltd. (Foreign) ....................... 500 6,324
Robinson Department Store Public Co.,
Ltd. (Foreign) ....................... 24,700 64,435
Saha-Union Public Co. Ltd.
(Foreign) ............................ 48,700 76,515
*Sammakorn Public Co., Ltd.
(Foreign) ............................ 7,500 15,415
Sanyo Universal Electric Public Co.,
Ltd. (Foreign) ....................... 6,500 21,067
Securities One Public Co., Ltd.
(Foreign) ............................ 29,300 257,099
Serm Suk Public Co., Ltd. (Foreign) .. 1,000 30,830
Shangri-La Hotel Public Co., Ltd.
(Foreign) ............................ 12,000 13,874
Shinawatra Computer and Communications
Public Co., Ltd. (Foreign) ........... 36,400 874,751
Siam Cement Public Co., Ltd.
(Foreign) ............................ 10,000 539,921
Siam City Bank Public Co., Ltd.
(Foreign) ............................ 64,000 75,257
Siam City Cement Public Co., Ltd.
(Foreign) ............................ 39,200 529,897
Siam Commercial Bank Public Co., Ltd.
(Foreign) ............................ 5,000 79,842
<PAGE>
Shares Value+
------------- -----------
Siam Pulp & Paper Co., Ltd.
(Foreign) ............................ 23,000 $ 53,636
Sino-Thai Engineering and Construction
Public Co., Ltd. (Foregin) ........... 2,900 13,984
*Somprasong Land Public Co., Ltd.
(Foreign) ............................ 5,400 4,055
Srithai Superware Public Co., Ltd.
(Foreign) ............................ 5,400 38,632
Swedish Motors Corp. Public Co., Ltd.
(Foreign) ............................ 7,000 26,008
TPI Polene Public Co., Ltd.
(Foreign) ............................ 84,238 456,150
Tanayong Public Co., Ltd. (Foreign) .. 46,000 68,636
*Telecomasia Corp. Public Co., Ltd.
(Foreign) ............................ 331,200 746,182
Thai Carbon Black Public Co., Ltd.
(Foreign) ............................ 5,000 23,320
Thai German Ceramic Industry
Public Co., Ltd. (Foreign) ........... 11,100 26,324
Thai Glass Industries Public Co., Ltd.
(Foreign) ............................ 5,500 26,739
Thai Military Bank Public Co., Ltd.
(Foreign) ............................ 19,200 97,897
Thai Petrochemical Industry Public
Co., Ltd. (Foreign) .................. 433,950 514,565
Thai Plastic and Chemicals Public Co.,
Ltd. (Foreign) ....................... 29,300 170,241
*Thai Telephone & Telecommunication
Public Co., Ltd. (Foreign) ........... 194,000 475,415
Thaimex Finance and Securities Public
Co., Ltd. (Foreign) .................. 4,100 11,101
*Tipco Asphalt Public Co., Ltd.
(Foreign) ............................ 16,900 102,870
Tuntex (Thailand) Public Co., Ltd.
(Foreign) ............................ 55,828 91,025
*United Communication Industry
Public Co., Ltd. (Foreign) ........... 55,300 782,507
Wattachak Public Co., Ltd. (Foreign) . 24,300 52,347
-----------
TOTAL COMMON STOCKS
(Cost $13,718,490) ................... 13,537,960
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Thailand Baht (Cost $11,205) ......... 11,223
-----------
RIGHTS/WARRANTS -- (0.0%)
*Bank of Ayudhya Public Co., Ltd.
Rights 07/05/96 (Foreign) ............ 3,850 13,239
*First Asia Securities Public Co., Ltd.
Warrants 10/16/99 .................... 520 1,038
*Kiatnakin Finance and Securities
Public Co., Ltd. Warrants for
Foreign 03/30/00 ..................... 280 587
-----------
TOTAL RIGHTS/WARRANTS
(Cost $994) .......................... 14,864
-----------
TOTAL -- THAILAND
(Cost $13,730,689) ................... 13,564,047
-----------
ARGENTINA -- (11.2%)
COMMON STOCKS -- (11.2%)
*Acindar Industria Argentina de Aceros
SA Series A .......................... 96,000 75,873
*Alpargatas SA Industrial y Comercial . 150,000 107,296
Astra Cia Argentina de Petroleos SA .. 124,840 281,011
Bagley y Cia, Ltd. SA Series B ....... 61,228 154,973
</TABLE>
178
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------- -----------
<S> <C> <C>
Banco Frances del Rio de la Plata SA . 70,850 $ 669,821
Banco de Galicia y Buenos Aires SA
Series A ............................. 117,815 701,301
*Banco del Sud Sociedad Anonima
Series B ............................. 13,000 153,466
Buenos Aires Embotelladora SA Series B 100 80,034
*CIADEA SA ............................ 58,000 420,680
*Capex SA Series A .................... 18,000 146,763
*Celulosa Argentina SA Series B ....... 300,000 82,535
Central Costanera SA Series B ........ 20,000 73,632
Central Puerto SA Series B ........... 16,000 57,625
*Corcemar Corporacion Cementera
Argentina SA Series B ................ 16,078 78,334
*Indupa SA Industrial y Comercial ..... 387,000 190,873
Industrias Petroq Koppers ............ 28,000 107,846
Irsa Inversiones y Representaciones SA 73,979 242,015
Juan Minetti SA ...................... 28,240 123,462
Ledesma SA ........................... 134,000 211,141
Metrogas SA Series B ................. 100,000 108,046
Molinos Rio de la Plata SA Series B .. 35,447 404,270
Naviera Perez Companc SA
Series B ............................. 379,002 2,419,073
Nobleza-Piccardo Sdad Industrial
Comercial y Financiera Pica .......... 25,542 98,380
*Sevel Argentina SA Series C .......... 35,034 100,590
Siderca SA Series A .................. 532,000 643,997
*Sociedad Comercial del Plata ......... 113,000 338,015
Telecom Argentina Stet-France SA
Series B ............................. 211,000 983,683
Telefonica de Argentina SA Series B .. 525,000 1,533,659
*Transportadora de Gas del Sur SA
Series B ............................. 201,000 516,792
YPF Sociedad Anonima Yacimientos
Petroliferos Fiscales Series D ....... 111,000 2,437,498
-----------
TOTAL -- ARGENTINA
(Cost $11,958,048) ................... 13,542,684
-----------
PORTUGAL -- (10.7%)
COMMON STOCKS -- (10.7%)
BCP (Banco Comercial Portugues SA) ... 127,600 1,563,686
*BCP (Banco Comercial Portugues
SA) Em 96 ............................ 29,839 353,381
Banco Chemical (Portugal) SA ......... 19,600 203,199
Banco Espirito Santo e Commercial de
Lisboa ............................... 87,600 1,386,399
Banco Pinto & Sotto Mayor SA ......... 111,600 759,785
Banco Totta & Acores SA .............. 33,000 643,908
Banco de Fomento e Extenor SA ........ 24,600 319,691
Cimpor Cimentos de Portugal SA ....... 27,600 504,980
