<PAGE>
==============================================================================
DFA Investment Dimensions Group Inc.
and
The DFA Investment Trust Company
ANNUAL REPORT
Year Ended November 30, 1995
===============================================================================
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<CAPTION>
Page
---------
<S> <C>
Performance Charts .................................... 1-6
Schedules of Investments ..............................
The U.S. 9-10 Small Company Portfolio ............ 7-29
The U.S. 6-10 Small Company Portfolio ............ 30
The U.S. Large Company Portfolio ................. 30
The U.S. Small Cap Value Portfolio ............... 30
The U.S. Large Cap Value Portfolio ............... 30
The DFA/AEW Real Estate Securities Portfolio ..... 31-32
The Japanese Small Company Portfolio ............. 33-38
The Pacific Rim Small Company Portfolio .......... 39-48
The United Kingdom Small Company Portfolio ....... 49-55
The Emerging Markets Portfolio ................... 56
The Continental Small Company Portfolio .......... 57-67
The Large Cap International Portfolio ............ 68-70
The DFA International High Book to Market
Portfolio ...................................... 71
The DFA International Small Cap Value Portfolio .. 72-80
The DFA One-Year Fixed Income Portfolio .......... 81
The DFA Five-Year Government Portfolio ........... 81
The DFA Global Fixed Income Portfolio ............ 82
The DFA Intermediate Government Fixed Income
Portfolio ...................................... 83
Statements of Assets and Liabilities .................. 84-86
Statements of Operations .............................. 87-92
Statements of Changes in Net Assets ................... 93-98
Financial Highlights .................................. 99-108
Notes to Financial Statements ......................... 109-115
Report of Independent Accountants ..................... 116
</TABLE>
This report is submitted for the information of the Fund's shareholders. It
is not authorized for distribution to prospective investors unless preceded
or accompanied by an effective prospectus.
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<CAPTION>
Page
---------
<S> <C>
Performance Charts ................. 117-119
Statements of Net Assets ...........
The U.S. 6-10 Small Company
Series ...................... 120-148
The U.S. Large Company Series . 149-153
The U.S. Small Cap Value Series 154-165
The U.S. Large Cap Value Series 166-167
The DFA One-Year Fixed Income
Series ...................... 168-169
The DFA International Value
Series ...................... 170-178
The Emerging Markets Series ... 179-183
Statements of Operations ........... 184-185
Statements of Changes in Net Assets 186-188
Financial Highlights ............... 189-191
Notes to Financial Statements ...... 192-195
Report of Independent Accountants .. 196
</TABLE>
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
U.S. 9-10 Small Company Portfolio vs.
CRSP 9-10 Index
December 1985-November 1995
The following reflects the growth of a $10,000 investment.
The U.S. 9-10 CRSP
Small Company 9-10
Portfolio Index
------------- -----
8511 10000 10000
8512 10470 10347
8601 10587.26 10742.26
8602 11348.49 11384.64
8603 11889.81 11907.2
8604 11965.91 12095.33
8605 12396.68 12492.06
8606 12428.91 12557.02
8607 11546.46 11575.06
8608 11798.17 11691.97
8609 11138.65 10946.02
8610 11524.05 11178.07
8611 11488.33 11108.77
8612 11187.33 10704.41
8701 12242.3 11872.26
8702 13232.7 12779.3
8703 13541.02 13126.9
8704 13117.19 12802.67
8705 13066.03 12733.53
8706 13413.59 12920.71
8707 13901.84 13197.22
8708 14300.82 13384.62
8709 14184.99 13153.06
8710 10044.39 9408.39
8711 9645.63 8904.1
8712 10147.2 9189.03
8801 10711.38 9885.56
8802 11525.45 10551.84
8803 11995.69 10997.13
8804 12246.4 11153.29
8805 12027.19 10859.96
8806 12642.98 11432.28
8807 12611.37 11412.84
8808 12301.13 11165.18
8809 12580.37 11329.31
8810 12425.63 11148.04
8811 11882.63 10728.88
8812 12350.8 11019.63
8901 12849.78 11547.47
8902 12956.43 11632.92
8903 13420.27 11901.64
8904 13794.69 12203.94
8905 14294.06 12552.98
8906 14008.18 12424.94
8907 14578.31 12805.14
8908 14756.17 13061.24
8909 14756.17 13083.45
8910 13864.9 12242.18
8911 13794.19 12138.12
8912 13609.34 11925.71
9001 12569.59 11164.85
9002 12804.64 11322.27
9003 13275.85 11553.24
9004 12922.71 11193.94
9005 13647.68 11640.58
9006 13844.21 11718.57
9007 13315.36 11208.81
9008 11589.69 9762.87
9009 10628.9 8849.07
9010 10020.93 8262.38
9011 10471.87 8584.61
9012 10675.02 8582.89
9101 11572.79 9465.21
9102 12860.85 10840.51
9103 13735.38 11707.75
9104 13782.08 11870.49
9105 14242.41 12185.05
9106 13551.65 11707.4
9107 14103.2 12119.5
9108 14471.29 12489.14
9109 14517.6 12647.76
9110 14977.81 12939.92
9111 14564.42 12489.61
9112 15439.75 13012.93
9201 17181.35 14817.82
9202 17957.95 15615.02
9203 17510.79 15248.06
9204 16805.11 14532.93
9205 16781.58 14550.37
9206 15910.62 13793.75
9207 16499.31 14233.77
9208 16123.12 13830.96
9209 16334.34 14050.87
9210 16757.4 14437.27
9211 18240.43 15837.68
9212 19044.83 16399.92
9301 20078.96 17349.47
9302 19717.54 16863.69
9303 20287.38 17354.42
9304 19666.59 16821.64
9305 20339.18 17460.86
9306 20261.89 17492.29
9307 20598.24 17763.42
9308 21296.52 18516.59
9309 21969.49 19086.9
9310 23004.26 19978.26
9311 22601.68 19428.86
9312 23040.15 19656.18
9401 24464.03 20633.09
9402 24407.77 20554.68
9403 23319.18 19555.73
9404 23459.1 19364.08
9405 23430.95 19348.59
9406 22817.05 18835.85
9407 23236.89 18930.03
9408 24019.97 19776.2
9409 24272.18 20094.6
9410 24551.31 20213.16
9411 23750.94 19432.93
9412 23755.69 19203.62
9501 24427.97 19743.24
9502 25043.56 20378.98
9503 25406.69 20758.02
9504 26301.01 21330.95
9505 27084.78 21791.69
9506 28623.19 23055.61
9507 30469.39 24517.34
9508 31560.19 25502.94
9509 32175.62 26109.91
9510 30608.66 24760.02
9511 31196.35 25215.61
Annualized One Five Ten
Total Return (%) Year Years Years
- ------------------------------------------------------------------------------
31.35 24.40 12.05
* Dimensional's objective is to capture
premium returns and diversification
benefits by investing in a broad
cross-section of small companies on a
market cap-weighted basis. The U.S.
9-10 Small Company Portfolio provides
access to publicly traded U.S. small
companies with market capitalization
of approximately $150 million or
less.
* This portfolio's returns in fiscal
1995 reflected the performance of
decile 9-10 companies in the U.S.
Past performance is not predictive of
future performance.
CRSP 9-10 Index courtesy of the Center for Research in Security Prices,
University of Chicago.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
U.S. 6-10 Small Company Portfolio vs.
CRSP 6-10 Index
April 1992-November 1995
The following reflects the growth of a $10,000 investment.
U.S. 6-10 CRSP
Small Company 6-10
Portfolio Index
------------- -----
9203 10000 10000
9204 9588 9606
9205 9566.90 9677.08
9206 9102.91 9289.03
9207 9505.26 9648.51
9208 9309.45 9383.18
9209 9463.98 9586.8
9210 9763.05 9891.66
9211 10670.04 10729.48
9212 11078.7 11096.43
9301 11454.27 11510.33
9302 11193.11 11228.33
9303 11453.91 11579.77
9304 11098.84 11230.06
9305 11547.23 11742.15
9306 11495.27 11786.77
9307 11579.19 11927.04
9308 11975.19 12476.87
9309 12287.75 12836.21
9310 12548.25 13232.85
9311 12239.56 12825.27
9312 12592.06 13213.88
9401 12969.82 13669.76
9402 12872.55 13589.11
9403 12246.94 12848.5
9404 12268.99 12797.11
9405 12203.96 12681.93
9406 11847.6 12353.47
9407 12020.58 12567.19
9408 12592.76 13286.03
9409 12656.98 13333.86
9410 12700.02 13320.53
9411 12266.95 12805.02
9412 12422.74 12972.77
9501 12496.03 12994.82
9502 12908.4 13469.13
9503 13151.08 13756.02
9504 13575.86 14115.06
9505 13854.16 14366.3
9506 14556.57 15162.2
9507 15453.25 16129.55
9508 15889.03 16547.3
9509 16179.8 16901.41
9510 15343.31 16039.44
9511 15794.4 16608.84
Annualized One From
Total Return (%) Year April 1992
- ------------------------------------------------------------------------------
28.76 13.28
* The portfolio seeks to capture
premimum returns and diversification
benefits by investing in the U.S.
6-10 Small Company Series of the DFA
Investment Trust Company which in
turn invests in a broad cross-section
of U.S. small companies on a market
cap-weighted basis.
* This portfolio's return in fiscal
1995 reflected the performance of decile 6-10
companies in the U.S.
Past performance is not predictive of
future performance.
CRSP 6-10 Index courtesy of the Center for Research
in Security Prices, University of Chicago.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
U.S. Large Company Portfolio
vs. S&P 500 Index
January 1991-November 1995
The following reflects the growth of a $10,000 investment.
U.S. S&P
Large Company 500
Portfolio Index
------------- -------
9012 10000 10000
9101 10440 10442
9102 11180.2 11189.65
9103 11440.69 11455.96
9104 11461.29 11488.04
9105 11954.12 11979.73
9106 11409.02 11432.25
9107 11936.11 11967.28
9108 12220.19 12248.51
9109 12007.56 12047.64
9110 12170.86 12209.08
9111 11680.38 11715.83
9112 13011.94 13054.95
9201 12773.82 12812.13
9202 12938.6 12976.12
9203 12690.18 12721.79
9204 13053.12 13091.99
9205 13126.22 13162.69
9206 12928.01 12971.83
9207 13439.96 13494.6
9208 13168.48 13222
9209 13314.65 13374.06
9210 13357.25 13422.2
9211 13810.06 13874.53
9212 13963.35 14056.29
9301 14069.48 14158.9
9302 14249.57 14350.05
9303 14545.96 14658.57
9304 14183.76 14299.44
9305 14556.8 14685.52
9306 14590.28 14733.98
9307 14526.08 14664.73
9308 15063.54 15223.46
9309 14956.59 15110.81
9310 15258.72 15417.56
9311 15116.81 15272.63
9312 15305.77 15460.48
9401 15800.15 15978.41
9402 15371.96 15546.99
9403 14710.97 14870.7
9404 14909.57 15064.02
9405 15140.66 15309.56
9406 14774.26 14931.42
9407 15251.47 15425.65
9408 15872.2 16053.47
9409 15503.97 15666.58
9410 15838.85 16025.34
9411 15274.99 15437.21
9412 15502.59 15662.6
9501 15897.9 16069.83
9502 16517.92 16693.33
9503 16995.29 17187.46
9504 17481.36 17687.61
9505 18184.11 18386.27
9506 18605.98 18818.35
9507 19219.97 19445
9508 19254.57 19497.5
9509 20076.74 20314.45
9510 19996.43 20243.35
9511 20856.28 21134.06
Annualized From
Total Return (%) One Year January 1991
- ------------------------------------------------------------------------------
36.54 16.13
* The portfolio provides access to U.S.
large companies by investing in the
U.S. Large Company Series of the DFA
Investment Trust Company which in turn
invests primarily in the securities
comprising the S&P 500 Index.
* This portfolio's returns in fiscal
1995 were reflective of the performance
of the S&P 500 Index.
<PAGE>
Past performance is not predictive of
future performance.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
U.S. Small Cap Value Portfolio
vs. Fama-French Small Cap Value Index
March 1993-November 1995
The following reflects the growth of a $10,000 investment.
U.S.
Small Cap Value Fama-French
Portfolio Index
--------------- ----------
9302 10000 10000
9303 9920 10372
9304 9709.69 10047.36
9305 9969.91 10456.28
9306 9969.91 10443.74
9307 10270.01 10588.9
9308 10599.68 10927.75
9309 10969.61 11125.54
9310 11339.28 11570.56
9311 11138.58 11386.59
9312 11361.35 11675.81
9401 11947.59 12229.24
9402 11906.97 12155.87
9403 11512.85 11652.62
9404 11593.44 11737.68
9405 11623.58 11698.95
9406 11410.87 11457.95
9407 11602.58 11740.96
9408 11997.06 12162.46
9409 11956.27 12110.16
9410 11784.1 11904.29
9411 11379.91 11509.07
9412 11498.26 11604.59
9501 11610.94 11792.58
9502 12020.81 12271.36
9503 12163.86 12413.71
9504 12594.46 12803.5
9505 12942.06 13076.22
9506 13454.57 13507.73
9507 14181.12 14050.74
9508 14632.08 14501.77
9509 14816.44 14743.95
9510 14088.95 14086.37
9511 14613.06 14482.2
Annualized From
Total Return (%) One Year March 1993
- ------------------------------------------------------------------------------
28.41 16.55
* The portfolio seeks to capture return
premiums associated with high book-to-
market ratios by investing in the U.S.
Small Cap Value Series of the DFA
Investment Trust Company which in turn
invests on a market cap-weighted basis
in companies that have market caps of
approximately $500 million or less and
book-to-market ratios in the upper 30%
of publicly traded U.S. companies.
* This portfolio's returns in fiscal
1995 reflected the performance of small
U.S. companies with high book-to-market
ratios.
Past performance is not predictive of
future performance.
Fama-French Small Cap Value Index courtesy of
the Fama-French and CRSP, University of
Chicago.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
U.S. Large Cap Value Portfolio
vs. Fama-French Large Cap Value Index
March 1993-November 1995
The following reflects the growth of a $10,000 investment.
U.S.
Large Cap Value Fama-French
Portfolio Index
--------------- -----------
9302 10000 10000
9303 10109 10302
9304 10079.68 10247.4
9305 10188.54 10333.48
9306 10396.39 10500.88
9307 10545.06 10622.69
9308 10802.36 10979.61
9309 10614.4 10868.72
9310 10742.83 10906.76
9311 10633.25 10742.07
9312 10894.83 11018.14
9401 11197.71 11241.81
9402 10693.81 10748.29
9403 10260.71 10273.22
9404 10421.81 10418.07
9405 10350.94 10290.97
9406 10135.64 10097.5
9407 10574.51 10541.79
9408 10881.17 10821.15
9409 10563.44 10422.93
9410 10769.43 10620.96
9411 10285.88 10372.43
9412 10400.06 10403.55
9501 10639.26 10809.29
9502 11242.5 11311.92
9503 11419.01 11354.91
9504 11826.67 11718.26
9505 12442.84 12346.36
9506 12715.34 12550.08
9507 13272.27 12926.58
9508 13661.14 13163.13
9509 14133.82 13694.93
9510 13552.92 13395.01
9511 14295.62 13886.6
Annualized From
Total Return (%) One Year March 1993
- ------------------------------------------------------------------------------
38.98 13.88
* The portfolio seeks to capture return
premiums associated with high book-to-
market ratios by investing in the U.S.
Large Cap Value Series of the DFA
Investment Trust Company which in turn
invests on a market cap-weighted basis
in companies that have market caps of
approximately $500 million or less and
book-to-market ratios in the upper 30%
of publicly traded companies.
* This portfolio's returns in fiscal
1995 reflected the performance of large
U.S. companies with high book-to-market
ratios.
Past performance is not predictive of
future performance.
Fama-French Large Cap Value Index courtesy of
the Fama-French and CRSP, University of
Chicago.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
DFA/AEW Real Estate Securities Portfolio
vs. NAREIT Index
January 1993-November 1995
The following reflects the growth of a $10,000 investment.
DFA/AEW
Real Estate NAREIT
Securities Portfolio Index
-------------------- --------
9212 10000 10000
9301 10370 10634
9302 10419.78 11289.05
9303 10779.26 12144.76
9304 10339.46 11569.1
9305 10349.8 11373.59
9306 10660.3 11763.7
9307 10940.66 11967.21
9308 11341.09 12260.41
9309 11851.44 12826.84
9310 11691.45 12518.99
9311 11109.21 11866.75
9312 11545.8 11872.69
9401 11800.97 12203.94
9402 11739.6 12721.38
9403 11096.27 12239.24
9404 11065.2 12459.55
9405 11004.34 12747.36
9406 10729.24 12493.69
9407 10760.35 12463.71
9408 10944.35 12463.71
9409 10587.57 12203.22
9410 10148.18 11796.85
9411 9804.159 11406.37
9412 10576.73 12251.59
9501 10278.46 11971.02
9502 10449.09 12224.81
9503 10428.19 12169.8
9504 10375 12166.15
9505 10791.04 12680.77
9506 11015.49 12874.79
9507 11143.27 13102.67
9508 11217.93 13244.18
9509 11409.76 13450.79
9510 11046.93 13136.04
9511 11178.39 13267.4
Annualized From
Total Return (%) One Year January 1993
- ------------------------------------------------------------------------------
14.02 3.89
* This portfolio invests in equity REITS.
The portfolio invests on a market cap-
weighted basis.
* This portfolio's returns in fiscal
1995 reflected the performance of equity
REITS and U.S. companies.
Past performance is not predictive of
future performance.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
Japanese Small Company Portfolio
vs. Japanese Large Company Stocks
February 1986-November 1995
The following reflects the growth of a $10,000 investment.
Japanese Japanese
Small Company Large Company
Portfolio Stocks
------------- -------------
8601 10000 10000
8602 11054 11150
8603 11523.8 13333.17
8604 12699.22 13914.5
8605 13014.16 13881.1
8606 15097.73 15406.63
8607 15490.27 17363.28
8608 14937.27 18919.03
8609 13428.6 18608.75
8610 12605.43 16247.3
8611 13836.98 17529.22
8612 13967.05 18631.8
8701 14971.28 21456.39
8702 15201.84 21780.38
8703 16448.39 24226.31
8704 17489.57 27971.7
8705 19231.53 27921.35
8706 20050.8 25855.17
8707 20546.05 24926.97
8708 23393.73 27970.55
8709 23251.03 27050.32
8710 22790.66 25045.89
8711 23950.71 26077.78
8712 26199.68 26432.44
8801 27121.91 27746.14
8802 28873.98 29935.31
8803 30730.58 32090.65
8804 32666.6 32417.97
8805 34763.8 30988.34
8806 33453.2 29897.55
8807 31449.36 31105.41
8808 30320.33 28887.59
8809 30411.29 30294.42
8810 32017 32493.8
8811 35356.38 35678.19
8812 34702.28 35774.52
8901 37207.79 35710.12
8902 37918.46 36510.03
8903 37448.27 35243.13
8904 39605.29 35250.18
8905 38401.29 33445.37
8906 37160.93 31719.59
8907 41196.6 35944.64
8908 39631.13 33284.74
8909 44933.78 35637.97
8910 43958.71 34690
8911 46187.42 36455.72
8912 48067.25 36550.5
9001 47206.85 34200.31
9002 45587.65 30708.46
9003 38498.77 24809.36
9004 35095.48 25045.05
9005 41911.02 28618.98
9006 42296.6 27233.82
9007 44288.77 26958.76
9008 37596.74 24246.71
9009 31479.75 20294.49
9010 41263.66 25343.76
9011 32738.58 22180.86
9012 32031.43 23325.4
9101 30583.61 24001.83
9102 37541.38 26855.65
9103 36520.26 25155.69
9104 37820.38 25983.31
9105 37207.69 25778.04
9106 34696.17 23922.02
9107 34602.49 24713.84
9108 30778.91 23332.34
9109 34709.38 25371.58
9110 37232.75 26609.72
9111 33263.74 24608.67
9112 34308.22 25383.84
9201 33104 24246.64
9202 31548.12 22205.08
9203 27989.49 19802.49
9204 25215.73 18590.57
9205 28667.76 20105.71
9206 26016 18268.04
9207 24012.76 18026.91
9208 27276.1 21242.91
9209 27046.98 20724.58
9210 25462.03 19791.97
9211 25609.71 20308.54
9212 25353.61 20024.22
9301 24811.04 19904.08
9302 26133.47 20773.89
9303 30322.67 23703.01
9304 35610.94 27822.59
9305 40315.14 28615.53
9306 38101.84 28223.5
9307 39561.14 30131.41
9308 40186.21 30794.3
9309 38044.28 29220.71
9310 34928.46 29144.74
9311 28051.04 24356.26
9312 28943.07 25040.67
9401 34717.21 29257.51
9402 36456.54 30506.81
9403 37174.74 29219.42
9404 38639.42 30376.51
9405 39025.81 31084.28
9406 42331.3 32678.91
9407 40807.37 31495.93
9408 40317.69 31716.4
9409 38495.33 30885.43
9410 39515.45 31808.91
9411 36350.26 30199.38
9412 37477.12 30591.97
9501 36199.15 28609.61
9502 33795.53 27382.26
9503 35738.77 29860.35
9504 37014.65 31362.33
9505 33172.53 29373.96
9506 31407.75 28052.13
9507 33976.9 30105.54
9508 34007.48 29090.99
9509 32834.22 29125.9
9510 31675.17 27675.43
9511 33971.62 29299.97
Annualized From
Total Return (%) One Year Five Years February 1986
- -------------------------------------------------------------------------------
-6.54 0.74 13.24
* Dimensional's objective is to capture
premium returns and diversification
benefits by investing in a broad cross-
section of small companies on a market
cap-weighted basis. The Japanese
Small Company Portfolio provides
access to publicly traded small
companies listed on the lower half, of
companies on the first section of Tokyo
Stock Exchange. Currently, these
companies have market capitalization of
approximately $720 million of less.
* This portfolio's returns in fiscal
1995 reflected the performance of small
cap companies in Japan.
Past performance is not predictive of
future performance.
Japanese Large Company Stocks courtesy of
Morgan Stanley Capital International.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
Pacific Rim Small Company Portfolio
vs. Pacific Rim Large Company Stocks
February 1993-November 1995
The following reflects the growth of a $10,000 investment.
Pacific Rim Pacific Rim
Small Company Large Company
Portfolio Stocks
------------- ------------
9301 10000 10000
9302 10741 10770
9303 11294.16 10953.09
9304 12400.99 11511.7
9305 13419.11 11949.14
9306 13043.38 11590.67
9307 13280.76 11996.34
9308 13626.06 12908.06
9309 14179.28 13153.32
9310 16016.92 15284.15
9311 16374.1 14825.63
9312 19034.89 17909.36
9401 17986.06 17425.81
9402 18176.72 16571.94
9403 16257.25 14782.17
9404 16676.69 15462.15
9405 16686.7 15972.4
9406 16226.15 15269.62
9407 16685.34 16078.91
9408 17654.76 17156.19
9409 18255.03 16710.13
9410 18415.67 16977.5
9411 17073.17 15619.3
9412 16738.53 15385.01
9501 14952.53 14061.9
9502 15493.81 15369.65
9503 15548.04 15538.72
9504 15299.27 15740.72
9505 15830.16 16811.09
9506 15895.06 16491.68
9507 16923.47 17167.84
9508 16610.39 16721.48
9509 16751.58 16938.85
9510 16242.33 16633.96
9511 16005.19 16783.66
Annualized From
Total Return (%) One Year February 1993
- ------------------------------------------------------------------------------
-6.26 18.06
* Dimensional's objective is to capture
premium returns and diversification
benefits by investing in a broad cross-
section of small companies on a market
cap-weighted basis. The Pacific Rim
Small Company Portfolio provides
access to publicly traded small
companies listed on the major
exchanges of Hong Kong, Singapore,
Australia, Korea and Malaysia.
Currently, these companies have market
capitalization of approximately $500
million or less.
* This portfolio's returns in fiscal
1995 reflected the performance of small
companies in the Pacific Rim Region.
Past performance is not predictive of
future performance.
Pacific Rim Large Company Stocks courtesy of
Morgan Stanley Capital International.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
United Kingdom Small Company Portfolio
vs. United Kingdom Large Company Stocks
March 1986-November 1995
The following reflects the growth of a $10,000 investment.
United Kingdom United Kingdom
Small Company Large Company
Portfolio Stocks
------------- --------------
8602 10000 10000
8603 10391 10780
8604 11366.71 11995.98
8605 10752.91 10899.55
8606 11577.66 11163.32
8607 10992.99 11568.55
8608 11268.91 13151.13
8609 10624.33 12451.49
8610 10729.51 12451.49
8611 11318.56 13224.72
8612 12045.21 13399.29
8701 13319.6 13556.06
8702 14999.2 13443.55
8703 16541.12 14107.66
8704 17718.84 14437.78
8705 18771.34 13815.51
8706 20374.42 14160.9
8707 21896.38 14771.23
8708 21469.41 15189.26
8709 22358.24 14858.13
8710 18474.61 12301.05
8711 16688.12 11775.79
8712 18241.78 11978.34
8801 18110.44 11205.73
8802 18072.41 12395.78
8803 19561.57 12578
8804 20050.61 12747.8
8805 20116.78 12608.85
8806 19394.59 12687.03
8807 19759.21 12659.12
8808 18577.61 12279.34
8809 18833.98 12997.68
8810 20214.51 14322.15
8811 20636.99 14519.79
8812 19462.75 14813.09
8901 20624.67 14678.29
8902 21228.98 14662.15
8903 21144.06 14786.78
8904 21158.86 15338.32
8905 19717.94 14738.59
8906 19400.48 15646.49
8907 21297.85 17200.19
8908 19958.22 17114.19
8909 20299.5 17646.44
8910 17567.19 16792.35
8911 17458.27 17754.55
8912 18243.89 19739.51
9001 19188.93 19597.39
9002 18720.72 19174.08
9003 17816.51 19898.86
9004 16711.88 19761.56
9005 18017.08 20749.64
9006 19339.54 21228.96
9007 20401.28 22124.82
9008 18350.95 19399.04
9009 16468.14 16805.39
9010 17296.49 18270.82
9011 17069.9 17982.14
9012 17027.23 17654.86
9101 16541.95 18214.52
9102 18250.74 19895.72
9103 18278.11 18387.63
9104 18223.28 18236.85
9105 17791.39 19055.68
9106 16371.63 17472.16
9107 17136.19 18171.04
9108 17747.95 18421.8
9109 19618.59 18886.03
9110 19438.09 18557.42
9111 19212.61 18436.79
9112 19541.15 19799.27
9201 19281.25 19931.93
9202 19188.7 20214.96
9203 18223.51 19798.53
9204 20255.43 20117.29
9205 21999.42 21274.03
9206 21117.25 21167.66
9207 19003.41 20450.08
9208 18363 20384.64
9209 17351.19 20078.87
9210 15376.63 18813.9
9211 15190.57 18663.39
9212 16812.92 18868.69
9301 17870.46 19208.32
9302 17543.43 19880.61
9303 18946.9 20655.96
9304 20244.76 21027.77
9305 20495.8 21322.15
9306 20139.17 20959.68
9307 19792.78 21127.35
9308 21417.77 23218.96
9309 21340.66 23265.4
9310 21408.95 24289.08
9311 20723.87 23414.67
9312 21961.08 25194.19
9401 24941.2 26579.87
9402 24833.95 25862.21
9403 23403.52 25707.04
9404 24246.04 26863.85
9405 23491.99 25869.89
9406 22775.49 25430.1
9407 23333.48 26752.47
9408 24147.82 27260.77
9409 23824.24 26279.38
9410 24274.52 27225.44
9411 23179.74 26272.55
9412 22980.39 26509
9501 22911.45 26429.47
9502 22551.74 27275.21
9503 23492.15 28148.02
9504 24093.55 29330.24
9505 24924.78 29916.84
9506 24854.99 30335.68
9507 25926.24 31882.8
9508 25895.13 30416.19
9509 26415.62 31359.09
9510 26056.37 31170.94
9511 25126.15 31420.3
Annualized From
Total Return (%) One Year Five Years March 1986
- -------------------------------------------------------------------------------
8.40 8.04 9.91
* Dimensional's objective is to capture
premium returns and diversification
benefits by investing in a broad cross-
section of small companies on a market
cap-weighted basis. The United
Kingdom Small Company Portfolio
provides access to publicly traded
small companies in the bottom half by
market cap of companies traded on the
London Stock Exchange. Currently
these companies have market
capitalization of approximately $450
million of less.
* This portfolio's returns in fiscal
1995 reflected the performance of small
companies in the United Kingdom.
Past performance is not predictive of
future performance.
United Kingdom Large Company Stocks courtesy of
Morgan Stanley Capital International.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
Emerging Markets Portfolio
vs. MSCI Emerging Markets Free Equal-Weighted Index
May 1994-November 1995
The following reflects the growth of a $10,000 investment.
Emerging MSCI Emerging Markets
Markets Free Equal-Weighted
Portfolio Index
---------- ---------------------
9404 10000 10000
9405 10445 10455
9406 10485.74 10245.9
9407 11245.95 10947.74
9408 12253.59 12330.44
9409 12377.35 12450.05
9410 12007.27 12296.91
9411 11617.03 11787.82
9412 10773.63 11164.25
9501 9775.996 10046.7
9502 9714.407 9808.598
9503 10136.01 10233.31
9504 10629.64 10974.2
9505 11380.09 11643.63
9506 11441.54 11626.16
9507 11893.48 11905.19
9508 11441.53 11305.17
9509 11225.28 11141.24
9510 10834.64 10771.35
9511 10690.54 10578.55
Annualized From
Total Return (%) One Year May 1994
- ------------------------------------------------------------------------------
-7.97 4.31
* This portfolio provides access to non-
U.S. large companies in "emerging
market" countries, including Argentina,
Brazil, Indonesia, Israel, Malaysia,
Mexico, Portugal, Thailand and Turkey.
Investment is based on market
capitalization, with investments
attempting to capture between 40% and
75% of the largest companies in each
country. The portfolio attempts to have
equal country-weighting.
* This portfolio's returns in fiscal
1995 reflected the performance of an
equally weighted emerging markets
country portfolio.
Past performance is not predictive of
future performance.
MSCI Emerging Markets Free Equal-Weighted Index
is created by equal-weighting the MSCI country
returns for the 9 countries that Dimensional is
currently invested in. Courtesy of
Morgan Stanley Capital International.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
Continental Small Company Portfolio
vs. Continental Large Company Stocks
July 1988-November 1995
The following reflects the growth of a $10,000 investment.
Continental Continental
Small Company Large Company
Portfolio Stocks
------------- -------------
8806 10000 10000
8807 9841 9978
8808 9791.795 9678.66
8809 10437.07 10244.86
8810 11399.37 11288.81
8811 11905.5 11444.6
8812 12045.99 11675.78
8901 12255.59 11569.53
8902 12315.64 11556.8
8903 12475.75 11655.04
8904 13285.42 12089.77
8905 13005.1 11617.06
8906 13465.48 12332.67
8907 14475.39 13557.3
8908 14495.66 13489.52
8909 15755.33 13909.04
8910 15196.01 13235.84
8911 16145.77 13994.26
8912 17429.35 15558.82
9001 17347.44 15446.79
9002 17049.06 15113.14
9003 17831.61 15684.42
9004 18273.84 15576.2
9005 18789.16 16355.01
9006 19437.38 16732.81
9007 20630.84 17438.93
9008 18285.11 15290.45
9009 16370.66 13246.12
9010 17328.35 14401.18
9011 16711.46 14173.64
9012 16719.81 13915.68
9101 16248.31 14356.81
9102 17362.95 15681.94
9103 15949.6 14493.25
9104 15949.6 14374.41
9105 16013.4 15019.82
9106 15081.42 13771.67
9107 15413.21 14322.54
9108 15413.21 14520.19
9109 15874.07 14886.1
9110 15370.86 14627.08
9111 15189.48 14532
9112 16030.98 15605.92
9201 15766.47 15710.48
9202 15686.06 15933.57
9203 15489.99 15605.34
9204 15420.28 15856.58
9205 16017.05 16768.34
9206 16085.92 16684.49
9207 15683.77 16118.89
9208 15741.8 16067.31
9209 14833.5 15826.3
9210 13661.65 14829.24
9211 13086.5 14710.61
9212 12850.94 14872.43
9301 13253.17 15140.13
9302 13253.17 15670.03
9303 13962.22 16281.17
9304 14576.56 16574.23
9305 14599.88 16806.27
9306 13831.93 16520.56
9307 13772.45 16652.72
9308 15273.65 18301.34
9309 15308.77 18337.95
9310 15426.65 19144.82
9311 15082.64 18455.6
9312 16102.22 19858.23
9401 17316.33 20950.43
9402 17544.91 20384.77
9403 18109.85 20262.46
9404 18807.08 21174.27
9405 18530.62 20390.82
9406 18350.87 20044.18
9407 18807.81 21086.48
9408 18999.65 21487.12
9409 18579.76 20713.58
9410 18590.9 21459.27
9411 17826.82 20708.2
9412 17874.95 20894.57
9501 17753.4 20831.89
9502 18081.84 21498.51
9503 18349.45 22186.46
9504 18714.6 23118.29
9505 19019.65 23580.66
9506 19276.42 23910.79
9507 19752.54 25130.24
9508 18790.6 23974.25
9509 18801.87 24717.45
9510 18192.69 24569.14
9511 17590.51 24765.7
Annualized From
Total Return (%) One Year One Year July 1988
- ------------------------------------------------------------------------
-1.33 1.03 7.91
* Dimensional's objective is to capture
premium returns and diversification
benefits by investing in a broad cross-
section of small companies on a market
cap-weighted basis. The Continental
Small Company Portfolio provides
access to publicly traded small
companies listed on the major
exchanges of France, Germany, Italy,
Switzerland, The Netherlands, Belgium
and Spain. Currently, these companies
have market capitalization of
approximately $700 million or less.
* This portfolio's return in fiscal 1995
reflected the performance of small
companies in Continental Europe.
Past performance is not predictive of
future performance.
Continental Large Company Stocks courtesy of
Morgan Stanley Capital International.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
Large Cap International Portfolio
vs. EAFE Index
August 1991-November 1995
The following reflects the growth of a $10,000 investment.
Large Cap
International EAFE
Portfolio Index
------------- --------
9107 10000 10000
9108 9865 9799
9109 10337.53 10353.62
9110 10636.29 10502.72
9111 10288.48 10015.39
9112 10880.07 10535.19
9201 10539.52 10312.9
9202 10072.62 9946.78
9203 9401.78 9293.28
9204 9392.38 9339.75
9205 9966.25 9968.31
9206 9538.70 9498.80
9207 9411.84 9258.48
9208 10121.49 9842.69
9209 9868.45 9655.68
9210 9295.09 9153.59
9211 9362.95 9245.12
9212 9450.96 9291.35
9301 9362.12 9291.35
9302 9607.41 9579.38
9303 10363.52 10412.79
9304 11090 11402.01
9305 11326.22 11641.45
9306 11130.27 11466.83
9307 11494.23 11868.17
9308 12103.43 12509.05
9309 11819 12233.85
9310 12142.84 12613.1
9311 11194.48 11515.76
9312 11894.14 12344.89
9401 12730.3 13394.21
9402 12362.39 13354.03
9403 12003.88 12779.8
9404 12432.42 13329.33
9405 12313.07 13249.36
9406 12502.69 13434.85
9407 12661.47 13569.2
9408 12970.41 13894.86
9409 12502.18 13464.12
9410 13009.77 13921.9
9411 12398.31 13253.65
9412 12524.77 13333.17
9501 12164.06 12826.51
9502 12078.91 12788.03
9503 12885.78 13593.67
9504 13341.94 14110.23
9505 13183.17 13940.91
9506 12981.47 13703.92
9507 13714.92 14567.26
9508 13173.18 14013.71
9509 13395.81 14293.98
9510 13204.25 13908.04
9511 13559.44 14297.47
Annualized From
Total Return (%) One Year August 1991
- ------------------------------------------------------------------------------
9.37 7.28
* This portfolio provides access to non-
U.S. large companies in Europe,
Australia and the Far East (currently 8
countries). Investment will be based on
market capitalization, with investments
made in the largest 50% of companies
in each country. Country weighting is
designed to reflect each country's
market capitalization relative to the
overall index, adjusted to reflect
cross-ownership.
* This portfolio's returns in fiscal
1995 reflected the performance of its
strategy.
<PAGE>
Past performance is not predictive of
future performance.
EAFE Index courtesy of Morgan Stanley Capital
International.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
DFA International High Book to Market Portfolio
vs. EAFE Index
July 1993-November 1995
The following reflects the growth of a $10,000 investment.
DFA Int'l.
High Book
to Market EAFE
Portfolio Index
----------- -------
9306 10000 10000
9307 10383 10350
9308 10983.14 10908.9
9309 10776.65 10668.9
9310 11046.07 10999.64
9311 10290.52 10042.67
9312 11110.67 10765.74
9401 12045.08 11680.83
9402 11921.02 11645.79
9403 11599.15 11145.02
9404 11983.08 11624.26
9405 12056.18 11554.51
9406 12191.21 11716.27
9407 12430.16 11833.44
9408 12616.61 12117.44
9409 12169.98 11741.8
9410 12678.68 12141.02
9411 12010.52 11558.25
9412 12084.98 11627.6
9501 11601.58 11185.75
9502 11570.26 11152.19
9503 12252.91 11854.78
9504 12631.52 12305.26
9505 12558.26 12157.6
9506 12432.67 11950.92
9507 13126.42 12703.83
9508 12674.87 12221.08
9509 12748.38 12465.51
9510 12506.16 12128.94
9511 12845.08 12468.55
Annualized From
Total Return (%) One Year July 1993
- ------------------------------------------------------------------------------
6.95 10.92
* This portfolio invests in the DFA
International Value Series of the DFA
Investment Trust Company which in turn
invests in companies with market
capitalization greater than $500
million and book-to-market ratios is in
the upper 30% of large publicly traded
international companies. Country
weightings reflect the EAFE Index
market capitalization weight, with
Japan limited to 38%.
* This portfolio's returns in fiscal 1995
reflected the performance of large,
high book-to-market international
companies.
Past performance is not predictive of
future performance.
EAFE Index courtesy of Morgan Stanley
Capital International.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
DFA International Small Cap Value Portfolio
vs. EAFE Index
January 1995-November 1995
The following reflects the growth of a $10,000 investment.
DFA Int'l.
Small Cap Value EAFE
Portfolio Index
--------------- --------
9412 10000 10000
9501 9930 9620
9502 9780.05 9591.14
9503 10099.86 10195.38
9504 10359.43 10582.81
9505 10169.85 10455.81
9506 9979.67 10278.06
9507 10369.88 10925.58
9508 10109.6 10510.41
9509 9959.97 10720.62
9510 9640.26 10431.16
9511 9728.95 10723.23
From
Total Return (%) January 1995
- ------------------------------------------------------------------------------
-2.71
* This portfolio invests in companies with
market caps less than $500 million and
book-to-market ratios in the upper 30%
of large publicly traded international
companies. Country wieghtings reflect
the EAFE Index market capitalization
weight, with Japan limited to 38%.
* This was a new portfolio and its year-to-
year date returns in fiscal 1995 reflected
the performance of its strategy.
Past performance is not predictive of
future performance.
EAFE Index courtesy of Morgan Stanley Capital
International.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
DFA One-Year Fixed Income Portfolio vs.
One Month CD's
December 1985-November 1995
The following reflects the growth of a $10,000 investment.
DFA One-Year One
Fixed Income Month
Portfolio CD's
------------ -----
8511 10000 10000
8512 10103 10069
8601 10178.77 10135.46
8602 10245.95 10196.27
8603 10385.3 10262.54
8604 10464.23 10323.09
8605 10494.57 10378.84
8606 10594.27 10442.15
8607 10673.73 10500.62
8608 10801.81 10553.13
8609 10821.26 10602.73
8610 10898.09 10654.68
8611 10944.95 10701.56
8612 11004.05 10759.35
8701 11074.48 10816.37
8702 11120.99 10867.21
8703 11175.48 10925.89
8704 11159.84 10983.8
8705 11186.62 11036.52
8706 11287.3 11098.33
8707 11355.02 11158.26
8708 11406.12 11217.4
8709 11409.54 11275.73
8710 11551.02 11344.51
8711 11616.86 11404.64
8712 11710.96 11466.22
8801 11839.78 11524.7
8802 11934.5 11585.78
8803 11989.4 11648.34
8804 12028.96 11707.75
8805 12062.64 11774.48
8806 12155.52 11842.78
8807 12200.5 11910.28
8808 12257.84 11991.27
8809 12364.49 12068.01
8810 12460.93 12147.66
8811 12500.8 12225.41
8812 12577.06 12307.32
8901 12678.93 12400.85
8902 12729.65 12482.7
8903 12823.85 12583.81
8904 12948.24 12674.41
8905 13085.49 12782.14
8906 13198.03 12879.29
8907 13308.89 12977.17
8908 13399.39 13071.91
8909 13489.17 13159.49
8910 13597.08 13264.76
8911 13692.26 13353.64
8912 13784 13436.43
9001 13886 13533.17
9002 13970.7 13614.37
9003 14060.12 13701.5
9004 14147.29 13793.3
9005 14268.95 13885.72
9006 14377.4 13973.2
9007 14509.67 14068.22
9008 14596.73 14161.07
9009 14684.31 14246.03
9010 14801.78 14347.18
9011 14908.36 14439
9012 15036.57 14532.85
9101 15140.32 14625.86
9102 15234.19 14704.84
9103 15328.64 14779.84
9104 15437.48 14861.13
9105 15533.19 14932.46
9106 15592.21 14998.16
9107 15702.92 15076.15
9108 15830.11 15145.51
9109 15963.09 15215.17
9110 16060.46 15282.12
9111 16192.16 15341.72
9112 16349.22 15400.02
9201 16403.17 15457
9202 16457.3 15500.28
9203 16491.86 15549.88
9204 16600.71 15598.09
9205 16685.37 15640.2
9206 16795.5 15687.12
9207 16921.46 15732.61
9208 17002.69 15771.94
9209 17113.2 15809.8
9210 17123.47 15844.58
9211 17104.64 15881.02
9212 17197 15923.9
9301 17305.34 15960.53
9302 17376.29 15994.04
9303 17457.96 16032.43
9304 17541.76 16067.7
9305 17554.04 16099.83
9306 17627.77 16135.25
9307 17680.65 16170.75
9308 17763.75 16207.94
9309 17829.47 16241.98
9310 17863.35 16274.47
9311 17895.5 16311.9
9312 17954.56 16347.78
9401 18044.33 16383.75
9402 18008.24 16416.52
9403 18001.04 16455.92
9404 17990.24 16495.41
9405 18028.02 16544.9
9406 18087.51 16596.18
9407 18194.23 16647.63
9408 18263.37 16704.24
9409 18294.41 16759.36
9410 18354.79 16821.37
9411 18341.94 16881.93
9412 18396.96 16951.14
9501 18569.89 17027.42
9502 18746.31 17097.23
9503 18860.66 17175.88
9504 18983.26 17246.3
9505 19184.48 17329.08
9506 19291.91 17405.33
9507 19392.23 17483.66
9508 19489.19 17560.58
9509 19574.94 17632.58
9510 19678.69 17713.69
9511 19771.18 17789.86
Annualized One Five Ten
Total Return (%) Year Years Years
- ------------------------------------------------------------------------------
7.79 5.81 7.05
* The portfolio maximizes expected
returns by investing in the DFA One-
Year Fixed Income Series of the DFA
Investment Trust Company which uses a
strategy of shifting maturities based
on changes in the yield curve. Using
current prices, the strategy creates
a matrix of expected returns from
different buy and sell strategies
and identifies the optimal maturity
range for the highest expected
returns. Issues which meet maturity
and quality level are further
evaluated for business risk.
Maturities are shifted if
sufficient premimums can be
documented.
* This portfolio's returns in fiscal
1995 reflected the performance of
its strategy
Past performance is not predictive of
future performance.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
DFA Five-Year Government Portfolio vs.
Lehman Intermediate Government Index
June 1987-November 1995
The following reflects the growth of a $10,000 investment.
DFA Five-Year Lehman
Government Intermediate
Portfolio Gov't.
------------- ------------
8705 10000 10000
8706 10110 10121
8707 10130.22 10144.28
8708 10087.67 10117.9
8709 9949.472 9986.37
8710 10265.87 10271.98
8711 10326.43 10337.72
8712 10448.29 10446.27
8801 10765.91 10713.69
8802 10877.88 10832.61
8803 10800.65 10791.45
8804 10771.48 10773.1
8805 10723.01 10725.7
8806 10876.35 10896.24
8807 10844.81 10873.36
8808 10839.39 10889.67
8809 11019.32 11079.15
8810 11182.41 11229.83
8811 11062.76 11134.37
8812 11108.11 11144.39
8901 11204.75 11261.41
8902 11248.45 11214.11
8903 11319.32 11261.21
8904 11432.51 11486.44
8905 11546.84 11713.87
8906 11687.71 12009.06
8907 11796.4 12255.24
8908 11828.25 12097.15
8909 11883.85 12154.01
8910 12011 12411.67
8911 12095.08 12529.58
8912 12161.6 12564.66
9001 12230.92 12484.25
9002 12299.42 12530.44
9003 12344.93 12546.73
9004 12378.26 12502.82
9005 12554.03 12777.88
9006 12661.99 12949.1
9007 12801.27 13129.1
9008 12739.83 13075.27
9009 12855.76 13175.95
9010 13062.74 13328.79
9011 13270.44 13531.39
9012 13477.45 13716.77
9101 13608.19 13856.68
9102 13677.59 13967.53
9103 13726.83 14062.51
9104 13884.69 14215.79
9105 13955.5 14302.51
9106 13924.8 14312.52
9107 14115.57 14472.82
9108 14400.7 14749.25
9109 14681.51 15002.94
9110 14862.1 15173.97
9111 15053.82 15348.47
9112 15448.23 15722.97
9201 15262.85 15579.89
9202 15296.43 15640.66
9203 15204.65 15579.66
9204 15377.98 15716.76
9205 15617.88 15960.37
9206 15906.81 16196.58
9207 16264.71 16518.89
9208 16471.27 16684.08
9209 16743.05 16910.99
9210 16460.09 16691.14
9211 16346.52 16627.72
9212 16575.37 16850.53
9301 16898.59 17177.43
9302 17158.83 17448.83
9303 17230.89 17518.63
9304 17380.8 17658.78
9305 17304.33 17619.93
9306 17577.73 17896.56
9307 17583.01 17939.51
9308 17917.09 18224.75
9309 17985.17 18299.47
9310 18026.54 18348.88
9311 17894.94 18246.13
9312 17952.21 18330.06
9401 18169.43 18533.52
9402 17842.38 18259.23
9403 17530.14 17957.95
9404 17353.08 17835.83
9405 17379.11 17848.32
9406 17368.68 17809.05
9407 17603.16 18065.5
9408 17654.21 18121.51
9409 17474.14 17954.79
9410 17470.64 17952.99
9411 17336.12 17872.2
9412 17386.39 17934.76
9501 17584.6 18236.06
9502 17771 18613.55
9503 17859.85 18719.64
9504 17990.23 18951.77
9505 18324.85 19524.11
9506 18429.3 19654.92
9507 18503.01 19656.89
9508 18639.94 19835.77
9509 18731.27 19978.58
9510 18862.39 20200.35
9511 18956.7 20464.97
Annualized One Five From
Total Return (%) Year Years June 1987
- ------------------------------------------------------------------------------
9.35 7.39 7.81
* DFA Five-Year Government Portfolio
maximizes expected returns by shifting
maturities based on changes in the
yield curve. Using current prices,
the strategy creates a matrix of
expected returns from different buy
and sell strategies and identifies
the optimal maturity range for the
highest expected returns. Maturities
are shifted if sufficient premiums
can be documented. Investments are
made in U.S. government securities
with a maximum maturity of five
years.
* This portfolio's returns in fiscal
1995 reflected the performance of its
strategy.
Past performance is not predictive of
future performance.
Lehman Index courtesy of Lehman Brothers.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
DFA Global Fixed Income Portfolio
vs. Salomon World Fixed Income Index
December 1990-November 1995
The following reflects the growth of a $10,000 investment.
DFA Global Salomon World
Fixed Income Fixed Income
Portfolio Index
------------- ----------
9011 10000 10000
9012 10060 10126
9101 10126.4 10276.88
9102 10185.13 10374.51
9103 10213.65 10404.59
9104 10319.87 10490.95
9105 10427.2 10540.26
9106 10425.11 10507.58
9107 10529.36 10621.07
9108 10706.25 10806.94
9109 10871.13 11012.27
9110 10993.98 11094.86
9111 11099.52 11170.3
9112 11395.87 11460.73
9201 11252.29 11421.77
9202 11278.17 11464.03
9203 11208.24 11396.39
9204 11309.12 11431.72
9205 11481.01 11591.76
9206 11675.04 11699.56
9207 11923.72 11882.08
9208 12065.61 11960.5
9209 12253.84 12143.49
9210 12067.58 12192.07
9211 11987.93 12184.75
9212 12135.39 12339.5
9301 12350.18 12533.23
9302 12536.67 12768.85
9303 12568.01 12762.47
9304 12573.04 12805.86
9305 12565.49 12832.76
9306 12806.75 13091.98
9307 12915.61 13209.8
9308 13155.84 13483.25
9309 13187.41 13561.45
9310 13323.24 13680.79
9311 13357.88 13690.37
9312 13538.22 13871.08
9401 13627.57 13880.79
9402 13314.13 13601.79
9403 12981.28 13429.04
9404 12896.9 13344.44
9405 12796.31 13275.05
9406 12683.7 13174.16
9407 12777.56 13315.12
9408 12875.95 13237.9
9409 12812.85 13194.21
9410 12837.2 13217.96
9411 12969.42 13317.09
9412 12952.56 13353.05
9501 13057.48 13537.32
9502 13249.42 13748.5
9503 13513.09 13972.61
9504 13696.86 14180.8
9505 14032.44 14675.71
9506 14059.1 14697.72
9507 14181.41 14797.67
9508 14282.1 14921.97
9509 14483.48 15127.89
9510 14631.21 15312.45
9511 14947.24 15603.39
Annualized Five
Total Return (%) One Year Years
- ------------------------------------------------------------------------------
15.25 8.27
* DFA Global Fixed Income Portfolio
invests in U.S. and international
government bonds, debt guaranteed by
foreign governments, high quality
corporate debt and debt of supranational
issuers with maturities of 10 years or
less. Eligible countries: United States,
Canada, United Kingdom, Germany,
Japan, France and Australia. The
portfolio is diversified across countries.
Using current prices the strategy creates
a matrix of expected horizon returns
from different buy and sell strategies
and identifies the maturity range with
the highest expected returns. Maturities
are shifted only if sufficient premiums
warrant it. Country weighting is
increased or reduced based on expected
returns. The portfolio may be
concentrated in the U.S. if international
curves are inverted.
* This portfolio's returns in fiscal
1995 reflected the performance of its
strategy.
Past performance is not predictive of
future performance.
Salomon World Fixed Income Index courtesy of
Salomon Brothers.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
DFA Intermediate Government Fixed Income Portfolio
vs. Lehman Treasury Index
November 1990-November 1995
The following reflects the growth of a $10,000 investment.
DFA Lehman
Intermediate Treasury
Gov't. Index
------------- -------
9010 10000 10000
9011 10263 10221
9012 10449.79 10380.45
9101 10573.09 10491.52
9102 10649.22 10547.12
9103 10680.1 10600.91
9104 10794.38 10717.52
9105 10862.38 10757.18
9106 10827.63 10741.04
9107 10971.63 10866.71
9108 11233.85 11118.82
9109 11509.08 11353.43
9110 11636.83 11454.47
9111 11796.26 11569.02
9112 12213.85 11969.31
9201 11969.57 11777.8
9202 11985.13 11823.73
9203 11901.23 11752.79
9204 12035.72 11826.83
9205 12243.94 12044.44
9206 12486.37 12219.09
9207 12862.21 12530.68
9208 13034.56 12649.72
9209 13256.15 12834.4
9210 13017.54 12645.74
9211 12940.73 12620.45
9212 13142.61 12834.99
9301 13459.35 13110.95
9302 13783.72 13374.48
9303 13869.17 13418.61
9304 13981.51 13523.28
9305 13973.13 13508.4
9306 14293.11 13810.99
9307 14334.56 13892.47
9308 14652.79 14202.28
9309 14772.94 14257.67
9310 14802.49 14310.42
9311 14602.65 14153
9312 14671.29 14208.2
9401 14875.22 14404.27
9402 14536.06 14094.58
9403 14182.84 13778.86
9404 14005.55 13671.39
9405 13988.74 13654.98
9406 13943.98 13624.94
9407 14185.21 13872.92
9408 14232.02 13875.69
9409 14004.31 13681.43
9410 13986.1 13673.22
9411 13914.77 13645.88
9412 13976 13729.12
9501 14231.76 13983.1
9502 14607.48 14280.94
9503 14683.44 14370.91
9504 14912.5 14559.17
9505 15564.18 15147.36
9506 15691.8 15267.03
9507 15613.34 15210.54
9508 15794.46 15386.98
9509 15928.71 15534.7
9510 16151.71 15775.48
9511 16427.91 16020
Annualized From
Total Return (%) One Year Five Years November 1990
- -------------------------------------------------------------------------------
18.06 9.86 10.26
* The strategy employs a buy and hold
strategy investing in securities with a
maturity of between five and fifteen
years and maintaining an average
weighted maturity of seven to ten years.
The investment universe includes
obligations of the U.S. Government,
U.S. Government Agencies and AAA
rated dollar denominated obligations of
foreign securities and supranationals.
Performance is expected to match or
exceed the returns of the Lehman
Treasury Index without exceeding the
volatility of that index. Portfolio
turnover is estimated to be no more
than 30%.
* This portfolio's return in fiscal
1995 reflected the performance of its
strategy.
Past performance is not predictive of
future performance.
Lehman Index courtesy of Lehman Brothers.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULE OF INVESTMENTS
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
COMMON STOCKS -- (98.3%)
*A Plus Network, Inc. .............. 57,100 $ 774,419
*AAON, Inc. ........................ 39,490 264,089
*ABC Rail Products Corp. ........... 47,000 1,036,938
ABS Industries, Inc. .............. 114,200 984,975
ACC Corp. ......................... 14,500 311,750
ADAC Laboratories ................. 16,400 203,975
ADCO Technologies, Inc. ........... 15,200 109,250
*AEL Industries, Inc. Class A ...... 3,300 89,925
AEP Industries, Inc. .............. 22,350 505,669
*AER Energy Resources, Inc. ........ 120,200 323,038
*AFC Cable Systems, Inc. ........... 7,500 97,969
*AG Services America, Inc. ......... 1,400 11,900
*AM International, Inc. ............ 8,500 61,625
*ARI Holdings Corp. ................ 2,200 1,925
*ARI Network Services, Inc. ........ 95,500 191,000
*ATS Medical, Inc. ................. 17,700 154,875
*AW Computer Systems, Inc.
Class A ........................... 1,000 1,563
Aames Financial Corp. ............. 6,000 190,500
Aaron Rents, Inc. Class A ......... 41,500 752,188
Aaron Rents, Inc. Class B ......... 52,100 924,775
*#Abaxis, Inc. ...................... 74,800 472,175
Abington Savings Bank MA .......... 18,400 335,800
*Abiomed, Inc. ..................... 8,300 106,344
*Able Telcom Holding Corp. ......... 8,200 58,425
Abrams Industries, Inc. ........... 200 925
*Abraxas Petroleum Corp. ........... 50,000 328,125
*Accell International Corp. ........ 97,293 267,556
*Access Health Marketing, Inc. ..... 53,500 1,738,750
*Ace Cash Express, Inc. ............ 4,100 38,950
Aceto Corp. ....................... 5,710 97,070
*Acme Electric Corp. ............... 19,484 163,179
*#Acme Metals, Inc. ................ 98,500 1,520,594
*Acme United Corp. ................. 69,033 241,616
Acme-Cleveland Corp. .............. 32,100 730,275
*Action Performance Companies, Inc. 5,200 71,175
*Active Voice Corp. ................ 4,500 118,125
*Adage, Inc. ....................... 50,942 226,055
Adams Resources & Energy, Inc. .... 74,150 495,878
*Advance Ross Corp. ................ 121,000 3,486,313
*#Advanced Logic Research, Inc. ..... 13,800 100,050
*Advanced Magnetics, Inc. .......... 45,550 1,161,525
*Advanced Marketing Services, Inc. . 31,500 293,344
*Advanced Medical, Inc. ............ 29,800 91,263
*Advanced NMR Systems, Inc. ........ 33,172 49,240
*Advanced Polymer Systems, Inc. .... 71,000 400,484
*Advanced Promotion Technologies,
Inc. (Private Placement) .......... 159,451 156,960
*Advanced Technology Materials,
Inc. .............................. 20,300 209,344
Advantage Bancorp, Inc. ........... 1,700 59,075
*Advantage Companies, Inc. ......... 18,600 330,150
*Advantage Health Corp. ............ 49,100 1,601,888
*Advest Group, Inc. ................ 10,100 90,900
*Advocat, Inc. ..................... 50,700 526,013
*Aequitron Medical, Inc. ........... 55,700 438,638
*Aeroflex, Inc. .................... 97,252 437,634
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Aerosonic Corp. DE ................ 200 $ 313
*Aerovox, Inc. ..................... 41,800 240,350
*Aetrium, Inc. ..................... 4,650 95,906
*Affiliated Community Bancorp ...... 3,600 62,775
*Agouron Pharmaceuticals, Inc. ..... 39,400 1,182,000
*Agri-Nutrition Group, Ltd. ........ 8,900 16,966
*Agridyne Technology, Inc. ......... 63,900 91,856
*Air & Water Technologies Corp.
Class A ........................... 30,600 168,300
*Air Methods Corp. ................. 8,100 31,388
*Air-Cure Environmental ............ 8,800 33,000
*Airsensors, Inc. .................. 10,000 81,875
*Airways Corp. ..................... 60,700 584,238
*Akorn, Inc. ....................... 17,800 44,500
Alabama National Bancorporation ... 2,500 34,688
*Alamco, Inc. ...................... 47,160 400,860
Alamo Group, Inc. ................. 25,000 431,250
Alatenn Resources, Inc. ........... 39,900 852,863
*Alba-Waldensian, Inc. ............. 21,000 187,688
*Alcide Corp. ...................... 1,700 48,875
*Aldila, Inc. ...................... 50,200 229,038
*Alexander Energy Co. .............. 106,000 424,000
Alico, Inc. ....................... 8,400 183,750
*Alkermes, Inc. .................... 136,000 816,000
*All American Semiconductor, Inc. .. 19,400 50,925
*Allcity Insurance Co. ............. 200 1,750
*Allegiant Physician Services, Inc. 25,000 25,000
Allen Organ Co. Class B ........... 200 8,775
*#Alliance Gaming Corp. ............. 113,300 403,631
*Alliance Pharmaceuticals Corp. .... 25,700 305,188
Allied Bankshares, Inc. ........... 7,500 84,375
Allied Capital Lending Corp. ...... 5,300 64,925
Allied Healthcare Products, Inc. .. 9,100 159,250
*Allied Holdings, Inc. ............. 75,000 731,250
Allied Life Financial Corp. ....... 20,000 337,500
Allied Products Corp. ............. 211,994 4,425,081
*Allied Research Corp. ............. 41,040 164,160
*Allied Waste Industries, Inc. ..... 43,100 309,781
*Allou Health & Beauty Care, Inc.
Class A ........................... 29,200 173,375
*Allstate Financial Corp. .......... 11,500 65,406
*Alltrista Corp. ................... 8,574 156,476
*Aloette Cosmetics, Inc. ........... 7,200 15,300
*Alpha Beta Technology, Inc. ....... 108,000 735,750
Alpha Industries, Inc. ............ 89,700 1,323,075
*Alpha Microsystems, Inc. .......... 48,600 59,231
*Alpha Technologies Group, Inc. .... 107,200 984,900
*Alpharel, Inc. .................... 60,300 320,344
*#Alpine Group, Inc. ................ 159,544 767,806
*Alpine Lace Brands, Inc. .......... 28,500 286,781
*Alta Gold Co. ..................... 14,143 21,215
*Alteon, Inc. ...................... 102,000 943,500
*Altron, Inc. ...................... 57,975 1,710,263
*Amati Communications Corp. ........ 267,700 1,756,781
*Ambar, Inc. ....................... 2,200 16,913
Amcast Industrial Corp. ........... 9,700 179,450
*AmeriLink Corp. ................... 1,000 8,250
*America Services Group, Inc. ...... 29,000 255,563
American Bancorpation Ohio ........ 200 4,450
American Bank of Connecticut ...... 1,400 32,900
*American Banknote Corp. ........... 8,000 12,000
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
American Biltrite, Inc. ........... 97,800 $1,882,650
*American Biogenetic Sciences, Inc.
Class A ........................... 100 272
*American Buildings Co. ............ 50,000 1,128,125
*American Claims Evaluation, Inc. .. 3,100 5,667
American Classic Voyages Co. ...... 70,200 750,263
American Eagle Group, Inc. ........ 29,500 283,938
*#American Eagle Outfitters, Inc. ... 11,000 108,625
American Ecology Corp. ............ 62,800 251,200
*American Educational Products,
Inc. .............................. 21,000 34,125
American Federal Bank FSB
Greenville, SC .................... 34,300 510,213
American Filtrona Corp. ........... 20,200 762,550
*American Healthcorp, Inc. ......... 56,700 513,844
*American Homepatient, Inc. ........ 21,000 590,625
*American Homestar Corp. ........... 19,000 369,313
American Indemnity Financial Corp. 16,400 166,050
American List Corp. ............... 21,615 567,394
*American Locker Group, Inc. ....... 8,800 106,700
*American Medical Electronics, Inc.
(Escrow-Bonus) .................... 102,100 0
*American Medical Electronics, Inc.
(Escrow-Earnings) ................. 102,100 0
*American Oilfield Divers, Inc. .... 43,600 286,125
*American Pacific Corp. ............ 73,500 422,625
*American Paging, Inc. ............. 19,200 139,200
*American Physicians Services
Group, Inc. ....................... 46,800 236,925
American Precision Industries, Inc. 160,375 1,904,453
American Recreation Centers, Inc. . 10,000 65,000
*American Safety Razor Co. ......... 8,000 67,500
*American Science & Engineering,
Inc. .............................. 75,000 487,500
*American Shared Hospital Services . 14,800 20,350
*American Software, Inc. Class A ... 15,800 98,750
American Studios, Inc. ............ 135,000 194,063
*American Superconductor Corp. ..... 9,500 116,375
*American Technical Ceramics Corp. 2,000 21,250
*American Telecasting, Inc. ........ 16,000 228,000
*American United Global, Inc. ...... 1,000 3,500
*American Waste Services, Inc.
Class A ........................... 124,500 311,250
*American White Cross, Inc. ........ 69,700 178,606
*American Woodmark Corp. ........... 44,329 199,481
Americana Bancorp, Inc. ........... 13,650 255,938
*Amerihost Properties, Inc. ........ 53,600 335,000
*Ameriquest Technology, Inc. ....... 250,557 250,557
*Ameristar Casinos, Inc. ........... 6,300 42,525
*Ameriwood Industries International
Corp. ............................. 52,900 241,356
Ameron, Inc. ...................... 4,700 170,963
*Ames Department Stores, Inc. ...... 20,100 33,919
Amfed Financial, Inc. ............. 29,419 957,956
*Amistar Corp. ..................... 65,100 504,525
Ampco-Pittsburgh Corp. ............ 40,100 375,938
Amplicon, Inc. .................... 29,000 436,813
Amre, Inc. ........................ 124,500 1,571,813
*Amrep Corp. ....................... 60,510 340,369
*Amrion Corp. ...................... 6,000 64,500
*Amserv, Inc. ...................... 9,151 20,590
Amtech Corp. ...................... 24,800 118,575
*Amtran, Inc. ...................... 200 2,638
Amtrol, Inc. ...................... 6,700 108,875
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Amvestors Financial Corp. ......... 90,352 $1,039,048
Amwest Insurance Group, Inc. ...... 42,900 750,750
*Amylin Pharmaceuticals, Inc. ...... 16,500 114,469
Analysis & Technology, Inc. ....... 26,800 371,850
Analysts International Corp. ...... 1,100 33,000
*Anaren Microwave, Inc. ............ 69,400 520,500
Anchor Bancorp Wisconsin, Inc. .... 5,000 176,250
*Andersen Group, Inc. .............. 15,000 67,500
Andover Bancorp, Inc. DE .......... 13,900 310,144
*Andover Togs, Inc. ................ 3,562 5,566
*Andrea Electronics Corp. .......... 3,000 40,125
*Andros, Inc. ...................... 68,300 1,084,263
*#Anergen, Inc. ..................... 8,200 33,313
*Anesta Corp. ...................... 2,900 30,813
*Anuhco, Inc. ...................... 17,500 133,438
*Apertus Technologies, Inc. ........ 116,300 1,163,000
*#Aphton Corp. ...................... 12,100 124,781
Apple South, Inc. ................. 300 6,338
*Appliance Recycling Centers of
America, Inc. ..................... 5,000 30,313
*Applied Bioscience International,
Inc. .............................. 115,200 748,800
*#Applied Digital Access, Inc. ...... 36,300 435,600
*Applied Extrusion Technologies,
Inc. .............................. 30,000 382,500
*Applied Innovation, Inc. .......... 5,000 46,875
*Applied Microbiology, Inc. ........ 46,800 232,538
*Applied Science & Technology, Inc. 3,100 44,563
*Applied Signal Technologies, Inc. . 75,000 360,938
*Aquagenix, Inc. ................... 3,000 21,188
Aquarion Co. ...................... 7,300 170,638
*Arabian Shield Development Co. .... 66,200 70,338
*Arbor Health Care Co. ............. 20,400 364,650
*Arch Communications Group, Inc. ... 68,700 1,717,500
*Arch Petroleum, Inc. .............. 26,826 52,814
*Arden Industrial Products, Inc. ... 8,400 44,100
*Arizona Instrument Corp. .......... 100 206
*Ark Restaurants Corp. ............. 5,800 44,225
*Armatron International, Inc. ...... 68,500 42,813
*Aronex Pharmaceuticals, Inc. ...... 41,900 123,081
*Arrhythmia Research Technology,
Inc. .............................. 3,975 21,366
*Arris Pharmaceutical Corp. ........ 75,000 796,875
*Arrow Automotive Industries, Inc. . 44,800 260,400
Arrow Financial Corp. ............. 11,259 201,255
*Arrow Transportation Co. .......... 28,200 44,063
*Artisoft, Inc. .................... 16,400 155,800
*Artistic Greetings, Inc. .......... 5,500 16,500
*Artra Group, Inc. ................. 65,200 285,250
*Arts Way Manufacturing Co., Inc. .. 100 519
*Asante Technologies, Inc. ......... 8,900 99,013
*Aseco Corp. ....................... 20,100 334,163
*#Ashworth, Inc. .................... 84,600 491,738
Aspen Bancshares, Inc. ............ 3,137 45,290
*Astec Industries, Inc. ............ 98,100 1,072,969
Astro-Med, Inc. ................... 58,175 570,842
*Astronics Corp. ................... 18,280 56,554
*Astrosystems, Inc. ................ 44,100 253,575
*Astrotech International Corp. ..... 22,500 94,219
Atalanta Sosnoff Capital Corp. .... 1,800 16,875
*Atchison Casting Corp. ............ 25,800 354,750
*Athena Neurosciences, Inc. ........ 5,000 45,625
*Athey Products Corp. .............. 24,277 115,316
Atkinson (Guy F.) of California ... 13,900 146,819
*Atlantic American Corp. ........... 112,825 267,959
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Atlantic Beverage, Inc. ........... 20,000 $ 32,500
*Atlantic Coast Airlines, Inc. ..... 65,000 572,813
*Atlantic Gulf Communities Corp. ... 26,000 172,250
*Atlantic Tele-Network, Inc. ....... 10,000 108,125
Atlantis Plastics, Inc. ........... 8,100 31,388
*Atlas Corp. ....................... 117,620 191,133
*Atrix Labs, Inc. .................. 8,500 59,500
*Atwood Oceanics, Inc. ............. 24,600 461,250
*Au Bon Pain, Inc. Class A ......... 9,900 90,338
*#Audiovox Corp. Class A ............ 9,000 58,500
*Audits & Surveys Worldwide, Inc. .. 56,422 116,370
*Aurora Electronics, Inc. .......... 120,962 257,044
*Autocam Corp. ..................... 37,016 495,084
*Autoinfo, Inc. .................... 115,900 376,675
*#Autote Corp. Class A .............. 247,000 710,125
*Avecor Cardiovascular, Inc. ....... 9,100 142,188
Avemco Corp. ...................... 67,100 1,132,313
*Avert, Inc. ....................... 4,100 20,244
Aviall, Inc. ...................... 149,200 1,268,200
*Avondale Industries, Inc. ......... 67,800 1,012,763
*Aydin Corp. ....................... 56,350 873,425
Aztec Manufacturing Co. ........... 55,826 202,369
*BCT International, Inc. ........... 5,500 23,719
BEI Electronics, Inc. ............. 4,100 26,394
BGS Systems, Inc. ................. 6,400 231,200
BHA Group, Inc. Class A ........... 63,828 861,678
BHC Financial, Inc. ............... 7,100 130,906
*BI, Inc. .......................... 85,900 740,888
*BMC West Corp. .................... 11,300 139,838
BMJ Financial Corp. ............... 56,750 822,875
*BOK Financial Corp. ............... 3,145 69,190
*BPI Packaging Technologies, Inc. .. 14,100 34,369
BSB Bancorp, Inc. ................. 41,150 1,419,675
BT Financial Corp. ................ 10,996 388,984
*BTG, Inc. ......................... 6,000 75,750
*BTU International, Inc. ........... 20,000 172,500
*BUM International, Inc. ........... 9,700 14,550
*Bachman Information Systems, Inc. . 94,600 614,900
*Back Bay Restaurant Group, Inc. ... 26,600 142,975
Badger Meter, Inc. ................ 14,600 346,750
Badger Meter, Inc. ................ 20,300 482,125
Badger Paper Mills, Inc. .......... 200 3,100
*Bailey Corp. ...................... 6,900 31,050
Bairnco Corp. ..................... 108,900 558,113
#Baker (J.), Inc. .................. 45,000 284,063
*Baker (Michael) Corp. ............. 87,000 435,000
*Baker (Michael) Corp. Class B ..... 15,400 77,000
Balchem Corp. ..................... 3,700 32,375
*Baldwin Piano & Organ Co. ......... 37,900 478,488
*Baldwin Technology, Inc. Class A .. 135,000 708,750
*Bally Gaming International, Inc. .. 10,000 90,000
*Baltek Corp. ...................... 21,562 185,972
*BancTec, Inc. ..................... 44,722 872,079
*Bancinsurance Corp. ............... 3,500 9,406
Bancorp Connecticut, Inc. ......... 1,600 29,000
Bangor Hydro-Electric Co. ......... 63,000 708,750
Bank of Granite Corp. ............. 77 2,156
Bank of New Hampshire Corp. ....... 23,300 936,369
Bank of Southington ............... 200 1,775
BankAtlantic Bancorp, Inc. ........ 8,150 148,738
Bankers First Corp. ............... 46,700 1,272,575
*Banner Aerospace, Inc. ............ 33,100 173,775
*Banyan System, Inc. ............... 3,000 36,938
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Barnwell Industries, Inc. ......... 11,800 $ 202,813
*Barra, Inc. ....................... 75,400 1,083,875
*Barrett Business Services, Inc. ... 49,800 697,200
*Barrister Information Systems
Corp. ............................. 7,866 11,799
*Barry (R.G.) Corp. ................ 145,288 3,232,658
*Barrys Jewelers, Inc. ............. 192 768
*Base Ten Systems, Inc. Class A .... 8,600 103,200
*Basin Exploration, Inc. ........... 87,000 391,500
Bay View Capital Corp. ............ 1,500 42,469
*Bayou Steel Corp. Class A ......... 9,100 39,813
*Bayport Restaurant Group, Inc. .... 29,800 100,575
*Be Aerospace, Inc. ................ 143,200 1,288,800
*Beard Co. ......................... 26,533 61,358
Beauticontrol Cosmetics, Inc. ..... 6,600 61,875
*Beazer Homes USA, Inc. ............ 8,400 161,700
*Beeba's Creations, Inc. ........... 10,194 51,607
*Bel Fuse, Inc. .................... 86,500 994,750
*Belden & Blake Corp. .............. 27,200 438,600
*Bell Industries, Inc. ............. 60,693 1,380,766
*Bell Microproducts, Inc. .......... 52,200 495,900
*Bell Sports Corp. ................. 59,112 469,202
*Bellwethwer Exporation Co. ........ 59,000 302,375
*Belmac Corp. ...................... 3,600 11,250
*#Ben & Jerry's Homemade, Inc.
Class A ........................... 8,600 135,988
*Ben Franklin Retail Stores, Inc. .. 11,000 39,875
*Benchmark Electronics, Inc. ....... 44,100 1,074,938
*Benihana, Inc. .................... 9,100 96,119
*Benihana, Inc. Class A ............ 1,400 10,588
*#Benson Eyecare Corp. .............. 3,255 28,074
*Benson Financial Corp. ............ 3,700 61,975
Berkshire Gas Co. ................. 7,200 117,000
*Berlitz International, Inc. ....... 67,100 1,056,825
*Bertuccis, Inc. ................... 46,500 235,406
*Bethlehem Corp. ................... 200 606
*Bettis Corp. ...................... 81,850 429,713
*Big O Tires, Inc. ................. 1,000 13,688
Bindley Western Industries, Inc. .. 4,900 87,588
Binks Manufacturing Co. ........... 61,300 1,501,850
*Bio Dental Technologies Corp. ..... 6,200 20,150
*Bio Technology General Corp. ...... 43,200 155,250
*Bio-Logic Systems Corp. ........... 23,400 112,613
*Biocircuits Corp. ................. 101,000 195,688
*Biocryst Pharmaceuticals, Inc. .... 7,900 78,013
*Biomagnetic Technologies, Inc. .... 11,400 13,181
*Biomatrix, Inc. ................... 85,000 1,051,875
*#Biomedical Waste Systems, Inc. .... 62,000 3,875
*Biomerica, Inc. ................... 48,500 93,969
*Biosafety Systems, Inc. ........... 200 588
*Biospherics, Inc. ................. 18,300 184,144
*Biosys, Inc. ...................... 104,341 238,027
*Biotechnica International, Inc. ... 146,500 54,938
*Biowhittaker, Inc. ................ 30,000 198,750
*Bird Corp. ........................ 55,800 345,263
*Biscayne Apparel, Inc. ............ 8,190 8,190
*Black Hawk Gaming & Develop ment,
Inc. .............................. 3,100 18,213
Blessings Corp. ................... 161,912 1,578,642
*Blimpie International ............. 3,400 39,525
*Bliss & Laughlin Industries, Inc. . 200 1,675
*Blyth Holdings, Inc. .............. 55,200 132,825
*Bobbie Brooks, Inc. ............... 300 328
*Bon-Ton Stores, Inc. .............. 52,100 286,550
*Bonray Drilling Corp. ............. 4,985 52,343
*Boole & Babbage, Inc. ............. 33,300 1,211,288
*Boomtown, Inc. .................... 78,700 482,038
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Borg-Warner Security Corp. ........ 48,800 $ 573,400
*Borror Corp. ...................... 15,300 54,506
Boston Acoustics, Inc. ............ 30,000 618,750
Bowl America, Inc. Class A ........ 56,160 442,260
*#Bowmar Instrument Corp. ........... 104,100 247,238
#Bradlees, Inc. .................... 54,100 87,913
*Bradley Pharmaceuticals, Inc.
Class A ........................... 7,400 8,325
Braintree Savings Bank MA ......... 14,800 266,400
Brandon Systems Corp. ............. 26,487 592,647
*Branford Savings Bank CT .......... 610 1,830
*Brauns Fashions Corp. ............. 13,500 31,219
Brenco, Inc. ...................... 142,500 1,505,156
*Brendle's, Inc. ................... 45,400 17,734
Brenton Banks, Inc. ............... 200 4,000
*Brewer (C.) Homes, Inc. Class A ... 64,000 296,000
Bridgford Foods Corp. ............. 60,200 594,475
*Brightpoint, Inc. ................. 6,250 111,719
*Brite Voice Systems, Inc. ......... 69,000 1,129,875
Broad National Bancorporation ..... 200 2,075
*Broadway & Seymour, Inc. .......... 66,600 1,232,100
*Brock Control Systems, Inc. ....... 4,900 47,775
*Brock Exploration Corp. ........... 4,600 14,950
*Brockway Standard Holdings Corp. .. 32,200 511,175
Brooke Group, Ltd. ................ 21,900 169,725
*Brookstone, Inc. .................. 57,800 498,525
*#Brooktrout Technology, Inc. ....... 39,000 940,875
*Brothers Gourmet Coffees, Inc. .... 10,300 39,913
*Brown & Sharpe Manufacturing Co.
Class A ........................... 108,000 1,093,500
*Brown (Tom), Inc. ................. 27,100 345,525
Bryn Mawr Bank Corp. .............. 500 23,875
*Buckle, Inc. ...................... 6,800 119,850
*Buffton Corp. ..................... 15,800 31,600
*Bugaboo Creek Steak House, Inc. ... 5,700 51,300
*Builders Transport, Inc. .......... 52,100 442,850
*Bull Run Corp. GA ................. 171,700 504,369
Bush Industries, Inc. Class A ..... 41,800 700,150
*Business Records Corp. Holding Co. 20,400 762,450
*Butler International, Inc. ........ 23,727 110,479
Butler Manufacturing Co. .......... 15,600 532,350
*Buttrey Food & Drug Stores Co. .... 51,000 363,375
*CAI Wireless Systems, Inc. ........ 39,435 335,198
CB Bancshares, Inc. HI ............ 818 24,029
*CCA Industries, Inc. .............. 31,000 45,531
*CE Software Holdings, Inc. ........ 10,900 36,788
*CEM Corp. ......................... 41,500 539,500
*CFI Industries, Inc. .............. 19,600 128,625
*CFI Proservices, Inc. ............. 1,900 24,225
CFSB Bancorp, Inc. ................ 5,370 111,428
CFX Corp. ......................... 22,491 354,233
*CIS Technologies, Inc. DE ......... 131,900 515,234
*CMC Industries, Inc. .............. 200 888
*CMG Information Services, Inc. .... 3,500 261,188
*CMI Corp. Class A ................. 264,699 1,356,582
*CNS Income ........................ 12,100 186,038
*CPAC, Inc. ........................ 18,243 250,841
CPB, Inc. ......................... 2,400 79,800
*CSP, Inc. ......................... 59,300 533,700
*CTL Credit, Inc. .................. 4,100 58,425
CTS Corp. ......................... 20,000 722,500
CU Bancorp ........................ 21,440 205,020
CVB Financial Corp. ............... 22,270 325,699
*Cablemaxx, Inc. ................... 40,000 282,500
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Cache, Inc. ....................... 81,375 $ 287,355
*Caci International, Inc. Class A .. 1,000 11,875
*Cadiz Land, Inc. .................. 35,100 178,791
Cadmus Communications Corp. ....... 58,900 1,686,013
*Caere Corp. ....................... 15,200 140,600
Cagle's, Inc. Class A ............. 109,900 1,662,238
*Caire, Inc. ....................... 669 6,690
*California Amplifier, Inc. ........ 26,200 748,338
*California Culinary Academy, Inc. . 2,500 16,563
California Financial Holding Corp. 43,870 918,528
*#California Micro Devices Corp. .... 36,300 349,388
California State Bank ............. 10,000 142,500
*Callon Petroleum Co. .............. 10,800 102,600
*Calloways Nursery, Inc. ........... 16,000 16,500
*Calprop Corp. ..................... 56,478 45,888
*Calumet Bancorp, Inc. ............. 3,400 94,775
*Cambex Corp. ...................... 82,300 622,394
*Cambridge Neuroscience, Inc. ...... 11,800 91,450
*Cambridge Soundworks, Inc. ........ 9,000 47,250
*Campo Eletronics, Appliances &
Computers, Inc. ................... 49,700 198,800
*Candela Laser Corp. ............... 13,700 59,938
*Candies, Inc. ..................... 8,200 21,013
*Cannon Express, Inc. Class A ...... 3,250 34,531
*Cannon Express, Inc. Class B ...... 3,250 23,969
*Cannondale Corp. .................. 7,100 102,063
*Cantel Industries, Inc. Class B ... 26,000 253,500
*Canterbury Educational Services,
Inc. .............................. 12,100 29,494
*#Canyon Resources Corp. ............ 96,000 189,000
Cape Cod Bank & Trust Co. ......... 14,800 599,400
*Capital Associates, Inc. .......... 21,050 36,838
Capital Bancorporation ............ 200 7,350
Capital Guarantee Corp. ........... 29,400 650,475
*Capital Pacific Holdings, Inc. .... 25,000 59,375
Capitol Bancorp, Ltd. ............. 4,400 46,200
Capitol Transamerica Corp. ........ 6,800 133,450
*Capstone Pharmacy Services, Inc. .. 21,400 125,725
*Cardinal Realty Services, Inc. .... 1,000 17,125
*Care Group, Inc. .................. 77,100 204,797
*Career Horizons, Inc. ............. 5,900 165,938
*Carlisle Plastics, Inc. Class A ... 26,300 115,063
#Carolina First Corp. .............. 22,942 361,337
*Carr-Gottstein Foods Co. .......... 64,193 345,036
*Carrington Laboratories, Inc. ..... 164,300 3,768,631
*Carver Corp. WA ................... 94,700 147,969
Cascade Corp. ..................... 11,200 161,000
Cascade Natural Gas Corp. ......... 33,900 555,113
Cash America International, Inc. .. 12,000 66,000
*Casino America, Inc. .............. 40,000 230,000
*Casino Data Systems ............... 9,000 153,000
*Casino Magic Corp. ................ 12,000 53,250
*Casino Resource Corp. ............. 9,100 27,300
*Catalina Lighting, Inc. ........... 53,600 268,000
*Catalyst Semiconductor, Inc. ...... 50,000 387,500
*Catalytica, Inc. .................. 8,500 36,125
*Catherines Stores Corp. ........... 54,400 445,400
Cavalier Homes, Inc. .............. 37,296 708,624
*Cedar Group, Inc. ................. 17,400 120,713
*Cel-Sci Corp. ..................... 4,800 14,400
*Celadon Group, Inc. ............... 54,000 486,000
*Celebrity, Inc. ................... 16,900 97,175
*Celestial Seasonings, Inc. ........ 3,600 69,750
*Celex Group, Inc. ................. 6,200 49,988
*#Celgene Corp. ..................... 115,300 1,109,763
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Cell Genesys, Inc. ................ 40,000 $ 327,500
*Cellpro, Inc. ..................... 6,500 81,250
*Cellular Technical Services Co.,
Inc. .............................. 67,585 1,469,974
*#Celtrix Pharmaceuticals, Inc. ..... 91,800 174,994
Cenfed Financial Corp. ............ 19,500 446,063
Cenit Bancorp, Inc. ............... 200 7,375
*Centennial Bancorp ................ 3,533 44,604
*Centennial Technologies, Inc. ..... 5,750 94,875
Center Banks, Inc. ................ 22,800 327,750
Center Financial Corp. ............ 111,200 2,001,600
*Centigram Communications Corp. .... 6,600 141,075
Central & Southern Holding Co. .... 19,700 178,531
*Central Co-Operative Bank
Somerville, MA .................... 1,000 12,750
Central Jersey Financial Corp. .... 151 3,284
Central Reserve Life Corp. ........ 30,100 287,831
*Central Sprinkler Corp. ........... 41,600 1,409,200
*Central Tractor Farm & Country,
Inc. .............................. 9,500 89,063
Central Vermont Public Service
Corp. ............................. 10,000 135,000
Century Bancorp Income Class A .... 1,000 10,250
*Ceradyne, Inc. .................... 115,100 625,856
*Cerberonics, Inc. Class A ......... 3,500 24,281
*Cerplex Group, Inc. ............... 90,600 651,188
*Chad Therapeutics ................. 11,500 178,250
#Champion Industries, Inc. ......... 5,000 113,125
Champion Parts, Inc. .............. 25,200 12,600
*Champps Entertainment, Inc. ....... 5,000 52,500
*Chart House Enterprises, Inc. ..... 72,900 473,850
Chart Industries, Inc. ............ 11,900 87,763
Charter Federal Savings Bank ...... 43,340 666,353
Charter Power Systems, Inc. ....... 35,800 881,575
*Chase Brass Industries, Inc. ...... 2,300 27,888
*Chattem, Inc. ..................... 4,400 19,800
*Chaus (Bernard), Inc. ............. 53,600 194,300
*Check Technology Corp. ............ 19,200 158,400
*Checkers Drive-In Restaurant, Inc. 55,100 76,623
*Checkmate Electronics, Inc. ....... 5,000 75,000
*Chemfab Corp. ..................... 81,800 1,666,675
*Chempower, Inc. ................... 8,600 33,056
*Chemtrak, Inc. .................... 8,200 15,375
*Cherry Corp. Class A .............. 3,600 36,450
*Cherry Corp. Class B .............. 9,900 100,238
Chesapeake Utilities Corp. ........ 16,975 252,503
Chester Valley Bancorp ............ 696 13,311
*Chic by His, Inc. ................. 80,000 430,000
Chicago Rivet & Machine Co. ....... 14,200 427,775
*#Chicos Fas, Inc. .................. 49,600 244,900
*Children's Comprehensive Services,
Inc. .............................. 54,000 182,250
*Children's Discovery Centers of
America, Inc. Class A .............. 32,100 260,813
*Chips & Technologies, Inc. ........ 19,000 201,875
Chittenden Corp. .................. 12,343 356,404
*#Chock Full O' Nuts Corp. .......... 187,144 1,076,078
*Cholestech Corp. .................. 71,000 230,750
*Christiana Companies, Inc. ........ 16,600 394,250
*Chromcraft Revington, Inc. ........ 56,000 1,358,000
*#Chronimed, Inc. ................... 64,800 963,900
*Chyron Corp. ...................... 75,061 168,887
*Ciber, Inc. ....................... 30,000 926,250
*Cimco, Inc. ....................... 12,225 116,902
*Cincinnati Microwave, Inc. ........ 103,700 712,938
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Cinergi Pictures Entertainment,
Inc. .............................. 14,200 $ 54,138
*Ciprico, Inc. ..................... 28,850 357,019
*Circon Corp. ...................... 26,822 588,408
*Circuit Systems, Inc. ............. 4,200 23,888
*Citation Computer System, Inc. .... 30,000 120,000
*Citation Insurance Group .......... 7,700 34,169
Citfed Bancorp, Inc. .............. 21,000 719,250
*Citizens, Inc. Class A ............ 18,000 157,500
City Holding Co. .................. 220 5,143
*Civic Bancorp ..................... 17,800 134,613
*Clark (Dick) Productions, Inc. .... 9,900 91,575
*Clean Harbors, Inc. ............... 90,500 271,500
*Cliffs Drilling Co. ............... 39,300 550,200
*Clintrials Research, Inc. ......... 8,800 154,000
*Clothestime, Inc. ................. 123,400 196,669
Co-Operative Bank of Concord, MA .. 31,700 574,563
Coachmen Industries, Inc. ......... 120,200 2,328,875
*Coast Distribution System ......... 43,600 256,150
Coastal Bancorp, Inc. ............. 29,400 497,963
*Coastcast Corp. ................... 16,200 170,100
*Cobra Electronic Corp. ............ 135,100 354,638
*Cobra Industries ,Inc. ............ 5,400 4,725
*Cocensys, Inc. .................... 19,000 131,813
*Coda Energy, Inc. ................. 180,000 1,361,250
*Code Alarm, Inc. .................. 42,900 321,750
*Cognitronics Corp. ................ 57,450 341,109
*Coherent Communications Systems
Corp. ............................. 123,300 1,926,563
*Coho Energy, Inc. ................. 99,000 464,063
Cohu, Inc. ........................ 106,000 3,047,500
*Cold Metal Products, Inc. ......... 45,400 209,975
*Cole National Corp. Class A ....... 78,400 1,097,600
*Collins Industries, Inc. .......... 86,325 167,255
Colonial Gas Co. .................. 5,150 108,150
*Columbia Banking System, Inc. ..... 3,300 40,219
*Columbia Laboratories, Inc. ....... 155,700 1,089,900
*Columbus Energy Corp. ............. 3,120 18,330
*Comarco, Inc. ..................... 47,200 640,150
*Comdata Holding Corp. ............. 73,800 1,761,975
*Comdial Corp. ..................... 151,433 1,571,117
*Commercial Bancshares, Inc. ....... 17,200 249,400
*Communication Cable, Inc. ......... 24,975 288,773
*Communications Central, Inc. ...... 4,000 20,000
Communications Systems, Inc. ...... 118,500 1,910,813
Community Bank System, Inc. ....... 26,800 887,750
Community Banks, Inc. ............. 200 5,325
Community Bankshares, Inc. NH ..... 1,700 31,663
Community First Bankshares, Inc. .. 7,900 163,925
*Community Health Computing Corp. . 57,600 5,760
*Comnet Corp. ...................... 30,300 382,538
*Competitive Technologies, Inc. .... 109,100 961,444
*Comprehensive Care Corp. .......... 420 3,728
*Compression Laboratories, Inc. .... 66,100 483,356
*Comptek Research, Inc. ............ 95,100 998,550
*Compucom Systems, Inc. ............ 25,200 207,900
Computer Data Systems, Inc. ....... 104,700 1,491,975
*Computer Horizons Corp. ........... 89,137 3,119,795
*Computer Identics Corp. ........... 23,800 53,550
Computer Language Research, Inc. .. 83,800 995,125
*Computer Network Technology Corp. 4,200 25,463
*Computer Outsourcing Services,
Inc. .............................. 200 863
*Computer Products, Inc. ........... 237,600 2,955,150
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Computer Task Group, Inc. ......... 53,300 $1,032,688
*Computer Telephone Corp. Class 1 .. 3,600 57,600
*Computrac, Inc. ................... 73,400 160,563
*Comshare, Inc. .................... 63,150 1,531,388
*Comstock Resources, Inc. .......... 41,800 202,469
*Comtech Telecommunications Corp. . 1,000 2,500
*Concord Camera Corp. .............. 5,800 20,481
*Concord Fabrics, Inc. Class A ..... 45,500 176,313
*Concord Fabrics, Inc. Class B ..... 45,700 165,663
*Concurrent Computer Corp. ......... 7,780 10,090
*Condor Services, Inc. ............. 7,900 29,625
*Conductus, Inc. ................... 32,000 208,000
*Conmed Corp. ...................... 25,133 785,406
Connecticut Water Services, Inc. .. 42,350 1,175,213
*Consep, Inc. ...................... 49,700 145,994
Conservative Savings Corp. ........ 200 2,725
*Consilium, Inc. ................... 50,700 665,438
*Conso Products Co. ................ 15,000 241,875
*Consolidated Graphics, Inc. ....... 2,700 65,475
*Consolidated Products, Inc. ....... 48,290 787,731
*Consolidated Stainless, Inc. ...... 4,200 37,800
Consolidated Tokoma Land Co. ...... 5,600 88,900
*Consumer Portfolio Services, Inc. . 3,700 69,838
*Consumers Financial Corp. ......... 26,000 99,125
Consumers Water Co. ............... 10,100 176,750
*Continental Can, Inc. DE .......... 4,100 74,313
#Continental Homes Holding Corp. .... 70,100 1,288,088
*Continental Materials Corp. ....... 7,900 96,775
*Continental Waste Industries, Inc. 2,500 46,563
*Control Data Systems, Inc. ........ 54,900 936,731
*Convest Energy Corp. .............. 11,000 34,719
*Convex Computer Corp. ............. 47,000 223,250
Cooker Restaurant Corp. ........... 25,300 268,813
*Cooper Companies, Inc. ............ 17,333 110,498
*#Cooper Development Co. ............ 6,800 18,700
*Cooperative Bankshares, Inc. ...... 1,500 32,438
*Coram Healthcare Corp. ............ 15,200 83,600
*Corcom, Inc. ...................... 63,400 420,025
Core Industries, Inc. ............. 56,800 781,000
*Core, Inc. ........................ 4,700 44,063
*Cornerstone Financial Corp. ....... 19,500 170,016
*Cornerstone Imaging, Inc. ......... 22,200 388,500
*Cornerstone Natural Gas, Inc. ..... 165,500 393,063
Corpus Christi Bankshares, Inc. ... 1,900 21,613
*Corrpro Companies, Inc. ........... 7,100 39,938
*Cortech, Inc. ..................... 30,000 50,625
*Corvas International, Inc. ........ 8,400 25,200
*Corvel Corp. ...................... 5,100 165,750
*Cosmetic Centers, Inc. Class A .... 19,650 142,463
*Cosmetic Centers, Inc. Class B .... 20,050 145,363
*Cosmo Communications Corp. ........ 10,000 5,938
Cotton States Life Insurance Co. .. 3,000 28,500
Courier Corp. ..................... 31,700 800,425
*Covenant Transport, Inc. Class A .. 33,000 424,875
Craftmade International, Inc. ..... 30,000 226,875
*Craig Corp. ....................... 43,900 411,563
*Creative Biomolecules, Inc. ....... 154,800 928,800
*Creative Technologies Corp. ....... 5,000 10,781
*Cree Research, Inc. ............... 90,600 1,698,750
*Criticare Systems, Inc. ........... 29,500 92,188
*Crop Growers Corp. ................ 31,400 408,200
*Crosscomm Corp. ................... 10,000 120,000
*Crossman Communities, Inc. ........ 60,000 1,005,000
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Crowley, Milner & Co. ............. 12,200 $ 61,000
*Crown Books Corp. ................. 11,900 148,750
*Crown Central Petroleum Corp.
Class A ........................... 12,900 182,213
*Crown Central Petroleum Corp.
Class B ........................... 5,100 68,850
Crown Crafts, Inc. ................ 35,500 434,875
*Crown Resources Corp. ............. 87,700 378,206
*Crown-Andersen, Inc. .............. 10,500 82,031
*Cruise America, Inc. .............. 37,100 204,050
*Cryenco Sciences, Inc. Class A .... 30,900 146,775
*Cryolife, Inc. .................... 22,100 281,775
*Cryomedical Sciences, Inc. ........ 27,800 66,025
*Crystal Oil Co. ................... 5,000 148,750
Cubic Corp. ....................... 7,200 171,900
*Culbro Corp. ...................... 62,600 3,145,650
Culp, Inc. ........................ 178,580 1,785,800
Cupertino National Bancorp ........ 220 2,888
*Curative Technologies, Inc. ....... 79,600 1,019,875
*Custom Chrome, Inc. ............... 3,000 73,500
*Customedix Corp. .................. 3,350 6,281
*Cyberonics, Inc. .................. 6,000 39,750
*Cyberoptics Corp. ................. 16,000 544,000
*Cycare Systems, Inc. .............. 54,400 1,523,200
*Cygne Designs, Inc. ............... 10,000 14,375
*Cygnus, Inc. ...................... 5,200 81,575
*Cypros Pharmaceutical Corp. ....... 96,800 369,050
*Cypros Pharmaceuticals Corp.
(Private Placement) ............... 43,500 149,259
*Cyrk, Inc. ........................ 60,200 602,000
*Cytel Corp. ....................... 144,500 623,156
*#Cytogen Corp. ..................... 54,200 287,938
*Cytotherapeutics, Inc. ............ 97,700 1,202,931
*Cytrx Corp. ....................... 90,000 90,000
*D&N Financial Corp. ............... 27,800 328,388
*DBA Systems, Inc. ................. 20,800 105,300
*DDL Electronics, Inc. ............. 171,500 493,063
*DEP Corp. Class A ................. 66,025 82,531
*DEP Corp. Class B ................. 66,025 99,038
*DH Technology, Inc. ............... 47,850 1,070,644
*DIY Home Warehouse, Inc. .......... 70,000 319,375
*DM Management Co. ................. 15,000 30,000
*DMX, Inc. ......................... 205,800 565,950
*DNA Plant Technology Corp. ........ 54,000 40,500
*DNX Corp. ......................... 70,000 245,000
*DR Horten, Inc. ................... 178,542 1,807,738
*DRCA Medical Corp. ................ 45,000 154,688
*DS Bancor, Inc. ................... 48,893 1,197,879
*DSP Technology, Inc. .............. 1,000 6,625
DT Industries, Inc. ............... 52,000 689,000
*DVI, Inc. ......................... 68,100 902,325
*Daily Journal Corp. ............... 200 7,100
*Daisy Systems, Inc. ............... 317,500 0
*Daka International, Inc. .......... 3,600 102,150
*Daktronics, Inc. .................. 12,200 57,950
*Damark International, Inc. Class A 10,100 67,544
Daniel Industries, Inc. ........... 40,000 530,000
*Danielson Holding Corp. ........... 153 1,071
*Danskin, Inc. ..................... 13,000 62,563
*Darling International, Inc. ....... 5,000 118,125
Dart Group Corp. Class A .......... 200 18,575
*Data Broadcasting Corp. ........... 31,436 442,069
*Data I/O Corp. .................... 42,900 340,519
*Data Measurement Corp. ............ 500 8,906
*Data Race, Inc. ................... 5,100 23,428
*Data Research Association, Inc. ... 2,200 38,363
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Data Systems & Software, Inc. ..... 7,900 $ 66,163
*Data Translation, Inc. ............ 82,600 1,590,050
*Data Transmission Network Corp. ... 3,000 131,250
*Dataflex Corp. .................... 38,325 191,625
*Datakey, Inc. ..................... 11,100 61,050
*Datamarine International, Inc. .... 200 1,300
*Datametrics Corp. ................. 56,000 479,500
*#Datapoint Corp. ................... 129,100 177,513
*Dataram Corp. ..................... 4,200 29,925
*Dataware Technologies, Inc. ....... 46,000 517,500
*Datawatch Corp. ................... 13,600 70,975
*Datron Systems, Inc. .............. 23,200 446,600
*Datum, Inc. ....................... 72,600 721,463
*Davco Restaurants, Inc. ........... 56,300 682,638
*Davel Communications Group, Inc. .. 4,500 56,250
Davis Water & Waste Industries,
Inc. .............................. 48,900 770,175
*Davox Corp. ....................... 53,900 576,056
*#Daw Technologies, Inc. ............ 100,600 616,175
*Dawson Geophysical Co. ............ 44,700 452,588
*Daxor Corp. ....................... 47,700 316,013
*Day Runner, Inc. .................. 7,400 206,275
*De Soto, Inc. ..................... 42,800 171,200
*De Tomaso Industries, Inc. ........ 7,000 69,125
Deb Shops, Inc. ................... 39,600 144,788
*Deckers Outdoor Corp. ............. 9,200 62,100
Decorator Industries, Inc. ........ 2,100 17,325
*Deeptech International, Inc. ...... 19,100 78,788
Defiance, Inc. .................... 65,200 484,925
*Deflecta-Shield Corp. ............. 3,500 19,250
*Del Electronics Corp. ............. 7,617 49,511
Del Laboratories, Inc. ............ 92,768 1,820,572
*Delaware Ostego Corp. ............. 963 9,389
Delchamps, Inc. ................... 7,800 136,500
*Delphi Information Systems, Inc. .. 7,000 8,313
Delta Natural Gas Co., Inc. ....... 18,800 332,525
Delta Woodside Industries, Inc. ... 144,000 936,000
*Designs, Inc. ..................... 129,600 1,036,800
*Detection Systems, Inc. ........... 44,124 297,837
*Detrex Corp. ...................... 9,500 45,719
*Devcon International Corp. ........ 18,900 142,931
*Devlieg-Bullard, Inc. ............. 105,000 249,375
*Dewolfe Companies, Inc. ........... 700 3,938
*Diagnostic Retrieval Systems, Inc.
Class A ........................... 3,600 28,350
*Diametrics Medical, Inc. .......... 54,300 380,100
*Diana Corp. ....................... 65,632 959,868
*Dianon Systems, Inc. .............. 16,700 63,669
*Digicon, Inc. ..................... 35,166 210,996
*#Digital Biometrics, Inc. .......... 72,000 450,000
*Digital Communications Technology
Corp. ............................. 3,500 4,594
*#Digital Microwave Corp. ........... 13,500 165,375
*Digital Sound Corp. ............... 17,900 35,241
*Digital Systems International, Inc. 96,900 1,314,206
*Dimac Corp. ....................... 6,500 176,313
*Dimark, Inc. ...................... 42,325 592,550
*Dime Financial Corp. .............. 20,100 241,200
*Diodes, Inc. ...................... 31,400 431,750
Dixie Yarns, Inc. ................. 42,319 166,631
*Dixon Ticonderoga Co. ............. 26,550 159,300
*Dolco Packaging Corp. ............. 200 4,000
Donegal Group, Inc. ............... 12,500 232,813
Donnelly Corp. Class A ............ 47,800 675,175
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Donnkenny, Inc. ................... 6,100 $ 201,681
*Dorsey Trailers, Inc. ............. 39,000 263,250
*Dotronix, Inc. .................... 97,000 181,875
Douglas & Lomason Co. ............. 37,550 427,131
*Dravo Corp. ....................... 4,000 48,000
*Drew Industries, Inc. ............. 42,100 642,025
*#Drexler Technology Corp. .......... 112,550 1,505,356
*Driver-Harris Co. ................. 27,000 155,250
*Drug Emporium, Inc. ............... 25,200 103,950
*Drypers Corp. ..................... 5,000 9,219
*Dual Drilling Co. ................. 15,800 160,963
*Duckwall-Alco Stores, Inc. ........ 4,000 39,000
*Ducommun, Inc. .................... 52,100 534,025
Duff & Phelps Credit Rating Co. ... 5,800 89,175
*Duplex Products, Inc. ............. 68,500 522,313
*#Duracraft Corp. ................... 47,000 1,098,625
*Durakon Industries, Inc. .......... 54,500 749,375
*#Duramed Pharmaceuticals, Inc. ..... 53,000 854,625
*Dwyer Group, Inc. ................. 7,000 19,250
*Dycom Industries, Inc. ............ 100,700 591,613
Dyersburg Corp. ................... 64,500 306,375
Dynamics Corp. of America ......... 86,300 2,006,475
*Dynamics Research Corp. ........... 53,984 317,156
*E & B Marine, Inc. ................ 200 800
*E for M Corp. ..................... 6,200 74,013
*E-Z-Em, Inc. Class A .............. 37,000 370,000
*E-Z-Em, Inc. Class B .............. 47,583 440,143
*EA Engineering Science &
Technology, Inc. .................. 78,975 310,964
*ECC International Corp. ........... 139,750 1,432,438
*ECCS, Inc. ........................ 2,700 4,556
*ECI International, Inc. ........... 20,000 6,240
*EFI Electronics Corp. ............. 91,400 98,541
*EIP Microwave, Inc. ............... 3,140 9,616
*#EIS International, Inc. ........... 63,300 977,194
*ELXSI Corp. ....................... 3,200 18,200
EMC Insurance Group, Inc. ......... 20,300 258,825
*EP Technologies, Inc. ............. 56,000 707,000
*ERLY Industries, Inc. ............. 23,830 171,278
*ERO, Inc. ......................... 60,000 367,500
*ESCO Electronics Corp. Trust
Receipts .......................... 100,000 800,000
*ESSEF Corp. ....................... 48,700 773,113
*EXX, Inc. Class A ................. 300 1,913
*EXX, Inc. Class B ................. 100 600
Eagle Bancshares, Inc. ............ 500 17,813
*Eagle Finance Corp. ............... 24,200 335,775
Eagle Financial Corp. ............. 2,605 71,638
*Eagle Food Centers, Inc. .......... 82,600 149,713
*Earth Technology Corp. ............ 45,400 269,563
*Eastco Industrial Safety Corp. .... 83 150
Eastern Bancorp, Inc. ............. 6,800 183,600
Eastern Co. ....................... 56,500 635,625
*Eastern Environment Services, Inc. 1,000 1,813
*Eateries, Inc. .................... 4,100 10,634
*Ecogen, Inc. ...................... 36,000 47,250
*Ecogen, Inc. (Private Placement) .. 140,000 165,375
Ecology & Environment, Inc.