*Companhia de Seguros Mundial Confianca
SA ................................... 44,600 355,896
*Companhia de Seguros
Tranquilidade SA ..................... 20,600 374,427
Corticeira Amorim Sociedad Gestora
Participacoes Sociais SA ............. 15,200 176,643
*EFACEC (Empresa Fabril de Maquinas
Electricas) .......................... 13,200 119,544
Engil Sociedade Gestora de
Participacoes Sociais SA ............. 16,500 141,070
*Filmes Lusomundo SA .................. 8,300 54,405
<PAGE>
Shares Value+
------------- ----------
Geral de Credito Predial Portugues SA 1,500 $ 12,169
Jeronimo Martins (Estabelecimentos
Jeronimo Martins & Filho
Administracao e Participacoes
Financeiros SA) ...................... 15,100 1,195,377
*Lusotur Sociedad Financeira de
Turismo SA ........................... 5,500 89,519
Mague-Gestao e Participacoes SA ...... 4,800 77,137
Modelo Continente SGPS SA ............ 37,300 945,611
Portucel Industrial Empresa
Produtora de Celulose SA ............. 42,600 254,683
Portugal Telecom SA .................. 51,528 1,239,740
Salvador Caetano Industrias
Metalurgicas e Veiculos de Transporte
SA ................................... 9,064 113,027
Sociedad Construcoes Soares da Costa
SA ................................... 9,730 85,654
Sociedade de Investimento e Gestao
SGPS SA .............................. 23,500 255,241
*Sonae Industria-Sociedade Gestora de
Participacoes Sociais SA ............. 13,800 111,344
Sonae Investimentos Sociedade Gestora
de Participacoes Sociais SA .......... 46,500 1,171,776
Uniceruniao Cervejeira SA ............ 22,700 402,820
-----------
TOTAL -- PORTUGAL
(Cost $12,697,879) ................... 12,911,112
-----------
ISRAEL -- (10.2%)
COMMON STOCKS -- (10.2%)
*Africa-Israel Investments, Ltd. ...... 181 168,949
*Africa-Israel Investments, Ltd. ...... 66 53,111
Agis Industries (1983), Ltd. ......... 15,336 104,619
American Israeli Paper Mills, Ltd. ... 2,241 82,359
Bank Hapoalim B.M. ................... 787,374 1,165,489
Bank Leumi Israel .................... 1,024,374 1,174,513
Bezek, Ltd. .......................... 512,646 1,270,419
*Blue Square Chain Stores Properties
Investment ........................... 17,894 115,881
CLAL Electronics Industries, Ltd. .... 2,377 261,234
CLAL Industries, Ltd. ................ 103,065 523,953
CLAL Insurance, Ltd. ................. 25,985 132,022
CLAL Israel, Ltd. .................... 22,370 539,505
*Delek Israel Fuel Corp., Ltd.
Series C ............................. 5,602 141,290
Elbit, Ltd. .......................... 4,096 221,237
*Elite Industries, Ltd. ............... 13,500 45,044
Elron Electronic Industries, Ltd. .... 3,820 147,584
*First International Bank of Israel ... 2,433 262,288
*IDB Bankholding Corp., Ltd. .......... 140,307 533,259
*IDB Development Corp., Ltd.
Series A ............................. 33,117 584,630
*Israel Chemicals, Ltd. ............... 886,000 736,363
Koor Industries, Ltd. ................ 10,166 878,887
Makhteshim Chemical Works, Ltd. ...... 37,000 212,227
*Matav Cable Israel ................... 16,139 134,182
*Osem Investment, Ltd. ................ 45,980 263,456
Property and Building Corp., Ltd. .... 1,820 85,132
Super-Sol, Ltd. Series B ............. 13,200 274,867
*Tadiran, Ltd. ........................ 77,903 324,438
Tambour .............................. 24,887 42,651
Teva Pharmaceutical Industries, Ltd. . 4,286 1,897,655
-----------
TOTAL -- ISRAEL
(Cost $12,831,048) ................... 12,377,244
-----------
</TABLE>
179
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------- ----------
<S> <C> <C>
TURKEY -- (9.4%)
COMMON STOCKS -- (9.3%)
Akbank ............................... 4,200,500 $481,402
*Akbank Issue 96 ...................... 6,300,750 657,916
Akcimento ............................ 1,424,000 101,546
Aksa ................................. 1,229,522 242,679
*Aksa Issue 96 ........................ 491,808 85,611
Aksigorta A.S. ....................... 624,000 133,096
Alarko Holding ....................... 604,534 121,246
*Alarko Sanayii ve Ticaret A.S. ....... 656,000 100,242
Arcelik A.S. ......................... 5,288,736 424,284
Aygaz ................................ 888,888 149,978
Bekoteknik Sanayi A.S. ............... 1,915,928 106,129
Bossa Ticaret ve Sanayi Isletmeleri
A.S. ................................. 1,725,000 164,746
Brisa Bridgestone Sanbanci Lastik San
& Tic A.S. ........................... 631,000 216,949
CIMSA A.S. (Cimento Sanayi ve
Ticaret) ............................. 197,000 95,327
Cimentas A.S. ........................ 414,813 101,683
Cukurova Elektrik A.S. ............... 448,000 296,651
Dogan Sirketler Grubu Holdings A.S. .. 3,007,000 122,532
Doktas ............................... 54,400 4,087
EGE Biracilik ve Malt Sanayii A.S. ... 1,182,040 496,719
*Eczacibasi Ilac ...................... 2,130,940 75,979
Enka Holding ......................... 324,998 98,290
Erciyas Biracilik .................... 524,790 273,989
Eregli Demir ve Celik Fabrikalari Turk
A.S. ................................. 4,435,000 480,039
Es Kisehir Bankasi ESBANK ............ 6,870,000 88,357
Good Year Lastikleri A.S. ............ 440,000 159,684
Guney Biracilik ...................... 127,600 27,623
Hurriyet Gazette ..................... 1,382,000 56,315
*Ihlas Holding ........................ 1,591,650 238,150
*Izmir Demir Celik .................... 1,816,704 33,544
Kartonsan ............................ 1,134,000 95,306
Koc Holding A.S. ..................... 4,200,000 895,836
Kordsa Kord Bezi Sanayi ve Ticaret
A.S. ................................. 434,000 129,874
Migros Turk A.S. ..................... 377,700 283,768
Netas Northern Electric
Telekomunikasyon A.S. ................ 1,034,000 207,379
Otosan Otomobil A.S. ................. 1,068,000 343,397
Peg Profilo A.S. ..................... 1,569,240 159,861
*Raks Elektroniks A.S. ................ 307,000 82,096
*Sarkuysan Elektrolitik Bakir Sanayi
A.S. ................................. 397,000 58,137
*Tat Konserve ......................... 348,000 161,747
*Teletas .............................. 140,000 45,460
Tofas Turk Otomobil Fabrikasi A.S. ... 6,634,250 354,818
Trakya Cam Sanayii A.S. .............. 2,051,616 258,640