Class A ........................... 11,400 88,350
*Ecoscience Corp. .................. 83,200 46,800
*Edelbrock Corp. ................... 15,200 222,300
Edison Brothers Stores, Inc. ...... 24,300 45,563
*Edison Control Corp. .............. 7,000 35,000
*Edisto Resources Corp. ............ 114,200 571,000
*Editek, Inc. ...................... 74,436 232,613
*Edo Corp. ......................... 56,500 275,438
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*#Education Alternatives, Inc. ...... 25,800 $ 124,163
*Educational Development Corp. ..... 1,400 31,325
*Educational Insights, Inc. ........ 28,700 111,213
*Egghead, Inc. ..................... 19,200 151,200
Ekco Group, Inc. .................. 119,800 718,800
*El Chico Restaurants, Inc. ........ 84,400 770,150
Elcor Corp. ....................... 9,600 200,400
Eldorado Bancorp CA ............... 13,677 225,677
*Electric & Gas Technology, Inc. ... 48,500 142,469
*Electric Fuel Corp. ............... 9,500 76,000
*Electro Rent Corp. ................ 206,625 4,209,984
*Electro Scientific Industries, Inc. 77,000 2,175,250
Electro Sensors, Inc. ............. 2,300 13,369
*Electro-Catheter Corp. ............ 30,300 16,097
*Electromagnetic Sciences, Inc. .... 163,699 1,769,995
*Electronic Associates, Inc. ....... 63,600 325,950
*Electronic Fab Technology, Inc. ... 36,100 144,400
*Electronic Retailing System
International, Inc. ............... 14,200 40,825
Electronic Tele Communications,
Inc. Class A ...................... 15,500 48,438
*Elek-Tek, Inc. .................... 40,000 132,500
*Eljer Industries, Inc. ............ 8,500 66,938
Ellett Brothers, Inc. ............. 44,000 360,250
*Elsinore Corp. .................... 51,720 32,325
*Eltron International, Inc. ........ 20,000 752,500
*#Embrex, Inc. ...................... 123,200 739,200
*Emcon ............................. 66,450 257,494
*Emisphere Technologies, Inc. ...... 7,700 54,863
*#Empi, Inc. ........................ 7,700 143,894
*Emulex Corp. ...................... 53,800 669,138
*Encad, Inc. ....................... 5,500 102,781
*Encore Computer Corp. ............. 363,100 697,833
*Encore Wire Corp. ................. 36,300 376,613
*Endosonics Corp. .................. 25,000 357,813
*Energy Biosystems Corp. ........... 74,000 656,750
*Energy Conversion Devices, Inc. ... 61,400 1,051,475
*Energy Research Corp. ............. 18,000 207,000
Energynorth, Inc. ................. 32,526 565,139
Engineered Support Systems, Inc. .. 22,000 136,125
*Engineering Measurements Co. ...... 28,400 72,775
Engle Homes, Inc. ................. 26,000 219,375
*Ensys Environmental Products, Inc. 48,000 138,000
*Envirogen, Inc. ................... 7,200 22,050
*Environmental Elements Corp. ...... 47,800 83,650
*Environmental Technologies Corp. .. 1,700 16,894
*Environmental Tectonics Corp. ..... 3,300 8,663
*Enviroq Corp. ..................... 1,008 0
*Envirosource, Inc. ................ 370,700 1,135,269
*Envirotest Systems Corp. Class A .. 60,000 157,500
*Enzon, Inc. ....................... 95,100 222,891
*#Epitope, Inc. ..................... 11,300 132,775
*Equinox Systems, Inc. ............. 10,000 78,125
*Equitex, Inc. ..................... 2,600 4,225
*Equitrac Corp. .................... 200 1,138
*Equity Marketing, Inc. ............ 3,300 44,756
*Equity Oil Co. .................... 134,100 737,550
*Ernst Home Center, Inc. ........... 103,000 283,250
*Escalade, Inc. .................... 108,398 453,917
Eskimo Pie Corp. .................. 27,000 506,250
*Esmor Correctional Services, Inc. . 4,800 43,200
Espey Manufacturing & Electronics
Corp. ............................. 21,000 278,250
*Essex Corp. ....................... 1,000 2,625
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Essex County Gas Co. .............. 1,400 $ 35,350
*Esterline Technologies Corp. ...... 32,400 696,600
*Evans & Sutherland Computer Corp. 15,400 373,450
*Evans Systems, Inc. ............... 2,900 10,694
*Evans, Inc. ....................... 107,900 155,106
Evergreen Bancorp, Inc. DE ........ 5,200 115,050
*Evergreen Media Corp. Class A ..... 55,000 1,333,750
*Evergreen Resources, Inc. ......... 5,700 24,581
*Excalibur Technologies Corp. ...... 8,900 202,475
Excel Industries, Inc. ............ 91,500 1,120,875
*Excel Technology, Inc. ............ 26,222 172,082
*Executive Telecard, Ltd. .......... 18,396 127,622
*Executone Information Systems,
Inc. .............................. 46,900 130,441
*Exide Electronics Group, Inc. ..... 48,709 730,635
*Express America Holdings Corp. .... 36,600 187,575
*Ezcorp, Inc. Class A Non-Voting ... 59,800 261,625
F & M Bancorporation, Inc. ........ 4,600 122,475
FCB Financial Corp. ............... 200 3,425
*FDP Corp. ......................... 56,200 439,063
FFLC Bancorp ...................... 4,000 78,000
*FFO Financial Group, Inc. ......... 6,000 15,000
FFY Financial Corp. ............... 6,000 126,375
*FLIR Systems, Inc. ................ 4,300 55,363
*FM Properties, Inc. ............... 14,300 24,131
*FNB Rochester Corp. ............... 3,900 32,663
*FPA Corp. ......................... 101,400 101,400
*FPA Medical Management, Inc. ...... 23,600 150,450
*FRP Properties, Inc. .............. 31,700 558,713
*Fabri-Centers of America, Inc.
Class A ........................... 200 2,925
*Fabri-Centers of America, Inc.
Class B ........................... 200 2,375
Facelifters Home Systems, Inc. .... 3,700 38,850
*Failure Group, Inc. ............... 73,000 474,500
*Fairchild Corp. Class A ........... 125,800 959,225
*Fairfield Communities, Inc. ....... 20,000 145,000
*Falcon Building Products, Inc.
Class A ........................... 26,000 237,250
Falcon Products, Inc. ............. 23,900 334,600
Family Bancorp .................... 2,100 37,275
*Family Golf Centers, Inc. ......... 1,000 16,063
Fansteel, Inc. .................... 97,500 670,313
*Farah, Inc. ....................... 75,800 473,750
*Farmers & Mechanics Bank .......... 1,500 32,813
*Farr Co. .......................... 25,450 190,875
*Farragut Mortgage, Inc. ........... 39 0
Farrel Corp. ...................... 24,300 91,125
*Fastcomm Communications Corp. ..... 1,000 6,000
Fay's, Inc. ....................... 61,200 420,750
*Featherlite Manufacturing, Inc. ... 6,600 34,650
Fed One Bancorp ................... 2,500 38,438
Fedders Corp. Class A ............. 28,712 118,437
Federal Screw Works ............... 21,600 496,800
*Ferrofluidics Corp. ............... 36,700 440,400
*Fiberstars, Inc. .................. 3,000 11,250
*Fibreboard Corp. .................. 2,000 43,750
Fidelity Bancorp, Inc. ............ 200 3,450
Fidelity Bancorp, Inc. Delaware ... 3,100 48,050
Fidelity Federal Bancorp .......... 15,000 221,250
Fidelity Financial Bankshares Corp. 210 2,940
Fidelity National Financial, Inc. . 14,600 229,950
*Fifty-Off Stores, Inc. ............ 11,400 13,181
*Filenes Basement Corp. ............ 52,100 183,978
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Financial Benefit Group, Inc.
Class A ........................... 59,960 $ 275,441
*Financial Federal Corp. ........... 49,000 1,053,500
*Financing for Science
International, Inc. .............. 5,800 26,463
*Finish Line, Inc. Class A ......... 12,200 106,750
First Albany Companies, Inc. ...... 2,300 20,988
*First American Health Concepts,
Inc. .............................. 1,600 9,200
First Bancorp ..................... 200 5,450
*First Banks America, Inc. ......... 4,879 48,180
*First Cash, Inc. .................. 2,300 8,913
First Central Financial Corp. ..... 100,400 683,975
*First Citizens Financial Corp. .... 2,455 47,873
First City Bancorp, Inc. .......... 200 4,825
*First Defiance Financial Corp. .... 6,692 68,593
First Essex Bancorp ............... 31,700 370,494
First Federal Alabama FSB Jasper .. 200 3,800
First Federal Capital Corp. ....... 49,900 904,438
First Federal Savings & Loan
Association of East Hartford, CT .. 24,100 466,938
First Financial Corp. of Western
Maryland .......................... 1,300 28,438
First Financial Holdings, Inc. .... 42,200 822,900
#First Harrisburg Bancor, Inc. ..... 220 3,039
First Home Savings Bank FSB
Pennsville, NJ .................... 200 3,700
First Indiana Corp. ............... 61,634 1,625,597
First Liberty Financial Corp. ..... 6,500 142,188
*First Merchants Acceptance Corp. .. 29,100 585,638
First Merchants Corp. ............. 1,950 51,431
First Mutual Savings Bank ......... 220 2,833
First Northern Savings Bank S.A.
Green Bay, WI ..................... 16,050 248,775
First Oak Brook Bancshares, Inc.
Class A ........................... 10,000 209,375
*First Pacific Networks, Inc. ...... 38,500 59,555
First Palm Beach Bancorp, Inc. .... 4,700 108,100
*First Republic Bancorp, Inc. ...... 157,149 1,767,926
First Savings Bancorp, Inc. North
Carolina .......................... 3,400 65,450
First Southeast Financial Corp. ... 4,500 85,500
First State Financial Services,
Inc. .............................. 300 4,106
*#First Team Sports, Inc. ........... 6,250 97,656
First United Bancorp .............. 6,100 50,230
First Western Bancorp, Inc. ....... 7,050 192,994
*FirstFed Financial Corp. DE ....... 16,600 255,225
FirstFederal Financial Services
Corp. ............................. 11,660 284,213
Firstfed Bancshares, Inc. ......... 19,100 429,750
*Fischer Imaging Corp. ............. 23,300 253,388
Flag Financial Corp. .............. 200 3,000
Flamemaster Corp. ................. 200 638
*Flanigan's Enterprises, Inc. ...... 10,300 41,522
Flexsteel Industries, Inc. ........ 61,800 706,838
Florida First Bancorp, Inc. ....... 200 1,538
*Florida Gaming Corp. .............. 15,550 138,006
Florida Public Utilities Co. ...... 4,500 84,938
*Flow International Corp. .......... 158,200 1,354,588
*Fluoroscan Imaging Systems, Inc. .. 3,000 22,688
*Foilmark, Inc. .................... 3,700 24,050
*Fonar Corp. ....................... 171,950 480,923
*Foodarama Supermarkets, Inc. ...... 22,000 242,000
*Foodbrands America, Inc. .......... 80,551 921,302
Foothill Independent Bancorp ...... 1,155 9,529
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*#Forest Oil Corp. .................. 224,968 $ 597,571
*Forschner Group, Inc. ............. 60,500 733,563
*Fortune Petroleum Corp. ........... 10,207 47,207
Foster (L.B.) Co. Class A ......... 156,600 704,700
*Fountain Oil, Inc. ................ 11,500 44,563
*Fountain Powerboat Industries, Inc. 5,600 30,100
*Four Kids Entertainment, Inc. ..... 19,900 70,894
*Fourth Shift Corp. ................ 20,000 67,500
*Framingham Savings Bank MA ........ 52,100 221,425
Franklin Bank National Associaton
Southfield, MI .................... 2,700 31,894
Frederick's of Hollywood, Inc.
Class A ........................... 31,639 146,330
Frederick's of Hollywood, Inc.
Class B ........................... 83,878 377,451
Freds, Inc. Class A ............... 40,000 305,000
*Frequency Electronics, Inc. ....... 57,600 201,600
*Fresh America Corp. ............... 2,800 22,925
*Fresh Choice, Inc. ................ 50,000 346,875
*Fretter, Inc. ..................... 38,148 10,729
Friedman Industries, Inc. ......... 122,861 460,729
*Friedmans, Inc. Class A ........... 5,800 134,125
Frisch's Restaurants, Inc. ........ 62,086 570,414
Frontier Adjusters of America, Inc. 1,000 2,875
Frozen Food Express Industries,
Inc. .............................. 100,000 906,250
*Fruehauf Trailer Corp. ............ 140,200 227,825
*#Funco, Inc. ....................... 48,200 192,800
*Fuqua Enterprises, Inc. ........... 40,500 840,375
Furon Co. ......................... 4,600 82,225
*Future Healthcare, Inc. ........... 7,000 10,934
*G-III Apparel Group, Ltd. ......... 28,560 68,723
GBC Bancorp ....................... 56,700 978,075
*GBC Technologies, Inc. ............ 50,000 421,875
*GMIS, Inc. ........................ 47,500 617,500
*GNI Group, Inc. ................... 76,800 518,400
*GRC International, Inc. ........... 131,600 3,980,900
*GTI Corp. ......................... 5,400 81,675
*GTS Duratek, Inc. ................. 2,500 35,000
*GZA Geoenvironmental Technolo gies,
Inc. .............................. 15,800 51,350
*Galey & Lord, Inc. ................ 80,000 830,000
*Galileo Electro-Optics Corp. ...... 69,300 727,650
*Galoob (Lewis) Toys, Inc. DE ...... 166,000 1,888,250
*Gametek, Inc. ..................... 5,000 10,313
Gamma Biologicals, Inc. ........... 46,000 201,250
*Gander Mountain, Inc. ............. 42,290 256,383
*Gantos, Inc. ...................... 12,600 27,956
Garan, Inc. ....................... 5,200 89,700
*Gardner Denver Machinery, Inc. .... 7,800 128,700
*Garnet Resources Corp. ............ 73,900 96,994
*Gateway Industries, Inc. .......... 11,120 41,700
*#Geerling & Wade, Inc. ............. 4,100 26,906
*Gehl Co. .......................... 6,800 48,875
*Gelman Sciences, Inc. ............. 42,175 985,841
*Gencor Industries, Inc. ........... 5,500 53,625
*Genelabs Technologies, Inc. ....... 27,500 104,844
*Genemedicine, Inc. ................ 76,400 503,763
*General Employment Enterprises,
Inc. .............................. 5,230 29,419
*General Host Corp. ................ 24,400 115,900
General Housewares Corp. .......... 40,700 407,000
*General Kinetics, Inc. ............ 35,300 24,269
General Magnaplate Corp. .......... 4,200 23,625
*General Microwave Corp. ........... 8,600 67,725
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
General Parametrics Corp. ......... 106,906 $ 324,059
General Physics Corp. ............. 63,700 214,988
*Genesco, Inc. ..................... 124,000 527,000
Genesee Corp. Class B ............. 200 9,050
*Genicom Corp. ..................... 109,900 522,025
*Genlyte Group, Inc. ............... 67,100 440,344
*Genome Therapeutics Corp. ......... 121,600 1,018,400
Genovese Drug Stores, Inc.
Class A ........................... 96,609 1,159,308
Genrad, Inc. ...................... 79,600 706,450
*Gensia, Inc. ...................... 200,000 887,500
*Genta, Inc. ....................... 18,100 35,069
*Genus, Inc. ....................... 69,100 574,394
*Genzyme Transgenics Corp. ......... 50,000 209,375
Geodynamics Corp. ................. 33,400 371,575
George Mason Bankshares, Inc. ..... 20,200 510,050
*Georgia-Bonded Fibres, Inc. ....... 2,200 7,013
*Geriatric & Medical Companies,
Inc. .............................. 214,513 542,986
*#Gerrity Oil and Gas Corp. ......... 124,000 527,000
Getty Petroleum Corp. ............. 13,900 206,763
*Giant Cement Holding, Inc. ........ 18,000 190,125
*Giant Group, Ltd. ................. 92,500 589,688
Giant Industries, Inc. ............ 37,500 403,125
*Gibraltar Packaging Group, Inc. ... 5,500 20,281
*Gibraltar Steel Corp. ............. 9,200 113,275
Gibson Greetings, Inc. ............ 16,200 240,975
*Giga-Tronics, Inc. ................ 35,000 293,125
Gilbert Associates, Inc. Class A .. 5,000 74,375
*Gish Biomedical, Inc. ............. 74,750 621,359
Glacier Bancorp, Inc. ............. 5,989 122,026
*Glacier Water Services, Inc. ...... 3,000 58,875
Gleason Corp. ..................... 116,700 3,894,863
*#Globalink, Inc. ................... 30,500 244,000
*Go Video, Inc. .................... 86,400 145,800
Golden Enterprises, Inc. .......... 7,200 58,500
*Golden Oil Co. DE ................. 1,369 941
Golden Poultry Co., Inc. .......... 32,400 281,475
*Golden Star Resources, Ltd. ....... 20,400 105,825
*Goldwyn (Samuel) Co. .............. 53,855 215,420
*Golf Enterprises, Inc. ............ 17,500 146,563
*Good Guys, Inc. ................... 42,000 430,500
GoodMark Foods, Inc. .............. 90,400 1,672,400
*Goodrich Petroleum Corp. .......... 178,200 167,063
Goodys Family Clothing, Inc. ...... 134,500 1,496,313
Gorman-Rupp Co. ................... 30,200 453,000
*Gottschalks, Inc. ................. 43,800 290,175
*Government Technology Services,
Inc. .............................. 41,000 164,000
*Gradco Systems, Inc. .............. 151,411 378,528
*Graff Pay-per-View, Inc. .......... 71,600 340,100
*Graham Corp. ...................... 3,300 44,550
*Graham-Field Health Products, Inc. 42,000 141,750
Granite State Bankshares, Inc. .... 2,300 37,950
*Grant Geophysical, Inc. ........... 26,500 67,078
Graphic Industries, Inc. .......... 6,100 64,813
*Great Country Bank of Ansonia, CT . 7,600 40,850
Great Southern Bancorp, Inc. ...... 1,800 42,075
*Greater New York Savings Bank NY . 124,200 1,482,638
Green (A.P.) Industries, Inc. ..... 61,550 1,192,531
Green Mountain Power Corp. ........ 4,500 124,313
Greenbrier Companies, Inc. ........ 46,000 500,250
*#Greenman Brothers, Inc. ........... 115,400 1,413,650
*Greenwich Air Services, Inc. ...... 5,100 93,075
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Greiner Engineering, Inc. ......... 105,141 $ 946,269
*Grist Mill & Co. .................. 60,450 547,828
*Grossmans, Inc. ................... 231,300 281,897
*Ground Round Restaurants, Inc. .... 84,650 235,433
*Groundwater Technology, Inc. ...... 7,600 107,350
*Group 1 Software, Inc. ............ 31,400 368,950
*Group Technologies Corp. .......... 30,000 120,000
Grovebank for Savings ............. 3,500 82,688
*Grow Biz International, Inc. ...... 6,500 58,906
*Grubb & Ellis Co. ................. 39,552 79,104
*Gryphon Holdings, Inc. ............ 4,900 83,913
Guardsman Products, Inc. .......... 130,885 1,701,505
*Guest Supply, Inc. ................ 107,100 2,302,650
*Gulfmark International, Inc. ...... 25,800 593,400
*Gull Laboratories, Inc. ........... 7,200 36,000
*Gundle/SLT Environmental, Inc. .... 104,600 627,600
*Gupta Corp. ....................... 12,200 80,825
*HD Vest, Inc. ..................... 4,900 12,556
*HEI, Inc. ......................... 3,400 19,550
HF Financial Corp. ................ 1,700 52,700
*HMG Worldwide Corp. ............... 62,500 140,625
HMI Industries, Inc. .............. 84,200 1,031,450
*HMN Financial, Inc. ............... 5,200 80,600
*HPSC, Inc. ........................ 106,000 543,250
*HS Resources, Inc. ................ 91,000 1,217,125
*Ha-Lo Industries, Inc. ............ 2,100 41,738
*Hadco Corp. ....................... 106,700 3,254,350
*Hahn Automotive Warehouse, Inc. ... 27,700 169,663
Halifax Corp. ..................... 4,700 29,963
Hallwood Energy Corp. ............. 200 3,100
*Hallwood Group, Inc. .............. 10,387 101,273
*Halsey Drug Co., Inc. ............. 53,922 195,467
*Hamburger Hamlet Restaurants, Inc. 30,700 23,025
*Hampshire Group, Ltd. ............. 3,100 39,138
*Hampton Industries, Inc. .......... 119,582 597,910
*Handex Environmental Recovery, Inc. 57,400 287,000
*Hanger Orthopedic Group, Inc. ..... 39,200 107,800
*#Happiness Express, Inc. ........... 38,100 171,450
*Harcor Energy, Inc. ............... 7,800 19,013
*Harding Lawson Associates Group,
Inc. .............................. 72,800 509,600
Harleysville National Corp PA ..... 200 5,425
*Harlyn Products, Inc. ............. 42,581 74,517
Harmon Industries, Inc. ........... 54,300 909,525
*Harolds Stores, Inc. .............. 34,464 409,260
*Harris & Harris Group, Inc. ....... 31,600 167,875
*#Harry's Farmers Market, Inc.
Class A ........................... 8,900 36,156
*Harvard Industries, Inc. .......... 6,200 165,463
*#Harvey Entertainment Co. .......... 30,000 243,750
Harvey's Casino Resorts ........... 39,300 589,500
Haskel International, Inc. ........ 4,100 22,038
Hastings Manufacturing Co. ........ 10,100 208,944
Hathaway Corp. .................... 34,580 82,128
*Hauser Chemical Research, Inc. .... 51,800 246,050
Haven Bancorp, Inc. ............... 4,600 114,138
Haverfield Corp. .................. 220 3,108
Haverty Furniture Co., Inc. ....... 68,200 980,375
Haverty Furniture Co., Inc. Class A 13,550 196,475
Hawkins Chemical, Inc. ............ 37,161 297,288
*Hawthorne Financial Corp. ......... 12,800 61,600
Health Images, Inc. ............... 18,100 140,275
*Health Management, Inc. ........... 9,300 124,969
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Health O Meter Products, Inc. ..... 10,000 $ 41,250
*Health Power, Inc. ................ 100 1,025
*Health Professionals, Inc. ........ 49,229 9,230
*Health Risk Management, Inc. ...... 23,800 187,425
*Health-Chem Corp. ................. 174,500 272,656
*Healthcare Services Group, Inc. ... 78,800 679,650
*Healthdyne Information Enterprises,
Inc. .............................. 16,800 24,142
*Healthdyne Technologies, Inc. ..... 65,931 708,758
*Healthdyne, Inc. .................. 16,800 132,300
*Healthwise America, Inc. .......... 2,300 71,013
*Healthy Planet Products, Inc. ..... 1,800 17,325
*Hector Communications Corp. ....... 21,300 155,756
*Heftel Broadcasting Corp. Class A . 5,100 79,050
Heico Corp. ....................... 66,715 1,225,888
*Hein-Werner Corp. ................. 35,288 161,002
*Heist (C.H.) Corp. ................ 10,600 75,525
*Helian Health Group, Inc. ......... 9,700 52,138
Henry Jack & Associates, Inc. ..... 29,166 698,161
Heritage Financial Services, Inc. . 8,700 166,388
*Herley Industries, Inc. ........... 11,500 76,188
*Hi-Lo Automotive, Inc. ............ 104,800 589,500
*#Hi-Shear Industries, Inc. ......... 100,075 700,525
*Hi-Shear Technology Corp. ......... 15,200 134,900
*Hi-Tech Pharmacal, Inc. ........... 37,500 302,344
Hibernia Savings Bank ............. 750 13,219
*High Plains Corp. ................. 124,476 653,499
Hingham Institution for Savings MA 1,900 26,125
*Hinsdale Financial Corp. .......... 18,750 407,813
*Hitox Corp. ....................... 24,700 77,188
Hoenig Group, Inc. ................ 8,800 34,650
*Hogan Systems, Inc. ............... 143,700 1,302,281
*Holiday RV Superstores, Inc. ...... 7,900 22,466
Hollinger International, Inc.
Class A ........................... 9,200 108,100
*Hollywood Casino Corp. Class A .... 75,000 403,125
*Hologic, Inc. ..................... 50,300 2,100,025
*Holopak Technologies, Inc. ........ 32,000 184,000
*Holophane Corp. ................... 200 6,025
*Holson Burnes Group, Inc. ......... 50,000 187,500
Home Federal Bancorp .............. 14,800 375,550
Home Federal Financial Corp. ...... 6,891 117,147
Home Port Bancorp, Inc. ........... 600 7,050
*Home State Holdings, Inc. ......... 60,000 502,500
*#Home Theater Products
International, Inc. ............... 9,800 5,513
*Homecorp, Inc. .................... 200 3,350
*Homeowners Group, Inc. ............ 115,600 177,013
*Hometown Bancorp., Inc. ........... 200 2,725
*Hometown Buffet, Inc. ............. 11,500 123,625
Hooper Holmes, Inc. ............... 62,800 502,400
Horizon Bancorp, Inc. ............. 200 7,550
Horizon Financial Corp. ........... 23,573 315,289
*Hospital Staffing Services, Inc. .. 34,200 59,850
*Hosposable Products, Inc. ......... 500 3,875
*Hovnanian Enterprises, Inc.
Class A ........................... 54,800 369,900
Howell Corp. ...................... 108,200 1,366,025
Howell Industries, Inc. ........... 14,900 361,325
*#Howtek, Inc. ...................... 36,100 311,363
Hudson General Corp. .............. 25,300 800,113
Huffy Corp. ....................... 14,800 157,250
Hughes Supply, Inc. ............... 57,950 1,521,188
*Hugoton Energy Corp. .............. 9,500 80,750
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Hurco Companies, Inc. ............. 46,900 $ 269,675
*Hycor Biomedical, Inc. ............ 62,616 281,772
*Hyde Athletic Industries, Inc.
Class A ........................... 70,700 287,219
*Hyde Athletic Industries, Inc.
Class B ........................... 65,500 253,813
Hydron Technologies, Inc. ......... 97,500 201,094
*ICF Kaiser International, Inc. .... 44,000 148,500
*ICO, Inc. ......................... 68,580 364,331
*ICOS Corp. ........................ 48,100 330,688
*ICU Medical, Inc. ................. 9,500 112,219
*IDEC Pharmaceuticals Corp. ........ 12,400 170,500
*#IDM Environmental Corp. ........... 6,400 26,800
*IEC Electronics Corp. ............. 6,400 58,800
*IFR Systems, Inc. ................. 62,935 597,883
*IGEN, Inc. ........................ 8,300 49,800
*IGI, Inc. ......................... 65,500 687,750
*II-VI, Inc. ....................... 6,800 83,725
*ILC Technology, Inc. .............. 54,600 569,888
*IMP, Inc. ......................... 256,600 2,197,138
*IPL Systems, Inc. Class A ......... 8,500 26,563
*IQ Software Corp. ................. 3,800 50,350
*#IVI Publishing, Inc. .............. 65,000 914,063
IWC Resources Corp. ............... 7,900 155,038
*Ibah, Inc. ........................ 49,200 215,250
*Ikos Systems, Inc. ................ 3,250 38,391
*Illinois Superconductor Corp. ..... 5,000 87,500
*Image Entertainment, Inc. ......... 107,600 712,850
*Image Industries, Inc. ............ 58,000 652,500
*#Imatron, Inc. ..................... 83,600 175,038
*Imclone Systems, Inc. ............. 12,000 65,250
*Imclone Systems, Inc. (Private
Placement) ........................ 131,000 641,081
*Immucor, Inc. ..................... 8,500 90,313
*Immulogic Pharmaceutical Corp. .... 16,400 203,975
*#Immune Response Corp. DE .......... 125,100 492,581
*Immunogen, Inc. ................... 43,800 67,069
*Immunomedics, Inc. ................ 55,200 276,000
*Imo Industries, Inc. .............. 100,000 712,500
*Impact Systems, Inc. .............. 232,600 516,081
*Imperial Credit Industries, Inc. .. 82,500 1,387,031
Imperial Holly Corp. .............. 8,200 53,300
*In Home Health, Inc. .............. 17,500 43,750
*Inacom Corp. ...................... 10,800 144,450
*Inbrand Corp. ..................... 22,200 394,050
*Inco Homes Corp. .................. 20,000 18,438
*Incstar Corp. ..................... 15,700 62,800
*Incyte Pharmaceuticals, Inc. ...... 19,000 337,250
*Indenet, Inc. ..................... 6,000 22,969
Independence Holding Co. .......... 10,739 41,614
Independent Bank Corp. MA ......... 110,200 771,400
Independent Bank East ............. 2,962 81,085
Independent Bankshares, Inc. ...... 786 8,548
Indiana Federal Corp. ............. 16,449 318,699
Industrial Acoustics Co., Inc. .... 900 9,563
*Industrial Holdings, Inc. ......... 3,300 12,375
*Industrial Training Corp. ......... 3,700 37,694
*Infodata Systems, Inc. ............ 1,833 7,561
*Information International, Inc. ... 27,500 278,438
*Information Resource Engineering,
Inc. .............................. 4,300 102,663
*Infrasonics, Inc. ................. 108,000 675,000
*Inhale Therapeutic Systems ........ 10,100 117,413
*Inmac Corp. ....................... 108,100 1,047,219
*Innerdyne, Inc. ................... 39,900 97,256
*Innodata Corp. .................... 4,500 20,813
*Innoserv Technologies, Inc. ....... 13,640 34,100
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Innovative Gaming Corp of America . 5,300 $ 48,031
Innovex, Inc. ..................... 102,000 1,702,125
*Insite Vision, Inc. ............... 78,300 178,622
Insituform East, Inc. ............. 12,100 51,425
*Insituform Technologies, Inc.
Class A ........................... 23,000 265,938
Insteel Industries, Inc. .......... 42,962 284,623
Instron Corp. ..................... 118,200 1,492,275
*Insurance Auto Auctions, Inc. ..... 50,000 537,500
*Integrated Circuit Systems, Inc. .. 24,000 337,500
*Integrated Systems, Inc. .......... 64,200 2,447,625
*Integrated Waste Services, Inc. ... 12,500 19,922
*Intellicall, Inc. ................. 151,607 530,625
*Intellicorp, Inc. ................. 188,300 353,063
Intelligent Electronics, Inc. ..... 27,974 181,831
*Inter-Tel, Inc. ................... 56,200 934,325
Intercargo Corp. .................. 10,600 98,050
Interchange Financial Services
Corp. Saddle Brook ................ 13,600 278,800
Intercontinental Bank ............. 2,700 80,494
Interface Systems, Inc. ........... 29,800 193,700
*Interferon Sciences, Inc. ......... 30,000 62,344
*Interferon Sciences, Inc. (Private
Placement) ........................ 180,000 336,656
*Interfilm, Inc. ................... 35,000 13,125
*Interlake Corp. ................... 172,300 323,063
*Interleaf, Inc. ................... 16,000 188,000
*Interlinq Software Corp. .......... 34,200 106,875
*Intermagnetics General Corp. ...... 155,825 3,506,063
*Intermedia Communications of
Florida, Inc. ..................... 80,700 1,099,538
International Aluminum Corp. ...... 200 5,725
*International Jensen, Inc. ........ 13,400 93,800
*International Lottery & Totalizer
Systems, Inc. ..................... 76,900 123,761
*International Lottery, Inc. ....... 3,500 38,063
*International Remote Imaging
Systems, Inc. ..................... 6,200 45,338
*International Research &
Development Corp. ................. 48,000 6,000
International Shipholding Corp. ... 3,750 72,188
*International Technology Corp. .... 294,700 773,588
*International Thoroughbred
Breeders, Inc. .................... 10,500 40,688
*Interneuron Pharmaceuticals, Inc.
(Private Placement) ............... 134,948 2,178,567
*Interphase Corp. .................. 30,600 432,225
*Interpoint Corp. WA ............... 24,000 282,000
*Interpore International ........... 50,000 237,500
*Interscience Computer Corp. ....... 500 2,594
Interstate Johnson Lane, Inc. ..... 6,800 68,850
*Intersystems, Inc. ................ 52,700 75,756
*#Intertan, Inc. .................... 71,900 602,163
*Intervisual Books, Inc. Class A ... 1,500 4,031
Interwest Bancorp, Inc. ........... 5,800 108,750
*Investors Insurance Group, Inc. ... 42,700 50,706
Investors Title Co. ............... 24,000 255,000
Iroquois Bancorp .................. 400 5,450
Isco, Inc. ........................ 101,341 1,045,079
*Isis Pharmaceuticals, Inc. ........ 180,100 2,082,406
*Isomedix, Inc. .................... 22,900 326,325
*Iwerks Entertainment, Inc. ........ 8,124 48,744
*J & J Snack Foods Corp. ........... 40,000 485,000
*JG Industries, Inc. ............... 29,500 44,250
JLG Industries, Inc. .............. 181,300 5,099,063
*JPE, Inc. ......................... 4,300 45,150
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Jabil Circuit, Inc. ............... 60,000 $1,233,750
Jackpot Enterprises, Inc. ......... 36,900 502,763
Jaclyn, Inc. ...................... 55,427 232,101
*Jaco Electronics, Inc. ............ 4,173 50,337
*Jacobs Jay, Inc. .................. 45,500 126,547
Jacobson Stores, Inc. ............. 66,500 598,500
*Jalate, Ltd. ...................... 2,700 10,631
*Jan Bell Marketing, Inc. .......... 224,900 590,363
*Jean Philippe Fragrances, Inc. .... 69,000 608,063
Jeffbanks, Inc. ................... 1,500 34,313
*Jefferson Savings Bancorp, Inc. ... 40,000 1,050,000
*Jennifer Convertibles, Inc. ....... 41,000 97,375
Johnston Industries, Inc. ......... 207,687 1,687,457
*Johnstown American Industries,
Inc. .............................. 71,700 380,906
Jones Medical Industries, Inc. .... 83,820 1,739,265
*Joule, Inc. ....................... 42,100 168,400
*Just Toys, Inc. ................... 28,300 40,681
K Swiss, Inc. Class A ............. 31,200 366,600
*K-Tel International, Inc. ......... 200 950
*K-Tron International, Inc. ........ 63,400 412,100
*K-V Pharmaceutical Co. Class A .... 22,250 194,688
*K-V Pharmaceutical Co. Class B .... 18,800 166,850
KCS Energy, Inc. .................. 6,700 92,125
*KLLM Transport Services, Inc. ..... 88,900 961,231
*KTI, Inc. ......................... 1,733 14,839
Kahler Realty Corp. ............... 4,600 58,363
*Kaiser Ventures, Inc. ............. 78,900 887,625
*Kaneb Services, Inc. .............. 16,700 31,313
*Kasler Holding Co. ................ 139,300 800,975
Katy Industries, Inc. ............. 10,000 98,750
Kaufman (H.W.) Financial Group,
Inc. .............................. 26,730 213,840
*Kaye Group, Inc. .................. 41,000 312,625
Keithley Instruments, Inc. ........ 200 5,775
*Kelley Oil & Gas Corp. ............ 67,000 79,563
Kenan Transport Co. ............... 200 4,175
*#Kenetech Corp. .................... 2,000 6,375
*Kent Financial Services, Inc. ..... 14,278 90,130
*Kentucky Electric Steel, Inc. ..... 5,000 46,250
*Kentucky Medical Insurance Co.
Class A ........................... 200 2,413
*Kenwin Shops, Inc. ................ 500 1,203
*Kerr Group, Inc. .................. 83,300 739,288
*Kevlin Corp. ...................... 500 2,141
*Kewaunee Scientific Corp. ......... 44,800 142,800
*Key Energy Group, Inc. ............ 36,614 201,377
*Key Production Co., Inc. .......... 17,500 94,063
*Key Technology, Inc. .............. 27,000 391,500
*Key Tronic Corp. .................. 129,100 1,412,031
*Keystone Consolidated Industries,
Inc. .............................. 56,650 722,288
Keystone Heritage Group, Inc. ..... 22,200 702,075
*Killearn Properties, Inc. ......... 17,000 88,188
*Kimmins Environmental Service
Corp. ............................. 22,200 55,500
*Kinark Corp. ...................... 70,800 199,125
Kinnard Investment, Inc. .......... 6,900 25,875
*Kit Manufacturing Co. ............. 12,000 135,000
*Kleer-Vu Industries, Inc. ......... 20,073 125,456
*Kleinert's, Inc. .................. 5,000 81,250
Knape & Vogt Manufacturing Co. .... 64,599 1,170,857
*Knight Transportation, Inc. ....... 9,100 130,244
*Knogo North America, Inc. ......... 72,800 473,200
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Koala Corp. ......................... 2,200 $ 23,650
Kollmorgen Corp. .................... 10,600 102,025
*Kopin Corp. ......................... 9,300 156,938
*Koss Corp. .......................... 52,000 370,500
*Krauses Furniture, Inc. ............. 2,933 7,516
*Krug International Corp. ............ 21,465 67,078
*Krystal Co. ......................... 56,900 398,300
Kuhlman Corp. ....................... 231,276 2,659,674
Kysor Industrial Corp. .............. 27,200 625,600
*#L.A. Gear, Inc. ..................... 20,700 33,638
*LAT Sportswear, Inc. ................ 2,700 7,088
LCS Industries, Inc. ................ 6,160 97,790
*LDI Corp. ........................... 9,400 29,375
LSB Bancshares, Inc. NC ............. 3,858 76,678
LSB Industries, Inc. ................ 64,900 251,488
LSI Industries, Inc. ................ 143,403 2,142,082
*LTX Corp. ........................... 28,400 353,225
*LXE, Inc. ........................... 10,500 82,688
*La Jolla Pharmceutical Co. .......... 12,000 48,750
*LaBarge, Inc. ....................... 228,750 800,625
LaCrosse Footwear, Inc. ............. 13,300 137,988
*Laclede Steel Co. ................... 25,450 179,741
Ladd Furniture, Inc. ................ 33,333 443,746
Lafayette American Bank & Trust Co. 9,000 81,000
Laidlaw, Inc. Class B Non-Voting .... 20,680 191,290
*Lakeland Industries, Inc. ........... 3,200 11,400
*Lamson & Sessions Co. ............... 143,800 1,006,600
*Lancer Corp. ........................ 44,100 606,375
*Lancit Media Productions, Ltd. ...... 62,700 787,669
*Landair Services, Inc. .............. 16,400 202,950
Landauer, Inc. ...................... 72,000 1,413,000
Landmark Bancorp La Habra ........... 200 3,500
*Larizza Industries, Inc. ............ 22,700 144,713
*Laser Pacific Media Corp. ........... 10,000 8,750
*Lasermaster Technologies, Inc. ...... 83,300 489,388
*Laserscope .......................... 66,600 137,363
*Lawrence Savings Bank MA ............ 7,700 37,538
Lawyers Title Corp. ................. 9,800 167,825
*Layne, Inc. ......................... 3,400 29,963
*Lazare Kaplan International, Inc. ... 71,300 472,363
*Leasing Solutions, Inc. ............. 5,900 93,294
*Leather Factory, Inc. ............... 200 588
*Lectec Corp. ........................ 13,080 122,625
Lesco, Inc. ......................... 87,100 1,197,625
*Leslie Building Products, Inc. ...... 27,800 62,550
*Leslie's Poolmart ................... 18,742 262,388
Liberty Homes, Inc. Class A ......... 200 2,450
*Liberty Technologies, Inc. .......... 4,400 20,350
*Lidak Pharmaceuticals Class A ....... 56,000 236,250
*Life Quest Medical, Inc. ............ 1,000 2,938
*Lifecore Biomedical, Inc. ........... 30,000 403,125
*Lifeline Systems, Inc. .............. 18,700 220,894
*Lifetime Hoan Corp. ................. 38,720 341,220
*Ligand Pharmaceuticals, Inc.
Class B ............................. 26,558 220,763
Lillian Vernon Corp. ................ 10,300 149,350
*Lindal Cedar Homes, Inc. ............ 40,777 196,239
Lindberg Corp. ...................... 53,200 355,775
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Lindsay Manufacturer Co. ............ 3,600 $ 129,600
Litchfield Financial Corp. .......... 4,270 57,912
*Littlefield, Adams & Co. ............ 16,500 37,125
*Liuski International, Inc. .......... 2,900 8,700
*Live Entertainment, Inc. ............ 2,000 7,250
*Lodgenet Entertainment Corp. ........ 63,000 677,250
*Logic Devices, Inc. ................. 49,300 406,725
*Lomak Petroleum, Inc. ............... 79,135 687,485
*Lomas Financial Corp. ............... 117,000 3,042
*Lone Star Technologies, Inc. ........ 15,700 137,375
*Longhorn Steaks, Inc. ............... 47,100 753,600
*Lori Corp. .......................... 25,300 121,756
*Loronix Information Systems, Inc. ... 4,200 13,388
*Lottery Enterprises, Inc. ........... 200 150
Lufkin Industries, Inc. ............. 5,800 116,725
*Lumex, Inc. ......................... 81,300 741,863
*#Lunar Corp. ......................... 27,000 1,167,750
*Lund International Holdings, Inc. ... 4,800 64,800
*Luria & Son, Inc. ................... 121,797 715,557
*Lynch Corp. ......................... 29,600 1,872,200
M A R C, Inc. ....................... 13,838 202,381
*M-Wave, Inc. ........................ 3,300 23,100
MAF Bancorp, Inc. ................... 5,350 134,753
*MAI Systems Corp. ................... 207 1,449
#MDC Holdings, Inc. .................. 45,500 301,438
*MDL Information Systems, Inc. ....... 14,900 344,563
*MDT Corp. ........................... 63,900 315,506
*MFRI, Inc. .......................... 5,100 37,294
*MGI Pharma, Inc. .................... 137,700 645,469
*MI Schottenstein Homes, Inc. ........ 9,700 110,338
*MK Gold Corp. ....................... 18,500 55,500
*MLX Corp. ........................... 23,145 232,897
MMI Companies, Inc. ................. 3,700 86,950
*MRS Technology, Inc. ................ 20,000 67,500
*MRV Communications, Inc. ............ 6,000 158,250
*MTI Technology Corp. ................ 18,500 32,375
MTS Systems Corp. ................... 4,950 172,631
MacDermid, Inc. ..................... 200 11,050
*Macheezmo Mouse Restaurants, Inc. .. 8,500 22,313
*Magainin Pharmaceuticals, Inc. ...... 25,000 221,875
Magna Bancorp ....................... 7,700 225,225
*Magnetic Technologies Corp. ......... 3,100 12,788
*Mail Boxes, Etc. .................... 11,200 165,200
*Main Street & Main, Inc. ............ 2,850 9,886
Maine Public Service Co. ............ 32,700 686,700
*Mallon Resources Corp. .............. 7,100 12,425
*Manatron, Inc. ...................... 115 331
*Manugistic Group, Inc. .............. 200 3,450
*Mapinfo Corp. ....................... 2,000 38,000
Marble Financial Corp. .............. 29,700 523,463
*#Marcam Corp. ........................ 18,800 317,250
*Marietta Corp. ...................... 71,200 636,350
*Marine Drilling Companies, Inc. ..... 48,300 196,219
*Marisa Christina, Inc. .............. 9,300 157,519
Maritrans, Inc. ..................... 23,800 124,950
*Mark VII, Inc. ...................... 47,800 776,750
*Marlton Technologies, Inc. .......... 90,100 118,256
*Marquest Medical Products, Inc. ..... 78,700 56,566
Marsh Supermarkets, Inc. Class A .... 4,200 57,750
Marsh Supermarkets, Inc. Class B .... 4,800 62,400
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Martek Biosciences Corp. ............ 8,400 $ 154,350
*Marten Transport, Ltd. .............. 35,200 554,400
Maryland Federal Bancorp ............ 2,500 76,094
Massbank Corp. Reading, MA .......... 2,850 89,063
*#Mastec, Inc. ........................ 58,000 594,500
*Matec Corp. DE ...................... 76,300 314,738
*Mathsoft, Inc. ...................... 25,000 131,250
*Matlack Systems, Inc. ............... 65,850 584,419
*#Matrix Pharmaceutical, Inc. ......... 17,500 266,875
*Matrix Service Co. .................. 83,600 360,525
*Matthews Studio Equipment Group ..... 6,500 12,289
*Maverick Tube Corp. ................. 45,000 286,875
*Max & Ermas Restaurants, Inc. ....... 4,457 29,249
*Maxco, Inc. ......................... 4,700 37,600
*Maxim Group, Inc. ................... 200 2,450
*Maxwell Laboratories, Inc. .......... 29,246 252,247
*#Maxxim Medical, Inc. ................ 87,400 1,387,475
Mayflower Co-Operative Bank
Middleboro .......................... 200 2,250
*Maynard Oil Co. ..................... 103,200 632,100
*Mays (J.W.), Inc. ................... 2,100 16,013
*McClain Industries, Inc. ............ 91,066 466,713
McDonald & Co. Investment, Inc. ..... 3,100 54,250
*McFarland Energy, Inc. .............. 52,000 390,000
McGrath Rent Corp. .................. 8,400 154,350
*Medalist Industries, Inc. ........... 36,400 241,150
*Medalliance, Inc. ................... 25,000 92,188
*Medar, Inc. ......................... 105,500 844,000
*Medarex, Inc. ....................... 10,600 69,563
*Medco Research, Inc. ................ 12,100 128,563
Medex, Inc. ......................... 36,700 389,938
Medford Savings Bank MA ............. 31,800 707,550
*Media Arts Group, Inc. .............. 9,300 29,063
*#Media Logic, Inc. ................... 6,600 51,975
*Medical Action Industries, Inc. ..... 33,300 53,072
*Medical Graphics Corp. .............. 12,700 71,438
*Medical Management, Inc. ............ 2,700 16,538
*Medical Technology System, Inc. ..... 1,000 1,688
*Medicalcontrol, Inc. ................ 3,800 19,950
*Medicore, Inc. ...................... 19,200 79,200
Medicus Systems Corp. ............... 42,000 378,000
*Medimmune, Inc. ..................... 70,000 901,250
*Mediq, Inc. ......................... 58,200 240,075
*Medquist Inc. ....................... 2,600 18,200
*Medstone International, Inc. ........ 28,200 264,375
*Megacards, Inc. ..................... 333 208
*Megatest Corp. ...................... 5,800 137,025
*Melamine Chemicals, Inc. ............ 103,100 902,125
*Mem Co., Inc. ....................... 53,300 169,894
*Members Service Corp. ............... 1 1
*Mental Health Management, Inc. ...... 7,275 19,097
Merchants Bancorp, Inc. ............. 10,000 280,000
*Merchants Bancshares, Inc. .......... 200 2,825
Merchants Group, Inc. ............... 3,800 65,550
Merchants New York Bancorp, Inc. .... 400 12,700
Mercury Air Group, Inc. ............. 5,930 50,405
*Meridian Data, Inc. ................. 61,600 658,350
Meridian Diagnostics, Inc. .......... 105,854 1,071,772
Meridian Insurance Group, Inc. ...... 8,800 135,300
*Meridian Sports, Inc. ............... 7,200 41,850
*Meris Laboratories, Inc. ............ 7,800 10,238
*Merisel, Inc. ....................... 30,000 136,875
*Merit Medical Systems, Inc. ......... 6,000 34,875
Merrill Corp. ....................... 7,800 135,525
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Merrimac Industries, Inc. ........... 12,332 $ 138,735
Mesaba Holdings, Inc. ............... 60,700 417,313
*Mestek, Inc. ........................ 118,750 1,306,250
*Met-Coil Systems Corp. .............. 27,500 37,813
Met-Pro Corp. ....................... 101,110 1,377,624
*Metalclad Corp. ..................... 34,500 129,375
*Metatec Corp. Class A ............... 18,000 181,125
Metrobank ........................... 6,490 184,965
*Metrocall, Inc. ..................... 40,000 970,000
*Metrologic Instruments, Inc. ........ 5,200 50,050
*Metropolitan Bancorp Washington ..... 3,400 44,413
*Miami Subs Corp. .................... 7,500 14,063
*Michael Anthony Jewelers, Inc. ...... 74,300 195,038
*Micom Communications Corp. .......... 11,300 112,294
*Micrion Corp. ....................... 3,900 46,313
*Micro Bio-Medics, Inc. .............. 2,300 29,613
*Microage, Inc. ...................... 15,600 131,625
*Microcom, Inc. ...................... 124,600 3,130,575
*Microdyne Corp. ..................... 10,000 203,750
*Microfluidics International Corp. ... 5,600 11,550
*Micrografx, Inc. .................... 62,000 728,500
*Microlog Corp. ...................... 26,000 156,000
*Micronics Computers, Inc. ........... 79,600 263,675
*Micropolis Corp. .................... 97,800 311,738
*#Microsemi Corp. ..................... 135,875 1,503,117
*Microtek Medical, Inc. .............. 5,100 35,063
*Microtel International, Inc. ........ 107,508 94,070
*Microtest, Inc. ..................... 5,900 89,975
*Microtouch Systems, Inc. ............ 7,400 111,925
*Microwave Filter Co., Inc. .......... 5,614 7,018
Mid America Banccorp ................ 29,767 535,806
Mid-Atlantic Realty Trust ........... 3,366 28,611
*MidAmerican Waste System, Inc. ...... 28,000 112,000
MidSouth Insurance Co. .............. 53,235 811,834
Midconn Bank Kensington, CT ......... 45,200 621,500
*Middleby Corp. ...................... 65,200 505,300
Middlesex Water Co. ................. 15,000 270,000
*Midisoft Corp. ...................... 4,900 18,988
Midland Co. ......................... 14,700 728,569
Midland Financial Group, Inc. ....... 4,800 53,400
*Mikohn Gaming Corp. ................. 15,000 52,500
*Miller Building Systems, Inc. ....... 72,800 236,600
*Miltope Group, Inc. ................. 91,000 290,063
Minntech Corp. ...................... 7,031 131,822
*Mission West Properties, Inc. ....... 22,000 115,500
*Mity-Lite, Inc. ..................... 8,100 69,863
Mobile Gas Service Corp. ............ 34,100 767,250
*Mobley Environmental Services, Inc.