<PAGE>
Shares Value+
------------- ------------
Tuborg Bira ve Malt Sanayi A.S. ...... 13,000 $ 7,532
Turcas Petrolculuk A.S. .............. 508,450 171,577
Turk Demir Dokum ..................... 1,261,248 86,728
Turk Siemens Kablo ve Elektrik
Sanayi A.S. .......................... 399,000 119,400
*Turk Sise Cam ........................ 4,523,883 299,557
Turkiye Garanti Bankasi A.S. ......... 6,128,000 316,037
*Turkiye Garanti Bankasi A.S. Issue 96 7,000,000 295,715
Turkiye Is Bankasi A.S. Series C ..... 7,477,200 628,416
USAS (Ucak Servisi A.S.) ............. 59,500 83,344
Yapi ve Kredi Bankasi A.S. ........... 6,476,540 156,697
*Yapi ve Kredi Bankasi A.S. Issue 96 .. 13,600,734 294,426
------------
TOTAL COMMON STOCKS
(Cost $11,805,296) ................... 11,170,541
------------
RIGHTS/WARRANTS -- (0.1%)
*Aksa Rights 06/18/96 ................. 614,761 113,511
*Alarko Holding Rights 06/29/96 ....... 431,810 48,663
*Turk Demir Dokum Rights 07/01/96 ..... 1,008,998 14,133
------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................ 176,307
-----------
TOTAL -- TURKEY
(Cost $11,805,296) ................... 11,346,848
-----------
Face
Amount
--------
(000)
TEMPORARY CASH INVESTMENTS --
(4.5%)
Repurchase Agreement, Chase
Manhattan Bank N.A. 5.15%,
06/03/96 (Collateralized by U.S.
Treasury Notes 5.875%, 07/31/97)
(Cost $5,430,000) .............. $5,430 5,430,000
------------
TOTAL INVESTMENTS -- (104.4%)
(Cost $120,466,475) ............ 126,283,928
-------------
OTHER ASSETS AND LIABILITIES --
(-4.4%)
Other Assets .................... 780,366
Payable for Investment Securities
Purchased ...................... (5,915,011)
Other Liabilities ............... (127,731)
-------------
(5,262,376)
-------------
NET ASSETS -- (100.0%) .......... $121,021,552
=============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
180
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1996 (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 ................................. $ 1,271 $ 1,234 $ 5,200 $ 7,452
Interest .................................. 177 29 759 410
Income from Securities Lending ............ 53 3 113 14
------------ ---------- ----------- -----------
Total Investment Income ................. 1,501 1,266 6,072 7,876
------------ ---------- ----------- -----------
Expenses
Investment Advisory Services .............. 38 14 831 289
Accounting & Transfer Agent Fees .......... 86 38 281 195
Custodian's Fees .......................... 23 27 77 54
Legal Fees ................................ 2 41 8 5
Audit Fees ................................ 5 2 20 9
Shareholders' Reports ..................... 2 1 8 5
Trustees' Fees and Expenses ............... 1 1 4 3
Other ..................................... 12 6 15 8
------------ ---------- ----------- -----------
Total Expenses .......................... 169 130 1,244 568
------------ ---------- ----------- -----------
Net Investment Income ................... 1,332 1,136 4,828 7,308
------------ ---------- ----------- -----------
Net Realized and Unrealized Gain (Loss) on
Investments
Net Realized Gain on Investment Securities ... 9,651 719 26,831 22,460
Change in Unrealized Appreciation
(Depreciation) of Investment Securities ... 41,234 10,066 106,317 38,066
------------ ---------- ----------- -----------
Net Gain on Investment Securities ......... 50,885 10,785 133,148 60,526
------------ ---------- ----------- -----------
Net Increase in Net Assets Resulting from
Operations ................................ $52,217 $11,921 $137,976 $67,834
============ ========== =========== ===========
</TABLE>
See accompanying Notes to Financial Statements
181
<PAGE>
THE DFA INVESTMENT COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1996 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA
The DFA Two-Year The DFA The
One-Year Global International Emerging
Fixed Income Fixed Income Value Markets
Series Series(1) Series Series
-------------- -------------- --------------- ----------
<S> <C> <C> <C> <C>
Investment Income
Dividends, (Net of Foreign Taxes Withheld
of $0, $0, $1,424 and $130, respectively) -- -- $12,584 $1,436
Interest .................................. $21,296 $ 3,429 1,005 120
Income from Securities Lending ............ -- -- 342 --
-------------- -------------- --------------- ----------
Total Investment Income ................. 21,296 3,429 13,931 1,556
-------------- -------------- --------------- ----------
Expenses
Investment Advisory Services .............. 189 36 872 40
Accounting & Transfer Agent Fees .......... 98 78 321 51
Custodian's Fees .......................... 47 31 510 162
Legal Fees ................................ 3 1 12 3
Audit Fees ................................ 6 2 20 2
Shareholders' Reports ..................... 3 1 9 1
Directors' Fees and Expenses .............. 1 1 5 1
Other ..................................... 9 2 22 15
-------------- -------------- --------------- ----------
Total Expenses .......................... 356 152 1,771 275
-------------- -------------- --------------- ----------
Net Investment Income ..................... 20,940 3,277 12,160 1,281
-------------- -------------- --------------- ----------
Net Realized and Unrealized Gain (Loss) on
Investments and Foreign Currency ..........
Net Realized Gain (Loss) on Investment
Securities ................................ 25 (35) 14,104 24
Net Realized Foreign Exchange Gain (Loss) on
Foreign Currency Transactions ............. -- 4,210 (206) (47)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency (2,325) (3,391) 62,126 7,912
Translation of Foreign Currency Denominated
Amounts ................................. -- (265) (27) 11
-------------- -------------- --------------- ----------
Net Gain (Loss) on Investment Securities and
Foreign Currency ....................... (2,300) 519 75,997 7,900
-------------- -------------- --------------- ----------
Net Increase in Net Assets Resulting from
Operations ................................ $18,640 $ 3,796 $88,157 $9,181
============== ============== =============== ==========
</TABLE>
- ------
(1) For the period February 9 (commencement of operations) to May 31, 1996.
See accompanying Notes to Financial Statements
182
<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 Six Months
Ended Year Ended Ended Year Ended
May 31, Nov. 30, May 31, Nov. 30,
1996 1995 1996 1995
-------------- ------------ ------------ ------------
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ..................... $ 1,332 $ 2,254 $ 1,136 $ 1,965
Net Realized Gain on Investment Securities 9,651 16,628 719 172
Change in Unrealized Appreciation
(Depreciation) of Investment Securities . 41,234 29,313 10,066 21,274
-------------- ------------ ------------ ------------
Net Increase in Net Assets Resulting from
Operations .............................. 52,217 48,195 11,921 23,411
-------------- ------------ ------------ ------------
Distributions From:
Net Investment Income ..................... (296) (2,197) (1,215) (1,886)
Net Realized Gains ........................ (12,249) (12,660) (686) --
-------------- ------------ ------------ ------------
Total Distributions .................. (12,545) (14,857) (1,901) (1,886)
-------------- ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued ............................. 41,929 44,394 32,324 31,424
Shares Issued in Lieu of Cash Distributions 12,315 12,291 1,744 1,585
Shares Redeemed ........................... (4,714) (11,669) (10,535) (6,073)
-------------- ------------ ------------ ------------
Net Increase from Capital Share
Transactions ....................... 49,530 45,016 23,533 26,936
-------------- ------------ ------------ ------------
Total Increase ....................... 89,202 78,354 33,553 48,461
Net Assets
Beginning of Period ......................... 221,984 143,630 97,118 48,657
-------------- ------------ ------------ ------------
End of Period ............................... $311,186 $221,984 $130,671 $97,118
============== ============ ============ ============
(1) Shares Issued and Redeemed:
Shares Issued ............................. 3,609 4,479 2,257 2,738
Shares Issued in Lieu of Cash Distribution 1,136 1,283 121 135
Shares Redeemed ........................... (418) (1,104) (754) (484)
-------------- ------------ ------------ ------------
4,327 4,658 1,624 2,389
============== ============ ============ ============
</TABLE>
See accompanying Notes to Financial Statements
183
<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 Six Months
Ended Year Ended Ended Year Ended
May 31, Nov. 30, May 31, Nov. 30,
1996 1995 1996 1995
------------ ------------ ------------ ------------
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ..................... $ 4,828 $ 5,958 $ 7,308 $ 8,688
Net Realized Gain on Investment Securities 26,831 22,264 22,460 21,645
Change in Unrealized Appreciation
(Depreciation) of Investment Securities . 106,317 92,111 38,066 68,474
------------ ------------ ------------ ------------
Net Increase in Net Assets Resulting from
Operations .............................. 137,976 120,333 67,834 98,807
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income ..................... (974) (5,753) (3,543) (8,440)
Net Realized Gains ........................ (15,728) (7,740) (11,101) (5,278)
------------ ------------ ------------ ------------
Total Distributions .................. (16,702) (13,493) (14,644) (13,718)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued ............................. 315,031 172,434 279,495 209,434
Shares Issued in Lieu of Cash Distributions 16,144 10,353 13,910 11,274
Shares Redeemed ........................... (31,396) (15,561) (43,886) (81,618)
------------ ------------ ------------ ------------
Net Increase from Capital Share
Transactions ......................... 299,779 167,226 249,519 139,090
------------ ------------ ------------ ------------
Total Increase ........................... 421,053 274,066 302,709 224,179
Net Assets
Beginning of Period ....................... 624,343 350,277 423,027 198,848
------------ ------------ ------------ ------------
End of Period .............................. $1,045,396 $624,343 $725,736 $423,027
============ ============ ============ ============
(1) Shares Issued and Redeemed:
Shares Issued ............................. 22,096 13,765 20,440 18,580
Shares Issued in Lieu of Cash Distribution 1,166 774 1,105 1,049
Shares Redeemed ........................... (2,227) (1,423) (3,212) (7,857)
------------ ------------ ------------ ------------
21,035 13,116 18,333 11,772
============ ============ ============ ============
</TABLE>
See accompanying Notes to Financial Statements
184
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA
Two-Year
The DFA One-Year Global Fixed
Fixed Income Series Series
---------------------------- --------------
Six Months Feb. 9
Ended Year Ended to
May 31, Nov. 30, May 31,
1996 1995 1996
------------ ------------ --------------
(Unaudited) (Unaudited)
<S> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ........... $ 20,940 $ 37,419 $ 3,277
Net Realized Gain (Loss) on
Investment Securities ........ 25 2,292 (35)
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- 4,210
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency ........... (2,325) 7,204 (3,391)
Translation of Foreign
Currency Denominated Amounts -- -- (265)
------------ ------------ --------------
Net Increase (Decrease) in Net
Assets Resulting from Operations 18,640 46,915 3,796
------------ ------------ --------------
Distributions From:
Net Investment Income ........... (20,331) (36,973) (412)
Net Realized Gains .............. -- -- --
------------ ------------ --------------
Total Distributions .......... (20,331) (36,973) (412)
------------ ------------ --------------
Capital Share Transactions (1):
Shares Issued ................... 194,381 243,191 270,091
Shares Issued in Lieu of Cash
Distributions ................ 14,162 26,791 412
Shares Redeemed ................. (84,900) (166,656) (11,049)
------------ ------------ --------------
Net Increase From Capital
Share Transactions ......... 123,643 103,326 259,454
------------ ------------ --------------
Transactions in Interest
Contributions ................... -- -- --
Withdrawal ...................... -- -- --
------------ ------------ --------------
Net Increase from Transactions
in Interest ................ -- -- --
------------ ------------ --------------
Total Increase ............... 121,952 113,268 262,838
Net Assets
Beginning of Period ............. 705,554 592,286 --
------------ ------------ --------------
End of Period .................. $827,506 $ 705,554 $262,838
============ ============ ==============
(1) Shares Issued and Redeemed:
Shares Issued ................... 19,482 24,470 26,995
Shares Issued in Lieu of Cash
Distribution ................. 1,425 2,710 41
Shares Redeemed ................. (8,506) (16,810) (1,099)
------------ ------------ --------------
12,401 10,370 25,937
============ ============ ==============