Class A ............................. 1,000 1,063
Modern Controls, Inc. ............... 56,650 587,744
*Molecular Biosystems, Inc. .......... 28,800 194,400
*Molecular Dynamics, Inc. ............ 18,100 89,369
*Monaco Coach Corp. .................. 4,400 45,100
*#Monaco Finance, Inc. Class A ........ 4,000 23,625
*Monarch Casino and Resort, Inc. ..... 6,100 29,738
Monarch Machine Tool Co. ............ 53,900 714,175
*Monro Muffler Brake, Inc. ........... 30,555 448,777
*Monroc, Inc. ........................ 2,400 11,700
*Monterey Pasta Co. .................. 7,500 44,063
*Moog, Inc. Class A .................. 3,900 57,525
*Moog, Inc. Class B .................. 1,000 15,375
*Moore Medical Corp. ................. 44,600 512,900
*Moore Products Co. .................. 19,900 355,713
*Morgan Products, Ltd. ............... 65,300 391,800
*Morningstar Group, Inc. ............. 19,800 158,400
Moscom Corp. ........................ 14,400 90,000
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Mother's Work, Inc. ................. 11,500 $ 155,969
*Moto Photo, Inc. .................... 6,100 10,103
*Motor Car Parts & Accessories, Inc. 3,500 51,844
*Motor Club of America ............... 20,500 131,969
*Mountain Parks Financial Corp. ...... 4,000 88,500
*Mountasia Entertainment
International, Inc. ................. 7,500 37,734
*Moviefone, Inc. Class A ............. 5,100 26,138
Mueller (Paul) Co. .................. 26,700 842,719
*Multi Color Corp. ................... 5,300 15,900
*Munsingwear, Inc. ................... 2,145 15,551
*Mutual Savings Bank FSB Bay City, MI 4,300 25,263
Myers (L.E.) Co. Group .............. 29,400 444,675
*Mylex Corp. ......................... 11,600 218,950
*NAI Technologies, Inc. .............. 82,813 129,395
NBT Bancorp ......................... 6,300 104,738
*NBTY, Inc. .......................... 15,800 87,888
*NCI Building Systems, Inc. .......... 1,000 22,625
*NMR of America, Inc. ................ 27,200 98,600
NN Ball & Roller, Inc. .............. 200 4,525
*NPC International, Inc. ............. 6,200 48,825
*NPS Pharmaceuticals, Inc. ........... 7,600 56,525
*NS Group, Inc. ...................... 97,100 218,475
*NSA International, Inc. ............. 2,000 6,750
NSC Corp. ........................... 79,800 149,625
*NTN Communications, Inc. (Private
Placement) .......................... 161,500 635,906
NUI Corp. ........................... 10,100 166,650
*Nantucket Industries, Inc. .......... 58,535 171,947
*Napco Security Systems, Inc. ........ 70,000 266,875
Nashua Corp. ........................ 21,300 335,475
*Nathans Famous, Inc. ................ 4,800 18,150
*National Beverage Corp. ............. 300 1,688
*National City Bancorp ............... 4,320 81,540
*#National Convenience Stores, Inc. ... 49,800 1,338,375
*National Dentex Corp. ............... 700 15,313
*National Education Corp. ............ 67,500 531,563
National Gas & Oil Co. .............. 130,869 1,325,046
*National Home Centers, Inc. ......... 60,000 180,000
*National Home Health Care Corp. ..... 13,700 73,638
*National Insurance Group ............ 45,200 248,600
*National Media Corp. ................ 12,800 230,400
*National Mercantile Bancorp. ........ 2,300 3,738
*National Patent Development Corp. ... 7,450 68,447
*National Picture and Frame Co. ...... 31,600 288,350
*National Record Mart, Inc. .......... 4,000 7,250
National Sanitary Supply Co. ........ 200 2,675
National Security Group, Inc. ....... 10,500 156,188
*National Standard Co. ............... 109,500 1,231,875
National Technical Systems, Inc. .... 47,184 94,368
*National Techteam, Inc. ............. 68,100 391,575
*National Vision Association, Ltd. ... 22,500 70,313
*National Western Life Insurance Co.
Class A ............................. 3,200 174,000
*Natural Alternatives International,
Inc. ................................ 47,000 399,500
*Natural Microsystems Corp. .......... 2,500 70,938
*Natural Wonders, Inc. ............... 8,500 24,438
Natures Sunshine Products, Inc. ..... 7,836 174,351
*Navarre Corp. ....................... 3,300 22,688
*Navigators Group, Inc. .............. 20,520 389,880
Nelson (Thomas), Inc. Class B ....... 3,993 75,867
*Neoprobe Corp. ...................... 83,000 1,255,375
*Neorx Corp. ......................... 111,700 691,144
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Nestor, Inc. ........................ 21,400 $ 18,040
*Netframe Systems, Inc. .............. 14,700 85,444
*Netrix Corp. ........................ 83,200 416,000
*Network Computing Devices, Inc. ..... 116,700 984,656
*Network Imaging Corp. ............... 14,900 68,447
*Network Peripherals, Inc. ........... 25,000 343,750
*Network Six, Inc. ................... 3,100 12,206
*Networth, Inc. ...................... 7,700 321,956
*Neurex Co. .......................... 82,300 504,088
*Neurogen Corp. ...................... 11,100 230,325
New Brunswick Scientific Co., Inc. .. 32,500 217,344
New Hampsire Thrift BancShares, Inc. 200 2,063
New Horizons Savings & Loan
Association ......................... 200 1,738
*New Image Industries, Inc. .......... 43,763 79,320
*New Jersey Steel Corp. .............. 8,000 79,000
*New Mexico & Arizona Land Co. ....... 27,311 320,904
*New World Power Corp. ............... 60,000 123,750
Newcor, Inc. ........................ 82,025 656,200
Newmil Bancorp, Inc. ................ 44,200 298,350
*Newpark Resources, Inc. ............. 22,886 413,375
Newport Corp. ....................... 63,500 508,000
*Nexthealth, Inc. .................... 9,000 37,125
*Nichols Research Corp. .............. 42,767 978,288
Nobility Homes ...................... 400 8,425
*Noel Group, Inc. .................... 20,400 124,950
Noland Co. .......................... 500 9,250
*Nord Resources Corp. ................ 125,700 267,113
*Norstan, Inc. ....................... 45,200 1,107,400
*Nortek, Inc. ........................ 28,600 271,700
*North American Biologicals, Inc. .... 17,850 169,575
*North American Recycling System,
Inc. ................................ 21,000 17,052
North American Watch Corp. .......... 6,600 124,163
North Carolina Natural Gas Corp. .... 3,300 75,900
North Side Savings Bank NY .......... 15,638 459,366
*North Star Universal, Inc. .......... 15,000 89,063
Northbay Financial Corp. ............ 700 10,544
Northern Technologies International . 4,700 24,675
Northland Cranberries, Inc. Class A . 6,000 114,000
*Northstar Health Services, Inc. ..... 20,000 130,000
*Northwest Teleproductions, Inc. ..... 15,800 63,200
*Norton McNaughton, Inc. ............. 55,000 721,875
Norwich Financial Corp. ............. 23,800 312,375
*Norwood Promotional Products, Inc. . 6,200 106,950
*Novametrix Medical Systems, Inc. .... 79,700 403,481
*Noven Pharmaceuticals, Inc. ......... 20,300 205,538
*Novitron Internarional, Inc. ........ 4,350 18,488
*Nu Horizons Electronics Corp. ....... 65,054 1,044,930
*Nuclear Metals, Inc. ................ 71,300 855,600
*Nuclear Support Services, Inc. ...... 8,600 12,363
*Numar Corp. ......................... 7,500 81,563
*Numerex Corp. Class A ............... 11,500 76,906
*Nutramax Products, Inc. ............. 44,000 423,500
*Nview Corp. ......................... 5,400 22,613
*Nycor, Inc. ......................... 43,885 216,682
*Nycor, Inc. Class A ................. 57,625 280,922
*Nycor, Inc. Class B ................. 29,140 143,879
*O Charleys, Inc. .................... 5,650 67,094
*O'Sullivan Industries Holdings, Inc. 18,500 117,938
*O.I. Corp. .......................... 13,800 39,675
*OEC Medical Systems, Inc. ........... 13,900 139,000
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*OESI Power Corp. .................... 1,000 $ 156
*OTR Express, Inc. ................... 16,600 74,700
*Oak Hill Sportswear Corp. ........... 21,600 43,200
*#Odwalla, Inc. ....................... 5,400 100,575
Oglebay Norton Co. .................. 25,000 915,625
Ohio Art Co. ........................ 500 19,250
Oil-Dri Corp. of America ............ 60,900 913,500
*Old America Stores, Inc. ............ 13,400 109,713
*Old Dominion Freight Lines, Inc. .... 68,600 728,875
*Olympic Steel, Inc. ................. 64,000 572,000
*#Omega Environmental, Inc. ........... 38,000 152,000
*On Assignment, Inc. ................. 5,300 155,688
*Oncogene Science, Inc. .............. 19,700 131,744
*Oncor, Inc. ......................... 176,200 1,035,175
*One Price Clothing Stores, Inc. ..... 65,600 270,600
Oneida, Ltd. ........................ 3,900 67,763
*Oneita Industries, Inc. ............. 70,420 501,743
*Opinion Research Corp. .............. 4,700 29,375
*Opta Food Ingredients, Inc. ......... 86,100 1,087,013
Optical Coating Laboratory, Inc. .... 40,326 534,320
*Option Care, Inc. ................... 43,400 181,738
*Orange Co., Inc. .................... 91,747 733,976
*Orbit International Corp. ........... 52,600 49,313
*Orchard Supply Hardware Stores Corp. 55,000 1,189,375
*Oregon Metallurgical Corp. .......... 27,700 296,044
Oriole Homes Corp. Class A
Convertible ......................... 66,500 365,750
Oriole Homes Corp. Class B .......... 19,000 102,125
*Oroamerica, Inc. .................... 45,200 189,275
*Ortel Corp. ......................... 8,000 92,000
*Orthologic Corp. .................... 8,200 103,525
*Orthopedic Technology, Inc. ......... 4,100 33,313
*Osborn Communications Corp. ......... 79,800 638,400
Oshkosh Truck Corp. Class B ......... 9,500 137,750
*Oshman's Sporting Goods, Inc. ....... 129,500 1,748,250
*Osmonics, Inc. ...................... 47,611 856,998
*Osteotech, Inc. ..................... 27,100 174,456
*Outlook Group Corp. ................. 34,400 258,000
Owosso Corp. ........................ 5,900 51,625
Oxford Industries, Inc. ............. 9,600 180,000
*Oxford Resources Corp. Class A ...... 4,700 120,438
*Oxis International, Inc. ............ 89,800 126,281
*P&F Industries, Inc. Class A ........ 600 1,538
*PAM Transportation Services, Inc. ... 5,100 36,338
PCA International, Inc. ............. 8,200 76,363
*PCI Services, Inc. .................. 36,400 366,275
*PHP Healthcare Corp. ................ 23,600 643,100
*PLM International, Inc. ............. 22,900 85,875
*PMR Corp. ........................... 3,800 19,475
*PMT Services, Inc. .................. 5,800 162,038
*PSC, Inc. ........................... 29,300 300,325
PXRE Corp. .......................... 25,200 620,550
*Pacific Rehabilitation & Sports
Medicine, Inc. ...................... 7,100 49,922
*Pacific Rim Holding Corp. ........... 5,800 15,406
*Pacific Sunwear of California, Inc. . 45,000 447,188
*Pages, Inc. ......................... 31,000 73,625
*Palfed, Inc. ........................ 16,650 209,166
*Pamida Holdings Corp. ............... 4,500 17,438
Pamrapo Bancorp, Inc. ............... 8,100 189,338
*Panaco, Inc. ........................ 9,800 43,794
Panatech Research and Develop ment
Corp. ............................... 4,100 17,681
Pancho's Mexican Buffet, Inc. ....... 47,600 136,850
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Par Technology Corp. ................ 86,200 $ 775,800
*#Parallel Petroleum Corp. ............ 74,200 125,213
*Parcplace Systems, Inc. ............. 23,600 259,600
*Paris Business Forms, Inc. .......... 200 1,188
*Park-Ohio Industries, Inc. .......... 141,225 1,827,098
*Parkervision, Inc. .................. 9,600 77,400
Parkvale Financial Corp. ............ 35,428 921,128
*Parlex Corp. ........................ 19,900 208,950
*Patlex Corp. ........................ 10,919 57,325
Patrick Industries, Inc. ............ 50,250 665,813
*Patten Corp. ........................ 74,033 351,657
*Patterson Energy, Inc. .............. 500 5,750
*Paul Harris Stores, Inc. ............ 55,675 88,732
*Paul-Son Gaming Corp. ............... 3,300 28,050
*Payco American Corp. ................ 10,100 85,850
*Pediatric Services of America, Inc. . 3,200 59,200
Peerless Manufacturing Co. .......... 9,250 96,547
*Penederm, Inc. ...................... 60,000 435,000
Penn Engineering & Manufacturing
Corp. ............................... 33,600 2,772,000
*Penn National Gaming, Inc. .......... 4,700 71,088
*Penn Traffic Co. .................... 10,900 141,700
*Penn Treaty American Corp. .......... 44,400 699,300
Penn Virginia Corp. ................. 4,700 152,750
Penn-America Group, Inc. ............ 4,900 61,863
Pennfirst Bancorp, Inc. ............. 200 2,600
Pennsylvania Enterprises, Inc. ...... 700 25,988
Penobscot Shoe Co. .................. 32,000 146,000
*Penril Datacomm Networks, Inc. ...... 89,033 840,249
*Pentech International, Inc. ......... 9,200 25,013
Penwest, Ltd. ....................... 2,200 57,750
Peoples Bancorp ..................... 200 4,250
*Peoples Choice TV Corp. ............. 3,396 72,590
*Peoples Savings Bank of Brockton, MA 3,945 31,067
Peoples Savings Financial Corp. ..... 6,000 115,500
*Peoples Telephone Co., Inc. ......... 31,200 87,750
*Perceptron, Inc. .................... 4,500 159,188
*Performance Food Group Co. .......... 10,000 240,000
*Perfumania, Inc. .................... 43,700 234,888
*Perini Corp. ........................ 40,600 375,550
*#Perseptive Biosystems, Inc. ......... 87,300 818,438
*Pet Food Warehouse, Inc. ............ 10,300 34,119
*Petco Animal Supplies, Inc. ......... 200 5,425
*Petrocorp, Inc. ..................... 30,000 221,250
Petroleum Heat & Power Co., Inc.
Class A ............................. 11,400 88,350
*#Pharmaceutical Marketing
Services, Inc. ...................... 79,100 1,062,906
*Pharmaceutical Resources, Inc. ...... 19,955 159,640
*Pharmchem Laboratories, Inc. ........ 39,800 191,538
*Pharmos Corp. (Private Placement) ... 120,000 165,375
*Phoenix Network, Inc. ............... 13,100 50,763
*Phoenix Technologies, Ltd. .......... 12,000 147,000
*Photo Control Corp. ................. 1,000 3,688
*Physician Computer Network, Inc. .... 29,800 197,425
*#Physicians Clinical Laboratory, Inc. 5,400 2,360
*Physicians Insurance Co. of Ohio
Class A ............................. 1,000 19,500
Piccadilly Cafeterias, Inc. ......... 33,000 342,375
*Pico Products, Inc. ................. 68,500 102,750
Piedmont Bankgroup, Inc. ............ 2,450 64,313
*Pillowtex Corp. ..................... 10,000 125,000
*Pinkertons, Inc. .................... 5,100 102,000
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Pinnacle Financial Services, Inc. ... 200 $ 3,600
*#Pinnacle Micro, Inc. ................ 5,200 143,000
#Pioneer Financial Services, Inc. .... 42,100 699,913
Pitt-Des Moines, Inc. ............... 29,600 1,132,200
*Pittencrieff Communications, Inc. ... 14,400 56,700
Pittston Co. Minerals Group ......... 71,700 950,025
*Plains Resources, Inc. .............. 83,100 618,056
*Platinum Software Corp. ............. 11,700 78,244
*Platinum Technology, Inc. ........... 57,059 959,304
Plenum Publishing Corp. ............. 200 7,325
*Plexus Corp. ........................ 7,100 118,038
*Plymouth Rubber, Inc. Class A ....... 100 1,450
*Polk Audio, Inc. .................... 5,000 48,125
*Pollo Tropical, Inc. ................ 86,200 355,575
*Polymedica Industries, Inc. ......... 18,650 130,550
*Polyvision Corp. .................... 54,713 109,426
*Pomeroy Computer Resource, Inc. ..... 2,830 41,743
*Pool Energy Services Co. ............ 31,700 287,281
*#Porta Systems Corp. ................. 63,200 71,100
*Portage Industries Corp. DE ......... 1,000 2,500
*Portec, Inc. ........................ 99,037 953,231
Portsmouth Bank Shares, Inc. ........ 11,727 171,507
*Positive Response Television, Inc. .. 3,600 29,700
*Positron Corp. ...................... 2,900 7,703
*Possis Medical, Inc. ................ 97,800 1,735,950
Poughkeepsie Savings Bank FSB NY ... 9,900 47,025
*Powell Industries, Inc. ............. 28,800 212,400
Pratt & Lambert United, Inc. ........ 75,800 2,648,263
*Pratt Hotel Corp. ................... 5,700 16,388
Pre-Paid Legal Services, Inc. ....... 180,075 1,530,638
*Precision Standard, Inc. ............ 1,000 1,250
Premier Financial Services, Inc. .... 1,300 11,538
*Premiere Radio Networks, Inc. ....... 1,800 29,475
*President Casinos, Inc. ............. 104,000 250,250
*Presley Companies Class A ........... 8,900 12,238
*Price Communications Corp. .......... 26,257 210,056
*Pride Petroleum Services, Inc. ...... 138,800 1,379,325
*Prima Energy Corp. .................. 3,500 47,688
Prime Bancorp, Inc. ................. 13,675 275,209
*Prime Medical Services, Inc. ........ 77,200 528,338
Primesource Corp. ................... 21,843 139,249
*Printronix, Inc. .................... 44,700 804,600
*Procept, Inc. ....................... 5,800 19,938
*Procyte Corp. ....................... 26,500 63,766
*Professional Bancorp, Inc. .......... 10,210 134,644
*Professional Sports Care
Management, Inc. .................... 6,800 44,625
*Progress Financial Corp. ............ 3,600 20,475
Progressive Bank, Inc. .............. 29,100 843,900
*Progroup, Inc. ...................... 33,700 134,800
*Proler International Corp. .......... 44,900 336,750
*Pronet, Inc. ........................ 36,800 1,127,000
*Proteon, Inc. ....................... 15,900 123,225
*Protocol Systems, Inc. .............. 61,800 652,763
Provena Foods, Inc. ................. 200 775
Providence & Worcester Railroad Co. 2,300 16,100
Providence Energy Corp. ............. 61,950 1,014,431
Provident Bankshares Corp. .......... 56,385 1,705,646
*Proxim, Inc. ........................ 7,800 109,688
*#Proxima Corp. ....................... 6,700 119,763
*Psicor, Inc. ........................ 44,400 771,450
*Psychemedics Corp. .................. 21,700 124,775
*Publicker Industries, Inc. .......... 210,200 341,575
Pulaski Furniture Corp. ............. 13,000 222,625
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Pulse Bancorp, Inc. ................. 2,400 $ 40,500
*Pure Tech International, Inc.
(Private Placement) .................. 140,000 291,375
*Pure World, Inc. .................... 169,100 433,319
*Purepac, Inc. ....................... 12,600 91,350
*Q Logic Corp. ....................... 53,800 430,400
*Q-Med, Inc. ......................... 48,300 416,588
*QMS, Inc. ........................... 72,300 316,313
*Quad Systems Corp. .................. 4,600 37,950
Quaker Chemical Corp. ............... 9,000 146,250
*Quaker Fabric Corp. ................. 32,300 298,775
*Quality Dining, Inc. ................ 57,000 1,360,875
*Quality Systems, Inc. ............... 20,500 513,781
*#Quantum Restaurant Group, Inc. ...... 54,900 672,525
*Quest Medical, Inc. ................. 104,799 1,152,789
*Quickresponse Services, Inc. ........ 10,000 253,750
*Quickturn Design Systems, Inc. ...... 14,700 149,756
*Quidel Corp. ........................ 75,500 434,125
*Quiksilver, Inc. .................... 35,400 1,119,525
*Quipp, Inc. ......................... 200 2,000
Quixote Corp. ....................... 43,900 351,200
*R & B, Inc. ......................... 57,300 379,613
*RF Monolithics, Inc. ................ 10,000 70,625
RLI Corp. ........................... 7,750 186,000
*RMI Titanium Co. .................... 16,900 128,863
*RPC Energy Services, Inc. ........... 73,100 584,800
RS Financial Corp. .................. 19,500 767,813
*RTI, Inc. ........................... 5,890 10,676
*Racotek, Inc. ....................... 24,200 139,150
*Radius, Inc. ........................ 54,350 113,795
*Rag Shops, Inc. ..................... 32,000 67,000
*Ragan (Brad), Inc. .................. 40,900 1,390,600
*Rainbow Technologies, Inc. .......... 6,500 147,875
*#Rally's Hamburgers, Inc. ............ 16,300 26,488
*Ramapo Financial Corp. .............. 8,900 35,322
*Ramsay Health Care, Inc. ............ 36,166 124,321
*Ramsay Managed Care, Inc. ........... 1,608 3,718
*#Ramtron International Corp. ......... 19,600 111,475
Raritan Bancorp, Inc. DE ............ 750 16,500
*Rational Software Corp. ............. 27,533 483,548
Rauch Industries, Inc. .............. 3,700 36,306
Raven Industries, Inc. .............. 99,150 1,598,794
*Rawlings Sporting Goods, Inc. ....... 48,700 365,250
*#Raymond Corp. ....................... 92,384 1,893,872
*Raytech Corp. DE .................... 80,300 240,900
*Readicare, Inc. ..................... 182,800 536,975
*Reading Co. Class A ................. 11,000 100,375
*Recoton Corp. ....................... 18,916 335,759
*Recovery Engineering, Inc. .......... 3,100 45,338
*#Reddi Brake Supply Corp. ............ 18,100 44,119
*Redman Industries, Inc. ............. 200 5,600
*Redwood Empire Bancorp .............. 2,900 24,650
*Reeds Jewelers, Inc. ................ 11,495 125,008
Refac Technology Development Corp. . 76,350 534,450
*Reflectone, Inc. .................... 2,500 35,938
*Regeneron Pharmaceuticals, Inc. ..... 14,600 164,250
*#Regional Acceptance Corp. ........... 300 2,625
*Rehabcare Corp. ..................... 3,600 61,650
*Rehabilicare, Inc. .................. 3,400 10,625
*Reliability, Inc. ................... 85,000 711,875
Reliance Steel and Aluminum Co. ..... 7,700 144,375
Reliv International, Inc. ........... 2,000 2,625
*Reno Air, Inc. ...................... 8,800 60,500
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Rentrak Corp. ....................... 11,300 $ 68,153
*Repligen Corp. ...................... 54,000 69,188
*Reptron Electronics, Inc. ........... 15,000 259,688
Republic Automotive Parts, Inc. ..... 39,200 499,800
Republic Bancorp, Inc. .............. 32,976 381,283
*Republic Environmental Systems, Inc. 3,720 13,950
Republic Gypsum Co. ................. 101,640 1,308,615
Republic Savings Financial Corp. .... 4,732 26,618
*Res-Care, Inc. ...................... 45,200 762,750
*Research Industries Corp. ........... 10,100 279,013
Research, Inc. ...................... 20,200 166,650
*Resound Corp. ....................... 13,900 107,725
Resource America, Inc. .............. 200 3,950
*Response Oncology, Inc. ............. 7,700 105,875
*Retirement Care Association, Inc. ... 11,600 147,175
*Retix, Inc. ......................... 70,300 162,569
*Rex Stores Corp. .................... 59,600 1,043,000
*Rexhall Industries, Inc. ............ 10,000 50,000
*Rexon, Inc. ......................... 96,600 10,566
*Rexworks, Inc. ...................... 6,000 15,750
*Rheometrics, Inc. ................... 110 199
*Rhodes, Inc. ........................ 37,900 388,475
*Ribi Immunochem Research, Inc. ...... 45,200 183,625
Richardson Electronics, Ltd. ........ 200 1,825
*Richton International Corp. ......... 1,500 5,250
*Riddell Sports, Inc. ................ 8,882 28,311
*Right Management Consultants, Inc. . 4,500 120,938
*Right Start, Inc. ................... 6,900 30,619
*Rightchoice Managed Care, Inc.
Class A ............................. 3,400 42,925
*Rimage Corp. ........................ 2,100 11,813
*Ringer Corp. ........................ 76,600 119,688
Riser Foods, Inc. Class A ........... 107,400 1,611,000
Rival Co. ........................... 23,000 483,000
*River Oaks Furniture, Inc. .......... 34,000 246,500
*Riverside Group, Inc. ............... 1,300 6,013
Riverside National Bank CA .......... 19,300 264,169
*#Roadmaster Industries, Inc. ......... 301,000 865,375
Roanoke Electric Steel Corp. ........ 16,950 252,131
Robbins & Myers, Inc. ............... 32,100 1,027,200
*Roberds, Inc. ....................... 4,200 43,575
*Robertson-Ceco Corp. ................ 15,557 93,342
Robinson Nugent, Inc. ............... 53,900 400,881
*#Robotic Vision Systems, Inc. ........ 12,800 335,200
*Rocky Shoes & Boots, Inc. ........... 20,000 135,000
*Rodman & Renshaw Capital Group, Inc. 19,000 33,250
*Rogers Corp. ........................ 128,800 3,123,400
*Ross Systems, Inc. .................. 85,000 255,000
Roto-Rooter, Inc. ................... 200 6,275
*Rotonics Manufacturing, Inc. ........ 11,300 18,363
*Rottlund, Inc. ...................... 6,300 41,738
Rowe Furniture Corp. ................ 45,562 222,115
*#Royal Appliance Manufacturing Co. .. 180,000 562,500
Royal Bancshares of Pennsylvania
Class A ............................. 212 2,094
*Royal Gold, Inc. .................... 114,700 881,756
*Royal Grip, Inc. .................... 1,600 6,800
*Royal International Optical Corp. ... 14 12,250
*Rule Industries, Inc. ............... 28,100 417,988
Ryan Beck & Co. ..................... 200 1,500
*Rymer Foods, Inc. ................... 65,133 48,850
*#S&K Famous Brands, Inc. ............. 25,200 189,000
*SBE, Inc. ........................... 1,500 19,688
*SBM Industries, Inc. ................ 500 2,063
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*SBS Technologies, Inc. .............. 3,100 $ 24,413
*SC Bancorp .......................... 200 1,163
SCOR U.S. Corp. ..................... 25,900 394,975
*SCS/COMPUTE, Inc. ................... 47,300 121,206
SFFED Corp. ......................... 8,000 250,000
*SFX Broadcasting, Inc. Class A ...... 3,800 109,250
SI Handling, Inc. ................... 27,750 187,313
SJW Corp. ........................... 16,600 576,850
SKI, Ltd. ........................... 5,225 71,844
SL Industries, Inc. ................. 176,685 1,369,309
*#SLM International, Inc. ............. 19,100 28,650
*SPSS, Inc. .......................... 7,800 144,788
*SSE Telecom, Inc. ................... 5,500 48,125
*STB Systems, Inc. ................... 4,000 41,750
*STV Engineers, Inc. ................. 17,500 100,625
*Safeguard Health Enterprises, Inc. .. 84,600 983,475
*Safety 1st, Inc. .................... 10,200 204,000
*Safety Components International,
Inc. ................................ 5,100 80,325
*Safetytek Corp. ..................... 2,900 45,675
*Saga Communications, Inc.
Class A ............................. 43,250 648,750
*Sahara Gaming Corp. ................. 9,250 25,438
Saint Francis Capital Corp. ......... 4,000 92,000
Saint Ives Laboratories Corp. ....... 41,800 616,550
Saint Joseph Light & Power Co. ...... 26,250 823,594
Saint Mary Land & Exploration Co. ... 20,200 272,700
*Salant Corp. DE ..................... 77,500 280,938
Salem Corp. ......................... 40,442 834,116
*Salton/Maxim Housewares, Inc. ....... 13,000 39,813
*Sam & Libby, Inc. ................... 6,100 7,434
*San Filippo (John B.) & Son, Inc. ... 51,000 459,000
*San Francisco Co. Class A ........... 1,090 4,905
Sanderson Farms, Inc. ............... 12,000 130,500
Sands Regent Casino Hotel ........... 42,210 242,708
Sandwich Co-Operative Bank MA ....... 7,900 143,188
Sandy Corp. ......................... 4,000 50,500
*Sangstat Medical Corp. .............. 9,500 74,219
*Santa Monica Bank CA ................ 15,700 196,250
*Satcon Technology Corp. ............. 7,800 72,638
*Satellite Technology Management,
Inc. ................................ 6,400 104,800
*Savoy Pictures Entertainment, Inc. .. 42,000 252,000
*Scan-Optics, Inc. ................... 158,000 434,500
*Scanforms, Inc. ..................... 100 272
Schawk, Inc. Class A ................ 19,300 129,069
*Scherer Healthcare, Inc. ............ 200 725
*Schieb (Earl), Inc. ................. 94,400 660,800
Schult Homes Corp. .................. 35,800 617,550
Schultz Sav-O Stores, Inc. .......... 39,600 598,950
*Sciclone Pharmaceuticals, Inc. ...... 125,800 660,450
*Science Dynamics Corp. .............. 28,300 19,014
*Scientific Software-Intercomp, Inc. . 80,000 210,000
Scientific Technologies, Inc. ....... 5,800 92,075
*Scios-Nova, Inc. .................... 267,700 1,037,338
Scope Industries, Inc. .............. 34,800 1,111,425
*Score Board, Inc. ................... 92,900 476,113
Scotsman Industries, Inc. ........... 9,800 161,700
Scott's Liquid Gold, Inc. ........... 84,000 241,500
Seacoast Banking Corp. Class A ...... 1,600 38,800
*Seacor Holdings, Inc. ............... 5,000 114,375
*Seattle Filmworks, Inc. ............. 44,700 854,888
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Seaway Food Town, Inc. .............. 8,000 $ 131,000
*Secom General Corp. ................. 4,700 12,631
Second Bancorp, Inc. ................ 300 8,625
*Security Capital Corp. .............. 45 11
*Seda Specialty Packaging Corp. ...... 5,500 70,469
*Seeq Technology, Inc. DE ............ 168,600 684,938
Selas Corp. of America .............. 12,600 103,950
*Selfix, Inc. ........................ 24,400 131,150
*Semiconductor Packaging Materials
Co., Inc. ........................... 6,300 59,850
*Semtech Corp. ....................... 6,000 152,250
*Seneca Foods Corp. .................. 1,800 31,275
*Seneca Foods Corp. Class A .......... 200 3,188
*Sequoia Systems, Inc. ............... 16,800 85,575
*Sequus Pharmaceuticals, Inc. ........ 19,800 245,025
*#Seragen, Inc. ....................... 20,000 112,500
*Serv-Tech, Inc. ..................... 43,600 286,125
*Servico, Inc. ....................... 26,500 357,750
*Servotronics, Inc. .................. 22,967 106,222
Sevenson Environmental Services,
Inc. ................................ 2,900 51,113
*Shaman Pharmaceuticals .............. 23,200 160,950
*Shared Technologies, Inc. ........... 50,000 184,375
*Sharper Image Corp. ................. 63,300 395,625
*Shaw Group, Inc. .................... 8,600 82,775
*Sheffield Medical Technologies, Inc. 9,900 36,506
Shelby Williams Industries, Inc. .... 39,600 504,900
*Sheldahl, Inc. ...................... 84,650 1,655,966
Shelter Components, Inc. ............ 42,087 689,175
*Sherwood Group, Inc. ................ 11,100 94,350
*Shiloh Industries, Inc. ............. 14,300 160,875
*Shoe Carnival, Inc. ................. 85,000 345,313
*Sholodge, Inc. ...................... 52,300 483,775
Shoreline Financial Corp. ........... 2,210 42,404
*Show Biz Pizza Time, Inc. ........... 83,700 1,067,175
*Showscan Corp. ...................... 44,100 286,650
*#Shuffle Master, Inc. ................ 9,100 122,850
*Sierra Health Services, Inc. ........ 9,805 321,114
Sierra Tahoe Bancorp ................ 200 2,288
*Sifco Industries, Inc. .............. 49,475 219,545
*Sight Resource Corp. ................ 5,200 39,000
*Sigma Designs, Inc. ................. 53,400 320,400
*Sigmatron International, Inc. ....... 3,000 21,563
*Signal Apparel Co., Inc. Class A .... 62,100 388,125
*Signal Technology Corp. ............. 62,000 348,750
*Silicon Valley Bancshares ........... 42,500 945,625
*Siliconix, Inc. ..................... 8,300 326,813
*Silver King Communications, Inc. .... 6,300 219,713
*Silverado Foods, Inc. ............... 5,200 17,550
Simmons First National Corp.
Class A ............................. 2,900 84,825
*Simmons Outdoor Corp. ............... 5,000 51,563
Simpson Industries, Inc. ............ 12,000 114,000
*Simula, Inc. ........................ 17,250 351,469
*Sinter Metals, Inc. Class A ......... 3,800 40,375
*Sirena Apparel Group, Inc. .......... 3,500 20,125
Sizzler International, Inc. ......... 218,400 846,300
*Skolniks, Inc. ...................... 23 6
*Sloane's Supermarkets, Inc. ......... 51,139 191,771
*Smith Environmental Technologies
Corp. ............................... 89,700 386,831
*Sodak Gaming, Inc. .................. 42,000 819,000
*Softdesk, Inc. ...................... 48,000 1,086,000
*Softech, Inc. ....................... 86,700 330,544
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Softnet Systems, Inc. ............... 13,700 $ 135,288
*Softnet Systems, Inc. (Private
Placement) .......................... 21,136 187,846
*Software Professionals, Inc. ........ 500 1,281
*Software Publishing Corp. ........... 106,800 360,450
*Software Spectrum, Inc. ............. 17,300 342,756
*Somatix Therapies Corp. ............. 76,775 383,875
Somerset Group, Inc. ................ 200 3,550
*Somerset Savings Bank ............... 440 619
Sonesta International Hotels Corp.
Class A ............................. 200 1,250
*Sonic Solutions ..................... 7,400 55,038
*Sound Advice, Inc. .................. 65,100 130,200
Southern California Water Co. ....... 40,000 755,000
*Southern Electronics Corp. .......... 7,000 36,313
*Southern Energy Homes, Inc. ......... 65,750 1,175,281
*Southern Union Co. .................. 127,695 3,048,718
*Southwall Technologies, Inc. ........ 74,600 307,725
Southwest Bancorp, Inc. ............. 4,100 71,750
Southwest Bancshares, Inc. DE ....... 2,300 62,963
Southwest National Corp. ............ 6,000 204,000
Southwest Securities Group, Inc ..... 9,400 96,350
Southwest Water Co. ................. 3,500 32,594
*Spaghetti Warehouse, Inc. ........... 51,900 253,013
Span-American Medical System, Inc. . 50,500 293,531
Spartan Motors, Inc. ................ 124,800 1,388,400
Spartech Corp. ...................... 26,905 181,609
*Sparton Corp. ....................... 90,400 372,900
*Spec's Music, Inc. .................. 89,566 201,524
*Special Devices, Inc. ............... 13,000 199,063
*Specialty Chemical Resources, Inc. .. 37,800 99,225
*Specialty Paperboard, Inc. .......... 4,400 55,550
*Spectran Corp. ...................... 51,000 274,125
*Spectranetics Corp. ................. 17,102 52,375
*Spectrum Control, Inc. .............. 68,800 236,500
*Speizman Industries, Inc. ........... 28,900 84,894
*Spire Corp. ......................... 56,200 144,013
*Sport Chalet, Inc. .................. 55,000 144,375
Sport Supply Group, Inc. ............ 7,350 53,288
*#Sportmart, Inc. ..................... 12,800 100,800
*Sports & Recreation, Inc. ........... 12,000 84,000
*Spreckels Industries, Inc. Class A .. 5,400 75,263
*Square Industries, Inc. ............. 100 706
*Staar Surgical Co. .................. 40,675 477,931
*Stacey's Buffet, Inc. ............... 142,600 84,669
*Staff Builders, Inc. ................ 128,100 384,300
Stage II Apparel Corp. .............. 8,000 24,000
*Standard Brands Paint Co. ........... 16,510 16,510
*Standard Commercial Corp. ........... 30,189 350,946
*Standard Management Corp. ........... 5,500 26,813
*Stanford Telecommunications, Inc. ... 51,350 956,394
*Stanley Furniture, Inc. ............. 15,000 123,750
*Staodyn, Inc. ....................... 3,200 5,400
*Starcraft Corp. ..................... 200 963
Starret Housing Corp. ............... 125,800 951,363
Starrett (L.S.) Co. Class A ......... 1,800 42,075
*Starsight Telecast, Inc. ............ 41,100 174,675
*State of the Art, Inc. .............. 21,000 212,625
*Steck-Vaughn Publishing Corp. ....... 20,000 145,000
Steel Technologies, Inc. ............ 25,400 222,250
*Steel of West Virginia, Inc. ........ 46,700 467,000
Stepan Co. .......................... 27,000 418,500
Stephan Co. ......................... 10,000 158,750
*Sterile Concepts Holdings, Inc. ..... 2,700 37,800
Sterling Bancorp .................... 150,400 1,654,400
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Sterling Bancshares ................. 3,100 $ 53,475
*Sterling Electronics Corp. .......... 50,300 842,525
*Sterling Financial Corp. WA ......... 6,450 87,075
*Stevens Graphics Corp. Class A ...... 59,800 414,863
Stewart Information Services Corp. .. 21,750 483,938
Stifel Financial Corp. .............. 3,800 22,325
*Stimsonite Corp. .................... 8,000 73,000
*Stokely USA, Inc. ................... 92,200 518,625
*Storage Computer Corp. .............. 15,892 141,042
*Strategic Distribution, Inc. ........ 91,600 578,225
*Strober Organization, Inc. .......... 29,100 114,581
*Strouds, Inc. ....................... 8,300 33,459
*Struthers Industries, Inc. .......... 8,900 19,469
*Stuart Entertainment, Inc. .......... 7,400 49,950
*Styles On Video, Inc. ............... 1,500 4,219
*Submicron Systems Corp. ............. 52,700 533,588
*Sudbury, Inc. ....................... 9,064 71,379
Suffolk Bancorp ..................... 3,000 108,000
*Sugen, Inc. ......................... 8,700 94,613
*Sulcus Computer Corp. ............... 20,300 41,869
Sullivan Dental Products, Inc. ...... 82,500 757,969
*Summa Four, Inc. .................... 7,000 106,750
*Summa Industries, Inc. .............. 200 875
*Summagraphics Corp. ................. 19,600 37,363
*Summit Care Corp. ................... 5,400 121,500
Summit Family Restaurants, Inc. ..... 81,300 421,744
*Sun City Industries, Inc. ........... 150 384
*Sun Coast Plastics, Inc. ............ 24,000 201,000
*Sun Sportswear, Inc. ................ 55,700 194,950
Sun Television and Appliances, Inc. . 19,000 106,875
*Sunair Electronics, Inc. ............ 49,200 123,000
*Sunbelt Company, Inc. ............... 200 1,575
*Sunbelt Nursery Group, Inc. ......... 6,800 20,825
*Suncoast Savings & Loan
Association FSA ..................... 15,200 96,663
*Sundance Homes, Inc. ................ 50,000 128,125
*Sunrise Bancorp CA .................. 5,341 13,686
Sunrise Bancorp, Inc. ............... 3,000 93,938
*Sunrise Leasing Corp. ............... 3,300 10,313
*Sunstates Corp. DE .................. 18,399 78,196
Super Food Services, Inc. ........... 86,500 1,102,875
*Superconductor Technologies, Inc. ... 6,000 29,625
*Supercuts, Inc. ..................... 79,300 664,138
Superior Surgical Manufacturing Co.,
Inc. ................................ 90,100 810,900
*Supertex, Inc. ...................... 177,300 1,839,488
*Suprema Specialties, Inc. ........... 2,500 12,500
*Supreme Industries, Inc. ............ 54,609 440,285
*Supreme International Corp. ......... 2,800 45,850
*Surety Capital Corp. ................ 3,900 14,625
*Surgical Laser Technologies, Inc. ... 12,500 14,063
*Surgical Technologies, Inc. ......... 3,800 5,819
*Survival Technology, Inc. ........... 17,900 163,338
*Swift Energy Corp. .................. 58,320 634,230
*Swing-n-Slide Corp. ................. 60,000 247,500
*Swisher International, Inc. ......... 200 900
*Sybron Chemicals, Inc. .............. 6,200 76,725
*Sylvan Foods Holdings, Inc. ......... 6,900 75,469
*Symix Systems, Inc. ................. 3,000 33,375
*Syms Corp. .......................... 29,500 224,938
Synalloy Corp. DE ................... 89,158 1,844,456
*Synbiotics Corp. .................... 18,500 48,563
*Syncor International Corp. DE ....... 8,400 59,850
*Syntellect, Inc. .................... 84,100 283,838
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*#Syquest Technology, Inc. ............ 81,600 $ 872,100
*Systemed, Inc. ...................... 142,364 836,389
*Systemix, Inc. ...................... 10,000 145,000
*Systemsoft Corp. .................... 9,100 121,713
*T Cell Sciences, Inc. ............... 68,800 236,500
TCBY Enterprises, Inc. .............. 28,200 119,850
*TCC Industries, Inc. ................ 38,000 95,000
*TCI International, Inc. ............. 32,060 296,555
*TCSI Corp. .......................... 12,400 216,225
*TESSCO Technologies, Inc. ........... 3,700 95,738
*TFC Enterprises, Inc. ............... 101,000 700,688
*TII Industries, Inc. ................ 16,020 139,174
*TII Industries, Inc. Class B ........ 13,440 116,760
*TMBR/Sharp Drilling, Inc. ........... 21,900 184,781
*TPI Enterprises, Inc. ............... 22,400 77,000
*TRC Companies, Inc. ................. 75,700 444,738
*TRM Copy Centers Corp. .............. 61,000 590,938
*TRO Learning, Inc. .................. 5,500 44,688
*TSF Communications Corp. ............ 500 6,313
TSI, Inc. MN ........................ 37,800 458,325
TSR, Inc. ........................... 25,500 149,813
Tab Products Co. DE ................. 71,350 481,613
*Taco Cabana Inc. .................... 113,200 622,600
*Talley Industries, Inc. ............. 89,700 706,388
*Tandy Brand Accessories, Inc. ....... 55,977 384,842
*Tandy Crafts, Inc. .................. 143,300 1,074,750
*Tanknology Environmental, Inc. ...... 11,400 25,650
*Target Technologies, Inc. ........... 4,300 31,981
*Targeted Genetics Corp. ............. 100,000 518,750
Tasty Baking Co. .................... 31,700 423,988
*Tatham Off-Shore, Inc. .............. 25,000 28,125
*Team, Inc. .......................... 61,100 145,113
*Tech-Sym Corp. ...................... 67,300 2,010,588
Tech/Ops Sevcon, Inc. ............... 61,400 660,050
Technalysis Corp. ................... 13,500 167,063
*Techne Corp. ........................ 5,600 130,900
*Technical Communications Corp. ...... 7,300 63,875
Technitrol, Inc. .................... 150,300 2,930,850
*Technology Solutions Corp. .......... 23,700 402,900
*Tejas Power Corp. ................... 54,500 436,000
Tejon Ranch Co. ..................... 5,100 74,588
*Tekelec ............................. 124,400 2,005,950
*Telco Systems, Inc. ................. 47,100 456,281
*Telebit Corp. ....................... 111,200 493,450
*Telemundo Group, Inc. Class A ....... 1,700 27,413
*Televideo Systems, Inc. ............. 349,000 289,016
*Temtex Industries, Inc. ............. 34,100 153,450
*#Terex Corp. ......................... 11,300 52,263
*Tetra Technologies, Inc. ............ 107,500 1,773,750
*#Texas Biotechnology Corp. ........... 16,000 27,000
*Texas Meridian Resources Corp. ...... 11,400 141,075
Texas Regional Banchshares, Inc.
Class A ............................. 200 3,500
*Texfi Industries, Inc. .............. 142,400 409,400
*Thackeray Corp. ..................... 123,700 541,188
*Theragenics Corp. ................... 44,400 246,975
*Theratech, Inc. UT .................. 55,000 1,024,375
*Thermo Power Corp. .................. 105,100 1,445,125
*Thermo Process Systems, Inc. ........ 3,200 41,600
Thermo Remediation, Inc. ............ 9,600 135,600
*#Thermo Voltek Corp. ................. 80,300 1,304,875
*Thermwood Corp. ..................... 4,600 10,638
*Thomas Group, Inc. .................. 3,000 45,000
Thomas Industries, Inc. ............. 50,000 1,018,750
Thomaston Mills, Inc. ............... 3,900 51,188
Thor Industries, Inc. ............... 3,400 56,525
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Thorn Apple Valley, Inc. ............ 62,100 $1,024,650
Three D Department Stores, Inc.
Class A ............................. 32,500 69,063
Three D Department Stores, Inc.
Class B ............................. 17,300 35,681
*Tide West Oil Co. ................... 8,600 111,800
Timberline Software Corp. ........... 14,550 130,041
*Tipperary Corp. ..................... 10,100 42,925
*Titan Corp. ......................... 234,600 1,612,875
Titan Holdings, Inc. ................ 8,110 110,499
Toastmaster, Inc. ................... 39,600 173,250
*#Todays Man, Inc. .................... 33,600 153,300
*Todd Shipyards Corp. ................ 24,300 145,800
Todd-AO Corp. Class A ............... 12,100 95,288
*Todhunter International, Inc.
(Private Placement) .................. 48,000 334,800
*Tokheim Corp. ....................... 50,000 331,250
*#Tokos Medical Corp. ................. 86,000 698,750
*Tolland Bank ........................ 200 1,900
Tompkins County Trust Co. ........... 220 6,243
*Tops Appliance City, Inc. ........... 27,900 94,163
*Toreador Royalty Corp. .............. 41,700 104,250
*Torotel, Inc. ....................... 55,335 83,003
*Total Telephone USA Communications,
Inc. ................................ 550 10,656
Tower Air, Inc. ..................... 126,000 874,125
*Tower Automotive, Inc. .............. 10,800 163,350
*Tracor, Inc. ........................ 38,600 579,000
*Tractor Supply Co. .................. 40,000 785,000
*Trak Auto Corp. ..................... 92,000 1,449,000
*Trans World Entertainment Corp. ..... 80,000 210,000
*TransNet Corp. ...................... 29,200 103,113
*Transaction Network Services, Inc. .. 5,600 135,100
*Transamerica Waste Industries, Inc. 12,000 15,750
*Transcend Services, Inc. ............ 11,700 57,038
*Transcisco Industries, Inc. ......... 4,900 14,088
*Transmation, Inc. ................... 2,600 15,925
Transmedia Network, Inc. ............ 33,000 338,250
Transport Financial Bancorp, Inc. ... 4,900 83,606
*Transport Industries, Inc. .......... 1,000 2,563
Transport Leasing International,
Inc. ................................ 4,600 16,963
Transport Lux Corp. ................. 15,491 139,419
Transtechnology Corp. ............... 99,100 1,189,200
*Transworld Home Healthcare, Inc. .... 5,000 50,313
Tranzonic Companies Class A ......... 54,800 791,175
Tranzonic Companies Class B ......... 30,350 434,384
*Travel Ports of America, Inc. ....... 11,000 31,625
Treadco, Inc. ....................... 43,900 257,913
*Tremont Corp. DE .................... 24,100 400,663
*Trend-Lines, Inc. Class A ........... 6,350 74,613
*Tri-Lite, Inc. ...................... 109 61
*Triad Guaranty, Inc. ................ 3,800 101,650
*Triad Systems Corp. ................. 111,100 617,994
Triangle Bancorp, Inc. .............. 7,900 97,269
*Tricord Systems, Inc. ............... 36,800 112,700
*Tridex Corp. ........................ 39,300 307,031
*Trimark Holdings, Inc. .............. 6,400 46,400
*Trimedyne, Inc. ..................... 34,200 94,050
*Trinitec Systems, Inc. Class A ...... 8,000 41,000
Trion, Inc. ......................... 67,550 346,194
*Triple S Plastics, Inc. ............. 3,000 20,250
*Triquint Semiconductor, Inc. ........ 4,600 76,475
*Trism, Inc. ......................... 35,900 278,225
*Tristar Corp. ....................... 3,300 22,688
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Triton Group, Ltd. .................. 1,568 $ 4,998
*Truevision, Inc. .................... 10,400 76,050
Tseng Laboratories, Inc. ............ 20,800 201,500
*Tuboscope Vetco International, Inc. . 115,500 678,563
*Tucker Drilling Co., Inc. ........... 30,000 230,625
*Tuesday Morning Corp. ............... 36,000 202,500
*Tultex Corp. ........................ 26,500 125,875
*Turner Corp. ........................ 86,400 799,200
Tuscarora Plastics, Inc. ............ 6,800 161,500
Twin Disc, Inc. ..................... 65,600 1,500,600
*Tyler Corp. ......................... 21,700 75,950
U.S. Bancorp, Inc. .................. 5,425 170,219
*UNC, Inc. ........................... 39,100 219,938
*URS Corp. ........................... 92,751 637,663
*US Servis, Inc. ..................... 14,000 61,250
*US Xpress Enterprises, Inc. Class A 9,000 65,250
*USA Truck, Inc. ..................... 5,600 62,650
*USData Corp. ........................ 32,900 616,875
*USMX, Inc. .......................... 9,400 17,625
USX-Delhi Group ..................... 50,000 512,500
*UTI Energy Corp. .................... 2,900 14,138
*Ultimate Electronics, Inc. .......... 20,200 169,175
*Ultra Pacific, Inc. ................. 10,000 38,125
*Ultrak, Inc. ........................ 5,900 30,238
*Ultralife Batteries, Inc. ........... 8,300 180,525
Uni-Marts, Inc. ..................... 6,100 55,663
Unico American Corp. ................ 121,200 734,775
*Uniflex, Inc. ....................... 1,300 11,863
Uniforce Temporary Personnel, Inc. .. 92,200 887,425
*Unigene Laboratories, Inc. .......... 9,400 15,275
*Unilab Corp. ........................ 34,800 104,400
*Unimed, Inc. ........................ 26,300 174,238
*Union Corp. DE ...................... 20,000 340,000
*Union Switch & Signal, Inc. ......... 37,000 254,375
*#Uniphase Corp. ...................... 42,000 1,475,250
*Unique Mobility, Inc. ............... 11,600 46,400
*Uniroyal Technology Corp. ........... 14,200 46,150
*Unit Corp. .......................... 141,700 549,088
Unit Instruments, Inc. .............. 30,180 422,520
*United American Healthcare Corp. .... 52,350 556,219
*United Capital Corp. ................ 50,754 355,278
*United Foods, Inc. Class A .......... 27,900 55,800
*#United Foods, Inc. Class B .......... 141,900 319,275
*United Guardian, Inc. ............... 47,720 107,370
United Industrial Corp. ............. 100,800 478,800
United National Bancorp ............. 3,850 127,050
*United Retail Group, Inc. ........... 15,200 72,200
United Savings Bank F.A. Great
Falls, MT ........................... 200 3,500
*United States Alcohol Testing
America, Inc. ....................... 31,400 64,763
*United States Bioscience, Inc. ...... 44,800 168,000
*United States Energy Corp. .......... 9,870 39,172
United States Facilities Corp. ...... 54,100 1,183,438
*United States Homecare Corp. ........ 9,100 22,750
United States Lime & Minerals, Inc. . 14,300 116,188
*United Video Satellite Group, Inc.