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The DFA International The Emerging
Value Series Markets Series
---------------------------- ----------------------------
Six Months Six Months
Ended Year Ended Ended Year Ended
May 31, Nov. 30, May 31, Nov. 30,
1996 1995 1996 1995
------------ ------------ ------------ ------------
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ........... $ 12,160 $ 10,034 $ 1,281 $ 516
Net Realized Gain (Loss) on
Investment Securities ........ 14,104 5,849 24 (168)
Net Realized Gain (Loss) on
Foreign Currency Transactions (206) (10) (47) (57)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency ........... 62,126 17,388 7,912 (2,549)
Translation of Foreign
Currency Denominated Amounts (27) (27) 11 (3)
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net
Assets Resulting from
Operations ................. 88,157 33,234 9,181 (2,261)
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income ........... (1,861) (9,950) -- --
Net Realized Gains .............. (4,744) (1,200) -- --
------------ ------------ ------------ ------------
Total Distributions .......... (6,605) (11,150) -- --
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued ................... 507,179 315,270 -- --
Shares Issued in Lieu of Cash
Distributions ................ 6,605 11,150 -- --
Shares Redeemed ................. (12,315) (87,499) -- --
------------ ------------ ------------ ------------
Net Increase From Capital
Share Transactions ......... 501,469 238,921 -- --
------------ ------------ ------------ ------------
Transactions in Interest
Contributions ................... -- -- 64,237 37,476
Withdrawal ...................... -- -- (1,747) (1,588)
------------ ------------ ------------ ------------
Net Increase from Transactions
in Interest ................ -- -- 62,490 35,888
------------ ------------ ------------ ------------
Total Increase ............... 583,021 261,005 71,671 33,627
Net Assets
Beginning of Period ............. 609,386 348,381 49,351 15,724
------------ ------------ ------------ ------------
End of Period .................. $1,192,407 $609,386 $121,022 $49,351
============ ============ ============ ============
(1) Shares Issued and Redeemed:
Shares Issued ................... 45,367 30,947 N/A N/A
Shares Issued in Lieu of Cash
Distribution ................. 600 1,069
Shares Redeemed ................. (1,089) (8,862)
------------ ------------
44,878 23,154
============ ============
</TABLE>
See accompanying Notes to Financial Statements
185
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The U.S. 6-10 Small Company Series
--------------------------------------------------------------------
Six Months
Ended Year Ended Year Ended Feb. 3 to
May 31, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993
--------------- --------------- --------------- ---------------
(Unaudited)
<S> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $ 11.26 $ 9.54 $ 10.39 $ 10.00
--------------- --------------- --------------- ---------------
Income From Investment
Operations
Net Investment Income .... 0.06 0.12 0.12 0.10
Net Gain (Losses) on
Securities (Realized
and Unrealized) ....... 2.27 2.50 (0.07) 0.54
--------------- --------------- --------------- ---------------
Total From Investment
Operations .......... 2.33 2.62 0.05 0.64
--------------- --------------- --------------- ---------------
Less Distributions
Net Investment Income .... (0.02) (0.12) (0.11) (0.10)
Net Realized Gains ....... (0.62) (0.78) (0.79) (0.15)
--------------- --------------- --------------- ---------------
Total Distributions ... (0.64) (0.90) (0.90) (0.25)
--------------- --------------- --------------- ---------------
Net Asset Value, End of
Period .................. $ 12.95 $ 11.26 $ 9.54 $ 10.39
============= ............. =============== =============== =============== ===============
Total Return .............. 21.75%# 29.19% 0.59% 6.35%#
--------------- --------------- --------------- ---------------
Net Assets, End of Period
(thousands) ............. $311,186 $221,984 $143,630 $161,925
Ratio of Expenses to
Average Net Assets ...... 0.13%* 0.15% 0.17% 0.17%*
Ratio of Net Investment
Income to Average Net
Assets .................. 1.05%* 1.18% 1.11% 1.18%*
Portfolio Turnover Rate ... 17.08%* 21.16% 27.65% 32.88%*
Average Commission Rate (1) $ 0.0614 N/A N/A N/A
--------------- --------------- --------------- ---------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The U.S. Large Company Series
-----------------------------------------------------------
Six Months
Ended Year Ended Year Ended Feb. 8 to
May 31, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993
------------- ------------- ------------- -------------
(Unaudited)
<S> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $ 13.48 $ 10.11 $ 10.27 $ 10.00
------------- ------------- ------------- -------------
Income From Investment
Operations
Net Investment Income .... 0.15 0.30 0.28 0.24
Net Gain (Losses) on
Securities (Realized
and Unrealized) ....... 1.41 3.36 (0.14) 0.26
------------- ------------- ------------- -------------
Total From Investment
Operations .......... 1.56 3.66 0.14 0.50
------------- ------------- ------------- -------------
Less Distributions
Net Investment Income .... (0.16) (0.29) (0.29) (0.23)
Net Realized Gains ....... (0.08) -- (0.01) --
------------- ------------- ------------- -------------
Total Distributions ... (0.24) (0.29) (0.30) (0.23)
------------- ------------- ------------- -------------
Net Asset Value, End of
Period .................. $ 14.80 $ 13.48 $ 10.11 $ 10.27
============= ============= ============= =============
Total Return .............. 11.60%# 36.77% 1.30% 5.05%#
------------- ------------- ------------- -------------
Net Assets, End of Period
(thousands) ............. $130,671 $97,118 $48,657 $37,853
Ratio of Expenses to
Average Net Assets ...... 0.24%* 0.02%(a) 0.02%(a) 0.02%*(a)
Ratio of Net Investment
Income to Average Net
Assets .................. 2.08%* 2.61%(a) 2.83%(a) 2.87%*(a)
Portfolio Turnover Rate ... 13.00%* 2.38% 8.52% 34.36%*
Average Commission Rate (1) $ 0.0200 N/A N/A N/A
------------- ------------- ------------- -------------
</TABLE>
* Annualized
# Non-annualized
(a) Had certain reimbursements not been in effect the ratios of expenses to
average net assets for the periods ended November 30, 1995, 1994 and 1993
would have been 0.18%, 0.33% and 0.48%, respectively, and the ratios of
net investment income to average net assets for the period November 30,
1995, 1994 and 1993, would have been 2.45%, 2.52% and 2.41%,
respectively.
(1) Computed by dividing the total amount of brokerage commissions paid by
the total shares of investment securities purchased and sold during the
period for which commissions were charged, as required by the SEC for
fiscal years beginning after September 1, 1995.
See accompanying Notes to Financial Statements
186
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The U.S. Small Cap Value Series
-----------------------------------------------------------
Six Months
Ended Year Ended Year Ended March 2 to
May 31, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993
------------- ------------- ------------- -------------
(Unaudited)
<S> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $ 14.02 $ 11.15 $ 11.04 $ 10.00
------------- ------------- ------------- -------------
Income From Investment
Operations
Net Investment Income .... 0.08 0.14 0.12 0.08
Net Gain (Losses) on
Securities (Realized and
Unrealized) ............ 2.18 3.06 0.16 1.09
------------- ------------- ------------- -------------
Total From Investment
Operations .......... 2.26 3.20 0.28 1.17
------------- ------------- ------------- -------------
Less Distributions
Net Investment Income .. (0.02) (0.14) (0.12) (0.07)
Net Realized Gains ..... (0.32) (0.19) (0.05) (0.06)
------------- ------------- ------------- -------------
Total Distributions ... (0.34) (0.33) (0.17) (0.13)
------------- ------------- ------------- -------------
Net Asset Value, End of
Period .............. $ 15.94 $ 14.02 $ 11.15 $ 11.04
============= ============= ============= =============
Total Return .......... 16.51%# 28.81% 2.52% 11.69%#
------------- ------------- ------------- -------------
Net Assets, End of Period
(thousands) ......... $1,045,396 $624,343 $350,277 $95,681
Ratio of Expenses to
Average Net Assets .. 0.30%* 0.32% 0.32% 0.33%*
Ratio of Net Investment
Income to Average Net
Assets .............. 1.16%* 1.22% 1.50% 1.35%*
Portfolio Turnover Rate 15.58%* 20.62% 8.22% 1.07%*
Average Commission Rate
(1) ................. $ 0.0640 N/A N/A N/A
------------- ------------- ------------- -------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The U.S. Large Cap Value Series
-----------------------------------------------------------
Six Months
Ended Year Ended Year Ended Feb. 19 to
May 31, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993
------------- ------------- ------------- -------------
(Unaudited)
<S> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $ 13.29 $ 9.92 $ 10.59 $ 10.00
------------- ------------- ------------- -------------
Income From Investment
Operations
Net Investment Income .... 0.16 0.32 0.33 0.20
Net Gain (Losses) on
Securities (Realized and
Unrealized) ............ 1.45 3.53 (0.65) 0.58
------------- ------------- ------------- -------------
Total From Investment
Operations .......... 1.61 3.85 (0.32) 0.78
------------- ------------- ------------- -------------
Less Distributions
Net Investment Income .. (0.09) (0.31) (0.35) (0.18)
Net Realized Gains ..... (0.34) (0.17) -- (0.01)
------------- ------------- ------------- -------------
Total Distributions ... (0.43) (0.48) (0.35) (0.19)
------------- ------------- ------------- -------------
Net Asset Value, End of
Period .............. $ 14.47 $ 13.29 $ 9.92 $ 10.59
============= ============= ============= =============
Total Return .......... 12.44%# 39.26% (3.13)% 7.79%#
------------- ------------- ------------- -------------
Net Assets, End of Period
(thousands) ......... $725,736 $423,027 $198,848 $90,271
Ratio of Expenses to
Average Net Assets .. 0.20%* 0.21% 0.22% 0.23%*
Ratio of Net Investment
Income to Average Net
Assets .............. 2.52%* 2.84% 3.72% 3.75%*
Portfolio Turnover Rate 24.13%* 29.41% 39.33% 0.75%*
Average Commission Rate
(1) ................. $ 0.0495 N/A N/A N/A
------------- ------------- ------------- -------------
</TABLE>
* Annualized
# Non-annualized
(1) Computed by dividing the total amount of brokerage commissions paid by
the total shares of investment securities purchased and sold during the
period for which commissions were charged, as required by the SEC for
fiscal years beginning after September 1, 1995.
See accompanying Notes to Financial Statements
187
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The DFA
Two-Year
The DFA One-Year Global Fixed
Fixed Income Series(1) Income Series
--------------------------------------------------------- ---------------
Six Months Feb. 9
Ended Year Ended Year Ended Feb. 8 to to
May 31, Nov. 30, Nov. 30, Nov. 30, May 31,
1996 1995 1994 1993 1996
------------ ------------ ------------ ----------- ---------------
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ............... $ 10.00 $ 9.84 $ 10.06 $ 10.00 $ 10.00
------------ ------------ ------------ ----------- ---------------
Income From Investment Operations
Net Investment Income ............ 0.27 0.60 0.44 0.31 0.13
Net Gain (Losses) on Securities
(Realized and Unrealized) ...... (0.03) 0.16 (0.18) 0.03 0.02
------------ ------------ ------------ ----------- ---------------
Total From Investment Operations 0.24 0.76 0.26 0.34 0.15
------------ ------------ ------------ ----------- ---------------
Less Distributions
Net Investment Income ............ (0.27) (0.60) (0.43) (0.28) (0.02)
Net Realized Gains ............... -- -- (0.05) -- --
------------ ------------ ------------ ----------- ---------------
Total Distributions ............. (0.27) (0.60) (0.48) (0.28) (0.02)
------------ ------------ ------------ ----------- ---------------
Net Asset Value, End of Period ...... $ 9.97 $ 10.00 $ 9.84 $ 10.06 $ 10.13
============ ============ ============ =========== ===============
Total Return ........................ 2.51%# 7.91% 2.61% 3.39%# 1.47%#
------------ ------------ ------------ ----------- ---------------
Net Assets, End of Period (thousands) . $827,506 $705,554 $592,286 $608,428 $262,838
Ratio of Expenses to Average Net Assets 0.09%* 0.10% 0.10% 0.10%* 0.21%*(a)
Ratio of Net Investment Income to Average
Net Assets ....................... 5.54%* 6.04% 4.41% 3.80%* 4.52%*(a)
Portfolio Turnover Rate ............. 117.72%* 81.31% 140.82% 111.67%* 75.30%*
------------ ------------ ------------ ----------- ---------------
</TABLE>
(1) (Adjusted to reflect a 900% stock dividend as of January 2, 1996)
* Annualized
# Non-annualized
(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
188
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The DFA International The Emerging
Value Series Markets Series
----------------------------------------------- --------------------------------------------
Six Months Six Months
Ended Year Ended Feb. 15 to Ended Year Ended April 25 to
May 31, Nov. 30, Nov. 30, May 31, Nov. 30, Nov. 30,
1996 1995 1994 1996 1995 1994
--------------- --------------- --------------- ------------- ------------- -------------
(Unaudited) (Unaudited)
<S> <C> <C> <C>
Net Asset Value, Beginning of
Period .......................... $ 10.55 $ 10.06 $ 10.00 N/A+ N/A+ N/A+
--------------- --------------- --------------- ------------- ------------- -------------
Income From Investment Operations
Net Investment Income .......... 0.38 0.20 0.13 -- -- --
Net Gain (Losses) on Securities
(Realized and Unrealized) .... 1.05 0.52 0.07 -- -- --
--------------- --------------- --------------- ------------- ------------- -------------
Total From Investment Operations 1.43 0.72 0.20 -- -- --
--------------- --------------- --------------- ------------- ------------- -------------
Less Distributions
Net Investment Income .......... (0.28) (0.21) (0.13) -- -- --
Net Realized Gains ............. (0.08) (0.02) (0.01) -- -- --
--------------- --------------- --------------- ------------- ------------- -------------
Total Distributions ............... (0.36) (0.23) (0.14) -- -- --
--------------- --------------- --------------- ------------- ------------- -------------
Net Asset Value, End of Period .... $ 11.62 $ 10.55 $ 10.06 N/A+ N/A+ N/A+
=============== =============== =============== ============= ============= =============
Total Return ...................... 11.22%# 7.20% 1.99%# N/A+ N/A+ N/A+
--------------- --------------- --------------- ------------- ------------- -------------
Net Assets, End of Period
(thousands) .................... $1,192,407 $609,386 $348,381 $121,022 $49,351 $15,724
Ratio of Expenses to Average Net
Assets ......................... 0.41%* 0.42% 0.45%*(a) 0.68%* 0.87% 1.49%*
Ratio of Net Investment Income to
Average Net Assets ............. 2.78%* 2.14% 1.84%*(a) 3.17%* 1.70% 0.56%*
Portfolio Turnover Rate ........... 16.44%* 9.75% 1.90%* 0.31%* 8.17% 1.28%*
Average Commission Rate (1) ....... $ 0.0112 N/A N/A $ 0.0007 N/A N/A
--------------- --------------- --------------- ------------- ------------- -------------
</TABLE>
* Annualized
# Non-annualized
+ Not applicable as The Emerging Markets Series is organized as a
partnership.