Class A ............................. 3,300 92,400
*Unitel Video, Inc. .................. 51,200 265,600
Unitil Corp. ........................ 39,552 800,928
Unitog Co. .......................... 2,550 62,794
*Universal Electronics, Inc. ......... 6,800 49,300
Universal Forest Products, Inc. ..... 120,200 1,066,775
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Universal Holding Corp. ............. 500 $ 1,250
*Universal Hospital Services, Inc. ... 3,800 36,575
*Universal International, Inc. ....... 3,900 19,500
*Universal Security Instruments, Inc. 44,000 53,625
*Universal Seismic Association, Inc. . 4,600 13,081
*Universal Standard Medical Labs,
Inc. ................................ 27,300 131,381
*University Genetics Co. Class A ..... 76,100 0
*Uno Restaurant Corp. ................ 231,491 1,591,501
Upper Peninsula Energy Corp. ........ 20,400 392,700
*Uranuim Resources, Inc. ............. 41,600 228,800
*Uromed Corp. ........................ 38,000 382,375
*Utah Medical, Inc. .................. 11,100 163,031
*Utilx Corp. ......................... 144,800 307,700
*V Band Systems, Inc. ................ 5,300 7,784
*V Mark Software, Inc. ............... 19,764 130,937
*VTEL Corp. .......................... 11,000 219,313
VWR Scientific Products Corp. ....... 9,100 108,063
*Valence Technology, Inc. ............ 170,100 765,450
*Vallen Corp. ........................ 61,400 1,343,125
Valley Forge Corp. .................. 500 9,000
Valley Resources, Inc. .............. 34,887 370,674
Vallicorp Holdings, Inc. ............ 23,000 310,500
*Valuevision International, Inc.
Class A ............................. 35,000 194,688
*Vans, Inc. .......................... 82,600 601,431
*Vari L Co., Inc. .................... 3,200 43,200
*Variflex, Inc. ...................... 51,100 408,800
*Varitronic Systems, Inc. ............ 24,100 234,975
#Varlen Corp. ........................ 8,208 214,434
Varsity Spirit Corp. ................ 4,700 66,975
*Vaughn Communications, Inc. ......... 2,600 23,725
*Vectra Technologies, Inc. ........... 34,500 97,031
*Ventura County National Bancorp ..... 9,209 34,534
Venture Stores, Inc. ................ 42,800 155,150
*Venturian Corp. ..................... 21,900 123,188
Vermont Financial Services Corp. .... 15,013 476,663
*Vermont Teddy Bear, Inc. ............ 2,000 8,000
Versa Technologies, Inc. ............ 60,550 862,838
*Versar, Inc. ........................ 46,100 164,231
*Vertex Communications Corp. ......... 43,300 671,150
*Veterinary Centers of America, Inc. . 7,000 106,750
*Vical, Inc. ......................... 80,000 745,000
*Vicon Industries, Inc. .............. 54,250 84,766
*Vicorp Restaurants, Inc. ............ 64,300 735,431
*Video Display Corp. ................. 41,750 159,172
*Video Lottery Technologies, Inc. .... 10,600 42,400
*Videonics, Inc. ..................... 5,400 65,475
*Vie de France Corp. ................. 211,800 714,825
*Viral Testing Systems Corp. ......... 114,750 1,148
Virco Manufacturing Corp. ........... 63,025 638,128
Virginia Beach Federal Financial
Corp. ............................... 87,950 698,103
Virginia First Financial Corp. ...... 9,870 107,336
*Vision Sciences, Inc. ............... 9,100 23,319
*Visx, Inc. DE ....................... 43,000 1,478,125
*Vitesse Semiconductor, Inc. ......... 101,000 1,129,938
*Vitronics Corp. ..................... 64,800 162,000
*Volt Information Sciences, Inc. ..... 1,000 26,250
*Volunteer Capital Corp. ............. 122,700 1,257,675
Vulcan International Corp. .......... 10,951 234,762
*WPI Group, Inc. ..................... 5,700 18,525
*WRT Energy Corp. .................... 8,300 6,614
*WSFS Financial Corp. ................ 12,200 108,275
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*WSMP, Inc. .......................... 2,375 $ 11,430
*WTD Industries, Inc. ................ 48,040 37,531
Wackenhut Corp. Class A ............. 39,897 678,249
Wackenhut Corp. Class B
Non-Voting .......................... 56,095 827,401
*Wahlco Environmental System, Inc. ... 19,400 38,800
*Wainoco Oil Corp. ................... 127,300 365,988
*Wainwright Bank & Trust Co. ......... 200 1,050
*Walker Interactive Systems, Inc. .... 109,000 817,500
*Wall Street Deli, Inc. .............. 11,400 79,800
Walshire Assurance Co. .............. 16,003 265,050
*Warner Insurance Services, Inc. ..... 88,445 121,612
*Warrantech Corp. .................... 14,300 73,288
Warren Bancorp, Inc. ................ 101,400 1,083,713
*Washington Homes, Inc. .............. 11,000 55,000
Washington Savings Bank FSB Waldorf,
MD .................................. 28,912 159,016
*Washington Scientific Industries,
Inc. ................................ 61,100 259,675
Waters Instruments, Inc. ............ 500 2,156
Watsco, Inc. Class A ................ 4,550 75,075
Watsco, Inc. Class B ................ 22,882 381,843
*Wave Technologies International,
Inc. ................................ 3,300 19,594
Waverly, Inc. ....................... 31,100 1,263,438
*Waxman Industries, Inc. ............. 10,100 8,206
*Waxman Industries, Inc. Class B ..... 9,750 7,922
Webster Financial Corp. ............. 24,754 640,510
*Wedco Technology, Inc. .............. 36,246 412,298
*Wegener Corp. ....................... 5,500 53,281
*Weitek Corp. ........................ 87,200 299,750
*Welcome Home, Inc. .................. 15,000 37,031
*Wellcare Management Group, Inc. ..... 4,000 84,500
Wellco Enterprises, Inc. ............ 4,100 65,856
*Wells-Gardner Electronics Corp. ..... 79,500 298,125
*Westbridge Capital Corp. ............ 10,800 64,800
*Westerbeke Corp. .................... 20,000 60,000
Westerfed Financial Corp. ........... 5,000 79,375
Western Bank Coos Bay, OR ........... 6,789 126,445
*Western Beef, Inc. .................. 42,386 249,018
*Western Micro Technology, Inc. ...... 37,500 213,281
*Western Water Co. ................... 3,600 93,150
*Westmoreland Coal Co. ............... 47,800 119,500
*Weston (Roy F.), Inc. Class A ....... 5,000 28,125
Westport Bancorp, Inc. .............. 2,250 12,938
*Wet Seal, Inc. Class A .............. 10,000 85,625
*Whitehall Corp. ..................... 68,100 2,392,013
*Whittaker Corp. ..................... 30,000 532,500
*Whole Foods Market, Inc. ............ 90,000 1,305,000
*Wholesome & Hearty Foods, Inc. ...... 23,200 211,700
*Wichita River Holding Corp. ......... 7,095 2,217
*Wickes Lumber Co. ................... 6,800 40,800
*Williams Clayton Energy, Inc. ....... 4,300 10,213
*Williams Controls, Inc. ............. 56,700 157,697
Wilshire Oil Co. of Texas ........... 233,511 1,401,066
#Windmere Corp. ...................... 104,900 629,400
*Winston Resources, Inc. ............. 1,000 1,375
Winthrop Resources Corp. ............ 2,200 36,988
Wireless Telecom Group, Inc. ........ 8,500 146,625
*#Wisconsin Pharmacal Co. ............. 7,000 26,688
Wiser Oil Co. ....................... 45,000 562,500
Wolf (Howard B.), Inc. .............. 500 3,313
Wolohan Lumber Co. .................. 47,700 426,319
Woodhead Industries, Inc. ........... 176,550 2,813,766
Workingmens Capital Holdings, Inc. .. 200 3,500
*World Acceptance Corp. .............. 174,000 2,066,250
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
World Fuel Services Corp. ........... 20,100 $ 286,425
*Worldcorp, Inc. ..................... 116,000 1,160,000
*Worldtex, Inc. ...................... 141,800 797,625
Worthington Foods, Inc. ............. 5,200 83,200
Wynns International, Inc. ........... 92,175 2,650,031
*Xicor, Inc. ......................... 23,900 182,984
*#Xoma Corp. .......................... 22,400 48,300
*Xpedite Systems, Inc. ............... 3,600 52,200
*Xylogics, Inc. ...................... 110,800 7,811,400
*Xytronyx, Inc. ...................... 28,200 45,825
*#Yes Clothing Co. .................... 22,600 48,025
York Financial Corp. ................ 15,950 265,169
*York Research Corp. ................. 20,100 116,203
*Younkers, Inc. ...................... 25,000 631,250
*Youth Services International, Inc. .. 5,900 90,344
*Zaring Homes, Inc. .................. 10,000 93,750
*Zemex Corp. ......................... 36,672 316,297
Ziegler Co., Inc. ................... 500 8,313
*Zing Technologies, Inc. ............. 12,700 193,675
*Zitel Corp. ......................... 63,100 698,044
*Zoll Medical Corp. .................. 3,000 27,000
*Zoltek Companies, Inc. .............. 5,250 73,828
*Zycad Corp. ......................... 211,600 1,348,950
*Zygo Corp. .......................... 14,250 409,688
*Zynaxis, Inc. ....................... 51,000 51,000
*Zytec Corp. ......................... 4,700 42,888
-------------
TOTAL COMMON STOCKS
(Cost $714,895,722) .................. 913,017,794
-------------
PREFERRED STOCKS -- (0.0%)
*Alfin, Inc. 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 0
*Buell Industries, Inc. Contingent
Payment Rights ..................... 59,800 0
*Jamesway Corp. Warrants 01/28/10 ... 3,296 330
*Krug International Corp.
Warrants 01/31/98 ................. 4,293 1,073
*Sound Advice, Inc. Warrants 06/14/99. 4,675 0
-------------
TOTAL RIGHTS/WARRANTS
(Cost $2,060) ........................ 1,403
-------------
Face
Amount
-------
(000)
TEMPORARY CASH INVESTMENTS -- (1.7%)
Repurchase Agreement, PNC Securities
Corp. 5.65%, 12/01/95 (Collateralized
by U.S. Treasury Notes 6.125%,
05/31/97) (Cost $15,578,000) ........ $ 15,578 15,578,000
-------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $730,475,782) ................ $928,597,197
=============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
<PAGE>
SCHEDULES OF INVESTMENTS
THE U.S. 6-10 SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Shares Value+
------------ ---------------
<S> <C> <C>
Investment in The U.S. 6-10 Small Company Series of The DFA Investment
Trust Company ............................................................ 16,577,500 $186,698,876
---------------
Total Investments (100%) (Cost $143,041,509) ......................... $186,698,876
===============
</TABLE>
THE U.S. LARGE COMPANY PORTFOLIO
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Shares Value+
----------- --------------
<S> <C> <C>
Investment in The U.S. Large Company Series of The DFA Investment
Trust Company ............................................................ 7,203,088 $97,118,377
--------------
Total Investments (100%) (Cost $69,638,020) .......................... $97,118,377
==============
</TABLE>
THE U.S. SMALL CAP VALUE PORTFOLIO
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Shares Value+
------------ ---------------
<S> <C> <C>
Investment in The U.S. Small Cap Value Series of The DFA Investment
Trust Company ............................................................ 43,520,584 $610,058,529
---------------
Total Investments (100%) (Cost $506,607,558) ......................... $610,058,529
===============
</TABLE>
THE U.S. LARGE CAP VALUE PORTFOLIO
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Shares Value+
------------ --------------
<S> <C> <C>
Investment in The U.S. Large Cap Value Series of The DFA Investment
Trust Company ............................................................ 21,135,719 $280,939,197
--------------
Total Investments (100%) (Cost $227,796,095) ......................... $280,939,197
==============
</TABLE>
- ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA/AEW REAL ESTATE SECURITIES PORTFOLIO
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Shares Value+
------ -------
<S> <C> <C>
COMMON STOCKS -- (96.1%)
AMLI Residential Properties Trust 12,800 $ 240,000
Agree Realty Corp. ............... 2,900 46,037
American Industrial Properties ... 8,100 17,212
*American Realty Trust, Inc. ...... 3,200 46,400
Apartment Investment & Management
Co. Class A .................... 11,100 210,900
Arbor Property Trust ............. 13,400 80,400
Associated Estates Realty Corp. .. 16,000 308,000
Avalon Properties, Inc. .......... 31,300 610,350
BRE Properties, Inc. Class A ..... 12,600 417,375
Bay Apartment Communities, Inc. .. 12,700 276,225
Beacon Properties Corp. .......... 22,400 459,200
Bedford Property Investors, Inc. . 6,900 45,712
Berkshire Realty Co. ............. 28,000 262,500
Boddie-Noell Properties, Inc. .... 3,300 41,250
Bradley Real Estate, Inc. ........ 10,050 139,444
Burnham Pacific Properties, Inc. . 19,800 205,425
CBL & Associates Properties, Inc. 22,400 459,200
Cali Realty Corp. ................ 13,000 256,750
*California Real Estate Investment
Trust .......................... 8,200 10,250
Camden Property Trust ............ 16,800 346,500
Carr Realty Corp. ................ 15,400 331,100
Centerpoint Properties Corp. ..... 10,000 222,500
Chateau Properties, Inc. ......... 7,000 152,250
Chelsea GCA Realty, Inc. ......... 12,300 342,862
Chicago Dock & Canal Trust III ... 6,500 67,031
Clevetrust Realty Investors ...... 6,000 28,500
Colonial Properties Trust ........ 14,400 354,600
Columbus Realty Trust ............ 12,700 239,712
Commercial Net Lease Realty, Inc. 12,800 168,000
Copley Properties, Inc. .......... 3,800 48,925
Cousins Properties, Inc. ......... 30,900 567,787
Crescent Real Estate Equities,
Inc. ........................... 25,500 860,625
Crown American Realty Trust ...... 31,300 207,363
Debartolo Realty Corp. ........... 63,400 816,275
Developers Diversified Realty
Corp. .......................... 21,900 618,675
Duke Realty Investments, Inc. .... 23,600 654,900
*EQK Realty Investors ............. 10,000 16,250
Eastgroup Properties ............. 4,600 97,175
Equity Residential Properties
Corp. .......................... 39,800 1,233,800
Essex Property Trust ............. 7,300 135,963
Excel Realty Trust, Inc. ......... 14,900 290,550
Factory Stores America, Inc. ..... 13,600 232,900
Federal Realty Investment Trust .. 48,300 1,062,600
First Industrial Realty Trust,
Inc. ........................... 21,800 452,350
First Union Real Estate Equity &
Mortgage Investments ........... 20,300 142,100
First Washington Realty Trust,
Inc. ........................... 3,200 55,800
Gables Residential Trust ......... 16,100 354,200
General Growth Properties ........ 26,300 493,125
Glimcher Realty Trust ............ 24,100 421,750
HGI Realty, Inc. ................. 21,968 488,787
*HMG Courtland Properties, Inc. ... 1,200 9,750
HRE Properties, Inc. ............. 5,900 79,650
Haagen (Alexander) Properties,
Inc. ........................... 13,100 147,375
Highwood Properties, Inc. ........ 20,800 548,600
Home Properties of New York, Inc. 5,900 99,562
IRT Property Co. ................. 37,800 349,650
Irvine Apartment Communities, Inc. 32,900 592,200
JDN Realty Corp. ................. 11,500 235,750
JP Realty, Inc. .................. 18,500 367,687
Kimco Realty Corp. ............... 25,900 1,036,000
*Koger Equity, Inc. ............... 20,500 193,469
Kranzco Realty Trust, Inc. ....... 11,900 171,063
*Landsing Pacific Fund ............ 6,500 27,219
Lexington Corp. Properties, Inc. . 10,700 108,337
Liberty Property Trust ........... 24,400 475,800
MGI Properties ................... 12,700 201,613
Macerich Co. ..................... 19,100 377,225
Manufactured Home Communities,
Inc. ........................... 27,100 474,250
Mark Centers Trust ............... 15,000 155,625
Merry Land & Investment Co., Inc. 37,100 820,837
<PAGE>
THE DFA/AEW REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Shares Value+
------ -------
Mid-America Apartment Communities,
Inc. ........................... 12,637 $ 285,912
Mid-America Realty Investments,
Inc. ........................... 9,100 69,388
Mid-Atlantic Realty Trust ........ 6,800 57,800
Mills Corp. ...................... 19,500 355,875
Monmouth Real Estate Investment
Corp. Class A .................. 3,600 20,475
National Golf Properties, Inc. ... 12,300 272,138
National Income Realty Trust ..... 3,728 40,775
New Plan Realty Trust ............ 65,100 1,367,100
Oasis Residential, Inc. .......... 18,800 392,450
One Liberty Properties, Inc. ..... 1,200 16,350
PS Business Parks, Inc. Class A .. 400 7,050
*Pacific Gateway Properties, Inc. . 4,300 11,556
Pacific Gulf Properties, Inc. .... 5,300 78,175
Paragon Group, Inc. .............. 16,800 281,400
Parkway Co. ...................... 1,500 29,625
Partners Preferred Yield, Inc.
Class A ........................ 3,600 53,100
Partners Preferred Yield II, Inc.
Class A ........................ 3,100 46,887
Partners Preferred Yield III, Inc.
Class A ........................ 1,600 26,400
Pennsylvania Real Estate
Investment Trust ............... 9,500 185,250
Post Properties, Inc. ............ 20,500 620,125
Presidential Realty Corp. Class B 3,300 20,831
Price Real Estate Investment
Trust, Inc. Class B ............ 9,100 261,625
Prime Retail, Inc. ............... 10,500 127,969
Property Capital Trust ........... 10,000 85,000
Public Storage, Inc. ............. 39,929 718,722
Public Storage Properties IX, Inc.
Class A ........................ 1,900 32,538
Public Storage Properties X, Inc.
Class A ........................ 1,900 32,656
Public Storage Properties XI, Inc.
Class A ........................ 2,000 34,750
<PAGE>
THE DFA/AEW REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Shares Value+
------ -------
Public Storage Properties XII,
Inc. Class A ................... 2,000 $ 37,250
Public Storage Properties XIV,
Inc. Class A ................... 2,600 45,500
Public Storage Properties XV, Inc.
Class A ........................ 2,400 42,900
Public Storage Properties XVI,
Inc. Class A ................... 3,500 53,813
Public Storage Properties XVII,
Inc. Class A ................... 3,600 59,400
Public Storage Properties XVIII,
Inc. Class A ................... 3,100 52,700
Public Storage Properties XIX,
Inc. Class A ................... 3,500 48,562
Public Storage Properties XX, Inc.
Class A ........................ 1,000 16,500
ROC Communities, Inc. ............ 13,700 306,538
Real Estate Investment Trust (CA) 10,300 182,825
Realty Income Corp. .............. 21,500 419,250
Reckson Associates Realty Corp. .. 1,600 44,600
Regency Realty Corp. ............. 7,300 120,450
Saul Centers, Inc. ............... 13,700 190,088
Security Capital Industrial Trust 78,900 1,311,713
Security Capital Pacific Trust ... 80,900 1,557,325
Shurgard Storage Centers, Inc.
Class A ........................ 16,500 422,813
Simon Property Group, Inc. ....... 64,395 1,497,184
Sizeler Property Investors, Inc. . 9,900 85,388
Smith (Charles E.) Residential
Realty, Inc. ................... 10,100 232,300
South West Property Trust, Inc. .. 18,100 226,250
Sovran Self Storage, Inc. ........ 3,600 89,550
Spieker Properties, Inc. ......... 31,100 761,950
Storage USA, Inc. ................ 20,000 607,500
Storage Trust Realty ............. 9,500 191,188
Summit Properties, Inc. .......... 22,000 418,000
Sun Communities, Inc. ............ 10,900 272,500
Tanger Factory Outlet Centers,
Inc. ........................... 7,000 162,750
Town & Country Trust ............. 18,100 223,988
Trinet Corporate Realty Trust,
Inc. ........................... 12,500 337,500
Tucker Properties Corp. .......... 12,500 112,500
United Dominion Realty Trust, Inc. 73,100 1,032,538
United Mobile Homes, Inc. ........ 6,200 62,000
Urban Shopping Centers, Inc. ..... 15,500 317,750
Vornado Realty Trust ............. 28,000 994,000
Walden Residential Properties,
Inc. ........................... 15,300 273,595
Washington Real Estate Investment
Trust .......................... 40,400 636,300
Weeks Corp. ...................... 8,600 195,650
Weingarten Realty Investors ...... 29,300 1,003,525
Wellsford Residential Property
Trust .......................... 19,525 407,584
Western Investment Real Estate
Trust .......................... 18,700 198,688
-----------
TOTAL COMMON STOCKS (Cost
$43,955,552) ................... 42,893,574
-----------
Face
Amount
--------
(000)
TEMPORARY CASH INVESTMENTS --
(3.9%)
Repurchase Agreement, PNC
Securities Corp. 5.65%, 12/01/95
(Collateralized by U.S.
Treasury Notes 6.125%,
05/31/97) (Cost $1,752,000) $1,752 1,752,000
-------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $45,707,552) .............. $44,645,574
=============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements.
<PAGE>
SCHEDULE OF INVESTMENTS
THE JAPANESE SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Shares Value+
------- ------
<S> <C> <C>
COMMON STOCKS -- (99.2%)
*#ASK Corp., Yokohama ................ 66,000 $ 277,655
Achilles Corp. ..................... 181,000 672,286
Aica Kogyo Co., Ltd. ............... 102,000 653,202
Aichi Corp. ........................ 44,000 368,906
Aichi Machine Industry Co., Ltd. ... 127,000 725,714
#Aichi Tokei Denki Co., Ltd. ........ 67,000 389,458
Aida Engineering, Ltd. ............. 134,000 1,115,567
*#Akai Electric Co., Ltd. ............ 258,000 803,232
#Akebono Brake Industry Co., Ltd. ... 124,000 574,187
#Alpine Electronics, Inc. ........... 72,000 1,142,069
Amada Sonoike Co., Ltd. ............ 132,000 840,118
*#Amada Wasino Co., Ltd. ............. 122,000 420,690
Ando Corp. ......................... 120,000 604,138
Arai-Gumi, Ltd. .................... 46,600 592,256
Araya Industrial Co., Ltd. ......... 84,000 312,828
#Asahi Denka Kogyo KK ............... 105,000 893,793
Asahi Kogyosha Co., Ltd. ........... 48,000 307,389
*#Asahi Optical Co., Ltd. ............ 171,000 690,739
Asahi Organic Chemicals Industry
Co., Ltd. .......................... 115,000 872,414
Asahi Tec Corp. .................... 86,000 542,266
Asanuma Corp. ...................... 117,000 593,645
#Ashimori Industry Co., Ltd. ........ 84,000 493,241
*Asics Corp. ........................ 307,000 831,773
Bando Chemical Industries, Ltd. .... 182,000 991,586
Bank of Okinawa, Ltd. .............. 15,600 522,562
#Bank of Osaka, Ltd. ................ 330,000 975,369
Bank of the Ryukyus, Ltd. .......... 15,600 568,670
#Bunka Shutter Co., Ltd. ............ 114,000 878,305
#CKD Corp. .......................... 84,000 811,034
CMK Corp. .......................... 76,000 1,108,177
Cabin Co., Ltd. .................... 67,000 319,488
Calpis Food Industry Co., Ltd. ..... 110,000 751,034
#Calsonic Corp. ..................... 135,000 936,355
*Central Finance Co., Ltd. .......... 180,000 762,562
*Central Glass Co., Ltd. ............ 328,000 1,050,246
Chichibu Onoda Cement Corp. ........ 500 2,709
#Chino Corp. ........................ 70,000 440,000
*Chisan Tokan Co., Ltd. ............. 64,000 196,729
*#Chori Co., Ltd. .................... 137,000 453,517
*#Chuetsu Pulp and Paper Co., Ltd. ... 172,000 1,009,970
Chugai Ro Co., Ltd. ................ 60,000 272,512
#Chugoku Marine Paints, Ltd. ........ 111,000 504,148
Chugokukogyo Co., Ltd. ............. 45,000 161,379
Chukyo Coca-Cola Bottling Co., Ltd. 68,000 656,552
Chukyo Sogo Bank, Ltd. ............. 159,000 819,281
Chuo Paperboard Co., Ltd. .......... 62,000 262,049
Chuo Spring Co., Ltd., Nagoya ...... 90,000 459,310
*#Clarion Co., Ltd. .................. 230,000 965,320
Cleanup Corp. ...................... 72,000 964,729
*#Co-Op Chemical Co., Ltd. ........... 80,000 241,970
*Copal Co., Ltd. .................... 78,000 349,655
*D'urban, Inc. ...................... 114,000 491,941
Dai Nippon Construction ............ 81,000 534,680
#Dai Nippon Toryo, Ltd. ............. 181,000 649,103
Dai-Ichi Hotel, Ltd., Tokyo ........ 52,000 286,897
*Dai-Ichi Katei Denki Co., Ltd. ..... 91,000 374,759
Dai-Ichi Kogyo Seiyaku Co., Ltd. ... 47,000 273,202
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
*Dai-Ichi Securities Co., Ltd. ...... 217,000 $ 724,759
#Daido Concrete Co., Ltd. ........... 33,000 139,803
#Daido Hoxan, Inc. .................. 70,000 486,207
#Daido Kogyo Co., Ltd. .............. 60,000 459,310
#Daido Steel Sheet Corp. ............ 86,000 1,076,059
Daidoh, Ltd. ....................... 54,000 412,315
Daiei OMC, Inc. .................... 153,000 874,286
Daihen Corp. ....................... 205,000 1,030,049
Daiho Corp. ........................ 96,000 696,118
Daiichi Cement Co., Ltd. ........... 33,000 147,931
*#Daiichi Chuo Kisen Kaisha .......... 390,000 918,325
Daiichi Jitsugyo Co., Ltd. ......... 80,000 502,857
#Daimei Telecom Engineering Corp. ... 50,000 403,941
Dainichiseika Colour & Chemicals
Manufacturing Co., Ltd. ............ 133,000 930,345
Daisan Bank, Ltd. .................. 166,000 956,749
Daiso Co., Ltd. .................... 46,000 209,833
#Daisue Construction Co., Ltd. ...... 185,000 913,153
Daito Kogyo Co., Ltd. .............. 71,000 374,236
*#Daito Woolen Spinning & Weaving
Co., Ltd., Tokyo ................... 42,000 187,034
*Daiwa Danchi Co., Ltd. ............. 172,000 855,764
Daiwa Seiko, Inc. .................. 134,000 660,099
*Daiwabo Co., Ltd. .................. 212,000 655,842
#Dantani Corp. ...................... 68,000 324,926
Danto Corp. ........................ 35,000 406,897
#Denki Kogyo Co., Ltd. .............. 104,000 896,552
Denny's Japan Co., Ltd. ............ 8,000 241,182
Descente, Ltd. ..................... 107,000 616,700
*#Dijet Industrial Co., Ltd. ......... 34,000 122,266
Dynic Corp. ........................ 52,000 233,103
Eagle Industry Co., Ltd. ........... 43,000 262,236
Ehime Bank, Ltd. ................... 221,000 995,044
*Enshu, Ltd. ........................ 69,000 194,424
*#FDK Corp. .......................... 94,000 746,443
#First Baking Co., Ltd. ............. 67,000 450,847
#France Bed Co., Ltd. ............... 149,000 930,700
Fuji Car Manufacturing Co., Ltd. ... 36,000 201,813
Fuji Denki Reiki Co., Ltd. ......... 70,000 827,586
*#Fuji Kosan Co., Ltd. ............... 117,000 344,660
#Fuji Kyuko Co., Ltd. ............... 174,000 824,571
Fuji Oil Co., Ltd. ................. 133,000 864,828
#Fuji Spinning Co., Ltd., Tokyo ..... 151,000 651,606
*Fujii & Co., Ltd. .................. 44,000 158,227
#Fujiko Co., Ltd. ................... 55,000 211,330
#Fujirebio, Inc. .................... 60,000 475,862
#Fujitec Co., Ltd. .................. 125,900 1,352,030
*Fujitsu General, Ltd. .............. 149,000 1,130,345
*#Fujiya Co., Ltd. ................... 178,000 675,172
Fukuda Corp. ....................... 65,000 607,734
Fukusuke Corp. ..................... 95,000 440,837
#Fukutoku Bank, Ltd. ................ 177,000 401,084
*#Furukawa Battery Co., Ltd. ......... 45,000 289,064
#Futaba Industrial Co., Ltd. ........ 21,000 324,828
*#Ga-jo-en Kanko K.K. ................ 37,000 47,389
*Gakken Co., Ltd. ................... 146,000 848,670
#Gastec Service, Inc. ............... 41,000 302,956
Godo Shusei Co., Ltd. .............. 74,000 349,951
Graphtec Corp. ..................... 39,000 230,542
Gun-Ei Chemical Industry Co., Ltd. . 154,000 773,793
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
Gunze Sangyo, Inc., Tokyo .......... 90,000 $ 399,015
*#Hakone Tozan Railway Co., Ltd. ..... 52,000 199,803
Hakuyosha Co., Ltd. ................ 48,000 273,813
Hanshin Sogo Bank, Ltd. ............ 67,000 211,232
Harima Chemicals, Inc. ............. 37,000 351,773
*Hayashikane Sangyo Co., Ltd. ....... 128,000 303,921
#Hisaka Works, Ltd. ................. 48,000 794,483
#Hisamitsu Pharmaceutical Co., Inc. . 64,000 484,256
Hitachi Electronics, Ltd. .......... 82,000 1,106,798
Hitachi Plant Engineering &
Construction Co., Ltd. ............. 157,000 1,143,084
*#Hitachi Seiki Co., Ltd. ............ 141,000 577,892
Hochiki Corp. ...................... 42,000 277,655
*Hodogaya Chemical Co., Ltd. ........ 90,000 254,483
*Hohsui Corp. ....................... 56,000 200,828
Hokkai Can Co., Ltd., Tokyo ........ 93,000 632,217
#Hokkaido Gas Co., Ltd. ............. 87,000 369,429
Hokko Chemical Industry Co., Ltd. .. 41,000 218,936
*#Hoko Fishing Co., Ltd. ............. 79,000 233,498
*#Hokuriku Electric Industry Co., Ltd. 112,000 540,690
Hokuriku Electrical Construction
Co., Ltd. .......................... 17,000 116,069
#Hokuriku Seiyaku Co., Ltd. ......... 72,000 1,305,222
#Honen Corp. ........................ 119,000 655,379
Horiba, Ltd. ....................... 44,000 563,547
Howa Machinery, Ltd. ............... 175,000 656,897
#Ibiden Co., Ltd. ................... 151,000 1,160,394
Ichida and Co., Ltd. ............... 78,000 400,374
Ichikawa Co., Ltd. ................. 49,000 258,276
Ichiken Co., Ltd. .................. 48,000 456,355
#Ichikoh Industries, Ltd. ........... 133,000 589,655
#Ihara Chemical Industry Co., Ltd. .. 73,000 469,645
*Iino Kaiun Kaisha, Ltd. ............ 161,000 813,724
*#Ikegai Corp. ....................... 90,000 350,246
Ikegami Tsushinki Co., Ltd. ........ 84,000 536,276
Inabata and Co., Ltd., Osaka ....... 78,000 535,626
Inageya Co., Ltd. .................. 41,000 557,438
*Ines Corp. ......................... 75,000 1,160,099
Intec, Inc. ........................ 53,000 903,350
*Inui Steamship Co., Ltd. ........... 31,000 87,044
*Iseki & Co., Ltd. .................. 275,000 1,021,429
Ishii Iron Works Co., Ltd. ......... 52,000 231,567
Ishikawa Seisakusho, Ltd. .......... 75,000 387,931
Ishizuka Glass Co., Ltd. ........... 49,000 229,310
#Itochu Fuel Corp. .................. 66,000 542,956
#Itoki Crebio Corp. ................. 56,000 422,069
Iwasaki Electric Co., Ltd. ......... 110,000 496,355
#Iwata Air Compressor
Manufacturing Co., Ltd. ............ 74,000 489,202
*#Iwatsu Electric Co., Ltd. .......... 145,000 862,857
*Izutsuya Co., Ltd. ................. 118,000 558,030
#JDC Corp. .......................... 256,000 1,034,089
*Janome Sewing Machine Co., Ltd. .... 213,000 526,729
#Japan Aircraft Manufacturing Co.,
Ltd. ............................... 70,000 459,310
*#Japan Aviation Electronics Industry,
Ltd. ............................... 136,000 944,631
Japan Carlit Co., Ltd. ............. 28,000 180,690
*#Japan Coated Paper Manufacturing
Co., Ltd. .......................... 132,000 771,192
Japan Digital Laboratory Co., Ltd. . 38,000 767,488
*#Japan Metals & Chemicals Co., Ltd. 201,000 1,108,966
Japan Oil Transportation Co., Ltd. . 43,000 239,360
#Japan Paper Industry Co., Ltd. ..... 91,000 497,586
#Japan Pulp and Paper Co., Ltd. ..... 168,150 993,990
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
Japan Transcity Corp. .............. 90,000 $ 514,286
Japan Vilene Co., Ltd. ............. 101,000 597,044
Japan Wool Textile Co., Ltd. ....... 80,000 603,744
*#Jeol, Ltd. ......................... 91,000 736,966
Joban Kosan Co., Ltd. .............. 101,000 492,562
#Joshin Denki Co., Ltd. ............. 82,000 1,017,931
*Jujiya Co., Ltd. ................... 161,000 472,690
#Juken Sangyo Co., Ltd. ............. 72,000 787,389
*Juki Corp. ......................... 141,000 472,315
Kagawa Bank, Ltd. .................. 65,000 634,631
Kagome Co., Ltd. ................... 104,000 903,724
#Kakuei (L.) Corp. .................. 100,000 281,773
Kamei Corp. ........................ 54,000 638,424
#Kanaden Corp. ...................... 50,000 428,571
Kanagawa Chuo Kotsu Co., Ltd. ...... 90,000 514,286
Kanematsu Electronics, Ltd. ........ 38,000 404,335
#Kanematsu-NNK Corp. ................ 60,000 1,743,842
*#Kansai Kisen Kaisha ................ 184,000 358,936
#Kansei Corp. ....................... 70,000 548,276
Kanto Auto Works, Ltd., Yokosuka ... 100,000 679,803
Kanto Bank, Ltd. ................... 13,400 380,217
*#Kanto Denka Kogyo Co., Ltd. ........ 83,000 560,148
Kanto Natural Gas Development Co.,
Ltd. ............................... 87,000 574,286
*#Kanto Special Steel Works, Ltd. .... 73,000 345,222
Kasho Co., Ltd., Tokyo ............. 46,000 411,961
#Kasumi Co., Ltd. ................... 80,000 811,823
#Katakura Industries Co., Ltd. ...... 49,000 425,310
Kato Works Co., Ltd. ............... 82,000 458,069
#Katsumura Construction Co., Ltd. ... 37,600 187,074
Kawada Industries, Inc. ............ 76,000 673,143
Kawai Musical Instruments
Manu facturing Co., Ltd. ............ 99,000 381,369
Kawashima Textile Manufacturers,
Ltd. ............................... 126,000 465,517
*Kawasho Corp. ...................... 169,000 674,335
Keihin Co., Ltd. ................... 100,000 419,704
Keiyo Co., Ltd. .................... 88,000 810,640
#Kimmon Manufacturing Co., Ltd. ..... 41,000 213,281
*Kimura Chemical Plants Co., Ltd. ... 27,000 122,365
#Kinki Nippon Tourist Co., Ltd. ..... 94,000 543,626
Kinki Sharyo Co., Ltd., Nagaokakyo . 91,000 494,000
Kinseki, Ltd. ...................... 46,000 648,079
*Kinsho-Mataichi Corp. .............. 42,000 171,310
*Kinugawa Rubber Industrial Co.,
Ltd. ............................... 83,000 287,025
*Kioritz Corp. ...................... 96,000 273,340
Kita-Nippon Bank, Ltd. ............. 8,400 380,690
#Kitagawa Iron Works Co., Ltd. ...... 118,000 1,011,429
Kitano Construction Corp. .......... 110,000 694,680
Kitz Corp. ......................... 193,000 916,512
#Koa Corp. .......................... 62,000 995,665
Koa Oil Co., Ltd. .................. 65,000 425,862
#Koatsu Gas Kogyo Co., Ltd. ......... 78,000 451,094
*Kobe Kiito Co., Ltd. ............... 53,000 135,241
Kokune Corp. ....................... 42,000 188,276
Kokusai Kogyo Co., Ltd. ............ 56,000 579,310
Komai Tekko, Inc. .................. 46,000 330,837
Komatsu Construction Co., Ltd. ..... 29,000 131,429
Komatsu Forklift Co., Ltd. ......... 127,000 853,340
Komatsu Seiren Co., Ltd. ........... 27,000 231,429
Komatsu Zenoah Co. ................. 75,000 495,074
#Konami Co., Ltd. ................... 45,200 1,224,631
Kosei Securities Co., Ltd. ......... 132,000 609,931
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
*#Krosaki Corp. ...................... 82,000 $ 452,414
Kumiai Chemical Industry Co., Ltd.,
Tokyo .............................. 122,000 704,355
Kurabo Industries, Ltd. ............ 66,000 237,990
Kyodo Printing Co., Ltd. ........... 67,000 864,729
#Kyodo Shiryo Co., Ltd. ............. 145,000 514,286
#Kyoei Tanker Co., Ltd. ............. 53,000 197,901
*#Kyokuyo Co., Ltd. .................. 167,000 899,990
Kyosan Electric Manufacturing Co.,
Ltd. ............................... 87,000 600,000
*Kyotaru Co., Ltd. .................. 68,000 435,468
Kyowa Exeo Corp. ................... 200 1,803
#Kyowa Leather Cloth Co., Ltd. ...... 32,000 321,576
#Kyushu Bank, Ltd. .................. 135,000 537,340
Life Corp. ......................... 77,000 619,793
#Lintec Corp. ....................... 45,000 749,261
Magara Construction Co., Ltd. ...... 61,000 325,133
*Makino Milling Machine Co., Ltd. ... 131,000 1,109,951
Maruei Department Store Co., Ltd. .. 63,000 369,310
*Maruman Securities Co., Ltd. ....... 99,000 433,064
Marusan Securities Co., Ltd. ....... 114,000 946,818
#Maruwn Corp. ....................... 38,000 295,389
#Maruyama Manufacturing Co., Inc. ... 73,000 464,611
#Maruzen Co., Ltd. .................. 151,000 989,310
Maruzen Showa Unyu Co., Ltd. ....... 141,000 804,325
Matsui Construction Co., Ltd. ...... 40,000 308,966
Matsuo Bridge Co., Ltd. ............ 37,000 222,729
Matsuya Co., Ltd. .................. 74,000 414,108
*#Meiji Shipping Co., Ltd. ........... 47,000 185,222
#Meisei Industrial Co., Ltd. ........ 29,000 162,571
Meito Sangyo Co., Ltd. ............. 38,000 696,355
*#Meiwa Trading Co., Ltd. ............ 55,000 198,325
#Mercian Corp. ...................... 65,000 448,276
Mikuni Coca-Cola Bottling Co., Ltd. 70,000 882,759
#Misawa Resort Co., Ltd. ............ 29,000 377,143
Mitsuba Electric Manufacturing Co.,
Ltd. ............................... 51,000 527,586
#Mitsubishi Kakoki Kaisha, Ltd. ..... 117,000 1,032,828
Mitsubishi Pencil Co., Ltd. ........ 49,000 403,103
Mitsubishi Plastics, Inc. .......... 39,000 157,153
*#Mitsubishi Shindoh Co., Ltd. ....... 82,000 517,852
*#Mitsubishi Steel Manufacturing Co.,
Ltd. ............................... 201,000 1,077,281
Mitsuboshi Belting, Ltd. ........... 153,000 847,153
Mitsui Construction Co., Ltd. ...... 291,000 1,032,118
#Mitsui High-Tec, Inc. .............. 43,000 1,177,734
Mitsui Matsushima Co., Ltd. ........ 90,000 313,892
*#Mitsui Mining Co., Ltd. ............ 225,000 933,251
Mitsui Sugar Co., Ltd. ............. 116,000 451,429
Mitsuuroko Co., Ltd. ............... 98,000 694,207
#Miyaji Iron Works Co. Ltd. ......... 90,000 505,419
*Miyakoshi Corp. .................... 18,000 42,562
Miyazaki Bank, Ltd. ................ 162,000 1,043,823
#Miyoshi Oil & Fat Co., Ltd. ........ 120,000 470,542
Miyuki Keori Co., Ltd. ............. 50,000 372,414
Morita Fire Pump Manufacturing Co.,
Ltd. ............................... 35,000 275,862
Morozoff, Ltd., Osaka .............. 50,000 201,970
Mory Industries, Inc. .............. 66,000 360,887
*Mutoh Industries, Ltd. ............. 61,000 300,493
#Mutow Co., Ltd. .................... 38,000 292,020
NEC System Integration &
Construction, Ltd. ................. 39,000 941,379
*Nabco, Ltd. ........................ 120,000 585,222
*#Nachi-Fujikoshi Corp. .............. 269,000 1,017,695
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
*Nagasakiya Co., Ltd. (Tokyo) ....... 219,000 $ 916,995
Nagatanien Co., Ltd. ............... 53,000 428,177
Naigai Co., Ltd. ................... 109,000 473,586
Nakabayashi Co., Ltd. .............. 35,000 219,655
Nakamuraya Co., Ltd. ............... 85,000 501,626
Nakano Corp. ....................... 66,000 311,468
Nakayama Steel Works, Ltd. ......... 170,000 896,059
Neturen Co., Ltd., Tokyo ........... 58,000 445,714
Nichia Steel Works, Ltd. ........... 29,000 205,714
#Nichias Corp. ...................... 188,000 927,961
Nichiban Co., Ltd. ................. 58,000 434,286
*Nichiboshin, Ltd. .................. 107,000 82,227
Nichiei Construction Co., Ltd. ..... 85,000 715,172
*Nichimo Co., Ltd. .................. 54,000 201,103
*Nichimo Corp. ...................... 85,000 398,621
Nichireki Co., Ltd. ................ 44,000 383,645
#Nichiro Corp. ...................... 243,000 837,931
Nifco, Inc. ........................ 80,000 977,340
*#Nihon Kentetsu Co., Ltd. ........... 27,000 141,251
#Nihon Kohden Corp. ................. 64,000 629,911
#Nihon Matai Co., Ltd. .............. 50,000 275,862
#Nihon Nohyaku Co., Ltd. ............ 91,000 703,793
#Nihon Nosan Kogyo K.K. ............. 188,000 670,502
Nihon Parkerizing Co., Ltd. ........ 92,000 552,906
*#Nihon Spindle Manufacturing Co.,
Ltd. ............................... 56,000 272,000
Nihon Tokushu Toryo Co., Ltd. ...... 35,000 162,069
Niigata Chuo Bank, Ltd. ............ 130,000 372,709
*Nikkatsu Corp. ..................... 191,000 15,054
#Nikken Chemicals Co., Ltd. ......... 103,000 719,478
#Nikkiso Co., Ltd. .................. 105,000 765,517
Nikko Co., Ltd., Akashi ............ 65,000 528,325
#Nippon Beet Sugar Manufacturing
Co., Ltd. .......................... 226,000 990,837
#Nippon Carbide Industries Co., Inc.,
Tokyo .............................. 93,000 541,507
*#Nippon Carbon Co., Ltd. ............ 165,000 668,128
*#Nippon Chemi-Con Corp. ............. 173,000 1,176,059
#Nippon Chemical Industrial Co.,
Ltd. ............................... 110,000 889,754
Nippon Chemiphar Co., Ltd. ......... 49,000 290,138
Nippon Chutetsukan KK .............. 44,000 202,443
*Nippon Columbia Co., Ltd. .......... 99,000 658,374
#Nippon Concrete Industries Co.,
Ltd. ............................... 65,000 343,892
#Nippon Conlux Co., Ltd. ............ 63,000 633,103
#Nippon Conveyor Co., Ltd. .......... 43,000 177,507
Nippon Denko Co., Ltd. ............. 159,000 568,640
Nippon Densetsu Kogyo Co., Ltd. .... 99,000 940,256
*#Nippon Electric Industry Co., Ltd. . 54,000 297,931
Nippon Felt Co., Ltd. .............. 28,000 164,138
#Nippon Flour Mills Co., Ltd. ....... 131,000 645,320
#Nippon Formula Feed
Manufacturing Co., Ltd. ............ 100,000 496,552
#Nippon Gas Co., Ltd. ............... 62,000 445,911
*#Nippon Housing Loan Co., Ltd. ...... 62,000 13,438
Nippon Hume Pipe Co., Ltd. ......... 38,000 197,675
*Nippon Kasei Chemical Co., Ltd. .... 113,000 406,355
#Nippon Kinzoku Co., Ltd. ........... 93,000 493,862
Nippon Koei Co., Ltd., Tokyo ....... 100,000 1,014,778
*#Nippon Koshuha Steel Co., Ltd. ..... 118,000 633,596
*Nippon Lace Co., Ltd. .............. 26,000 69,163
Nippon Metal Industry Co., Ltd. .... 241,000 954,502
Nippon Pipe Manufacturing Co., Ltd. 35,000 209,310
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
#Nippon Piston Ring Co., Ltd. ....... 108,000 $ 497,970
Nippon Road Co., Ltd. .............. 20,000 164,335
#Nippon Shinyaku Co., Ltd. .......... 49,000 430,138
Nippon Signal Co., Ltd. ............ 90,000 694,286
*Nippon Soda Co., Ltd. .............. 123,000 696,798
*Nippon Steel Chemical Co., Ltd. .... 275,000 1,040,394
#Nippon Synthetic Chemical Industry
Co., Ltd. .......................... 127,000 723,212
#Nippon Thompson Co., Ltd. .......... 109,000 950,394
Nippon Valqua Industries, Ltd. ..... 119,000 540,483
*Nippon Yakin Kogyo Co., Ltd. ....... 206,000 927,507
*Nippon Yusoki Co., Ltd. ............ 49,000 219,172
Nissan Construction Co., Ltd. ...... 119,000 638,966
Nissan Shatai Co., Ltd. ............ 124,000 671,921
#Nisseki House Industry Co., Ltd. ... 119,000 499,448
Nissha Printing Co., Ltd. .......... 66,000 877,833
Nissin Corp. ....................... 150,000 790,640
Nissin Electric Co., Ltd. .......... 150,000 1,270,936
Nittetsu Mining Co., Ltd. .......... 116,000 1,078,857
*Nitto Boseki Co., Ltd. ............. 355,000 1,010,788
#Nitto Chemical Industry Co., Ltd. .. 111,000 1,673,202
#Nitto Flour Milling Co., Ltd. ...... 54,000 417,635
*Nitto Seiko Co., Ltd. .............. 25,000 115,764
*Nitto Seimo Co., Ltd. .............. 32,000 108,768
Nittoc Construction Co., Ltd. ...... 61,000 447,734
Nohmi Bosai, Ltd. .................. 59,000 487,113
Noritz Corp. ....................... 43,000 724,433
North Pacific Bank, Ltd. ........... 198,000 996,828
*Nozaki and Co., Ltd. ............... 56,000 242,759
*O-M, Ltd. .......................... 46,000 145,025
*OKK Corp. .......................... 93,000 288,621
OSG Manufacturing Co., Ltd. ........ 119,000 796,069
Obayashi Road Corp. ................ 65,000 467,488
Odakyu Construction Co., Ltd. ...... 29,000 174,857
#Odakyu Real Estate Co., Ltd. ....... 58,000 242,286
#Ohki Corp. ......................... 73,000 511,360
*Ohkura Electric Co., Ltd. .......... 34,000 326,936
Okabe Co., Ltd. .................... 39,000 315,074
Okamura Corp. ...................... 47,000 337,103
*Okasan Securities Co., Ltd. ........ 51,000 224,601
*#Oki Electric Cable Co., Ltd. ....... 56,000 234,483
*Okuma and Howa Machinery, Ltd. ..... 69,000 234,532
Okura Industrial Co., Ltd. ......... 96,000 652,611
*#Okura and Co., Ltd. ................ 183,000 645,458
*Ono Sokki Co., Ltd. ................ 43,000 300,788
#Optec Dai-Ichi Denko Co., Ltd. ..... 141,000 698,749
#Organo Corp. ....................... 85,000 887,685
#Origin Electric Co., Ltd. .......... 49,000 395,862
Osaka Oxygen Industries, Ltd. ...... 56,000 198,621
Osaki Electric Co., Ltd. ........... 50,000 339,901
Pacific Industrial Co., Ltd. ....... 78,000 389,616
#Parco Co., Ltd. .................... 67,000 693,103
*Pasco Corp. ........................ 138,000 560,158
#Pilot Corp. ........................ 32,000 146,286
#Pokka Corp. ........................ 44,000 468,177
Press Kogyo Co., Ltd. .............. 143,000 471,970
#Prima Meat Packers, Ltd. ........... 230,000 829,360
#Rasa Industries, Ltd. .............. 89,000 553,291
Renown Look, Inc. .................. 50,000 267,980
Rheon Automatic Machinery Co., Ltd. 40,000 354,680
#Rhythm Watch Co., Ltd. ............. 202,000 712,473
#Riken Corp. ........................ 140,000 668,966
#Riken Vinyl Industry Co., Ltd. ..... 98,000 864,138
Rohto Pharmaceutical Co., Ltd. ..... 76,000 659,665
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
Royal Co., Ltd. .................... 61,000 $ 931,527
#Ryobi, Ltd. ........................ 147,000 760,345
#Ryoden Trading Co., Ltd. ........... 73,000 625,714
Ryoyo Electro Corp. ................ 44,000 1,031,724
S.T. Chemical Co., Ltd. ............ 48,000 448,315
#SMK Corp. .......................... 116,000 732,571
SS Pharmaceutical Co., Ltd., Tokyo . 101,000 671,675
#SXL Corp. .......................... 95,000 954,680
#Saeki Kensetsu Kogyo Co., Ltd. ..... 71,000 426,700
Sagami Co., Ltd. ................... 60,000 425,616
Sakai Chemical Industry Co., Ltd. .. 150,000 931,034
Sakai Heavy Industries, Ltd. ....... 60,000 384,236
#Sakai Ovex Co., Ltd. ............... 85,000 562,759
Sakata Inx Corp. ................... 82,000 504,926
Sakurada Co., Ltd. ................. 38,000 180,079
#San-Ai Oil Co., Ltd. ............... 111,000 667,094
Sanden Corp. ....................... 202,000 1,190,108
Sankei Building Co., Ltd. .......... 77,000 603,103
Sanko Metal Industrial Co., Ltd.,
Tokyo .............................. 54,000 281,970
*#Sankyo Seiki Manufacturing Co.,
Ltd. ............................... 125,000 1,046,798
Sankyo Seiko Co., Ltd. ............. 86,000 701,557
*#Sansui Electric Co., Ltd. .......... 317,000 637,123
Sanyo Industries, Ltd., Tokyo ...... 48,000 254,897
Sanyo Shokai, Ltd. ................. 190,000 1,110,049
Sanyo Special Steel Co., Ltd. ...... 258,000 1,077,754
*Sasaki Glass Co., Ltd. ............. 56,000 217,931
#Sasebo Heavy Industries Co., Ltd.,
Tokyo .............................. 235,000 595,025
Sata Construction Co., Ltd., Gumma 61,000 313,714
Sato Shoji Corp. ................... 31,000 199,744
*Sawafugji Electric Co., Ltd. ....... 31,000 151,793
#Seika Corp. ........................ 135,000 696,946
#Seikitokyu Kogyo Co., Ltd. ......... 86,000 539,724
Seiko Corp. ........................ 16,000 121,379
#Seiren Co., Ltd. ................... 81,000 584,956
Seiyo Food Systems, Inc. ........... 116,000 1,072,000
#Sekisui Jushi Co., Ltd. ............ 70,000 896,552
Sekisui Plastics Co., Ltd. ......... 143,000 731,202
Senko Co., Ltd. .................... 61,000 351,576
*Settsu Corp. ....................... 324,000 954,443
#Shibaura Engineering Works Co.,
Ltd. ............................... 45,000 338,276
#Shibusawa Warehouse Co., Ltd. ...... 112,000 672,000
Shibuya Kogyo Co., Ltd. ............ 45,000 474,384
*Shikibo, Ltd. ...................... 143,000 342,355
#Shikoku Chemicals Corp. ............ 89,000 550,660
Shimizu Bank, Ltd. ................. 11,700 789,606
#Shimura Kako Co., Ltd. ............. 55,000 301,823
Shin Nippon Air Technologies Co.,
Ltd. ............................... 33,800 449,557
Shin-Etsu Polymer Co., Ltd. ........ 120,000 793,300
Shin-Kobe Electric Machinery Co.,
Ltd. ............................... 71,000 419,704
#Shinagawa Fuel Co., Ltd. ........... 120,000 893,793
#Shinagawa Refractories Co., Ltd. ... 95,000 786,207
#Shindengen Electric Manufacturing
Co., Ltd. .......................... 107,000 869,704
*#Shinko Electric Co., Ltd. .......... 210,000 848,276
#Shinko Shoji Co., Ltd. ............. 32,000 494,975
Shinsho Corp. ...................... 110,000 390,148
*#Shintom Co., Ltd. .................. 53,000 232,365
*Shinwa Kaiun Kaisha, Ltd. .......... 226,000 601,182
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
#Shinyei Kaisha ..................... 54,000 $ 227,172
Shiroki Co., Ltd. .................. 124,000 548,532
#Sho-Bond Corp. ..................... 32,600 1,066,325
#Shochiku Co., Ltd. ................. 92,000 987,980
#Shoko Co., Ltd. .................... 156,000 660,887
*#Shokusan Jutaku Sogo Co., Ltd. ..... 207,000 668,926
#Showa Aluminum Corp. ............... 101,000 477,635
Showa Highpolymer Co., Ltd. ........ 73,000 601,261
*#Showa Line, Ltd. ................... 438,000 794,010
Showa Manufacturing Co., Ltd. ...... 90,000 651,724
#Showa Sangyo Co., Ltd. ............. 153,000 649,685
*Silver Seiko, Ltd. ................. 87,000 228,857
#Sintokogio, Ltd., Nagoya ........... 87,000 652,286
Soda Nikka Co., Ltd. ............... 35,000 167,586
*Sogo Co., Ltd. ..................... 211,000 748,374
Sokkisha Co., Ltd. ................. 40,000 453,202
#Sotetsu Rosen Co., Ltd. ............ 37,000 291,626
Star Micronics Co., Ltd. ........... 79,000 602,424
Subaru Enterprise Co., Ltd. ........ 36,000 358,227
Sumikin Bussan Kaisha, Ltd. ........ 17,600 74,562
Sumisho Computer Systems Corp. ..... 49,000 651,724
#Sumitomo Coal Mining Co., Ltd. ..... 107,000 484,926
*Sumitomo Corporation's Leasing,
Ltd. ............................... 35,000 167,586
Sumitomo Osaka Cement Co., Ltd. .... 500 2,300
#Sumitomo Precision Products Co.,
Ltd., Amagasaki City ............... 78,000 736,197
#Sumitomo Seika Chemicals Co., Ltd. 91,000 511,034
*#Sumitomo Special Metals Co., Ltd.,
Osaka .............................. 62,000 1,013,990
#Sumitomo Warehouse Co., Ltd. ....... 90,000 563,941
Sun Telephone Co., Ltd. ............ 65,000 445,074
Sun Wave Corp. ..................... 74,000 911,330
Suzutan Co., Ltd. .................. 62,000 403,153
#TOC Co., Ltd. ...................... 100,000 1,004,925
*TYK Corp. .......................... 67,000 349,852
Tabai Espec Corp. .................. 11,000 158,227
Tada Construction Co., Ltd. ........ 23,000 88,148
Taihei Dengyo Kaisha, Ltd. ......... 60,000 1,004,925
#Taihei Kogyo Co., Ltd. ............. 100,000 517,241
*Taiheiyo Bank, Ltd. ................ 96,000 283,744
*Taiheiyo Kaiun Co., Ltd. ........... 72,000 141,872
Taiheiyo Kouhatsu, Inc. ............ 90,000 325,419
*Taiheiyo Securities Co., Ltd. ...... 156,000 522,562
Taikisha, Ltd. ..................... 53,000 908,571
Taisei Fire & Marine Insurance Co.,
Ltd. ............................... 118,000 627,783
Taisei Prefab Construction Co., Ltd. 101,000 553,261
#Taisei Rotec Corp. ................. 127,000 890,877
#Taito Co., Ltd. .................... 70,000 678,621
Taiyo Toyo Sanso Co., Ltd. ......... 193,000 893,695
*Taka-Q Co., Ltd. ................... 77,000 266,276
Takada Kiko Co., Ltd. .............. 31,000 291,675
Takaoka Electric Manufacturing Co.,
Ltd., Tokyo ........................ 148,000 904,039
Takara Co., Ltd. ................... 39,000 299,704
Takarabune Corp. ................... 52,000 288,946
Takasago International Corp. ....... 145,000 897,143
*#Takasaki Paper Manufacturing Co.,
Ltd. ............................... 139,000 358,798
#Takashima & Co., Ltd. .............. 60,000 253,005
#Takiron Co., Ltd. .................. 110,000 756,453
#Tamura Corp. ....................... 93,000 639,547
*#Tamura Electric Works, Ltd. ........ 70,000 1,055,172
Tasaki Shinju Co., Ltd. ............ 53,000 543,054
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
*Tateho Chemical Industries Co.,
Ltd. ............................... 106,000 $ 320,611
Tatsuta Electric Wire & Cable Co.,
Ltd. ............................... 102,000 503,468
*Tayca Corp. ........................ 74,000 252,985
*#Teac Corp. ......................... 102,000 733,596
Teijin Seiki Co., Ltd. ............. 44,000 195,074
Teikoku Hormone Manufacturing Co.,
Ltd. ............................... 33,000 461,675
*Teikoku Sen-I Co., Ltd. ............ 39,000 144,089
Teikoku Tsushin Kogyo Co., Ltd. .... 73,000 473,961
#Teisan Kabushiki Kaisha ............ 182,000 1,048,965
Tenma Corp. ........................ 32,000 617,931
#Tesac Corp. ........................ 92,000 364,374
Titan Kogyo Kabushiki Kaisha ....... 36,000 195,074
Toa Doro Kogyo Co., Ltd. ........... 85,000 458,916
Toa Steel Co., Ltd. ................ 163,000 730,690
*Toa Wool Spinning & Weaving Co.,
Ltd. ............................... 73,000 251,005
Tobu Store Co., Ltd. ............... 71,000 489,655
Tochigi Fuji Industrial Co., Ltd. .. 51,000 366,296
Tochigi Sogo Bank, Ltd. ............ 83,000 776,847
#Toda Kogyo Corp. ................... 70,000 493,103
#Todentu Corp. ...................... 57,000 422,305
Toei Co., Ltd. ..................... 84,000 550,345
Toenec Corp. ....................... 19,000 155,369
*#Toho Rayon Co., Ltd. ............... 128,000 435,074
Toho Real Estate Co., Ltd. ......... 80,000 859,113
#Toho Zinc Co., Ltd. ................ 159,000 1,079,320
Tohpe Corp. ........................ 36,000 141,517
Tohto Suisan Co., Ltd. ............. 54,000 218,660
#Tokai Carbon Co., Ltd. ............. 236,000 1,136,984
Tokai Corp. ........................ 100,000 596,059
*Tokai Kanko Co., Ltd. .............. 132,000 172,966
*#Tokai Kogyo Co., Ltd. .............. 105,000 257,586
#Tokai Pulp Co., Ltd. ............... 84,000 844,138
#Tokai Rika Co., Ltd. ............... 108,000 860,808
*Tokai Senko K.K. Nagoya ............ 47,000 166,700
Tokico, Ltd. ....................... 189,000 800,690
*Tokimec, Inc. ...................... 119,000 545,172
#Tokin Corp. ........................ 76,000 1,145,615
Toko Electric Corp. ................ 39,000 313,153
Toko, Inc. ......................... 136,000 924,532
Tokushu Paper Manufacturing Co.,
Ltd. ............................... 72,000 645,517
Tokuyo City Bank, Ltd. ............. 115,000 234,532
Tokyo Denki Komusho Co., Ltd. ...... 52,000 511,291
#Tokyo Kikai Seisak ................. 100,000 682,759
*Tokyo Nissan Auto Sales Co., Ltd. .. 63,000 342,000
Tokyo Rakutenchi Co., Ltd. ......... 92,000 471,330
Tokyo Rope Manufacturing Co., Ltd. 158,000 811,015
*Tokyo Securities Co., Ltd. ......... 193,000 865,172
#Tokyo Seimitsu Co., Ltd. ........... 46,000 861,084
Tokyo Tanabe Co., Ltd., Tokyo ...... 95,000 589,655
*#Tokyo Tekko Co., Ltd. .............. 67,000 333,350
Tokyo Theatres Co., Inc., Tokyo .... 100,000 261,084
Tokyu Car Corp. .................... 177,000 871,921
Tokyu Hotel Chain Co., Ltd. ........ 36,000 240,828
Tokyu Store Chain Corp. ............ 98,000 733,793
*Tokyu Tourist Corp. ................ 38,000 142,266
#Toli Corp. ......................... 101,000 691,576
Tomoe Corp. ........................ 56,000 342,069
*Tomoegawa Paper Co., Ltd. .......... 55,000 313,744
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
Tomoku Co., Ltd. ................... 157,000 $ 812,069
Tonami Transportation Co., Ltd. .... 141,000 827,941
*#Topcon Corp. ....................... 64,000 1,147,586
Topre Corp. ........................ 80,000 626,601
Topy Industries, Ltd. .............. 75,000 328,079
Torishima Pump Manufacturing Co.,
Ltd., Osaka ........................ 18,000 147,192
Toshiba Engineering & Construction
Co., Ltd. .......................... 105,000 834,828
*Toshiba Machine Co., Ltd. .......... 160,000 770,837
*#Toshiba Tungaloy Co.,Ltd. .......... 111,000 697,714
#Tosho Printing Co., Ltd. ........... 77,000 739,655
Tostem Viva Corp. .................. 95,000 608,374
Totenko Co., Ltd. .................. 35,000 162,069
Totetsu Kogyo Co., Ltd. ............ 53,000 287,192
Totoku Electric Co., Ltd., Tokyo ... 62,000 390,936
*#Towa Real Estate Development Co.,
Ltd. ............................... 160,000 673,103
Toyama Chemicals Co., Ltd. ......... 221,000 975,448
Toyo Aluminium K.K. ................ 77,000 490,828
Toyo Chemical Co., Ltd. ............ 45,000 277,537
#Toyo Corp. ......................... 38,000 640,197
*Toyo Electric Co., Ltd. ............ 67,000 323,448
Toyo Information System Co., Ltd. .. 59,000 796,355
Toyo Kanetsu K.K. .................. 206,000 874,739
#Toyo Kohan Co., Ltd. ............... 141,000 1,032,147
#Toyo Radiator Co., Ltd. ............ 104,000 537,931
*Toyo Securities Co., Ltd. .......... 113,000 377,409
Toyo Shutter Co., Ltd. ............. 20,000 123,153
#Toyo Sugar Refining Co., Ltd. ...... 60,000 248,276
*#Toyo Tire & Rubber Co., Ltd. ....... 196,000 762,759
Toyo Umpanki Co., Ltd. ............. 135,000 583,892
Toyo Warehouse Co., Ltd. ........... 43,000 169,458
#Toyo Wharf & Warehouse Co., Ltd. ... 118,000 540,591
Toyoda Boshoku Corp. ............... 74,000 255,172
Toyoda Gosei Co., Ltd. ............. 61,000 390,640
Toyoda Machine Works, Ltd. ......... 116,000 941,714
Toyota Auto Body Co., Ltd. ......... 127,000 1,082,314
Tsubakimoto Chain Co. .............. 48,000 242,601
Tsubakimoto Machinery &
Engineering Co., Ltd. .............. 44,000 262,266
#Tsubakimoto Precision Products Co.,
Ltd. ............................... 64,000 832,315
Tsudakoma Corp. .................... 49,000 280,000
#Tsugami Corp. ...................... 124,000 647,487
Tsukamoto Co., Ltd. ................ 44,000 195,074
#Tsukishima Kikai Co., Ltd. ......... 63,000 1,272,413
Tsurumi Manufacturing Co., Ltd. .... 38,000 423,054
Tsutsunaka Plastic Industry Co.,
Ltd. ............................... 71,000 629,557
#Uchida Yoko Co., Ltd. .............. 72,000 482,365
Ueki Corp. ......................... 47,000 245,419
Uniden Corp. ....................... 36,000 592,315
Unisia Jecs Corp. .................. 139,000 766,897
#Utoc Corp. ......................... 38,000 205,163
#Wakachiku Construction Co., Ltd. ... 176,000 1,163,506
#Wakamoto Pharmaceutical Co., Ltd. .. 48,400 294,692
#Yahagi Construction Co., Ltd. ...... 59,000 453,399
*Yahagi Iron Co., Ltd. .............. 40,000 108,374
#Yamagata Bank, Ltd. ................ 185,000 1,015,221
Yamamura Glass Co., Ltd. ........... 139,000 814,828
#Yamatane Corp. ..................... 92,000 723,310
*Yamatane Securities Co., Ltd. ...... 193,000 665,517
Yamato International, Inc. ......... 43,000 183,015
Yamato Kogyo Co., Ltd. ............. 70,000 637,931
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
*#Yamazen Co., Ltd. .................. 131,000 $ 560,138
Yokogawa Bridge Corp. .............. 64,000 926,897
*Yokohama Matsuzakaya, Ltd. ......... 27,000 95,764
Yokohama Reito Co., Ltd. ........... 62,000 714,680
Yomeishu Seizo Co., Ltd. ........... 46,000 376,158
#Yomiuri Land Co., Ltd. ............. 132,000 920,749
Yondenko Corp. ..................... 56,000 502,621
*Yoshihara Oil Mill, Ltd. ........... 36,000 154,640
Yoshimoto Kogyo Co., Ltd. .......... 16,000 198,621
#Yuasa Trading Co., Ltd. ............ 165,000 859,951
*Yuken Kogyo Co., Ltd. .............. 60,000 276,650
Zenchiku Co., Ltd. ................. 126,000 502,759
Zenitaka Corp. ..................... 105,000 693,103
-------------
TOTAL COMMON STOCKS
(Cost $369,129,180) ................. 367,472,565
-------------
RIGHTS/WARRANTS -- (0.0%)
*Danto Corp. Rights 12/14/95
(Cost $0) ........................... 7,000 77,931
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $36,054) ........ 35,990
-------------
Face
Amount
---------
(000)
TEMPORARY CASH INVESTMENTS -- (0.8%)
Repurchase Agreement, PNC Securities
Corp. 5.65%, 12/01/95 (Collateralized
by U.S. Treasury Notes 6.125%,
05/31/97)
(Cost $2,871,000) ................... $ 2,871 2,871,000
-------------
TOTAL INVESTMENTS -- (100.0%) (Cost
$372,036,234) ....................... $370,457,486
=============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements.
<PAGE>
SCHEDULE OF INVESTMENTS
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
MALAYSIA -- (23.3%)
COMMON STOCKS -- (23.3%)
Acidchem (Malaysia) Berhad .......... 75,850 $251,585
Actacorp Holdings Berhad ............ 26,000 45,378
*Advance Synergy Berhad .............. 260,400 331,091
Ajinimoto (Malaysia) Berhad ......... 44,000 95,558
Aluminum Co. of Malaysia ............ 139,000 214,057
Amalgamated Industrial Steel
Berhad .............................. 125,000 340,573
*Anakku Corp. Berhad ................. 10,000 25,864
*Anson Perdana Berhad ................ 77,000 146,551
Antah Holding Berhad ................ 280,000 263,139
Arab Malaysia Corp. Berhad .......... 156,000 449,674
Arab Malaysia Development
Berhad .............................. 710,000 395,301
Arensi Holdings (Malaysia) Berhad ... 22,000 38,049
Asia Pacific Land Berhad ............ 602,100 339,981
*Austral Amalgamated Tin Berhad ...... 94,000 118,776
Austral Enterprises Berhad .......... 192,000 348,746
Autoways Holdings Berhad ............ 10,000 19,941
Ayer Hitam Planting Syndicate
Berhad .............................. 50,000 204,344
*Ayer Hitam Tin Dredging Malaysia
Berhad .............................. 36,000 81,880
*Ayer Molek Rubber Co. Berhad ........ 1,000 32,182
Ban Hin Lee Bank Berhad ............. 47,000 137,335
Bandar Raya Developments
Berhad ............................. 266,000 411,735
Batu Kawan Berhad ................... 236,000 568,450
Benta Plantations Berhad ............ 100,100 89,724
Berjaya Group Berhad ................ 928,500 564,616
Berjaya Industrial Berhad ........... 614,000 370,946
Berjaya Leisure Berhad .............. 500,000 432,379
*Berjuntai Tin Dredging Berhad ....... 36,000 112,300
Binaan Setegap Berhad ............... 16,000 25,019
Bolton Properties Berhad ............ 150,000 188,351
Bukit Katil Rubber Estates Berhad ... 7,000 83,613
CI Holdings Berhad .................. 64,000 224,916
Carlsberg Brewery Malaysia
Berhad .............................. 124,250 549,497
Cement Industries of Malaysia
Berhad .............................. 160,000 502,270
Cement Manufacturers Sarawak Berhad 37,000 160,711
Chase Perdana Berhad ................ 28,000 100,612
Chemical Co. of Malaysia Berhad ..... 212,000 411,862
Chin Teck Plantations Berhad ........ 66,000 187,641
Chocolate Products (Malaysia)
Berhad .............................. 149,600 109,283
Cold Storage (Malaysia) Berhad ...... 90,000 114,432
Computer Forms Malaysia Berhad ...... 16,000 37,591
Concrete Engineering Products
Berhad .............................. 24,000 33,358
Cycle & Carriage Bintang Berhad ..... 117,000 535,913
DNP Holdings Berhad ................. 185,000 153,406
Daibochi Plastic & Packaging
Industry Berhad ..................... 32,200 75,653
*Dataprep Holdings Berhad ............ 31,000 39,660
*Denko Industrial Corp. Berhad ....... 16,000 24,387
*Diperdana Corp. Berhad .............. 38,000 79,526
Dutch Baby Milk Industry (Malaysia)
Berhad .............................. 19,000 102,784
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
East Asiatic Co. (Malaysia) Berhad .. 377,000 $652,028
Eastern & Oriental Berhad ........... 27,000 37,955
*FA Peninsular Berhad ................ 84,000 60,367
*FACB Berhad ......................... 696,000 291,317
FCW Holdings Berhad ................. 224,000 394,488
Far East Holdings Berhad ............ 66,000 88,608
Federal Flour Mills Berhad .......... 217,000 676,920
Fima Corp. Berhad ................... 34,000 64,442
Gadek (Malaysia) Berhad ............. 63,000 273,643
*General Corp. Berhad ................ 386,000 222,531
George Kent (Malaysia) Berhad ....... 102,500 186,989
George Town Holdings Berhad ......... 147,000 197,354
Glenealy Plantations (Malaysia)
Berhad .............................. 76,000 216,071
Goh Ban Huat Berhad ................. 67,000 121,698
Gold Coin (Malaysia) Berhad ......... 46,000 105,350
Golden Frontier Berhad .............. 29,000 33,895
Golden Plus Holdings Berhad ......... 160,000 265,350
Gopeng Berhad ....................... 94,500 99,258
Guinness Anchor Berhad .............. 368,000 639,368
*Gula Perak Berhad ................... 60,000 68,233
Guthrie Ropel Berhad ................ 142,000 215,313
Hexza Corp. Berhad .................. 163,000 95,901
Hil Industries Berhad ............... 11,000 20,154
Ho Hup Construction Co. Berhad ...... 71,000 183,633
Hock Hua Bank Berhad ................ 98,000 280,553
IGB Corp. Berhad .................... 561,000 480,699
IOI Properties Berhad ............... 52,700 115,493
Inchcape Timuran Berhad ............. 50,000 93,978
*Innovest Berhad Issue 95 ............ 110,000 275,814
*Insas Berhad ........................ 601,600 382,458
Island & Peninsular Berhad .......... 139,000 340,296
Jaya Netting Industries Berhad ...... 18,000 28,715
Johan Holdings Berhad ............... 374,000 279,115
*Kampong Lanjut Tin Dredging
Berhad .............................. 28,000 73,524
Kanzen Berhad ....................... 93,000 101,722
Keck Seng (Malaysia) Berhad ......... 289,500 395,526
Kedah Cement Holdings Berhad ........ 355,000 577,532
Kelang Container Terminal Berhad .... 152,000 351,115
Kemayan Corp. Berhad ................ 301,000 401,730
Kentucky Fried Chicken Holding
(Malaysia) Berhad ................... 114,000 558,184
Khong Guan Holdings (Malaysia)
Berhad .............................. 21,000 61,777
Kian Joo Can Factory Berhad ......... 141,000 562,330
Kluang Rubber Co. (Malaysia)
Berhad .............................. 2,000 80,553
Kretam Holdings Berhad .............. 97,500 192,498
Kuala Sidim Berhad .................. 109,000 230,267
*Kuantan Flour Mills Berhad .......... 19,000 36,012
Kulim Malaysia Berhad ............... 220,200 304,324
Kumpulan Belton Berhad .............. 21,000 33,500
Kumpulan Emas Berhad ................ 134,000 115,878
Larut Consolidated Berhad ........... 181,250 246,199
Leisure Management Berhad ........... 80,000 246,397
Lien Hoe Corp. Berhad ............... 215,000 197,808
Lim Kim Hai Holdings Berhad ......... 43,000 115,459
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Lion Corp. Berhad ................... 94,000 $132,138
Lion Land Berhad .................... 123,375 128,612
Long Huat Group Berhad .............. 33,000 38,962
MBF Holdings Berhad ................. 738,500 367,427
MCB Holdings Berhad ................. 177,000 102,740
MMC Engineering Group Berhad ........ 38,000 100,158
MUI Properties Berhad ............... 483,000 307,060
MWE Holdings Berhad ................. 164,000 149,591
Malakoff Berhad ..................... 193,000 594,432
Malaya Glass Berhad ................. 27,000 87,423
Malayan Cement Berhad ............... 393,000 695,218
Malayan Flour Mills Berhad .......... 92,400 83,187
Malayawata Steel Berhad ............. 163,000 279,337
Malaysia Aica Berhad ................ 70,000 138,203
Malaysia Assurance Alliance
Berhad .............................. 104,625 413,129
Malaysia British Assurance Berhad ... 47,000 80,545
Malaysian Mosaics Berhad ............ 331,000 376,419
Malaysian Oxygen Berhad ............. 168,000 603,672
Malaysian Pacific Industries ........ 237,666 666,309
Malaysian Packaging Industry ........ 14,000 15,755
Malaysian Tobacco Co. Berhad ........ 247,000 351,115
Malex Industries Berhad ............. 13,000 55,439
Mancon Berhad ....................... 33,000 149,852
Matsushita Electric Co. (Malaysia)
Berhad .............................. 39,000 292,596
Mechmar Corp. ....................... 84,000 93,204
Mega First Corp. Berhad ............. 236,000 193,832
*Menang Corp. ........................ 248,000 141,994
Mentiga Corp. Berhad ................ 41,000 80,948
Metacorp Berhad ..................... 176,000 399,605
Metrojaya Berhad .................... 34,000 77,196
Metroplex Berhad .................... 183,000 140,908
Muda Holdings Berhad ................ 190,625 180,652
Mun Loong Berhad .................... 35,000 72,557
Nam Fatt Berhad ..................... 100,000 268,509
Nanyang Press (Malaya) Berhad ....... 67,200 141,962
Negara Properties (Malaysia)
Berhad .............................. 74,000 295,123
Negri Sembilan Oil Palms Berhad ..... 34,000 78,539
New Straits Times Press (Malaysia)
Berhad .............................. 199,000 663,988
Nylex (Malaysia) Berhad ............. 182,000 546,180
Oriental Holdings Berhad ............ 25,000 117,473
PJ Development Holdings Berhad ...... 310,800 231,949
PSC Industries Berhad ............... 46,666 213,751
PWE Industries Berhad ............... 14,000 69,102
Palmco Holdings Berhad .............. 179,000 223,352
Pan Malaysia Cement Works
Berhad .............................. 373,000 375,577
*Pan Malaysia Cement Works
Berhad Series A ..................... 319,500 315,400
Paramount Corp. Berhad .............. 73,000 62,263
Parit Perak Holdings Berhad ......... 17,000 251,728
Park May Berhad ..................... 48,000 100,454
Pelangi Berhad ...................... 393,500 324,744
*Pengkalen Industrial Holdings
Berhad .............................. 39,000 106,259
Pernas International Hotels &
Properties Berhad ................... 454,500 279,968
Petaling Garden Berhad .............. 232,000 226,274
Petaling Tin Berhad ................. 20,000 69,891
Phileo Allied Berhad ................ 50,000 196,446
Pilecon Engineering Berhad .......... 261,500 254,014
Poly Glass Fibre (Malaysia) Berhad .. 40,000 55,281
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Promet Berhad ....................... 648,000 $ 606,421
Putera Capital Berhad ............... 73,000 90,511
RJ Reynolds Berhad .................. 319,000 724,284
Rahman Hydraulic Tin Berhad ......... 33,000 76,229
Rashid Hussain Berhad ............... 160,000 398,026
SCB Developments Berhad ............. 240,500 311,487
*SPK Sentosa Corp. Berhad ............ 51,000 59,609
Samanda Holdings Berhad ............. 73,000 167,187
*Sanda Plastics Industries Berhad .... 11,000 17,374
Sanyo Industries (Malaysia) Berhad .. 33,600 98,180
Sapura Telecommunications
Berhad .............................. 168,000 174,468
Sarawak Oil Palms Berhad ............ 104,400 174,790
*Sateras Resources (Malaysia)
Berhad .............................. 167,000 138,480
Scientex, Inc. Berhad ............... 66,000 88,087
Selangor Dredging Berhad ............ 324,000 181,670
Selangor Properties Berhad .......... 419,000 377,224
*Setron (Malaysia) Berhad ............ 54,666 92,819
Shanghai Chong Kee Berhad ........... 19,000 43,139
Siah Brothers Corp. Berhad .......... 55,000 86,871
*Sin Heng Chan Berhad ................ 17,000 67,127
Sitt Tatt Berhad .................... 76,000 148,249
*South East Asia Lumber, Inc.
Berhad .............................. 58,000 97,564
South Johore Amalgamated Holding
Berhad .............................. 27,000 52,028
South Malaysia Industries Berhad .... 126,000 116,920
*Southern Acids (Malaysia) Berhad .... 60,000 101,876
Southern Bank Berhad (Foreign) ...... 75,000 144,521
*Sri Hartamas Corp. Berhad ........... 234,000 141,370
Sriwani Holdings Berhad ............. 127,400 179,089
Sungei Bagan Rubber Co.
(Malaysia) Berhad ................... 2,000 78,973
Sungei Way Holdings Berhad .......... 132,250 391,658
*Tai Wah Garments Manufacturing
Berhad (Foreign) .................... 30,000 30,207
Taiping Consolidated Berhad ......... 103,000 166,752
Tajo Bricks Berhad .................. 16,000 36,644
Tasek Cement Berhad ................. 182,000 441,974
Tenggara Capital Berhad ............. 62,000 90,582
Timah Langat Berhad ................. 22,000 104,245
Tiong Nam Transport Holdings
Berhad .............................. 17,000 22,555
*Trengganu Development &
Management Berhad ................... 66,000 72,971
Tronoh Mines Malaysia Berhad ........ 36,000 109,457
UAC Berhad .......................... 61,000 96,347
UMW Holdings Berhad ................. 239,466 562,615
*Union Paper Holdings Berhad ......... 17,000 47,325
Uniphoenix Corp. Berhad ............. 228,000 170,156
Uniphone Telecommunications
Berhad .............................. 170,000 179,230
United Chemical Industries Berhad ... 18,000 24,166
United Malacca Rubber Estates Berhad 86,000 383,731
United Malayan Flour Mills Berhad ... 22,000 86,002
United Plantations Berhad ........... 185,000 365,252
Westmont Industries Berhad .......... 28,800 96,095
Westmont Land (Asia) Berhad ......... 129,000 218,014
Wing Tiek Holdings Berhad ........... 85,800 382,839
*Worldwide Holdings Berhad ........... 192,000 242,608
-------------
TOTAL COMMON STOCKS
(Cost $34,443,482) ................... 44,955,402
-------------
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
INVESTMENT IN CURRENCY -- (0.0%)
*Malaysian Ringetts (Cost $37,555) ... $ 40,069
-------------
RIGHTS/WARRANTS -- (0.0%)
*Eastern & Oriental Berhad Rights
12/13/95 ............................ 40,500 8,956
*PJ Development Holdings Berhad
Rights for Warrants 12/07/95 ........ 124,320 13,745
-------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................ 22,701
-------------
TOTAL -- MALAYSIA
(Cost $34,481,037) ................... 45,018,172
-------------
AUSTRALIA -- (20.6%)
COMMON STOCKS -- (20.3%)
AAPC, Ltd. .......................... 673,063 374,915
Aberfoyle, Ltd. ..................... 168,750 375,994
Adelaide Brighton, Ltd. ............. 215,309 183,898
*Agen, Ltd. .......................... 71,000 7,910
*Airboss, Ltd. ....................... 246,250 12,802
Allgas Energy, Ltd. ................. 18,800 146,610
Amalgamated Holdings, Ltd. .......... 47,400 584,390
Ashton Mining, Ltd. ................. 475,500 667,465
Atkins Carlyle, Ltd. ................ 54,269 141,070
*Auridiam Consolidated NL ............ 63,097 33,272
Australian Chemical Holdings, Ltd. .. 56,200 162,786
Australian Industry Development
Corp. ............................... 289,553 434,406
Australian Oil & Gas Corp., Ltd. .... 76,500 52,272
Australian Provincial Newspaper
Holdings, Ltd. ...................... 276,649 402,718
Awa, Ltd. ........................... 335,000 134,355
Ballarat Brewing Co. Ltd. ........... 51,392 83,209
Bank of Melbourne, Ltd. ............. 208,870 1,126,235
Bank of Queensland, Ltd. ............ 98,077 325,605
*Beach Petroleum NL .................. 165,200 7,362
*Biota Holdings, Ltd. ................ 82,600 85,886
Blackmores, Ltd. .................... 26,363 52,866
*Boulder Group NL .................... 66,500 18,768
*Brash Holdings, Ltd. ................ 51,810 86,964
Bridgestone Australia, Ltd. ......... 47,600 88,382
Buderim Ginger, Ltd. ................ 7,300 3,958
Burmine, Ltd. ....................... 59,848 111,568
Caltex Australia, Ltd. .............. 215,500 752,249
Campbell Brothers, Ltd. ............. 25,131 54,128
*Campbell Brothers, Ltd. Issue 95 .... 6,282 13,204
*Cape Range, Ltd. .................... 217,000 54,797
Capral Aluminium, Ltd. .............. 321,400 763,857
*Carrington Cotton Corp., Ltd. ....... 19,300 27,235
Central Equity, Ltd. ................ 109,635 67,584
Central Norseman Gold Corp., Ltd. ... 374,000 305,549
Centro Properties, Ltd. ............. 139,160 219,112
Centro Properties, Ltd. (Partly
Paid) ............................... 59,289 52,401
Challenge Bank, Ltd. ................ 170,333 659,102
*Climax Mining, Ltd. ................. 134,600 104,966
Clyde Industries, Ltd. .............. 178,893 184,682
Coal & Allied Industries, Ltd. ...... 11,250 117,812
*Command Petroleum, Ltd. ............. 411,300 122,190
*Computer Power Group, Ltd. .......... 47,260 94,771
*Consolidated Rutile, Ltd. ........... 83,300 128,684
*Coolgardie Gold NL .................. 173,200 29,586
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Coplex Resources NL ................. 203,500 $ 30,228
*Cortecs International, Ltd. ......... 173,400 382,491
Country Road, Ltd. .................. 87,996 114,371
Coventry Group, Ltd. ................ 57,738 206,693
Crane (G.E) Holdings, Ltd. .......... 47,333 246,081
Croesus Mining NL ................... 97,100 43,991
*Crusader, Ltd. ...................... 141,700 142,076
*Cudgen RZ, Ltd. ..................... 30,300 36,231
*DJL, Ltd. ........................... 277,900 2,064
Danks Holdings, Ltd. ................ 6,150 55,725
Datacraft, Ltd. ..................... 124,257 48,912
Defiance Mills, Ltd. ................ 69,200 67,842
*#Delta Gold NL ....................... 338,100 828,658
*Denehurst, Ltd. ..................... 82,700 27,640
*Devex, Ltd. ......................... 229,000 64,630
*Discovery Petroleum NL .............. 163,600 54,678
*Dominion Mining, Ltd. ............... 765,378 164,850
ERG, Ltd. ........................... 207,550 226,598
Eltin, Ltd. ......................... 91,639 210,988
*Emporer Mines, Ltd. ................. 109,000 174,053
Energy Resources of Australia, Ltd.
Series A ............................ 231,589 782,610
*Equatorial Mining NL ................ 864,290 121,963
Evans Deakin Industries, Ltd. ....... 90,000 201,199
*Exicom, Ltd. ........................ 171,700 20,404
FAI Insurances, Ltd. ................ 522,238 217,206
Fai Life, Ltd. ...................... 171,172 86,449
Faulding (F.H.) & Co., Ltd. ......... 167,197 676,770
Finemore Holdings, Ltd. ............. 53,500 81,456
Foodland Associated, Ltd. ........... 84,231 280,263
Forrestania Gold NL ................. 104,040 146,815
#Futuris Corp., Ltd. ................. 491,189 474,251
GUD Holdings, Ltd. .................. 59,230 140,769
Galore Group, Ltd. .................. 83,500 16,744
Gibson Chemical Industries, Ltd. .... 32,500 138,793
*Gold Mines of Australia, Ltd. ....... 494,022 117,412
*#Golden Shamrock Mines, Ltd. ......... 320,900 183,517
*Goldfields, Ltd. .................... 132,934 330,748
*Great Central Mines NL .............. 255,900 513,157
Gunns, Ltd. ......................... 39,400 87,788
Gwalia Consolidated, Ltd. ........... 90,900 138,399
Hardie (James) Industries, Ltd. ..... 423,213 697,796
Harvey Norman Holdings, Ltd. ........ 103,400 534,498
*Harvey Norman Holdings, Ltd. Issue
95 .................................. 6,894 34,971
*Helix Resources NL .................. 25,000 5,942
Henry Walker Group, Ltd. ............ 145,958 184,286
Herald Resources, Ltd. .............. 62,628 55,352
Hills Industries, Ltd. .............. 31,500 140,371
*ISR Group, Ltd. ..................... 85,500 82,552
Incitec, Ltd. ....................... 176,432 704,978
Ipoh, Ltd. .......................... 107,500 91,817
*Jennings Group, Ltd. ................ 1,010,500 67,545
*Johnson's Well Mining NL ............ 10,000 18,568
Joyce Corp., Ltd. ................... 10,952 8,541
Jupiters, Ltd. ...................... 159,200 295,597
Kalamazoo Holdings, Ltd. ............ 90,300 135,474
Kidston Gold Mines, Ltd. ............ 224,800 288,841
Kurts (Peter) Properties, Ltd. ...... 122,036 118,734
Lanes, Ltd. ......................... 21,539 39,593
Leighton Holdings, Ltd. ............. 415,941 1,050,333
Lemarne Corp., Ltd. ................. 16,300 47,214
*Loscam, Ltd. ........................ 214,000 44,503
MacMahon Holdings, Ltd. ............. 182,100 89,263
*Magellan Petroleum Australia, Ltd. .. 31,200 50,979
*Matrix Telecommunications Group
Series A ............................ 82,300 119,804
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*McIntosh Securities, Ltd. ........... 118,300 $ 75,561
*McPherson's, Ltd. ................... 219,000 30,904
*Meekatharra Minerals, Ltd. .......... 35,000 8,578
Memtec, Ltd. ........................ 137,106 229,116
Metal Manufactures, Ltd. ............ 272,200 549,887
Metway Bank, Ltd. ................... 239,629 621,128
Mildara Blass, Ltd. ................. 89,554 425,678
Mirvac, Ltd. ........................ 251,593 209,282
Mount Edon Gold Mines (Australia),
Ltd. ................................ 99,938 211,540
*Mount Kersey Mining NL .............. 65,900 159,069
Mount Leyshon Gold Mines, Ltd. ...... 123,900 332,196
National Can Industries, Ltd. ....... 75,960 152,323
National Consolidated, Ltd. ......... 361,789 228,397
National Foods, Ltd. ................ 458,249 473,078
OPSM Protector, Ltd. ................ 265,450 415,989
Oil Company of Australia, Ltd. ...... 51,800 69,250
Oil Search, Ltd. .................... 306,000 259,085
*Orbital Engine Corp., Ltd. .......... 509,358 450,180
Oroton International, Ltd. .......... 31,400 29,151
Pacific BBA, Ltd. ................... 242,738 501,186
Pacific Magazines and Printing, Ltd. 356,610 754,839
*Pan Pacific Petroleum NL ............ 298,000 33,199
Parbury, Ltd. ....................... 123,436 49,505
*Payce Consolidated, Ltd. ............ 18,000 5,347
Penfold (W.C.), Ltd. ................ 14,100 18,326
*Peptide Technology, Ltd. ............ 158,000 56,327
*Perilya Mines NL .................... 123,500 61,455
Permanent Trustee Co., Ltd. ......... 14,000 42,631
*Petroleum Securities Australia, Ltd. 86,300 201,260
*Petroz NL ........................... 205,940 85,653
*Portman Mining, Ltd. ................ 68,400 46,229
*Portman Mining, Ltd. Issue 95 ....... 68,400 44,705
*Power Pacific, Ltd. ................. 264,900 29,511
Prime Television, Ltd. .............. 120,293 159,923
QCT Resources, Ltd. ................. 24,153 28,702
QUF Industries, Ltd. ................ 134,977 228,566
*Queensland Metals Corp., Ltd. ....... 176,000 94,116
Reece Australia, Ltd. ............... 28,600 142,317
Resolute Samantha, Ltd. ............. 291,257 588,385
Ridley Corp., Ltd. .................. 506,603 504,184
#Rothmans Holdings, Ltd. ............. 191,300 724,605
Rural Press, Ltd. ................... 180,300 649,462
SBS Iama, Ltd. ...................... 34,220 55,914
*Savage Resources, Ltd. .............. 725,200 533,223
Schaffer Corp., Ltd. ................ 11,800 22,348
Scott Corp., Ltd. ................... 43,000 67,066
Siddons Ramset, Ltd. ................ 81,053 216,714
Simsmetal, Ltd. ..................... 121,343 661,496
*Sipa Resources International NL ..... 81,000 7,821
Sons of Gwalia, Ltd. ................ 120,200 633,839
*Southern Pacific Petroleum NL ....... 389,400 159,065
Spicers Paper, Ltd. ................. 224,700 413,877
Spotless Group, Ltd. ................ 184,000 232,318
Spotless Services, Ltd. ............. 271,100 360,412
St. Barbara Mines, Ltd. ............. 339,400 209,221
Stanilite Pacific, Ltd. ............. 101,390 54,218
*Stanilite Pacific, Ltd. Issue 95 .... 20,278 9,789
Steamships Trading Co., Ltd. ........ 5,128 10,283
Sunraysia Television, Ltd. .......... 13,000 46,924
Sunshine Broadcasting Network, Ltd. 73,100 114,013
Tassal, Ltd. ........................ 328,201 53,626
*Ticor, Ltd. ......................... 22,230 28,728
*Ticor, Ltd. Issue 95 ................ 16,672 21,298
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Titan Resources NL .................. 50,000 $ 10,027
*Tooth & Co., Ltd. ................... 153,000 40,908
*Transcom International, Ltd. ........ 223,200 26,523
*Union Gold Mining Co. NL ............ 127,600 56,861
VA Holdings, Ltd. ................... 189,000 21,056
Villa World, Ltd. ................... 121,500 89,336
Village Roadshow, Ltd. .............. 250,080 947,252
*Waco Kwikform, Ltd. ................. 209,308 21,764
Wattyl, Ltd. ........................ 130,517 508,912
Webster, Ltd. ....................... 29,100 22,045
Weston (George) Foods, Ltd. ......... 20,100 101,513
Westralian Forest Industries, Ltd. .. 30,000 86,896
Westralian Sands, Ltd. .............. 141,443 383,434
White (Joe) Maltings, Ltd. .......... 15,000 41,777
Wills (W.D. & H.O.) Holdings, Ltd. .. 237,000 352,042
*Wiluna Mines, Ltd. .................. 240,000 238,854
-------------
TOTAL COMMON STOCKS
(Cost $35,234,266) ................... 39,092,858
-------------
INVESTMENT IN CURRENCY -- (0.3%)
*Australia Dollar (Cost $538,242) .... 544,621
-------------
RIGHTS/WARRANTS -- (0.0%)
*DJL, Ltd. Rights .................... 147,287 0
*Forrestania Gold NL Rights 12/11/95 26,010 2,898
*Helix Resources NL Rights 12/12/95 . 8,333 248
-------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................ 3,146
-------------
TOTAL -- AUSTRALIA
(Cost $35,772,508) ................... 39,640,625
-------------
HONG KONG -- (19.7%)
COMMON STOCKS -- (19.6%)
ABC Communications (Holdings), Ltd. 338,000 70,813
ALCO Holdings, Ltd. ................. 314,000 58,475
ASM Pacific Technology, Ltd. ........ 310,000 264,597
AWT World Transport Holdings, Ltd. . 167,200 15,352
Allied Group, Ltd. .................. 4,928,000 344,147
*Allied Industries International, Ltd. 1,698,000 72,466
Anex International Holdings, Ltd. ... 152,000 13,957
Applied International Holdings, Ltd. 1,110,000 120,582
*Asia Commercial Holdings, Ltd. ...... 3,640,000 70,611
Asia Financial Holdings, Ltd. ....... 1,000,000 375,040
Associated International Hotels,
Ltd. ................................ 828,000 476,508
Beauforte Investors Corp., Ltd. ..... 66,000 102,425
Beijing Development (Hong Kong),
Ltd. ................................ 164,000 29,057
Benelux International, Ltd. ......... 30,000 1,901
*Berjaya Holdings (Hong Kong), Ltd. .. 1,420,000 33,790
Burwill Holdings, Ltd. .............. 1,332,000 163,647
CDL Hotels International, Ltd. ...... 460,000 206,725
*CDW International, Ltd. ............. 178,000 17,265
*CIL Holdings, Ltd. .................. 122,000 5,207
CNT Group, Ltd. ..................... 980,000 57,666
Cafe de Coral Holdings, Ltd. ........ 384,000 91,872
Capital Asia, Ltd. .................. 903,361 161,221
Century City International Holdings,
Ltd. ................................ 3,363,202 756,802
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Champion Technology Holdings, Ltd. . 1,237,319 $140,814
Chen Hsong Holdings, Ltd. ........... 1,156,000 605,470
Cheuk Nang Properties (Holdings),
Ltd. ................................ 708,400 131,923
Cheung Wah Development Co., Ltd. ... 1,286,000 44,904
*Chevalier (OA) International, Ltd. .. 1,604,000 89,198
Chevalier International Holdings,
Ltd. ................................ 1,372,000 218,242
China Aerospace International
Holdings, Ltd. ...................... 1,620,000 165,509
#China Foods Holdings, Ltd. .......... 1,128,000 269,874
China Merchants Hai Hong
Holdings Co., Ltd. .................. 574,000 150,320
China Motor Bus Co., Ltd. ........... 105,000 855,480
China Travel International
Investment Hong Kong, Ltd. .......... 1,360,000 226,887
*China Treasure Telecom Holdings,
Ltd. ................................ 230,000 10,262
Chow Sang Sang Holdings
International, Ltd. ................. 1,012,000 337,006
*Chuang's China Investments, Inc. .... 820,000 37,116
Chun Wo Holdings, Ltd. .............. 154,000 20,713
Climax International Co., Ltd. ...... 296,000 37,897
Companion Building Material
(Holdings), Ltd. .................... 351,360 63,161
*Continental Holdings, Ltd. .......... 54,000 3,073
*Continental Mariner Investment Co.,
Ltd. ................................ 395,000 35,758
Cosmos Machinery Enterprises, Ltd. . 500,000 58,843
Crocodile Garments, Ltd. ............ 1,419,000 102,766
Cross Harbour Tunnel Co., Ltd. ...... 328,103 636,475
Culturecom Holdings, Ltd. ........... 1,950,000 58,254
Dah Sing Financial Holdings, Ltd. ... 215,200 470,337
Daido Concrete (Hong Kong), Ltd. .... 194,000 23,834
Dickson Concepts (International),
Ltd. ................................ 616,000 446,117
Dransfield Holdings, Ltd. ........... 190,000 11,303
Dynamic Holdings, Ltd. .............. 158,000 30,241
East Asiatic Co. (Hong Kong), Ltd. .. 919,000 118,849
Egana International Holdings, Ltd. .. 861,600 93,598
Elec & Eltek International Holdings,
Ltd. ................................ 2,371,159 469,172
Emporer International Holdings, Ltd. 124,800 38,735
*Englong International, Ltd. ......... 130,000 34,885
FPB Bank Holding Co., Ltd. .......... 1,399,520 287,777
*Fairwood Holdings, Ltd. ............. 284,000 26,812
Far East Consortium International,
Ltd. ................................ 1,316,626 190,704
*Far East Holdings International,
Ltd. ................................ 70,000 5,432
*Far East Hotels & Entertainment,
Ltd. ................................ 1,762,000 403,329
First Asia International Holdings,
Ltd. ................................ 115,000 9,221
*Fong's Industries Co., Ltd. ......... 174,000 12,826
Fortei Holdings, Ltd. ............... 242,000 11,267
Fountain Set Holdings, Ltd. ......... 1,774,000 321,190
Four Seas Mercantile Holdings, Ltd. 242,000 73,547
Frankie Dominion International, Ltd. 452,000 24,551
*Fu Hui Jewelry Co. (Hong Kong), Ltd. 232,000 8,401
Furama Hotel Enterprises, Ltd. ...... 428,000 478,784
*General Electronics, Ltd. ........... 1,562,000 93,932
Giordano International, Ltd. ........ 536,000 481,759
Gold Peak Industries (Holdings),
Ltd. ................................ 950,000 433,075
Golden Resources Development
International, Ltd. ................. 878,000 88,566
#Goldlion Holdings, Ltd. ............. 620,000 398,901
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Grand Hotel Holdings, Ltd.