(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%.
(1) Computed by dividing the total amount of brokerage commissions paid by
the total shares of investment securities purchased and sold during the
period for which commissions were charged, as required by the SEC for
fiscal years beginning after September 1, 1995.
See accompanying Notes to Financial Statements
189
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At
May 31, 1996, The Trust consisted of eleven investment portfolios: The U.S.
6-10 Small Company Series, The U.S. Large Company Series, The Enhanced 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 DFA Two-Year Corporate Fixed Income Series, The DFA
Two-Year Government Series, The DFA Two-Year Global Fixed Income Series (the
"Fixed Income Portfolios"), The DFA International Value Series and The
Emerging Markets Series (the "International Equity Portfolios")
(collectively, the "Series"). At May 31, 1996, The Enhanced U.S. Large
Company Series, The DFA Two-Year Corporate Fixed Income Series and The DFA
Two-Year Government Series had not yet commenced operations.
The U.S. 6-10 Small Company Portfolio, The U.S. Large Company Portfolio,
The Enhanced U.S. Large Company Portfolio, The U.S. Small Cap Value
Portfolio, The U.S. Large Cap Value Portfolio, The Emerging Markets
Portfolio, The RWB/DFA International High Book to Market Portfolio, The DFA
One-Year Fixed Income Portfolio, The DFA Two-Year Corporate Fixed Income
Portfolio, The DFA Two-Year Government Portfolio and The DFA Two-Year Global
Fixed Income Portfolio (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.
On December 20, 1995, the Board of trustees of The DFA Investment Trust
Company approved a 900% stock dividend under Delaware Trust Law, which is
treated as a 10 for 1 stock split for financial reporting purposes for The
DFA One-Year Fixed Income Series. The record date of the stock dividend was
January 1, 1996, and the ex-date and payable dates were January 2, 1996. This
was a tax-free event to the shareholders of this series. All share and per
share data as of and for the period ended November 30,1995 and all prior
periods have been restated to reflect the stock dividend.
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 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.
2. Foreign Currency Translation: Securities, other assets and liabilities
of the International Equity Portfolios and The DFA Two-Year Global Fixed
Income Series 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
190
<PAGE>
based on daily exchange rates and exchange gains or losses are realized upon
ultimate receipt or disbursement. The DFA Two-Year Global Fixed Income Series
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 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. However, The
DFA Two-Year Global Fixed Income Series does isolate the effect of
fluctuations in foreign currency rates when determining the realized 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 the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and The DFA Two-Year Global Fixed Income
Series and the U.S. dollar equivalent amounts actually received or paid.
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. 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 six months ended May 31, 1996, the
Series' advisory fees were computed daily and paid monthly to the Advisor
based on the following effective annual rates:
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 Two-Year Global Fixed Income Series ... .05 of 1%
The DFA International Value Series ............ .20 of 1%
The Emerging Markets Series ................... .10 of 1%
Through November 30, 1995 the Advisor had agreed to bear all of the
ordinary operating expenses of The U.S. Large Company Series except for the
advisory fee. Effective December 1, 1995, The U.S. Large Company Series is
obligated to bear all of its expenses including its advisory fee.
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 year ended November 30, 1995 this reimbursement to the advisor
amounted to $52,864. No additional previously waived fees are subject to
future reimbursement.
191
<PAGE>
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
D. PURCHASE AND SALES OF SECURITIES:
For the period ended May 31, 1996, 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 ................. -- -- $ 50,998 $ 20,971
The U.S. Large Company Series ...................... -- -- 28,784 7,121
The U.S. Small Cap Value Series .................... -- -- 327,841 61,602
The U.S. Large Cap Value Series .................... -- -- 304,808 68,221
The DFA One-Year Fixed Income Series ............... $90,273 -- 250,510 128,970
The DFA Two-Year Global Fixed Income Series ........ 10,964 $10,950 274,940 17,290
The DFA International Value Series ................. -- -- 556,030 69,398
The Emerging Markets Series ........................ -- -- 62,283 123
</TABLE>
E. INVESTMENT TRANSACTIONS:
At May 31, 1996, 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 ................ $ 98,149 $(18,166) $ 79,983
The U.S. Large Company Series ..................... 38,992 (484) 38,508
The U.S. Small Cap Value Series ................... 232,358 (36,731) 195,627
The U.S. Large Cap Value Series ................... 107,567 (4,839) 102,728
The DFA One-Year Fixed Income Series .............. 37 (2,067) (2,030)
The DFA Two-Year Global Fixed Income Series ....... 160 (3,551) (3,391)
The DFA International Value Series ................ 106,411 (23,017) 83,394
The Emerging Markets Series ....................... 11,628 (5,811) 5,817
</TABLE>
At November 30, 1995, the following Series had capital loss carryovers for
federal income tax purposes:
<TABLE>
<CAPTION>
Expires on November 30
---------------------------------------
(Amounts in thousands)
2001 2002 2003 Total
---------- ------------ ------------ -----------
<S> <C> <C> <C>
The U.S. Large Company Series ..................... $172 -- -- $ 172
The DFA One-Year Fixed Income Series .............. -- $2,731 -- 2,731
</TABLE>
192
<PAGE>
F. COMPONENTS OF NET ASSETS:
<TABLE>
<CAPTION>
At May 31, 1996 Net Assets Consist of:
(Amounts in thousands)
Unrealized
Undistributed Appreciation
Net Realized (Depreciation) of
Undistributed Foreign Investment Unrealized Net
Net Undistributed Exchange Securities Foreign
Paid-In Investment Net Realized Gain and Foreign Exchange Total Net
Capital Income Gain (Loss) (Loss) Currency Loss Assets
-------- ------------ ------------ ------------ ----------------- -------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
The U.S. 6-10 Small
Company Series ...... $ 220,462 $ 1,155 $ 9,586 -- $ 79,983 -- $ 311,186
The U.S. Large Company
Series .............. 92,788 18 (643) -- 38,508 -- 130,671
The U.S. Small Cap
Values Series ....... 819,054 4,126 26,589 -- 195,627 -- 1,045,396
The U.S. Large Cap
Value Series ........ 596,424 4,160 22,424 -- 102,728 -- 725,736
The DFA One-Year Fixed
Income Series ....... 828,399 3,851 (2,714) -- (2,030) -- 827,506
The DFA Two-Year Global
Fixed Income Series . 259,454 2,865 (35) $4,210 (3,391) $(265) 262,838
The DFA International
Value Series ........ 1,084,839 10,396 13,994 (206) 83,394 (10) 1,192,407
</TABLE>
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' Investment Objectives and Policies, the
Series may invest 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 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, 1996.