Series A ............................ 1,212,000 $ 450,630
Grande Holdings, Ltd. ............... 370,000 215,325
Great Wall Electronic International,
Ltd. ................................ 2,038,000 166,045
Guangzhou Investment Co., Ltd. ...... 1,026,000 200,357
HKCB Bank Holding Co., Ltd. ......... 450,000 138,215
*Hanny Magnetics (Holdings), Ltd. .... 2,192,000 31,466
Harbour Centre Development, Ltd. .... 314,000 332,984
Harbour Ring International
Holdings, Ltd. ...................... 1,456,000 150,637
*High Fashion International, Ltd. .... 178,000 9,438
*Hoi Sing Holdings, Ltd. ............. 148,500 15,748
#Hon Kwok Land Investment Co., Ltd. . 1,892,682 575,209
Hong Kong Ferry (Holdings) Co., Ltd. 757,500 754,316
Hong Kong Parkview Group, Ltd. ...... 1,026,000 258,739
Hong Kong Toy Centre
International, Ltd. ................. 508,000 27,264
Hop Hing Holdings, Ltd. ............. 592,048 112,552
Hsin Chong Construction Group, Ltd. 426,000 60,601
Hung Hing Printing Group, Ltd. ...... 390,000 85,742
Hwa Kay Thai Holdings, Ltd. ......... 2,269,205 296,398
IDT International, Ltd. ............. 372,061 44,267
IMC Holdings, Ltd. .................. 531,000 319,321
Innovative International (Holdings),
Ltd. ................................ 438,000 148,691
*International Pipe, Ltd. ............ 108,000 10,196
*Island Dyeing & Printing Co., Ltd. .. 135,000 92,532
JCG Holdings, Ltd. .................. 430,000 316,974
Jinhui Holdings Co., Ltd. ........... 370,000 51,199
Joyce Boutique Holdings, Ltd. ....... 628,000 147,812
K Wah International Holdings, Ltd. .. 1,791,025 273,315
KPI Co., Ltd. ....................... 220,000 20,200
Ka Wah Bank, Ltd. ................... 1,566,720 476,145
*Kader Holdings Co., Ltd. ............ 402,000 24,954
Keck Seng Investments (Hong Kong),
Ltd. ................................ 520,800 154,910
Kee-Shing Holdings Co., Ltd. ........ 886,000 93,957
King Fook Holdings, Ltd. ............ 1,000,000 82,768
*Kosonic International Holdings, Ltd. 198,000 7,170
Kumagai Gumi Hong Kong, Ltd. ........ 647,000 485,302
Kwong Sang Hong International, Ltd. 544,000 136,484
Lai Sun Garment (International),
Ltd. ................................ 440,000 458,067
Lam Soon (Hong Kong), Ltd. .......... 1,114,740 226,336
Lam Soon Food Industries, Ltd. ...... 311,000 44,242
Lamex Holdings, Ltd. ................ 202,000 40,230
Lap Heng Co., Ltd. .................. 128,000 134,911
*Laws International Holdings, Ltd. ... 410,000 42,418
Le Saunda Holdings, Ltd. ............ 236,000 18,312
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Leefung-Asco Printers Holdings, Ltd. 144,000 $ 20,857
Li & Fung, Ltd. ..................... 466,000 346,524
Lippo, Ltd. ......................... 710,160 381,140
Liu Chong Hing Bank, Ltd. ........... 324,600 386,204
Liu Chong Hing Investment, Ltd. ..... 572,000 551,102
Luks Industrial Co., Ltd. ........... 1,636,000 179,838
M.C. Packaging (Hong Kong), Ltd. .... 524,000 189,745
*Magnum International Holdings, Ltd. 300,000 13,579
Mansion Holdings, Ltd. .............. 151,800 17,472
*Mansion House Group, Ltd. ........... 640,200 39,741
Megga (S.) International Holdings,
Ltd. ................................ 970,000 43,906
Melbourne Enterprises, Ltd. ......... 38,000 224,093
Melco International Development,
Ltd. ................................ 180,000 46,324
Min Xin Holdings, Ltd. .............. 558,000 101,750
Mingly Corp., Ltd. .................. 3,298,000 661,093
Morning Star Holdings, Ltd. ......... 410,000 31,284
Nanyang Holdings, Ltd. .............. 115,000 95,183
National Electronics Holdings, Ltd. . 1,082,000 51,774
New Island Printing Holdings, Ltd. .. 160,000 18,623
Ngai Lik Industrial Holdings, Ltd. .. 280,000 129,454
Ocean Information Holdings, Ltd. .... 122,000 13,095
Ocean-Land Development, Ltd. ........ 182,000 145,930
Oxford Properties & Finance, Ltd. ... 110,000 268,865
Pacific Concord Holding, Ltd. ....... 1,554,000 247,193
*Paramount Publishing Group, Ltd. .... 574,000 37,116
Paul Y. ITC Construction Holdings,
Ltd. ................................ 684,000 137,110
Peace Hill Enterprise Group, Ltd. ... 96,000 18,126
Perfectech International Holdings,
Ltd. ................................ 150,000 13,579
Playmate Toys Holdings, Ltd. ........ 837,000 161,284
Playmates Properties Holdings, Ltd. 837,000 110,409
Pokfulam Development Co., Ltd. ...... 212,000 104,184
*Poly Investments Holdings, Ltd. ..... 2,432,000 56,613
*Prod-Art Technology (Holdings), Ltd. 322,000 11,660
QPL International Holdings, Ltd. .... 318,000 302,270
Raymond Industrial, Ltd. ............ 558,000 74,328
#Regal Hotels International Holdings,
Ltd. ................................ 2,141,331 473,544
*Rhine Holdings, Ltd. ................ 160,000 41,384
*Rivera Holdings, Ltd. ............... 2,916,000 87,489
Safety Godown Co., Ltd. ............. 310,000 268,607
San Miguel Brewery Hong Kong, Ltd. . 858,000 438,293
*Seapower International Holdings,
Ltd. ................................ 260,000 97,511
Seapower Resources International,
Ltd. ................................ 2,290,000 183,615
Semi-Tech (Global) Co., Ltd. ........ 299,491 460,904
*Shanghai International (Hong Kong),
Ltd. ................................ 215,000 13,902
#Shaw Brothers Hong Kong, Ltd. ....... 100,000 115,099
Shell Electric Manufacturing
(Holdings) Co., Ltd. ................ 756,000 310,417
*Shenzhen International Holdings,
Ltd. ................................ 1,865,000 32,319
Shougang Concord Century
Holdings, Ltd. ...................... 302,000 26,167
*Shougang Concord Grand (Group), Ltd. 1,416,000 78,743
Shougang Concord International
Enterprises Co., Ltd. ............... 1,320,000 153,637
*Shougang Concord Technology
Holdings, Ltd. ...................... 867,000 39,804
*Shun Ho Construction (Holdings),
Ltd. ................................ 846,000 41,028
*Shun Ho Resources Holdings, Ltd. .... 460,000 22,903
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Shun Shing Holdings, Ltd. ........... 408,000 $ 16,357
Silver Grant International
Industries, Ltd. .................... 255,000 46,169
Sime Darby Hong Kong, Ltd. .......... 418,000 429,758
Sincere Co., Ltd. ................... 394,000 58,597
Sing Tao Holdings, Ltd. ............. 693,000 358,487
Singamas Container Holdings, Ltd. ... 246,000 35,950
South China Brokerage Co., Ltd. ..... 112,000 8,980
South China Industries, Ltd. ........ 1,020,000 131,911
*South China Strategic, Ltd. ......... 1,320,000 30,727
*South Sea Development Co., Ltd. ..... 466,400 14,174
Southeast Asia Properties & Finance,
Ltd. ................................ 159,720 51,639
Star Paging (International Holding),
Ltd. ................................ 388,000 54,694
Starlight International Holdings, Ltd 645,356 70,107
Stelux Holdings International, Ltd. . 735,702 188,385
*Styland Holdings, Ltd. .............. 808,000 26,019
Sum Cheong International, Ltd. ...... 230,000 132,363
Sun Fook Kong Holdings, Ltd. ........ 1,372,000 78,070
Sun Hung Kai & Co., Ltd. ............ 1,170,000 273,870
*Suwa International Holdings, Ltd. ... 1,062,000 54,937
Swank International Manufacturing
Co., Ltd. ........................... 568,000 63,172
TVE (Holdings), Ltd. ................ 680,000 195,668
Tack Hsin Holdings, Ltd. ............ 148,000 22,202
Tai Sang Land Development, Ltd. ..... 417,259 196,960
Tak Sing Alliance Holdings, Ltd. .... 563,200 222,148
Tak Wing Investment Holdings, Ltd. .. 388,000 60,213
Techtronic Industries Co., Ltd. ..... 856,000 79,705
Tem Fat Hing Fung (Holdings), Ltd. .. 1,868,000 137,699
Termbray Industries International
(Holdings), Ltd. .................... 97,175 165,886
Texwinca Holdings, Ltd. ............. 278,000 47,816
Tian An China Investments Co., Ltd. 2,007,000 238,790
Tian Teck Land, Ltd. ................ 1,006,000 219,869
#Tomei International (Holdings), Ltd. 2,445,713 177,122
Tristate Holdings, Ltd. ............. 113,000 70,876
Truly International Holdings, Ltd. .. 214,000 32,103
Tse Sui Luen Jewellry
(International), Ltd. ............... 1,449,600 359,939
Tung Fong Hung (Holdings), Ltd. ..... 270,000 28,283
Tungtex (Holdings) Co., Ltd. ........ 904,000 87,682
Tysan Holdings, Ltd. ................ 336,000 62,138
UDL Holdings, Ltd. .................. 474,000 49,040
USI Holdings, Ltd. .................. 1,668,000 122,956
*Ultronics International Holdings,
Ltd. ................................ 112,000 2,781
Union Bank of Hong Kong, Ltd. ....... 543,600 520,225
Uniworld Holdings, Ltd. ............. 14,880,000 46,184
Varitronix International, Ltd. ...... 442,000 828,839
Wah Ha Realty Co., Ltd. ............. 240,000 45,936
Wah Kwong Shipping Holdings, Ltd. .. 113,000 162,211
Wah Nam Group, Ltd. ................. 1,700,000 27,701
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Wai Kee Holdings, Ltd. .............. 450,000 $ 59,360
Wing Hang Bank, Ltd. ................ 30,000 99,709
Wing On Co. International, Ltd. ..... 507,000 504,869
Wing On International Holdings, Ltd. 50,000 85,354
Wing Shan International, Ltd. ....... 406,000 46,730
Winsor Industrial Corp., Ltd. ....... 447,000 398,875
Winton Holdings (Bermuda), Ltd. ..... 174,000 40,504
Wo Kee Hong (Holdings), Ltd. ........ 1,430,000 279,250
Wong's International (Holdings),
Ltd. ................................ 1,012,000 146,581
*Wong's Kong King International
(Holdings), Ltd. .................... 717,000 37,554
World Houseware (Holdings), Ltd. .... 418,028 70,280
YGM Trading, Ltd. ................... 70,000 35,306
Yangtzekiang Garment
Manufacturing Co., Ltd. ............. 323,000 74,354
Yaohan Food Processing & Trading
Co., Ltd. ........................... 124,000 15,234
Yaohan Hong Kong Corp., Ltd. ........ 690,000 36,586
Yaohan International Caterers, Ltd. . 452,000 105,218
Yaohan International Holdings, Ltd. . 888,000 111,395
Yau Lee Holdings, Ltd. .............. 360,000 13,501
Yeebo (International Holdings), Ltd. 408,000 61,207
Yiu Wing International Holdings,
Ltd. ................................ 188,000 30,877
*Yoshiya International Corp., Ltd. ... 370,000 33,973
Yue Yuen Industrial (Holdings), Ltd. 1,982,000 502,389
-------------
TOTAL COMMON STOCKS
(Cost $50,472,275) ................... 37,870,853
-------------
INVESTMENT IN CURRENCY -- (0.1%)
*Hong Kong Dollars (Cost $184,116) ... 184,052
-------------
RIGHTS/WARRANTS -- (0.0%)
*Century City International Holdings,
Ltd. Warrants 12/31/95 .............. 2,760 4
*Chevalier International Holdings,
Ltd. Warrants 09/30/97 .............. 2,400 96
*China Treasure Telecom Holdings,
Ltd. Warrants ....................... 46,000 0
*Frankie Dominion International, Ltd.
Warrants 06/07/97 ................... 90,400 1,122
*Hoi Sing Holdings, Ltd. Warrants
12/31/96 ............................ 19,800 1,024
*Hong Kong Parkview Group, Ltd.
Warrants 12/31/96 ................... 205,200 4,777
*International Pipe, Ltd. Warrants
12/31/96 ............................ 21,600 550
*K Wah International Holdings, Ltd.
Warrants 12/31/97 ................... 173,079 6,155
*Paul Y ITC Construction Holdings,
Ltd. Warrants 03/31/97 .............. 68,400 2,256
*Paul Y ITC Construction Holdings,
Ltd. Warrants 03/31/98 .............. 68,400 2,300
*South China Brokerage Co., Ltd.
Warrants 08/31/97 ................... 22,400 724
*South China Strategic, Ltd.
Warrants 12/31/96 ................... 6,000 8
*Starlight International Holdings,
Ltd. Warrants 1995-1997 ............. 129,071 4,006
-------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................ 23,022
-------------
TOTAL -- HONG KONG
(Cost $50,656,391) ................... $38,077,927
-------------
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
KOREA -- (18.2%)
COMMON STOCKS -- (18.2%)
*Aluminum of Korea ................... 7,257 $ 76,751
*Anam Electronics Co. ................ 6,000 94,212
Asia Cement Co., Ltd. ............... 5,226 213,624
*Asia Motors Co., Inc. ............... 23,220 337,482
*BIF Co., Ltd. ....................... 5,000 22,061
Bank of Pusan ....................... 15,700 228,186
Bing Grae Co., Ltd. ................. 4,340 90,112
Boo Kook Securities Co., Ltd. ....... 4,635 71,576
Boram Bank Co., Ltd. ................ 22,649 349,757
Boryung Pharmaceutical Co., Ltd. .... 3,549 99,018
Byuck San Corp. ..................... 6,580 133,205
Cheil Industrial, Inc. .............. 14,808 392,010
*Cheil Industrial, Inc. Issue 95 ..... 5,923 147,575
*Cho Kwang Leather Co., Ltd. ......... 2,120 47,594
*Cho Kwang Leather Co., Ltd. Issue 95 104 2,159
Chon Bang Co., Ltd. ................. 3,255 249,215
Chong Kun Dang ...................... 3,277 152,666
Choongnam Spinning Co., Ltd. ........ 15,800 340,358
Chosun Brewery Co., Ltd. ............ 9,879 357,675
*Chosun Brewery Co., Ltd. First Issue
95 .................................. 3,021 102,712
Chosun Refractories Co., Ltd. ....... 1,100 43,966
Crown Confectionery Co., Ltd. ....... 1,500 52,362
Dae Chang Industrial Co. ............ 1,600 29,484
Dae Dong Industrial Co., Ltd. ....... 6,233 113,239
Dae Han Fire and Marine Insurance
Co., Ltd. ........................... 6,735 296,284
Dae Han Jung Suok Co., Ltd. ......... 11,227 371,514
*Dae Han Jung Suok Co., Ltd. First
Issue 95 ............................ 334 10,402
*Dae Han Jung Suok Co., Ltd.
Second Issue 95 ..................... 3,592 111,871
*Dae Han Jung Suok Co., Ltd. Third
Issue 95 ............................ 3,049 100,499
Dae Han Pulp Co., Ltd. .............. 1,000 27,251
*Dae Ryung Industries, Inc. .......... 2,060 93,831
Dae Sung Electric Wire Co., Ltd. .... 1,164 26,434
Dae Won Kang Up Co., Ltd. ........... 5,297 127,854
*Dae Won Kang Up Co., Ltd. Issue 95 . 1,059 25,355
Daelim Industrial Co., Ltd. ......... 8,374 161,916
*Daelim Industrial Co., Ltd. Issue 95 2,009 37,281
Daesung Industries Co., Ltd. ........ 4,000 297,950
Daewoo Electronic Components Co.,
Ltd. ................................ 10,660 119,797
*Daewoo Telecom Co., Ltd. ............ 19,348 283,717
*Daewoo Telecom Co., Ltd. Issue 95 .. 522 7,451
*Dai Han Wool Textile Corp. .......... 1,100 24,981
Dong Bang Corp. ..................... 3,717 118,176
Dong Shin Paper Manufacturing Co.,
Ltd. ................................ 6,900 85,959
*Dong Shin Pharmaceutical Co., Ltd. . 1,300 55,840
Dong Wha Pharmaceutical
Industries Co., Ltd. ................ 3,663 127,868
*Dong Wha Pharmaceutical
Industries Co., Ltd. Issue 95 ....... 412 12,885
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Dong Yang Tin Plate Industrial Co.,
Ltd. ................................ 3,079 $103,486
Dong-A Pharmaceutical Co., Ltd. ..... 16,334 468,442
Dong-Il Corp. ....................... 2,266 116,152
*Dongbu Chemical Co., Ltd. ........... 12,600 215,832
Dongbu Construction Co., Ltd. ....... 1,450 29,166
Dongbu Industrial Co., Ltd. ......... 4,700 78,679
Dongbu Steel Co., Ltd. .............. 11,000 344,018
*Donghae Pulp ........................ 15,035 372,656
Dongkuk Steel Mill Co., Ltd. ........ 13,220 344,825
Dongsung Chemical Industries ........ 5,000 135,609
*Dongsung Chemical Industries Issue
95 .................................. 800 21,282
Dongwon Industries Co., Ltd. ........ 15,100 376,226
*Doosan Foods Co., Ltd. .............. 2,600 27,667
Doosan Glass Co., Ltd. .............. 6,000 82,533
Doosan Industrial Co., Ltd. ......... 9,246 94,788
*Doosan Industrial Co., Ltd. Issue 95 2,142 21,403
*Doosan Manufacturing Co., Ltd. ...... 4,551 79,728
Haedong Fire and Marine Insurance
Co., Ltd. ........................... 3,677 167,006
Hai Tai Electronics Co., Ltd. ....... 7,300 158,201
*Hai Tai Electronics Co., Ltd. Issue
95 .................................. 1,650 33,403
*Haitai Confectionery Co., Ltd. ...... 13,270 192,868
*Han Jin Shipping Co., Ltd. .......... 10,000 464,573
*Han-Il Synthetic Fiber Industrial
Co., Ltd. .......................... 29,000 278,484
*Hanbo Steel & General
Construction Co., Ltd. .............. 7,300 74,838
Hankook Caprolactam Corp. ........... 3,400 127,952
*Hankook Core Co., Ltd. .............. 1,200 21,801
Hankook Cosmetics Co., Ltd. ......... 3,000 100,831
Hankuk Paper Manufacturing Co., Ltd. 1,800 59,330
*Hankuk Paper Manufacturing Co., Ltd.
Issue 95 ............................ 436 14,371
Hanmi Pharmaceutical Co., Ltd. ...... 2,518 66,659
*Hanmi Pharmaceutical Co., Ltd. Issue
95 .................................. 201 5,308
Hannong Corp. ....................... 1,000 58,137
Hanwha Corp. ........................ 25,800 482,118
*Hanwha Corp. Issue 95 ............... 4,081 70,965
*Hanwha Energy Co., Ltd. ............. 26,000 283,416
*Hanwha Machinery Co., Ltd. .......... 16,000 247,080
Heung Ah Tire & Rubber .............. 5,000 121,983
*Hyosung Corp. ....................... 19,600 160,239
Hyundai Cement Co., Ltd. ............ 5,600 231,819
Hyundai Corp. ....................... 12,675 340,478
Hyundai Mipo Dockyard Co., Ltd. ..... 14,000 327,018
Hyundai Pharmaceutical Co., Ltd. .... 3,427 104,064
Hyundai Pipe Co., Ltd. .............. 4,500 72,995
*Hyundai Precision Industry Co., Ltd. 7,100 156,631
*Hyundai Wood Industry ............... 12,472 154,241
*Il Jin Electronics & Machinery Co.,
Ltd. ................................ 1,000 42,305
Il Shin Spinning .................... 3,021 289,320
Il Yang Pharmaceutical Co., Ltd. .... 4,371 172,435
Inkel Corp. ......................... 6,900 111,030
*Isu Chemical Co., Ltd. .............. 16,924 219,621
Jindo Corp. ......................... 9,455 204,903
Jinro, Ltd. ......................... 7,000 170,776
Kang Won Industrial, Ltd. ........... 19,500 371,983
Kangwon Bank Co., Ltd. .............. 42,412 487,083
*Keun Wha Pharmaceutical Co., Ltd. .. 2,000 8,824
*Kia Steel Co., Ltd. ................. 25,125 208,669
*Kia Steel Co., Ltd. Issue 95 ........ 7,552 60,761
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Kohap Co., Ltd. ..................... 36,812 $ 539,807
Kolon Construction Co., Ltd. ........ 3,400 61,329
Kolon International Corp. ........... 8,732 151,841
*Kolon International Corp. Issue 95 .. 2,063 34,535
*Kony Precision Co., Ltd. ............ 2,000 45,679
*Korea Computer Co., Ltd. ............ 1,400 45,419
Korea Electronics Co., Ltd. ......... 7,220 254,846
Korea Iron & Steel Co., Ltd. ........ 23,133 432,280
Korea Kumho Petrochemical ........... 31,600 373,574
*Korea Steel Pipe Co., Ltd. .......... 14,995 86,008
*Koryo Cement Manufacturing Co., Ltd. 2,000 28,549
*Kuk Dong Construction Co., Ltd. ..... 5,100 88,022
*Kuk Dong Construction Co., Ltd.
Issue 95 ............................ 417 7,035
Kukje Electric Wire Co., Ltd. ....... 29,448 798,681
*Kum Ho & Co., Inc. .................. 26,420 284,565
Kum Yang Co., Ltd. .................. 1,700 51,843
Kumho Construction & Engineering
Co., Ltd ............................ 57,137 705,130
Kunsul Chemical Industrial Co., Ltd. 620 32,907
Kwangju Bank ........................ 13,100 147,048
*Kwangju Bank Issue 95 ............... 2,738 30,556
Kyungnam Wool Textile Co., Ltd. ..... 4,172 88,248
LG Construction, Ltd. ............... 23,618 484,252
LG International Corp. .............. 32,946 538,697
*LG International Corp. Issue 95 ..... 8,947 143,969
LG Metals Corp. ..................... 24,400 471,788
Midopa Department Store ............. 16,536 210,509
Miwon Petrochemical Corp. ........... 13,777 250,296
*Namhan Paper Manufacturing Co., Ltd. 6,500 35,005
Nasan Industries Co., Ltd. .......... 5,666 152,201
Nong Shim Co., Ltd. ................. 4,028 137,995
On Yang Pulp ........................ 2,621 31,632
Oriental Chemical Industries Co.,
Ltd. ................................ 14,175 437,795
*Oriental Chemical Industries Co.,
Ltd. Issue 95 ....................... 561 16,671
Orion Electric Co., Ltd. ............ 329 6,916
Pacific Chemical Co., Ltd. .......... 14,000 347,002
Pang Rim Spinning ................... 5,000 315,339
Poong San Corp. ..................... 32,000 622,891
Posco Chemical Co., Ltd. ............ 13,000 237,867
Pusan Steel Pipe Corp. .............. 307 10,916
Pyung Wha Industrial Co., Ltd. ...... 2,000 56,320
STC Corp. ........................... 12,400 297,690
Saehan Media Corp. .................. 11,800 284,817
Sam Ick Construction Co., Ltd. ...... 15,443 119,841
*Sam Ick Construction Co., Ltd. Issue
95 .................................. 3,529 26,378
*Sam Jin Chemical Co., Ltd. .......... 1,000 4,023
Sam Yang Co., Ltd. .................. 13,420 461,498
*Sam Yang Co., Ltd. Issue 95 ......... 1,074 36,084
*Sambu Construction Co., Ltd. ........ 2,400 93,434
*Sambu Construction Co., Ltd. Issue
95 .................................. 489 17,831
Samchully Co., Ltd. ................. 700 49,870
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Samick Musical Instruments
Manufacturing Co., Ltd. ............. 9,136 $ 136,341
Samlip Foods Industries Co., Ltd. ... 4,060 79,029
*Sammi Corp. ......................... 29,600 193,979
*Sammi Steel Co., Ltd. ............... 49,800 470,470
Samsung Aerospace Industrial Co.,
Ltd. ................................ 12,733 373,431
*Samsung Aerospace Industrial Co.,
Ltd. Issue 95 ....................... 5,142 140,127
*Samsung Electro-Mechanics Co., Ltd.
Second Issue 94 ...................... 3,349 174,273
Samsung Fine Chemicals .............. 90 6,529
*Samsung Fine Chemicals Issue 95 ..... 41 2,926
Samwhan Corp. Co., Ltd. ............. 17,164 456,608
Samyang Foods Co., Ltd. ............. 2,000 87,983
Samyoung Chemical Co., Ltd. ......... 4,000 62,289
*Se Poong Corp. ...................... 8,500 152,219
Seyang Shipping Co., Ltd. ........... 2,360 66,457
*Shin Dong-Ah Fire & Marine
Insurance Co. ....................... 5,670 213,379
Shin Han Investment & Finance Co.,
Ltd. ................................ 2,835 64,014
Shin Han Securities Co., Ltd. ....... 5,870 84,554
Shin Heung Securities Co., Ltd. ..... 4,100 59,058
Shin Sung Corp. ..................... 10,820 178,321
*Shin Sung Corp. Issue 95 ............ 1,731 28,303
Shin Wha Engineering &
Construction Co., Ltd. .............. 12,231 311,092
*Shin-A Chemical Manufacturing Co.,
Ltd. ................................ 4,700 40,986
*Shinsung Tongsang Co., Ltd. ......... 9,600 110,999
Soosan Heavy Industries Co., Ltd. ... 1,200 20,711
*Soosan Heavy Industries Co., Ltd.
Issue 95 ............................ 289 4,950
Ssang Bang Wool Co., Ltd. ........... 5,589 327,826
Ssangyong Corp. ..................... 9,023 133,483
*Ssangyong Motor Co. ................. 32,600 350,283
Sung Chang Enterprise Co., Ltd. ..... 1,300 95,315
Sung Shin Cement Co., Ltd. .......... 6,515 219,816
Sunkyong Securities Co., Ltd. ....... 6,700 106,073
Sunkyong, Ltd. ...................... 19,655 464,211
*Sunkyong, Ltd. Issue 95 ............. 3,188 71,984
Tae Il Media Co., Ltd. .............. 3,598 93,382
*Tae Il Media Co., Ltd. Issue 95 ..... 1,131 29,354
Tae Kwang Industrial Co., Ltd. ...... 100 65,404
*Taejon Leather Industrial Co., Ltd. . 6,500 67,902
Tai Han Electric Wire Co., Ltd. ..... 4,503 144,919
Taihan Sugar Industrial Co., Ltd. ... 3,080 123,903
Tong Yang Cement Corp. .............. 16,890 541,374
Tong Yang Mool San Co., Ltd. ........ 6,145 93,299
Tong Yang Nylon Co., Ltd. ........... 14,930 538,611
*Tongil Heavy Industries Co., Ltd. ... 65,180 613,230
Tongkook Corp. ...................... 7,400 67,412
Tongyang Confectionery Co. .......... 1,537 44,478
Trigem Computer, Inc. ............... 8,000 230,470
Union Steel Manufacturing Co., Ltd. 3,000 299,766
Youngchang Akki Co., Ltd. ........... 3,200 169,426
Youngpoong Corp. .................... 2,000 241,370
Yuhan Corp. ......................... 3,417 210,629
-------------
TOTAL COMMON STOCKS
(Cost $32,296,079) ................... 35,159,503
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Korean Won (Cost $1,238) ............ 1,240
-------------
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
RIGHTS/WARRANTS -- (0.0%)
*Bing Grae Co., Ltd. Rights 01/24/96 1,736 $ 0
*Doosan Glass Co., Ltd. Rights
01/16/96 ............................ 1,066 4,842
*Han Jin Shipping Co., Ltd. Rights
12/12/95 ............................ 1,200 0
*Jinro, Ltd. Rights 01/09/96 ......... 1,188 6,629
*Nasan Industries Co., Ltd. Rights
12/27/95 ............................ 1,427 11,111
*Yuhan Corp. Rights 12/15/95 ......... 410 0
-------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................ 22,582
-------------
TOTAL -- KOREA
(Cost $32,297,317) ................... 35,183,325
-------------
SINGAPORE -- (14.7%)
COMMON STOCKS -- (14.7%)
Acma, Ltd. .......................... 213,600 673,329
*Alliance Technology &
Development, Ltd. ................... 48,000 36,805
Amtek Engineering, Ltd. ............. 113,000 148,420
*Amtek Engineering, Ltd. Issue 95 .... 56,500 74,010
*Ana Hotels Singapore, Ltd. .......... 81,000 132,268
Apollo Enterprises, Ltd. ............ 162,000 154,121
Auric Pacific Group, Ltd. ........... 149,000 240,135
Avimo Singapore, Ltd. ............... 174,625 169,852
Bonvests Holdings, Ltd. ............. 359,000 300,760
British-American Tobacco Co.
(Singapore), Ltd. ................... 101,000 387,220
Bukit Sembawang Estates, Ltd. ....... 44,000 915,300
*CK Tang, Ltd. ....................... 76,000 90,380
CSA Holdings, Ltd. .................. 153,000 145,559
#CWT Distribution, Ltd. .............. 180,000 184,026
Carnaudmetalbox Asia, Ltd. .......... 95,000 401,313
*Causeway Investment, Ltd. ........... 122,000 101,342
Central Properties, Ltd. ............ 37,000 420,305
Chemical Industries (Far East), Ltd. 72,000 155,399
Chuan Hup Holdings, Ltd. ............ 361,000 294,746
Cosco Investment (Singapore), Ltd. .. 134,400 162,215
Focal Finance, Ltd. ................. 88,200 156,550
Fuji Offset Plates Manufacturing,
Ltd. ................................ 33,750 16,054
GB Holdings, Ltd. ................... 90,000 79,872
GK Goh Holdings ..................... 429,000 453,823
GP Batteries International, Ltd. .... 12,000 19,936
General Magnetics, Ltd. ............. 94,000 52,055
#Goldtron, Ltd. ...................... 424,000 406,390
Guthrie GTS, Ltd. ................... 452,000 263,145
HTP Holdings, Ltd. .................. 297,000 219,297
Hai Sun Hup Group, Ltd. ............. 556,000 363,166
Haw Par Brothers International, Ltd. 331,100 714,621
Hind Hotels International, Ltd. ..... 102,000 118,765
#Hitachi Zosen (Singapore), Ltd. ..... 455,000 335,960
Hong Kok Corp., Ltd. ................ 231,000 347,689
Hotel Grand Central, Ltd. ........... 309,400 329,499
Hotel Plaza, Ltd. ................... 520,000 326,731
Hotel Properties, Ltd. .............. 382,000 564,118
Hotel Royal, Ltd. ................... 54,000 140,319
Hour Glass, Ltd. .................... 122,000 103,940
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Hwa Hong Corp., Ltd. ................ 189,000 $289,840
Industrial & Commercial Bank, Ltd. .. 71,000 252,041
*Inno-Pacific Holdings, Ltd. ......... 265,500 125,351
Insurance Corp. of Singapore, Ltd. .. 85,000 228,718
Intraco, Ltd. ....................... 160,000 246,503
Isetan (Singapore), Ltd. ............ 56,000 107,348
Jack Chia-MPH, Ltd. ................. 308,000 225,233
Jaya Holdings, Ltd. ................. 122,400 134,696
Jurong Cement, Ltd. ................. 73,750 234,576
Jurong Engineering, Ltd. ............ 80,000 417,465
Keppel Finance, Ltd. ................ 233,000 289,492
Khong Guan Flour Milling, Ltd. ...... 7,000 24,849
Kim Eng Holdings, Ltd. .............. 580,200 490,194
L & M Group Investments, Ltd. ....... 209,100 466,151
LC Development, Ltd. ................ 81,000 64,409
Lee Kim Tah Holdings, Ltd. .......... 147,000 102,279
Lim Kah Ngam, Ltd. .................. 249,333 270,841
Long Homes, Ltd. .................... 30,800 9,184
Low Keng Huat Singapore, Ltd. ....... 144,000 73,610
Lum Chang Holdings, Ltd. ............ 456,000 362,599
Marco Polo Developments, Ltd. ....... 733,000 999,191
Metal Containers, Ltd. .............. 105,000 129,712
Metalock (Singapore), Ltd. .......... 20,000 23,429
Metro Holdings, Ltd. ................ 192,960 794,581
Orchard Parade Holdings, Ltd. ....... 140,000 351,864
Overseas Union Trust ................ 63,000 152,077
PCI, Ltd. ........................... 206,000 176,968
*Pacific Can Investment Holdings,
Ltd. ................................ 90,000 74,760
Pacific Carriers, Ltd. .............. 390,000 321,193
Pan Malayan Holdings, Ltd. .......... 30,000 59,638
Pan Pacific Public Co., Ltd. ........ 46,500 37,966
Pentex-Schweizer Circuits, Ltd. ..... 79,200 111,898
Pertama Holdings, Ltd. .............. 68,750 28,066
Prima, Ltd. ......................... 69,000 242,982
Provisions Suppliers Corp. .......... 158,000 127,881
QAF, Ltd. ........................... 567,000 716,550
Republic Hotels and Resorts, Ltd. ... 371,000 424,075
Resources Development Corp., Ltd. .. 30,000 106,496
Robinson & Co., Ltd. ................ 109,000 452,716
SNP Corp., Ltd. ..................... 68,000 54,554
*SPP, Ltd. ........................... 83,000 36,535
ST Capital, Ltd. .................... 171,200 210,278
San Teh, Ltd. ....................... 273,000 209,329
Scotts Holdings, Ltd. ............... 284,000 211,715
Sea View Hotel, Ltd. ................ 40,000 360,667
Sembawang Maritime, Ltd. ............ 119,450 349,403
Shangri-La Hotel, Ltd. .............. 147,000 498,871
Sime Singapore, Ltd. ................ 706,000 493,724
Sing Investments & Finance, Ltd.
(Foreign) ........................... 81,900 94,780
Singapore Finance, Ltd. ............. 313,600 456,429
Singapore Reinsurance Corp., Ltd. ... 93,500 119,489
Singapore Technologies Automotive,
Ltd. ................................ 114,000 214,483
Singapore Technologies Automotive,
Ltd. (Foreign) ...................... 59,000 110,167
*Singapura Building Society, Ltd. .... 57,500 62,052
Singatronics, Ltd. .................. 200,000 119,276
Singmarine Industries, Ltd. ......... 188,500 398,814
Ssangyong Cement (Singapore), Ltd. . 122,500 325,275
Stamford Tyres Corp., Ltd. .......... 62,000 62,946
Steamers Maritime Holding, Ltd. ..... 283,750 213,543
Superior Metal Printing, Ltd. ....... 157,000 102,549
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Tibs Holdings, Ltd. ................. 54,000 $130,351
Tiger Medicals, Ltd. ................ 90,000 137,380
Times Publishing, Ltd. .............. 191,000 428,513
Tuan Sing Holdings, Ltd. ............ 2,084,000 784,182
United Engineers, Ltd. .............. 283,000 524,409
United Overseas Finance, Ltd. ....... 123,750 173,962
United Overseas Insurance, Ltd. ..... 69,000 124,430
United Pulp & Paper Co., Ltd. ....... 105,000 199,042
#Van Der Horst, Ltd. ................. 151,800 754,420
Van Der Horst, Ltd. 3.5%
Unsecured Loan Stock 08/31/98 ....... 23,400 16,198
WBL Corp., Ltd. ..................... 209,000 459,993
*Wearnes International (1994), Ltd. .. 33,000 33,039
-------------
TOTAL COMMON STOCKS
(Cost $22,751,883) ................... 28,417,655
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost $4,976) ..... 5,759
-------------
RIGHTS/WARRANTS -- (0.0%)
*Sing Investments & Finance, Ltd.
Warrants 12/29/98 (Cost $0) ......... 19,500 7,753
-------------
TOTAL -- SINGAPORE
(Cost $22,756,859) ................... 28,431,167
-------------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount
--------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS --
(3.5%)
Repurchase Agreement, PNC
Securities Corp. 5.65%,
12/01/95 (Collateralized by
U.S. Treasury Notes 6.125%,
05/31/97) (Cost $6,721,000)........ $6,721 6,721,000
-------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $182,685,112) ................. $193,072,216
=============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements.
<PAGE>
SCHEDULE OF INVESTMENTS
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
COMMON STOCKS -- (95.8%)
600 Group P.L.C. .................... 135,000 $ 340,585
*AAF Industries P.L.C. ............... 53,256 19,543
ABI Leisure Group P.L.C. ............ 73,000 104,920
AIM Group P.L.C. .................... 36,284 177,530
API Group P.L.C. .................... 51,500 422,853
ASDA Property Holdings P.L.C. ....... 94,000 172,471
ASW Holdings P.L.C. ................. 165,900 273,954
Abbeycrest P.L.C. ................... 58,000 78,040
Abbott Mead Vickers P.L.C. .......... 63,000 456,590
Aberdeen Trust P.L.C. ............... 38,500 62,987
Acatos & Hutcheson P.L.C. ........... 79,000 318,888
Adam & Harvey Group P.L.C. .......... 10,500 79,951
Admiral P.L.C. ...................... 27,000 329,438
Adscene Group P.L.C. ................ 72,000 291,733
Adwest Group P.L.C. ................. 204,250 390,373
Aerospace Engineering P.L.C. ........ 79,904 36,041
African Lakes Corp. P.L.C. .......... 6,208 6,075
Airflow Streamlines P.L.C. .......... 20,500 89,332
Airsprung Furniture Group P.L.C. .... 58,000 162,288
Alba P.L.C. ......................... 115,625 445,512
Alexanders Holdings P.L.C. .......... 188,000 38,806
Alexandra Workwear P.L.C. ........... 91,243 246,934
*Alexon Group P.L.C. ................. 154,500 185,441
*Allied Leisure P.L.C. ............... 159,100 102,171
Allied London Properties P.L.C. ..... 350,000 342,496
*Allied Radio P.L.C. ................. 10,330 592
Allied Textile Companies P.L.C. ..... 188,238 653,342
Alphameric P.L.C. ................... 1,637 701
Alumasc Group P.L.C. ................ 85,000 545,853
Alvis P.L.C. ........................ 150,000 342,878
Amber Day Holdings P.L.C. ........... 392,530 102,030
Amber Industrial Holdings P.L.C. .... 42,000 133,573
Amstrad P.L.C. ...................... 19,702 79,679
*Andrews Sykes Group P.L.C. .......... 38,727 161,653
*Anglesey Mining P.L.C. .............. 55,000 4,415
Anglian Group P.L.C. ................ 157,850 330,653
Anglo Eastern Plantations P.L.C. .... 57,166 104,014
*Anglo United P.L.C. ................. 826,666 12,640
Antofagasta Holdings P.L.C. ......... 82,500 356,983
*Apollo P.L.C. ....................... 9,166 8,128
Appleyard Group P.L.C. .............. 179,627 247,185
Arcadian International P.L.C. ....... 234,669 208,109
Archer Group Holding P.L.C. ......... 99,000 82,497
Arcolectric Holdings P.L.C. Class A
Non-Voting .......................... 10,000 21,406
Arlen P.L.C. ........................ 200,728 101,281
Armitage Brothers P.L.C. ............ 4,000 13,149
Armour Trust P.L.C. ................. 98,500 64,008
Ash & Lacy P.L.C. ................... 114,098 291,341
*Ashley (Laura) Holdings P.L.C. ...... 549,000 1,049,275
Ashtead Group P.L.C. ................ 58,666 446,708
Associated British Engineering P.L.C. 534,500 28,604
*Aukett Associates P.L.C. ............ 33,500 7,811
Austin Reed Group P.L.C. ............ 77,000 209,565
*Automated Security Holdings P.L.C. .. 258,537 94,873
Avesco P.L.C. ....................... 18,666 51,942
Avon Rubber P.L.C. .................. 71,874 575,852
Avonside Group P.L.C. ............... 50,000 29,816
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*BM Group P.L.C. ..................... 276,000 $137,151
BNB Resources P.L.C. ................ 59,000 116,372
BPP Holdings P.L.C. ................. 62,450 267,361
BSG International P.L.C. ............ 684,597 609,731
BTP P.L.C. .......................... 29,779 115,652
Babcock International Group P.L.C. .. 122,557 280,148
Baggeridge Brick P.L.C. ............. 110,000 185,009
Bailey (Ben) Construction P.L.C. .... 26,000 9,939
*Bailey (C.H.) P.L.C. ................ 109,500 10,464
*Bailey (C.H.) P.L.C. Class B ........ 10,000 3,517
Baldwin P.L.C. ...................... 51,000 128,665
Baltic P.L.C. ....................... 122,984 278,303
*Bandt P.L.C. ........................ 115,000 66,817
Bank Leumi (U.K.), Ltd. ............. 5,767 37,916
Banks (Sidney C.) P.L.C. ............ 13,507 57,207
Barbour Index P.L.C. ................ 46,000 220,849
Bardon Group P.L.C. ................. 940,748 388,369
Barlows P.L.C. ...................... 50,000 38,990
Barr & Wallace Arnold Trust P.L.C. .. 16,000 51,374
Barr Transport P.L.C. ............... 53,000 276,336
Barton Transport P.L.C. (Deferred) .. 1,250 5,256
Baynes (Charles) P.L.C. ............. 341,378 516,747
Beales Hunter P.L.C. ................ 22,254 79,962
Bearing Power International P.L.C. .. 81,757 20,626
Beattie (James) P.L.C. .............. 123,247 258,169
Beauford P.L.C. ..................... 1,312 542
Beckman (A.) P.L.C. ................. 30,000 27,063
Bellway P.L.C. ...................... 239,142 932,403
Bellwinch P.L.C. .................... 163,266 42,438
Bemrose Corp. P.L.C. ................ 78,750 479,227
*Benchmark Group P.L.C. .............. 11,480 3,335
Benson Group P.L.C. ................. 324,400 17,360
Bentalls P.L.C. ..................... 113,500 175,277
Beradin Holdings P.L.C. ............. 37,000 31,681
*Berkeley Business Group P.L.C. ...... 25,000 7,645
Berkeley Group P.L.C. ............... 20,000 146,478
Bespak P.L.C. ....................... 60,718 298,008
*Betacom P.L.C. ...................... 195,000 40,251
Bett Brothers P.L.C. ................ 41,000 110,960
Betterware P.L.C. ................... 226,000 272,988
*Beverley Group P.L.C. ............... 86,820 1,991
Bibby (J.) & Sons P.L.C. ............ 262,300 469,236
Bilton P.L.C. ....................... 30,000 96,786
*Bimec Industries P.L.C. ............. 32,677 0
Birkby P.L.C. ....................... 119,513 246,693
*Birkdale Group P.L.C. ............... 33,600 3,725
*Birse Group P.L.C. .................. 515,900 130,154
Black (A & C) P.L.C. ................ 2,250 11,353
Black (Peter) Holdings P.L.C. ....... 149,495 624,017
Black Arrow Group P.L.C. ............ 56,500 31,100
Blacks Leisure Group P.L.C. ......... 69,959 51,344
*Blagden Industries P.L.C. ........... 196,875 451,533
Blick P.L.C. ........................ 74,555 510,696
Blockleys P.L.C. .................... 73,678 61,960
Bodycote International P.L.C. ....... 156,000 958,866
*Bolton Group (International), Ltd. .. 23,000 8,088
Boosey & Hawkes P.L.C. .............. 47,500 344,981
Boot (Henry) & Sons P.L.C. .......... 65,000 196,782
*Booth Industries Group P.L.C. ....... 5,000 2,905
Borthwicks P.L.C. ................... 157,500 85,490
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Bostrom P.L.C. ...................... 43,000 $197,241
Bourne End Properties P.L.C. ........ 110,454 75,998
Bradstock Group P.L.C. .............. 130,000 131,188
Brake Brothers P.L.C. ............... 16,500 168,779
Brammer (H.) P.L.C. ................. 111,000 738,278
Brasway P.L.C. ...................... 193,489 50,294
Breedon P.L.C. ...................... 75,428 89,957
Brent International P.L.C. .......... 289,531 332,020
*Brent Walker Group P.L.C. ........... 128,571 2,949
Bridgend Group P.L.C. ............... 93,000 24,173
Bridon P.L.C. ....................... 180,000 352,282
Bridport-Gundry P.L.C. .............. 22,000 54,157
Bristol Evening Post P.L.C. ......... 40,500 216,736
Bristol Scotts P.L.C. ............... 7,000 14,984
Bristol Water Holdings P.L.C. ....... 12,000 216,506
Britannia Group P.L.C. .............. 50,000 19,113
British Borneo Petroleum Syndicate
P.L.C. .............................. 95,498 424,908
British Building and Engineering
Appliances, Ltd. .................... 32,000 19,571
British Data Management P.L.C. ...... 25,000 49,693
British Dredging P.L.C. ............. 55,600 91,813
British Fittings Group P.L.C. ....... 96,658 119,710
British Mohair Holdings P.L.C. ...... 31,500 83,323
British Polythene Industries P.L.C. . 72,736 728,447
British Steam Specialties Group
P.L.C. .............................. 88,505 764,581
British Thornton Holdings ........... 35,000 16,590
Britton Group P.L.C. ................ 372,200 893,477
Brockhampton Holdings P.L.C. ........ 12,000 88,988
Bromsgrove Industries P.L.C. ........ 203,236 316,963
Brooke Tool Engineering Holdings
P.L.C. .............................. 77,875 15,479
Brooks Service Group P.L.C. ......... 25,500 33,141
*Brown & Jackson P.L.C. .............. 22,019 8,080
Budgens P.L.C. ...................... 399,285 204,520
Bulgin (A.F.) & Co. P.L.C. .......... 4,000 3,241
Bulgin (A.F.) & Co. P.L.C. Class A
Non-Voting .......................... 52,000 21,268
*Bullers P.L.C. ...................... 97 3
Bullough P.L.C. ..................... 327,000 609,979
Bulmer (H.P.) Holdings P.L.C. ....... 110,500 832,946
Burn Stewart Distillers P.L.C. ...... 161,500 355,584
Burndene Investments P.L.C. ......... 285,500 170,247
Burnfield P.L.C. .................... 85,475 141,147
Burtonwood Brewery P.L.C. ........... 52,000 143,909
CRT Group P.L.C. .................... 149,251 273,846
Caffyns P.L.C. ...................... 6,000 23,210
*Cairn Energy P.L.C. ................. 190,000 302,130
Cala P.L.C. ......................... 98,400 167,003
Calderburn P.L.C. ................... 57,636 43,181
Camellia P.L.C. ..................... 2,950 90,211
*Campari International P.L.C. ........ 25,000 10,321
Canning (W.) P.L.C. ................. 68,354 243,516
Cantors P.L.C. ...................... 40,750 71,653
Cape P.L.C. ......................... 132,000 294,669
Capita Group P.L.C. ................. 121,000 506,925
Capital Industries P.L.C. ........... 67,500 172,357
Carclo Engineering Group P.L.C. ..... 164,777 801,182
Carlisle Group P.L.C. ............... 100,000 27,140
Carr's Milling Industries P.L.C. .... 19,000 90,930
Casket P.L.C. ....................... 254,731 33,106
Castings P.L.C. ..................... 102,000 296,320
*Castle Mill International P.L.C. .... 31,500 1,204
Cater Allen Holdings P.L.C. ......... 100,333 694,943
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Cathay International P.L.C. ......... 439,600 $ 77,297
Cattle's Holdings P.L.C. ............ 352,280 1,152,680
Caverdale Group P.L.C. .............. 649,244 101,751
Chamberlin & Hill P.L.C. ............ 18,000 43,485
Channel Holdings P.L.C. ............. 130,500 55,870
Cheam Group P.L.C. Class A .......... 15,000 128,436
Chemring Group P.L.C. ............... 49,000 283,201
Chesterfield Properties P.L.C. ...... 25,000 162,456
Chloride Group P.L.C. ............... 571,500 207,533
*Christie Group P.L.C. ............... 50,000 18,348
*Chrysalis Group P.L.C. .............. 72,036 381,095
Church & Co. P.L.C. ................. 29,500 171,401
City Centre Restaurants P.L.C. ...... 465,500 679,721
*City Site Estates P.L.C. ............ 20,000 11,926
Claremont Garments (Holdings) P.L.C. 135,700 622,456
Clarkson (Horace) P.L.C. ............ 60,489 97,112
Clayhithe P.L.C. .................... 41,500 47,590
Clinton Cards P.L.C. ................ 46,000 71,741
*Cliveden P.L.C. ..................... 27,140 0
Close Brothers Group P.L.C. ......... 79,542 387,967
*Cluff Resources P.L.C. .............. 181,100 218,753
Clyde Blowers P.L.C. ................ 11,781 36,927
Clyde Petroleum P.L.C. .............. 997,500 762,588
*Coal Investments P.L.C. ............. 1,102 944
Cohen (A.) & Co. P.L.C. ............. 2,100 20,710
Cohen (A.) & Co. P.L.C. Class A
Non-Voting .......................... 1,500 14,334
Colefax & Fowler Group P.L.C. ....... 60,000 64,218
Colorvision P.L.C. .................. 50,000 26,758
Community Hospitals Group P.L.C. .... 89,333 344,207
Computer People Group P.L.C. ........ 50,999 252,647
Concentric P.L.C. ................... 133,026 349,842
*Conrad P.L.C. ....................... 30,000 1,605
Conrad Ritblat Sinclair Goldsmith
P.L.C. .............................. 268,000 102,443
Cook (William) P.L.C. ............... 53,750 185,735
Cooper (Frederick) P.L.C. ........... 86,954 78,442
Cornwell Parker P.L.C. .............. 16,000 22,262
Cornwell Parker P.L.C. Class A
Non-Voting .......................... 65,000 84,477
Cosalt P.L.C. ....................... 30,700 72,757
*Costain Group P.L.C. ................ 112,060 126,791
Country Casuals Holdings P.L.C. ..... 5,040 10,596
Countryside Property P.L.C. ......... 209,454 240,191
Courts P.L.C. ....................... 60,542 683,157
Coutts Consulting Group P.L.C. ...... 92,000 75,961
Cradley Group Holdings P.L.C. ....... 80,000 50,151
Crest Nicholson P.L.C. .............. 231,250 229,828
Crestacare P.L.C. ................... 381,864 182,459
*Creston Land & Estates P.L.C. ....... 50,000 4,587
Cropper (James) P.L.C. .............. 22,000 95,532
Cullen's Holdings P.L.C. ............ 38,645 9,306
Culver Holdings P.L.C. .............. 8,471 712
Cussins Property Group P.L.C. ....... 43,750 53,515
Daejan Holdings P.L.C. .............. 23,000 407,937
Dagenham Motors Group P.L.C. ........ 65,000 127,213
Dalepak Foods P.L.C. ................ 31,500 65,502
Dart Group P.L.C. ................... 37,000 115,409
Davis Service Group P.L.C. .......... 249,360 791,138
Dawson Group P.L.C. ................. 100,674 460,252
Dawson International P.L.C. ......... 297,721 514,392
Debenham Tewson & Chinnocks Holdings
P.L.C. .............................. 89,500 62,949
Delaney Group P.L.C. ................ 270,000 15,481
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Delyn Group P.L.C. . ................ 40,500 $ 49,540
Dencora P.L.C. ...................... 23,000 48,179
Densitron International P.L.C. ...... 42,386 29,164
Derwent Valley Holdings P.L.C. ...... 65,000 308,094
Development Securities P.L.C. ....... 62,000 164,949
Dewhirst Group P.L.C. ............... 344,760 964,663
Dewhurst P.L.C. ..................... 9,000 12,110
Dewhurst P.L.C. Class A Non-Voting .. 15,500 18,960
Diploma P.L.C. ...................... 96,000 638,510
Dixon Motors P.L.C. ................. 1,167 3,123
Dobson Park Industries P.L.C. ....... 354,537 704,712
Doeflex P.L.C. ...................... 25,762 84,295
Dolphin Packaging P.L.C. ............ 63,110 118,689
Domino Printing Sciences P.L.C. ..... 72,187 444,807
*Donelon Tyson P.L.C. ................ 322,588 19,729
Dowding & Mills P.L.C. .............. 400,875 392,280
Drummond Group P.L.C. ............... 26,250 11,640
Dyson (J.& J.) P.L.C. Class A
Non-Voting .......................... 28,500 36,168
EBC Group P.L.C. .................... 30,000 23,394
EIS Group P.L.C. .................... 124,333 726,202
*ERA Group P.L.C. .................... 400,000 58,102
ERF Holdings P.L.C. ................. 24,000 100,547
Eadie Holdings P.L.C. ............... 118,000 59,539
*Eclipse Blinds P.L.C. ............... 110,713 160,816
Edinburgh Fund Managers ............. 42,500 433,433
*Elbief P.L.C. ....................... 23,500 6,827
*Eleco Holdings P.L.C. ............... 80,527 43,094
Electron House P.L.C. ............... 70,000 248,310
Electronic Data Processing P.L.C. ... 55,200 130,821
Elliott (B.) & Co. P.L.C. ........... 6,087 10,331
Ellis & Everard P.L.C. .............. 216,742 845,066
Emess P.L.C. ........................ 288,250 138,831
English & Overseas Properties P.L.C. 190,000 69,722
Epwin Group P.L.C. .................. 58,000 211,950
Etam P.L.C. ......................... 159,500 421,905
Eurocamp P.L.C. ..................... 93,439 293,594
Eurocopy P.L.C. ..................... 131,000 146,218
Euromoney Publications P.L.C. ....... 30,000 434,848
European Colour P.L.C. .............. 82,090 117,985
European Motor Holdings P.L.C. ...... 145,000 217,271
Evans Halshaw Holdings P.L.C. ....... 107,454 463,318
Evans of Leeds P.L.C. ............... 80,000 133,329
Everest Foods P.L.C. ................ 60,000 92,657
Ewart P.L.C. ........................ 30,000 23,394
*Ex-Lands P.L.C. ..................... 208,000 68,377
Excalibur Group P.L.C. .............. 228,630 68,167
Expamet International P.L.C. ........ 170,749 242,800
FII Group P.L.C. .................... 41,166 273,801
FR Group P.L.C. ..................... 61,161 421,753
Faber Prest P.L.C. .................. 48,500 432,332
Falcon Holdings P.L.C. .............. 5,500 10,007
*Farringford P.L.C. .................. 30,000 8,257
Fenner P.L.C. ....................... 215,276 457,528
Ferguson International Holdings
P.L.C. .............................. 126,000 400,720
Ferry Pickering Group P.L.C. ........ 33,500 98,345
Fife Indmar P.L.C. .................. 24,000 24,219
Finlay (James) P.L.C. ............... 269,500 267,843
First Choice Holidays ............... 427,500 385,652
*First Choice Holidays Issue 95 ...... 171,000 154,261
First Technology P.L.C. ............. 36,750 257,354
*Firth (G.M.) Holdings P.L.C. ........ 151,000 81,962
*Fitch P.L.C. ........................ 15,500 5,332
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Five Oaks Investments P.L.C. ........ 150,000 $ 50,457
*Flare Group P.L.C. .................. 16,000 23,975
Fletcher King P.L.C. ................ 17,500 4,816
Folkes Group P.L.C. ................. 28,000 25,259
Folkes Group P.L.C. Non-Voting ...... 65,500 56,084
Forminster P.L.C. ................... 32,500 75,533
Forth Ports P.L.C. .................. 51,000 479,571
Fortnum & Mason P.L.C. .............. 1,000 111,617
Forward Technology Industries P.L.C. 84,260 105,644
*Foster (John) & Son P.L.C. .......... 27,500 6,307
French (Thomas) & Sons P.L.C. ....... 32,000 33,760
Friendly Hotels P.L.C. .............. 48,666 113,104
Frogmore Estates P.L.C. ............. 51,000 348,566
Frost Group P.L.C. .................. 175,080 516,656
*Futura Holdings P.L.C. .............. 9,000 0
GBE International P.L.C. ............ 134,666 102,952
GEI International P.L.C. ............ 87,000 174,260
GWR Group P.L.C. .................... 35,698 92,244
Galliford P.L.C. .................... 239,500 69,577
Gardiner Group P.L.C. ............... 310,500 90,203
Garton Engineering P.L.C. ........... 10,248 29,458
Gaskell P.L.C. ...................... 9,000 19,541
Gates (Frank G.) P.L.C. ............. 54,250 68,847
Geest P.L.C. ........................ 85,000 185,850
Gent (S.R.) P.L.C. .................. 98,000 140,851
Gerrard & National Holdings P.L.C. .. 97,000 673,341
Gibbs & Dandy P.L.C. ................ 4,500 6,399
Gibbs & Dandy P.L.C. Class A
Non-Voting .......................... 11,000 11,437
Gieves Group P.L.C. ................. 84,000 102,749
Gleeson (M.J.) Group P.L.C. ......... 25,000 282,101
Glynwed International P.L.C. ........ 53,000 249,594
Goal Petroleum P.L.C. ............... 333,000 336,044
Gold Greenlees Trott P.L.C. ......... 78,432 286,615
Goldsmiths Group P.L.C. ............. 50,000 160,545
Goode Durrant P.L.C. ................ 122,500 473,875
Goodhead Group P.L.C. ............... 36,000 11,009
*Graham Wood P.L.C. .................. 9,000 0
Grainger Trust, Ltd. ................ 22,000 82,413
Grampian Holdings P.L.C. ............ 166,937 352,240
Grampian Television P.L.C. .......... 70,000 218,341
Graseby P.L.C. ...................... 174,480 341,478
Graystone P.L.C. .................... 774,964 151,077
Greene King P.L.C. .................. 78,000 748,965
Greenway Holdings P.L.C. ............ 60,197 66,270
*Greenwich Resources P.L.C. .......... 219,332 46,112
Greggs P.L.C. ....................... 26,000 458,364
Greycoat P.L.C. ..................... 100,000 217,118
*Guiness Peat Group P.L.C. ........... 133,100 66,141
HTV Group P.L.C. .................... 237,000 1,000,149
Haden Maclellan Holdings P.L.C. ..... 296,914 381,344
Haggas (John) P.L.C. ................ 59,000 114,568
Hall Engineering (Holdings) P.L.C. .. 135,528 402,011
Halstead (James) Group P.L.C. ....... 74,955 445,818
Hambro Countrywide P.L.C. ........... 1,089,000 599,429
Hampson Industries P.L.C. ........... 144,536 108,288
Hardy Oil & Gas P.L.C. .............. 281,750 779,740
Hardys & Hansons P.L.C. ............. 48,000 211,369
Harris (Philip) P.L.C. .............. 25,866 73,561
*Hartons Group P.L.C. ................ 179,900 21,318
Hartstone Group P.L.C. .............. 1,509,147 323,048
Havelock Europa P.L.C. .............. 64,250 268,190
Hawtal Whiting Holdings P.L.C. ...... 22,588 46,280
Hawtin P.L.C. ....................... 146,500 107,519
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Hay (Norman) P.L.C. ................. 48,000 $ 22,018
Haynes Publishing Group P.L.C. ...... 38,635 174,265
Headlam Group P.L.C. ................ 99,696 298,773
*Healthcare Holdings P.L.C. .......... 2,820 75
Heath (C.E.) P.L.C. ................. 75,000 167,426
Heath (Samuel) & Sons P.L.C. ........ 7,500 14,449
Helene P.L.C. ....................... 416,326 95,484
Helical Bar P.L.C. .................. 35,000 172,853
Hemingway Properties P.L.C. ......... 200,000 69,570
Henderson Administration Group P.L.C. 52,000 960,457
Henlys Group P.L.C. ................. 20,931 160,017
*Herring Baker Harris Group P.L.C. ... 35,916 5,766
Hewden-Stuart P.L.C. ................ 518,519 1,094,085
Hewetson P.L.C. ..................... 20,000 12,538
Hi-Tech Sports P.L.C. ............... 193,446 88,734
Hicking Pentecost P.L.C. ............ 49,096 221,450
Higgs & Hill P.L.C. ................. 109,500 155,706
High-Point P.L.C. ................... 13,500 5,780
Hill & Smith Holdings P.L.C. ........ 98,533 161,203
Hodder Headline P.L.C. .............. 61,000 240,634
Hogg Robinson P.L.C. ................ 299,000 937,201
Hollas Group P.L.C. ................. 354,000 83,896
*Holmes & Marchant Group P.L.C. ...... 54,000 4,954
Holt (Joseph) P.L.C. ................ 6,000 285,587
Home Counties Newspapers
Holdings P.L.C. ..................... 25,000 55,426
Hopkinsons Group P.L.C. ............. 210,557 103,021
*Horace Small Apparel P.L.C. ......... 82,500 112,898
How Group P.L.C. .................... 88,000 41,711
Howard Holdings P.L.C. .............. 57,730 13,240
Howden Group P.L.C. ................. 700,168 786,859
Hunting P.L.C. ...................... 218,695 678,801
*Huntingdon International Holdings
P.L.C. .............................. 138,000 166,692
ISA International P.L.C. ............ 95,214 218,373
Ibstock P.L.C. ...................... 625,200 640,474
Industrial Control Services Group
P.L.C. .............................. 20,000 31,192
Ingham P.L.C. ....................... 38,000 19,755
Intereurope Technology Services
P.L.C. .............................. 23,500 35,572
International Business Communications
Holdings P.L.C. ..................... 96,470 439,558
Ipeco Holdings P.L.C. ............... 74,931 103,113
Isle of Man Steam Packet Co., Ltd. .. 72,000 121,097
Isotron P.L.C. ...................... 30,500 142,702
Ivory & Sime P.L.C. ................. 78,125 273,548
JIB Group P.L.C. .................... 298,500 483,791
JLI Group P.L.C. .................... 167,000 158,313
Jackson Group P.L.C. ................ 78,000 48,897
Jacobs (John I.) P.L.C. ............. 46,000 44,310
*Jarvis P.L.C. ....................... 89,788 31,919
Jarvis Porter Group P.L.C. .......... 99,894 438,358
Jerome (S.) & Sons Holdings P.L.C. .. 18,375 20,510
Johnson & Firth Brown P.L.C. ........ 379,666 362,818
Johnson Group Cleaners P.L.C. ....... 170,535 625,795
Johnston Group P.L.C. ............... 30,000 153,665
Johnston Press P.L.C. ............... 135,176 326,561
*Jones & Shipman P.L.C. .............. 29,500 22,102
Jones Stroud Holdings P.L.C. ........ 46,500 307,857
Joseph (Leopold) Holdings P.L.C. .... 14,000 99,110
Jourdan (Thomas) P.L.C. ............. 40,000 16,513
Kalamazoo Computer Group P.L.C. ..... 46,000 66,114
Kelsey Industries P.L.C. ............ 7,500 66,282
*Kendell P.L.C. ...................... 330,000 5,046
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Kenwood Appliances P.L.C. ........... 80,000 $ 291,122
King & Shaxson Holdings P.L.C. ...... 39,500 82,138
Kleeneze Holdings P.L.C. ............ 32,757 73,626
*Kode International P.L.C. ........... 43,100 66,559
Kunick P.L.C. ....................... 600,000 213,296
*LEP Group P.L.C. .................... 2,115,000 97,015
Laing (John) P.L.C. ................. 107,438 418,895
Lambert Howarth Group P.L.C. ........ 34,000 72,780
Lamont Holdings P.L.C. .............. 72,231 276,103
Leeds Group P.L.C. .................. 71,850 273,548
Leigh Interests P.L.C. .............. 156,499 303,894
Leslie Wise Group P.L.C. ............ 107,000 75,257
Liberty P.L.C. ...................... 51,875 248,262
Life Sciences International P.L.C. .. 381,662 513,534
Lilleshall P.L.C. ................... 80,564 105,937
Linton Park P.L.C. .................. 44,000 205,192
Linx Printing Technologies P.L.C. ... 36,000 64,401
*Lionheart P.L.C. .................... 419,949 14,447
Lister & Co. P.L.C. ................. 41,000 14,418
Lloyd Thompson Group P.L.C. ......... 154,000 327,298
Locker (Thomas) Holdings P.L.C. ..... 22,500 9,977
Locker (Thomas) Holdings P.L.C. Class
A Non-Voting ........................ 66,000 18,165
Logica P.L.C. ....................... 71,000 506,971
London Scottish Bank P.L.C. ......... 140,500 365,202
Lookers P.L.C. ...................... 80,160 182,621
Lopex P.L.C. ........................ 154,948 39,091
Lovell (Y.J.) Holdings P.L.C. ....... 70,932 27,656
*Lowe (Robert H.) & Co. P.L.C. ....... 1,551 344
Lowndes Lambert Group Holdings P.L.C. 262,000 524,783
Lyles (S.) P.L.C. ................... 16,000 13,944
M & W P.L.C. ........................ 7,200 14,091
M.R. Data Management Group P.L.C. ... 136,158 154,057
ML Holdings P.L.C. .................. 431,132 263,680
MS International P.L.C. ............. 120,500 62,643
MTM P.L.C. .......................... 142,250 141,375
MacAllan-Glenlivet P.L.C. ........... 155,000 483,470
MacDonald Martin Distillies P.L.C.