193
<PAGE>
2. Forward Foreign Currency Contracts: The DFA Two-Year Global Fixed
Income Series 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, 1996, The DFA Two-Year Global Fixed Income Series had
entered into the following contracts and the related net unrealized foreign
exchange loss is reflected in the accompanying financial statements:
<TABLE>
<CAPTION>
Unrealized
Foreign
Expiration Contract Value at Exchange Gain
Date Currency Sold Amount May 31, 1996 (Loss)
------------ ---------------------- -------------- -------------- ---------------
<C> <C> <C> <C> <C> <C>
06/07/96 8,104,465 Canadian Dollar $5,941,385 $5,914,644 $26,741
06/10/96 5,560,551 Canadian Dollar 4,072,858 4,059,609 13,249
06/10/96 5,462,900 Canadian Dollar 3,999,195 3,989,113 10,082
06/10/96 10,746,123 Netherlands Guilders 6,338,063 6,290,716 47,347
06/10/96 2,657,657 Netherlands Guilders 1,572,206 1,555,607 16,599
06/10/96 5,982,670 German Mark 3,939,155 3,923,306 15,849
06/13/96 4,506,000 Netherlands Guilders 2,662,995 2,636,933 26,062
06/13/96 67,951,357 French Franc 13,231,821 13,162,339 69,482
06/13/96 3,061,525 British Pound Sterling 4,654,008 4,733,723 (79,715)
06/17/96 3,164,584 Canadian Dollar 2,314,477 2,310,612 3,865
06/17/96 2,677,514 Netherlands Guilders 1,564,060 1,568,198 (4,138)
06/17/96 8,583,072 German Mark 5,616,385 5,630,224 (13,839)
06/17/96 4,355,600 German Mark 2,843,285 2,857,035 (13,750)
06/20/96 28,745,616 German Mark 18,779,024 18,854,853 (75,829)
06/20/96 525,300,000 Japanese Yen 4,946,467 4,877,045 69,422
06/21/96 7,392,009 Canadian Dollar 5,400,633 5,396,686 3,947
06/24/96 1,075,629,000 Japanese Yen 10,088,341 9,990,708 97,633
06/24/96 8,612,000 German Mark 5,323,355 5,350,254 (26,899)
06/24/96 15,101,567 Netherlands Guilders 8,826,990 8,842,257 (15,267)
06/25/96 6,205,175 Canadian Dollar 4,525,260 4,531,906 (6,646)
06/28/96 2,154,362 Netherlands Guilders 1,249,021 1,259,158 (10,137)
06/28/96 4,102,508 British Pound Sterling 6,201,638 6,342,487 (140,849)
06/28/96 25,029,840 French Franc 4,798,298 4,847,184 (48,886)
06/28/96 7,864,570 French Franc 7,864,570 7,878,930 (14,360)
06/28/96 9,520,707 German Mark 6,178,346 6,245,737 (67,391)
06/28/96 3,330,031 Netherlands Guilders 1,931,595 1,950,520 (18,925)
06/28/96 1,837,231,250 Japanese Yen 16,949,722 17,062,363 (112,641)
06/28/96 6,474,187 Canadian Dollar 4,712,956 4,726,743 (13,787)
06/28/96 2,393,770 Canadian Dollar 1,740,886 1,748,347 (7,461)
06/28/96 47,597,831 Canadian Dollar 34,795,898 34,744,955 50,943
07/03/96 9,364,419 Canadian Dollar 6,834,145 6,834,181 (36)
------------ -------------- ---------------
TOTALS $209,897,038 $210,116,373 $ (219,335)
============ ============== ===============
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counter parties 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 Two-Year Global Fixed Income Series will enter into forward
contracts only for hedging purposes.
H. SECURITIES LENDING:
Domestic security loans are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on
loan. International 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. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insuffi-
194
<PAGE>
ciency is not the result of investment losses, the lending agent has agreed
to pay the amount of the shortfall to the Series or, at the opinion of the
lending agent, replace the loaned securities. The market value of securities
on loan to brokers and the related collateral cash and indemnification
received at May 31, 1996, is as follows:
<TABLE>
<CAPTION>
Value of Securities Value of Collateral
Securities on Loan and Indemnification
----------------------- -----------------------
Domestic Equity Portfolios
<S> <C> <C>
The U.S. 6-10 Small Company Series ............ $ 8,672,031 $ 9,056,265
The U.S. Small Cap Value Series ............... 18,378,218 19,673,728
The U.S. Large Cap Value Series ............... 1,687,800 1,722,556
International Equity Portfolios
The DFA International Value Series ............ 150,189,738 159,872,350
</TABLE>
J. SUBSEQUENT EVENT
On June 1, 1996 the U.S. Large Company Series ("this Series") was
reorganized from an entity taxed as a corporation to an entity taxed as a
partnership for income tax purposes. This reorganization was accomplished by
an amendment to the organization document of the Series which for income tax
purposes was treated as a liquidation of this Series, immediate distribution
of its assets to its sole shareholder at May 31, 1996, which was The U.S.
Large Company Portfolio (the "Portfolio") and subsequent contribution of
those assets from the Portfolio, along with a nominal contribution from the
Advisor to this Series to create the partnership.
On June 2, 1996, an unrelated investment company contributed assets valued
at $225,957,696 to this Series in exchange for a 63.4% interest in this
Series. The total net assets of this Series increased to $356,632,854
immediately following this transaction.
These transactions are expected to be tax-free events to all parties
involved based on rulings obtained from the Internal Revenue Service.
For financial reporting purposes, this Series continues to exist and as
such, will maintain all of its previous operating history throughout the
financial statements.
195