Class A ............................. 20,000 197,241
MacFarlane Group Clansman P.L.C. .... 341,687 1,018,757
Macro 4 P.L.C. ...................... 54,000 340,998
Magnolia Group P.L.C. ............... 11,000 4,878
Mallett P.L.C. ...................... 37,437 41,214
Manchester United P.L.C. ............ 62,500 193,992
Manders P.L.C. ...................... 81,025 358,034
Manganese Bronze Holdings P.L.C. .... 52,184 179,526
Mansfield Brewery P.L.C. ............ 173,500 854,206
Marling Industries P.L.C. ........... 478,398 182,868
Marshalls P.L.C. .................... 342,741 759,874
Martin Internationl Holdings P.L.C. . 97,000 35,595
Matthews (Bernard) P.L.C. ........... 342,000 512,460
Maunders (John) Group P.L.C. ........ 78,000 221,827
Mayflower Corp. P.L.C. .............. 538,272 790,097
McAlpine (Alfred) P.L.C. ............ 171,111 350,582
*McCarthy & Stone P.L.C. ............. 227,968 226,566
McKay Securities P.L.C. ............. 70,000 133,788
McLeod Russel Holdings P.L.C. ....... 149,524 384,085
Meggitt P.L.C. ...................... 572,190 787,391
*Melville Group P.L.C. ............... 90,000 6,192
*Merchant Retail Group P.L.C. ........ 263,766 66,544
Metal Bulletin P.L.C. ............... 24,000 233,754
Metalrax Group P.L.C. ............... 304,745 507,891
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Micro Focus Group P.L.C. ............ 34,500 $312,810
Microgen Holdings P.L.C. ............ 105,000 280,954
Misys P.L.C. ........................ 25,940 235,594
Mitie Group P.L.C. .................. 50,000 220,941
Molins P.L.C. ....................... 76,500 934,578
More O'Ferrall P.L.C. ............... 79,193 547,309
Morland & Co. P.L.C. ................ 78,380 636,366
Mosaic Investments P.L.C. ........... 33,000 15,642
Moss Brothers Group P.L.C. .......... 40,500 358,543
Mowlem (John) & Co. P.L.C. .......... 470,990 432,086
Mucklow (A & J) Group P.L.C. ........ 175,000 363,902
NSM P.L.C. .......................... 58,474 81,360
Narborough Plantations P.L.C. ....... 63,829 39,038
Neepsend P.L.C. ..................... 66,250 52,674
Neotronics Technology P.L.C. ........ 105,000 70,640
Nestor -- BNA P.L.C. ................ 202,200 231,873
*New London P.L.C. ................... 141,500 13,522
Newman Tonks Group P.L.C. ........... 300,834 584,168
*Newmarket Venture Capital P.L.C. .... 80,000 18,348
Nichols (JN) (Vimto) P.L.C. ......... 98,750 351,804
Nobo Group P.L.C. ................... 41,107 87,365
Norcros P.L.C. ...................... 292,857 344,789
Northamber P.L.C. ................... 44,444 172,605
Novo Group P.L.C. ................... 113,000 53,561
Nurdin & Peacock, Ltd. .............. 84,000 215,772
*OEM P.L.C. .......................... 12,000 7,523
OMI International P.L.C. ............ 173,158 37,066
Ocean Wilson Holdings, Ltd. ......... 99,250 136,578
Oceana Consolidated Co. P.L.C. ...... 16,000 35,962
*Oceonics Group P.L.C. ............... 52,760 22,588
Ockham Holdings P.L.C. .............. 137,000 108,926
Oliver Group P.L.C. ................. 68,000 42,629
Olives Property P.L.C. .............. 126,208 50,173
Osborne & Little P.L.C. ............. 17,500 107,030
Osprey Communications P.L.C. ........ 23,524 7,913
*Owen & Robinson P.L.C. .............. 9,485 0
Oxford Instruments P.L.C. ........... 122,000 774,133
P & P P.L.C. ........................ 129,250 310,269
PSIT P.L.C. ......................... 180,000 357,786
PWS Holdings P.L.C. ................. 134,428 39,053
Page (Michael) Group P.L.C. ......... 153,975 369,622
Park Food Group P.L.C. .............. 382,500 520,510
Parkland Group P.L.C. ............... 30,000 83,942
Partridge Fine Arts P.L.C. .......... 75,000 81,419
Paterson Zochonis P.L.C. ............ 22,000 149,689
Paterson Zochonis P.L.C. Non-Voting . 27,000 156,050
Peek P.L.C. ......................... 291,608 450,327
Pendragon P.L.C. .................... 103,750 433,070
*Pentos P.L.C. (In Receivership) ..... 839,262 64,162
Perkins Foods P.L.C. ................ 333,000 366,593
Perpetual P.L.C. .................... 9,000 226,093
Perry Group P.L.C. .................. 68,666 163,785
Persimmon P.L.C. .................... 263,800 730,064
*Pex P.L.C. .......................... 47,500 5,447
*Phoenix Timber Group P.L.C. ......... 31,000 8,058
Photo-Me International P.L.C. ....... 145,000 359,162
Pifco Holdings P.L.C. ............... 20,000 67,582
Pifco Holdings P.L.C. Class A ....... 20,000 64,524
Pittards P.L.C. ..................... 60,985 45,691
Pittencrieff Resources P.L.C. ....... 74,000 49,784
Pizza Express P.L.C. ................ 84,508 279,100
Plantation & General Investment
P.L.C. .............................. 96,224 85,333
*Platignum P.L.C. .................... 160,600 20,872
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Plysu P.L.C. ........................ 117,800 $ 336,817
Polypipe P.L.C. ..................... 70,000 176,600
*Porter Chadburn P.L.C. .............. 310,000 199,076
Portmeirion Potteries (Holdings)
P.L.C. .............................. 28,000 226,047
Portsmouth & Sunderland Newspapers
P.L.C. .............................. 30,000 263,753
Porvair P.L.C. ...................... 35,000 198,006
*Premier Consolidated Oilfields P.L.C. 150,000 56,191
Pressac Holdings P.L.C. ............. 94,000 198,342
*Prestwick Holdings P.L.C. ........... 90,000 53,668
Property Partnerships P.L.C. ........ 10,000 38,990
Prospect Industries P.L.C. .......... 372,477 27,052
Protean P.L.C. ...................... 71,076 262,994
Proudfoot P.L.C. .................... 202,646 72,814
Prowting P.L.C. ..................... 173,630 297,338
QS Holdings P.L.C. .................. 126,775 94,981
Quadrant Group P.L.C. ............... 113,253 25,975
Quality Care Homes P.L.C. ........... 20,000 84,095
Quality Software Products Holdings
P.L.C. .............................. 5,000 49,310
Quick Group P.L.C. .................. 92,165 197,288
RCO Holdings P.L.C. ................. 27,000 84,217
REA Holdings P.L.C. ................. 14,658 42,135
Radamec Group P.L.C. ................ 35,000 44,417
Raine P.L.C. ........................ 467,965 121,638
Ransom (William) & Son P.L.C. ....... 30,000 24,770
*Ransomes P.L.C. ..................... 154,000 141,280
Rea Brothers Group P.L.C. ........... 106,562 73,320
Readicut International P.L.C. ....... 499,263 534,361
Record Holdings P.L.C. .............. 89,727 90,547
*Reece P.L.C. ........................ 283,750 13,016
Reed Executive P.L.C. ............... 116,500 188,816
Reg Vardy P.L.C. .................... 134,597 565,947
*Regent Corp. P.L.C. ................. 2,488 190
Relyon Group P.L.C. ................. 45,777 183,382
Renishaw P.L.C. ..................... 147,339 874,092
Renold P.L.C. ....................... 180,000 718,324
Rexmore P.L.C. ...................... 32,500 33,542
Ricardo Group P.L.C. ................ 119,709 269,062
Richards Group P.L.C. ............... 16,000 9,052
Richards P.L.C. ..................... 81,500 49,845
Richardsons Westgarth P.L.C. ........ 96,928 118,562
*Richmond Oil & Gas P.L.C. ........... 220,000 15,137
*Rodime P.L.C. ....................... 261,000 4,988
Rolfe & Nolan P.L.C. ................ 24,000 98,345
Ropner P.L.C. ....................... 63,300 143,243
*Ross Group P.L.C. ................... 13,200 706
Rotork P.L.C. ....................... 235,000 601,853
Rowe Evans Investments P.L.C. ....... 114,417 185,440
*Roxspur P.L.C. ...................... 585,225 20,133
Rubicon Group P.L.C. ................ 47,890 130,338
Russell (Alexander) P.L.C. .......... 47,500 79,164
Rutland Trust P.L.C. ................ 669,000 398,931
S & U P.L.C. ........................ 29,040 131,430
*Saatchi & Saatchi Co. P.L.C. ........ 51,760 71,623
Sage Group P.L.C. ................... 310,000 1,303,473
Sanderson Bramall Motor Group P.L.C. 79,166 229,985
Sanderson Electrons P.L.C. .......... 90,000 196,782
Saville (J.) Gordon Group P.L.C. .... 247,761 215,931
Savills P.L.C. ...................... 145,000 115,287
*Scantronic Holdings P.L.C. .......... 178,038 24,500
Scholl P.L.C. ....................... 166,250 526,186
*Scottish Ice Rink Co. (1928) P.L.C. . 13,000 0
Scottish Metropolitan Property P.L.C. 629,266 683,125
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Scottish Television P.L.C. .......... 108,000 $ 792,634
Secure Trust Group P.L.C. ........... 40,000 324,148
*Seet P.L.C. ......................... 7,000 6,850
Sennah Rubber Co., Ltd. (Guernsey) .. 1,214 38,980
Serco Group P.L.C. .................. 130,000 737,437
Servomex P.L.C. ..................... 30,000 152,747
Seton Healthcare Group P.L.C. ....... 88,366 524,233
Shaftesbury P.L.C. .................. 75,000 138,757
Shandwick P.L.C. .................... 302,640 168,899
Shanks & McEwan Group P.L.C. ........ 192,000 293,568
Sharpe & Fisher P.L.C. .............. 44,563 106,975
Sheffield Insulations Group P.L.C. .. 143,500 473,929
Sherwood Group P.L.C. ............... 303,000 523,514
Shiloh P.L.C. ....................... 14,500 23,501
*ShopRite Group P.L.C. ............... 350,780 42,907
Sidlaw Group P.L.C. ................. 176,071 368,821
*Signet Group P.L.C. ................. 736,900 163,374
Silentnight Holdings P.L.C. ......... 147,500 412,715
*Simon Engineering P.L.C. ............ 449,333 570,235
Sims Food Group P.L.C. .............. 99,000 62,062
Sinclair (William) Holdings P.L.C. .. 53,000 150,729
Sindall (William) P.L.C. ............ 50,500 57,911
Singapore Para Rubber Estates P.L.C. 26,000 58,438
Singer & Friedlander Group P.L.C. ... 525,000 882,998
Sirdar P.L.C. ....................... 145,266 202,122
Sketchley P.L.C. .................... 141,800 279,688
Smart (J.) & Co. (Contractors) P.L.C. 22,500 73,965
South Staffordshire Water Holdings
P.L.C. .............................. 11,600 404,390
Southend Property Holdings P.L.C. ... 250,000 160,545
Spirax-Sarco Engineering P.L.C. ..... 8,800 81,539
Spring Ram Corp. P.L.C. ............. 616,000 174,245
St. Modwen Properties P.L.C. ........ 50,000 41,283
Stakis P.L.C. ....................... 5,033 6,464
Stanley Leisure Organisation P.L.C. . 125,129 679,194
*Starmin P.L.C. ...................... 248,445 6,648
Stat-Plus Group P.L.C. .............. 58,000 181,798
Staveley Industries P.L.C. .......... 276,000 886,208
Steel Burrill Jones Group P.L.C. .... 165,682 101,331
Sterling Industries P.L.C. .......... 76,000 339,316
Stirling Group P.L.C. ............... 336,000 226,047
Stoddard Sekers International P.L.C. 179,100 62,984
Stratagem Group P.L.C. .............. 70,315 187,070
Stylo P.L.C. ........................ 117,000 214,672
Sutcliffe Speakman P.L.C. ........... 186,162 76,853
Suter P.L.C. ........................ 405,376 1,103,279
Swallowfield P.L.C. ................. 15,000 38,531
Swan (John) and Sons P.L.C. ......... 1,000 6,544
*Sycamore Holdings P.L.C. ............ 4,316 792
Syltone P.L.C. ...................... 50,400 144,876
T & S Stores P.L.C. ................. 258,340 734,703
TGI P.L.C. .......................... 59,560 88,335
Takare P.L.C. ....................... 25,000 75,686
*Talbex Group P.L.C.
(In Receivership) ................... 385,000 0
*Tamaris P.L.C. ...................... 206,460 7,103
Tay Homes P.L.C. .................... 116,266 264,878
Taylor Nelson AGB P.L.C. ............ 546,475 346,758
Telemetrix P.L.C. ................... 246,722 588,491
*Tex Holdings P.L.C. ................. 14,000 8,991
Thorntons P.L.C. .................... 237,000 510,946
Thorpe (F.W.) P.L.C. ................ 24,000 91,740
Tibbett & Britten Group P.L.C. ...... 98,400 616,860
Tie Rack P.L.C. ..................... 139,000 346,426
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------ ------
Tilbury Douglas P.L.C. .............. 97,183 $658,266
Time Products P.L.C. ................ 124,000 481,574
Tinsley Robor P.L.C. ................ 60,000 112,840
Tomkinsons P.L.C. ................... 14,800 40,280
Tops Estates P.L.C. ................. 10,000 20,030
*Torday & Carlisle P.L.C. ............ 65,000 47,705
Town Centre Securities P.L.C. ....... 150,000 215,589
*Toye & Co. P.L.C. ................... 2,000 3,058
Trace Computers P.L.C. .............. 33,552 20,520
Trade Indemnity Group P.L.C. ........ 562,004 610,106
Trafford Park Estates P.L.C. ........ 50,000 74,157
Transtec P.L.C. ..................... 251,525 326,894
Trinity Holdings P.L.C. ............. 54,000 288,981
Trinity International Holdings P.L.C. 168,600 891,951
Triplex Lloyd P.L.C. ................ 158,110 336,033
Try Group P.L.C. .................... 243,407 33,495
Tunstall Group P.L.C. ............... 89,000 421,851
UDO Holdings P.L.C. ................. 71,000 277,911
UK Estates P.L.C. ................... 50,000 16,819
UK Safety P.L.C. .................... 135,833 39,461
Ugland International Holdings P.L.C. 65,850 72,493
Ulster Television, Ltd. ............. 25,000 368,107
Unigroup P.L.C. ..................... 77,163 64,890
Union P.L.C. ........................ 47,000 80,487
Unitech P.L.C. ...................... 10,000 78,896
United Industries P.L.C. ............ 611,460 149,588
*Usborne P.L.C. ...................... 111,066 27,171
Vardon P.L.C. ....................... 88,000 146,662
*Verson International Group P.L.C. ... 401,163 67,472
Vert (Jacques) P.L.C. ............... 20,000 55,656
Vibroplant P.L.C. ................... 113,500 131,892
Victoria Carpet Holdings P.L.C. ..... 12,000 15,779
*Videologic Group P.L.C. ............. 186,666 124,154
Vinten Group P.L.C. ................. 7,000 74,065
Volex Group P.L.C. .................. 101,206 665,399
Vosper Thornycroft Holdings P.L.C. .. 20,000 255,496
*WMGO P.L.C. ......................... 176,000 26,910
WSP Group P.L.C. .................... 50,000 35,167
Wace Group P.L.C. ................... 195,000 709,609
Waddington (John) P.L.C. ............ 253,285 848,127
Wagon Industrial Holdings P.L.C. .... 30,000 199,993
*Wakebourne P.L.C. ................... 27,850 9,368
Walker Greenbank P.L.C. ............. 313,000 411,576
Ward Holdings P.L.C. ................ 130,000 91,434
Wardle Storeys P.L.C. ............... 58,000 352,954
Warner Estate Holdings P.L.C. ....... 70,000 217,271
Warner Howard P.L.C. ................ 63,817 239,062
Waterman Partnership Holdings P.L.C. 45,000 28,898
*Wates City of London Properties
P.L.C. .............................. 230,000 240,894
Watson & Philip P.L.C. .............. 115,400 891,055
Watts, Blake, Bearne & Co. P.L.C. ... 50,500 397,655
*Waverly Mining Finance P.L.C. ....... 42,500 61,733
Wehmiller (Barry) International
P.L.C. .............................. 112,322 245,589
Wellman P.L.C. ...................... 204,833 161,293
*Wembley P.L.C. ...................... 6,053 28,228
West Trust P.L.C. ................... 114,627 57,837
Westbury P.L.C. ..................... 165,333 462,613
Western Selection P.L.C. ............ 35,525 11,950
Wetherspoon (JD) P.L.C. ............. 25,000 243,493
Whatman P.L.C. ...................... 62,500 415,697
Whessoe P.L.C. ...................... 71,875 204,408
Whitecroft P.L.C. ................... 105,000 301,825
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
----------- -------------
<S> <C> <C>
Wholesale Fittings P.L.C. ..................................................................... 38,500 $ 190,139
Widney P.L.C. ................................................................................. 494,108 75,549
*Wiggins Group P.L.C. .......................................................................... 1,076,500 49,379
Willoughby's Consolidated P.L.C. .............................................................. 9,000 14,174
Wilshaw P.L.C. ................................................................................ 223,409 196,416
Windsor P.L.C. ................................................................................ 71,521 15,310
Wintrust P.L.C. ............................................................................... 31,500 132,450
Wolstenholme Rink P.L.C. ...................................................................... 15,500 235,336
Worthington Group P.L.C. ...................................................................... 50,666 61,200
Wyko Group P.L.C. ............................................................................. 134,000 174,153
Wyndeham Press Group P.L.C. ................................................................... 56,760 164,893
York Waterworks P.L.C. ........................................................................ 17,000 90,976
Yorklyde P.L.C. ............................................................................... 25,555 130,897
Yorkshire Chemicals P.L.C. .................................................................... 110,400 462,516
Young & Co's Brewery P.L.C. ................................................................... 10,000 57,185
Young & Co's Brewery P.L.C. Class A ........................................................... 8,034 53,558
Young (H.) Holdings P.L.C. .................................................................... 44,419 69,954
Zetters Group P.L.C. .......................................................................... 14,500 28,378
-------------
TOTAL COMMON STOCKS (Cost $154,439,843) ........................................................ 159,821,259
-------------
INVESTMENT IN CURRENCY -- (1.4%)
*British Pound Sterling (Cost $2,437,197) ...................................................... 2,378,303
-------------
RIGHTS/WARRANTS -- (0.0%)
*Allied Leisure P.L.C. Rights 12/19/95 ......................................................... 106,066 11,352
*Brent Walker Group P.L.C. Warrants 12/31/07 ................................................... 64,285 246
*Cordiant P.L.C. Rights 12/13/95 ............................................................... 51,760 24,534
*Hewitt Group P.L.C. Warrants 03/02/02 ......................................................... 2,400 1,945
*Pentos P.L.C. (In Receivership) Warrants 12/31/96 ............................................. 10,891 0
*Select Industries P.L.C. Warrants 05/20/99 .................................................... 1,717 0
-------------
TOTAL RIGHTS/WARRANTS (Cost $43,976) ........................................................... 38,077
-------------
Face
Amount
-----------
(000)
TEMPORARY CASH INVESTMENTS -- (2.8%)
Repurchase Agreement, PNC Securities Corp. 5.65%, 12/01/95 (Collateralized by U.S. Treasury
Notes 6.125%, 05/31/97) (Cost $4,688,000) ..................................................... $ 4,688 4,688,000
-------------
TOTAL INVESTMENTS -- (100.0%) (Cost $161,609,016) .............................................. $166,925,639
=============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
<PAGE>
SCHEDULE OF INVESTMENTS
THE EMERGING MARKETS PORTFOLIO
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Value+
-------------
<S> <C>
Investment in The Emerging Markets Series of The DFA Investment
Trust Company ..................................................... $49,279,771
-------------
Total Investments (100%) (Cost $51,374,161) ................... $49,279,771
=============
</TABLE>
- ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
<PAGE>
SCHEDULE OF INVESTMENTS
THE CONTINENTAL SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Shares Value+
------- ------
<S> <C> <C>
FRANCE -- (25.3%)
COMMON STOCKS -- (25.3%)
ALSPI (Societe Alsacienne de
Participations Industrielles) ...... 10,850 $ 774,627
*Agricole & Industrielle de
Madagascar SA ...................... 1,242 27,929
Agricole de la Crau ................ 440 40,602
Agricole de la Pointe-a-Pitre ...... 450 37,914
Application des Gaz SA ADG ......... 4,392 221,054
Arbel SA ........................... 2,280 90,560
Aurea .............................. 600 11,777
Bail-Investissement (Societe
Immobiliere pour le Commerce &
l'Industrie) ....................... 717 121,394
Bains de Mer et du Cercle des
Etrangers a Monaco ................. 4,615 573,982
*Banque Nationale de Paris
Intercontinentale .................. 12,465 757,652
*Banque Transatlantique ............. 3,030 71,480
Bazar de l'Hotel de Ville SA ....... 9,950 778,435
Berger Levrault SA ................. 476 60,156
*Bis SA ............................. 19,800 1,735,727
*Bollore Technologies SA ............ 20,366 1,756,746
Brosse et Dupont ................... 3,170 200,311
Burelle SA ......................... 4,030 169,769
*CAMAT (Cie d'Assurances Mari times
Aeriennes et Terrestres) ........... 3,675 117,954
*CDE (Comptoir des Entrepeneurs SA) 8,713 22,635
CEGID .............................. 4,500 328,586
CFC (Cie Financiere des Cardans) ... 296 59,438
*CLAL (Comptoir Lyon-Alemand Loyot
SA) ................................ 8,367 672,213
CPR (Cie Parisienne de Reescompte) 23,430 1,814,239
Cambodge ........................... 1,605 256,607
Caoutchoucs de Padang .............. 1,423 188,401
#Carbone Lorraine ................... 6,649 616,216
*Caves & Producteurs Reunis de
Roquefort .......................... 192 64,706
Centenaire-Blanzy .................. 2,207 128,435
*Centrest (Societe Developpement
Regional du Centre-Est) ............ 1,705 479
*Ceragen Holding (Cie Generale de la
Ceramique SA) ....................... 2,780 13,942
Chambon Societe Generale Remorquage
et de Travaux Maritimes ............ 405 77,994
Cofigeo (Cie Financiere Geo) ....... 400 136,891
Compagnie Financiere de CIC et de
l'Union Europeene SA Series D ...... 10,650 672,969
*Concorde Cie d'Assurances Contre
les Risques de Toute Nature SA ..... 2,992 393,131
Continentale d'Assurances SA ....... 810 39,322
Continentale d'Entreprises SA ...... 6,839 212,647
Costimex SA ........................ 700 18,255
Courtois SA ........................ 100 5,777
Credit Foncier et Communal d'Alsace
et de Lorraine ..................... 800 102,708
*Credit General Industriel .......... 1,160 6,981
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
*Cristalleries de Baccarat .......... 1,567 $ 150,885
DMC (Dollfus Mieg et Cie) .......... 25,400 1,094,467
Damart SA .......................... 2,290 1,742,421
*Darblay SA ......................... 305 21,414
Dassault Electronique SA ........... 17,400 603,852
Degremont .......................... 9,600 778,014
Didot-Bottin ....................... 810 97,492
Dietrich et Cie .................... 25,250 1,164,995
Docks Lyonnais ..................... 1,110 23,825
Docks des Petroles d'Ambes ......... 100 10,632
*Dynaction SA ....................... 10,660 209,779
EBF SA ............................. 60,825 1,647,217
ECIA (Equipements et Composants
pour l'Industrie Automobile) ....... 17,571 2,009,121
EMI France SA ...................... 300 91,474
Electricite de Strasbourg .......... 7,928 755,426
*Emprunt Conjoint de Banque du
Batiment et des Travaux Publics et
de Financiere de Gestion et
d'Investissement SA ................ 29,814 38,576
Euro RSCG Worldwide SA ............. 20,397 1,858,848
Europe 1 Communication ............. 4,782 996,690
Explosifs et de Produits Chimiques . 524 89,348
*Fichet-Bauche ...................... 3,515 77,633
*Fidei (Compagnie Financiere pour
l'Immoblilier d'Entrepise) ......... 9,399 126,514
Filipacchi Medias SA ............... 3,520 515,466
Financiere Moncey SA ............... 631 139,491
*Financiere et Immobiliere de l'Etang
de Berre et de la Mediterranee SA . 400 6,259
Fives-Lille ........................ 8,400 665,934
Fonciere (Cie) ..................... 2,823 263,895
Fonciere Lyonnaise SA .............. 4,302 488,452
Fonciere du Chateau d'Eau de Paris 12,009 409,535
Fonderies Franco Belge ............. 410 46,881
Francaise des Ferrailles ........... 5,288 472,048
*Francaise des Magasins Uniprix ..... 2,886 93,209
*France IARD (Incendie Accidents &
Risques Divers) .................... 3,164 574,407
#France SA .......................... 9,420 1,209,388
France-Africaine de Recherches
Petrolieres Francarep .............. 3,864 140,298
*GCI (Groupe Chatellier Industrie
SA) ................................ 8,721 31,490
#GTM Entrepose ...................... 33,905 2,152,644
Galeries Lafayette SA .............. 5,664 1,510,021
Gantois Series ..................... 647 167,428
Gascogne SA ........................ 6,147 513,586
Gaumont ............................ 14,155 919,436
Genefim (Societe Immobiliere pour
le Commerce et l'Industrie SA) ..... 8,161 194,816
Generale d'Entreprises Automobiles
SA ................................. 6,463 1,122,760
*Generale de Geophysique SA ......... 14,976 594,834
Generale de Transport et
d'Industrie ........................ 12,688 809,385
Gevelot ............................ 896 235,458
Gifrer Barbezat SA ................. 550 71,715
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
*Grand Bazar de Lyon ................ 650 $ 16,951
Grands Moulins de Strasbourg ....... 110 31,864
Groupe Andre SA .................... 820 55,928
Groupe du Louvre SA ................ 1,536 41,628
Groupement pour le Financement de
la Construction SA ................. 19,075 1,358,400
Guitel-Etienne-Mobilor SA .......... 160 6,355
Guyenne et Gascogne SA ............. 5,200 1,302,869
Hoteliere Lutetia Concorde ......... 501 94,974
Hotels et Casinos de Deauville ..... 2,055 164,895
Immeubles de France ................ 25,179 1,394,063
Immeubles de Lyon .................. 3,562 340,123
Immobanque ......................... 400 50,150
Immobiliere Marseillaise ........... 656 640,209
Industrie des Transports ........... 300 57,172
Industrielle et Financiere
d'Entreprise SA .................... 300 11,735
Industrielle et Financiere
d'Ingenierie SA .................... 40,100 297,633
Interbail SA ....................... 7,000 446,540
*Intertechnique SA .................. 4,150 352,146
Labinal SA ......................... 15,925 1,565,346
Laurent Bouillet ................... 480 39,960
*Legris Industries SA ............... 32,350 1,090,231
Locamion ........................... 1,803 120,152
*Locindus (Cie Financiere pour la
Location d'Immeubles Industrials et
Commerciaux) ....................... 1,300 215,145
*Lucia .............................. 254 3,312
*MRM ................................ 1,424 15,711
*Manoir Industries SA ............... 12,365 6,499
*Matussiere et Forest SA ............ 13,600 169,147
Metal Deploye ...................... 328 25,135
*#Metaleurop SA ...................... 58,400 586,343
*Metrologie International ........... 5,940 16,801
Montupet SA ........................ 3,245 393,826
*Mors ............................... 32,445 97,953
*Moulinex SA ........................ 108,711 1,851,467
*Musee Grevin SA .................... 822 14,931
*Nationale de Navigation ............ 8,880 108,306
*Nodet-Gougis SA .................... 3,500 9,478
Nord-Est ........................... 3,240 75,849
*Nordon & Cie ....................... 800 52,959
*Olipar ............................. 25,000 22,116
PSB Industries SA .................. 1,240 95,742
Papeteries de Clairefontaine ....... 1,600 272,818
Papiers Peints (Societe Francaise
des) ............................... 200 36,550
Parisienne de Chauffage Urbain ..... 200 16,249
*Piper-Heidsieck .................... 1,282 334,323
Pithiviers-le-Vieil (Sucriere de) .. 1,825 928,059
Plastic Omnium ..................... 12,036 832,983
Publicis SA ........................ 20,150 1,253,059
Radar SA ........................... 2,246 180,221
Radiotechnique ..................... 9,900 544,152
Reassurances SA (Francaise de) ..... 13,919 1,800,954
*Renard (Fromagerie F. Paul) ........ 200 82,247
Reunion (Banque de la) ............. 987 184,134
Rhin & Moselle Assurances Cie
Generale d'Assurances et de
Reassurances SA .................... 1,922 347,001
*Rocamat ............................ 5,579 16,284
Rochefortaise Communication SA ..... 11,420 343,631
*#Rochette ........................... 98,470 722,969
Rougier SA ......................... 2,040 214,845
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- --------
Rue Imperiale de Lyon .............. 350 $ 249,248
SAGA (Societe Anonyme de
Gerance et d'Armement) ............. 6,425 202,352
SAMSE SA ........................... 1,100 152,036
SAT SA (SA des
Telecommunications) ................ 1,200 448,947
*SDR de Bretagne SA ................. 714 5,729
*SDV SA (Scac Delmas Vieljeux) ...... 3,877 567,745
*SEUPAR (Societe Europeene de
Participations Industrielles et
Financieres) ....................... 35 265
SFI (Societe Financiere Immobail
SA) ................................ 4,807 154,287
SFIM (Societe de Fabrication
d'Instruments de Mesure) ........... 2,865 514,378
SGCA (Societe Generale de Courtage
d'Assurances) ....................... 554 85,906
SOCIM (Societe Immobiliere
d'Investissement) .................. 3,829 164,835
SUDAC SA (Societe Urbaine d'Air
Comprime) .......................... 100 88,465
Sabeton ............................ 1,350 205,276
Saint-Raphael ...................... 1,059 107,281
Salins du Midi & des Salines de
l'Est .............................. 9,282 795,068
Sarreguemines Digoin et
Vitry-le-Francois SA ............... 330 50,311
Saupiquet .......................... 2,250 583,149
Savoisienne ........................ 3,963 96,988
Sechilienne ........................ 220 43,250
*Segic (Societe d'Exploitation et de
Gestion Industrielle et
Commerciale) ....................... 3,330 150,301
Signaux et d'Equipements
Electroniques SA ................... 23,983 954,990
Silec (Societe Industrielle de
Liaisons Electriques) .............. 14,228 690,707
Silic (Societe Immobiliere de
Location pour l'Industrie et le
Commerce) .......................... 1,764 238,857
*Simmonds ........................... 575 23,069
Skis Rossignol SA .................. 3,889 986,097
*Sodero (Societe de Developpement
Regional de l'Ouest) ............... 4,181 16,271
*Sofal .............................. 5,231 146,909
Sofitam SA ......................... 1,889 117,357
Soie SA ............................ 390 28,556
Solitaire Produits d'Entretien
Francais Prodef .................... 300 42,668
Sommer-Allibert SA ................. 1,170 306,993
Sophia SA .......................... 5,600 232,538
Strafor Facom SA ................... 16,630 1,834,804
Taittinger SA ...................... 2,540 914,604
Tanneries de France ................ 158 8,938
*Teleflex Lionel-Dupont ............. 7,625 201,906
Thermal de Bagnoles de l'Orne ...... 245 27,670
Touax SA ........................... 3,604 73,092
*Transports en Commun de Nice ....... 100 2,508
UGC Droits Audiovisuels SA ......... 23,365 1,033,497
Union Generale du Nord SA .......... 994 33,090
*Union Industrielle de Credit SA,
Paris .............................. 13,820 177,428
*Vallourec (Usines a Tubes de
Lorraine Escaut et Vallourec
Reunies) ........................... 31,700 1,208,225
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
Vermandoise de Sucreries ........... 323 $ 251,402
Via Banque ......................... 20,692 689,042
Virax .............................. 954 22,965
Zodiac SA .......................... 17,640 2,480,570
*Zuber-Laederich SA ................. 1,800 14,804
------------
TOTAL COMMON STOCKS
(Cost $83,819,588) ................. 79,093,997
------------
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs (Cost $4,649) ........ 4,529
------------
RIGHTS/WARRANTS -- (0.0%)
*GTM Entrepose Warrants 09/30/96
(Cost $0) .......................... 689 1,410
------------
Face
Amount
-----------
(000)
BONDS -- (0.0%)
*Scoa 9.0%, 04/01/98 Convertible
Bond (Cost $31,335) ................ 3 42,122
------------
TOTAL -- FRANCE
(Cost $83,855,572) ................. 79,142,058
------------
GERMANY -- (23.0%)
COMMON STOCKS -- (22.9%) Shares
-----------
Aachener Strassenbahn und
Energie versorguns AG .............. 188 51,970
Ackermann Vermoegensverwal tungs AG 1,350 221,113
Aesculap AG ........................ 1,326 840,503
Agrippina Rueckversicherung AG,
Koeln .............................. 177 200,608
*Agrob AG ........................... 290 94,195
Aigner (Etienne) AG ................ 600 279,060
*Alexanderwerk AG ................... 230 18,279
Allweiler AG ....................... 289 52,927
Alte Leipziger Versicherungs AG
Series C ........................... 1,043 338,056
*Amira Verwaltungs AG ............... 200 139,599
#Andreae-Noris Zahn AG, Anzag ....... 2,464 621,534
*Augsburger Kammgarn Spinnerei AG .. 660 18,017
BDAG Balcke-Duerr AG ............... 3,291 848,337
Bayerische Handelsbank AG .......... 2,120 584,575
*Bayerischer Lloyd AG, Regensburg ... 247 42,674
Berliner Kindl-Brauerei AG ......... 1,000 400,829
Binding-Brauerei AG ................ 2,925 1,233,068
Biotest AG ......................... 806 177,131
Blaue Quellen Mineral und
Heilbrunnen AG ..................... 300 440,567
*Bochum-Gelsenkirchener
Strassenbahnen AG .................. 228 80,359
Boss (Hugo) AG ..................... 870 721,493
Braunschweig-Hannoversche
Hypotekenbank AG ................... 2,776 1,179,848
Breitenburger Portland-Cement-
Fabrik AG .......................... 25 16,586
Bremer Strassenbahn AG ............. 307 48,798
*Bremer Woll-Kaemmerei AG ........... 1,996 162,770
Brillant AG ........................ 750 88,113
Buckau (Walther) AG ................ 900 121,285
*Ceag Industrie-Aktien und Anlagen
AG ................................. 2,067 145,704
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- --------
Concordia Bau und Boden AG ......... 32,189 $1,652,828
DLW AG ............................. 3,940 667,104
DSL Holding AG ..................... 5,850 687,284
Deutsche Bank Luebeck AG ........... 1,200 1,078,093
Deutsche Hypotheken Bank AG,
Hannover/Berlin .................... 2,500 656,531
*Deutsche Kontinentale
Rueckversicherungs AG .............. 1,872 260,036
Deutsche Spezialglas AG ............ 1,600 232,205
Deutsche Steinzeug Cremer & Breuer
AG ................................. 5,560 695,480
*Deutsche Verkehrs-Bank AG .......... 4,750 630,270
Dibag Doblinger Industriebau-
Glasmanufactur AG .................. 1,185 655,149
*Didier-Werke AG .................... 6,800 502,833
*Dierig Holding AG .................. 1,500 112,992
Doag-Holding AG .................... 750 116,621
*Doerries Scharmann AG .............. 32,980 136,752
*Dortmunder Actien-Brauerei AG ...... 1,650 190,428
Duerr Beteiligungs AG .............. 3,175 965,446
Duerrkopp Adler AG ................. 2,219 207,025
Dyckerhoff & Widmann AG ............ 4,919 809,068
Dyckerhoff AG ...................... 2,399 911,852
Eichbaum-Brauereien AG,
Mannheim ........................... 672 153,255
Erlus Baustoffwerke AG ............. 297 139,572
Erste Kulmbacher Actien Brauerei AG 432 486,634
Escada AG .......................... 2,052 360,199
*Escom AG ........................... 4,200 78,079
*Fag Kugelfischer Georg Schaeffer AG 8,550 1,084,261
Felten & Guilleaume Energietechnik
AG ................................. 3,250 512,094
Forst Ebnath AG .................... 24 16,586
Fraenkisches Ueberlandwerk AG,
Nuernberg .......................... 896 260,069
Fuchs Petrolub AG Oel & Chemie ..... 2,231 277,526
Fuchs Petrolub AG Oel & Chemie
(Stimmrechtslos) ................... 55 5,853
Geestemuender Bank AG .............. 750 95,888
Gestra AG Bremen ................... 1,203 183,734
Gilde Brauerei AG .................. 400 290,256
*Gildemeister AG .................... 1,120 117,650
Goldschmidt AG ..................... 3,200 1,237,319
Grosskraftwerk Franken AG .......... 789 264,454
*Gutbrod AG ......................... 290 17,436
*Gutbrod AG Em 90 ................... 75 4,924
Hagen Batterie AG .................. 1,000 141,672
Hamborner AG ....................... 2,100 481,824
Hamburger Hochbahn AG Series A ..... 4,257 289,782
Harpener AG ........................ 7,100 1,349,343
Hasen-Braeu AG ..................... 100 124,395
Heilit & Woerner Bau AG ............ 425 53,455
Heilit & Woerner Bau AG ............ 1,701 242,160
Hein Lehmann AG, Duesseldorf ....... 120 33,172
Heinrich Industrie & Handels AG .... 350 208,017
Herlitz AG ......................... 3,462 605,790
Hermes Kreditversicherungs AG,
Hamburg und Berlin ................. 400 96,752
Hermes Kreditversicherungs AG,
Hamburg und Berlin ................. 1,166 201,451
Hindrichs-Auffermann AG ............ 358 64,326
Holsten-Brauerei AG, Hamburg ....... 3,077 692,166
*Hutschenreuther AG ................. 1,050 101,589
Hypothekenbank In Hamburg AG ....... 1,252 770,062
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
ICN (Immobilien Consult Nuernberg
AG) ................................ 737 $ 193,545
Ikon AG Praezisionstechnik ......... 626 77,871
Iwka AG ............................ 6,224 1,144,149
Jacobsen (W.) AG, Kiel ............. 37 76,710
Jute Spinnerei und Weberei
Bremen AG .......................... 378 117,031
*Jute Spinnerei und Weberei
Bremen AG Em 95 .................... 94 28,258
KM Europa Metal AG ................. 7,550 657,429
*KM Europa Metal AG Em 95 ........... 10,570 832,744
#KSB AG ............................. 2,387 395,909
KWS Kleinwanzlebener Saatzucht AG . 1,650 697,858
*Kali und Salz Beteiligungs AG ...... 13,950 1,807,619
*Kaufhalle AG ....................... 7,800 865,169
Kempinski AG, Berlin ............... 686 293,932
Keramag Keramische Werke AG ........ 1,300 471,666
*Kloeckner Humboldt-Deutz AG ........ 16,750 98,393
*Kloeckner-Werke AG ................. 23,800 904,630
*Koeln-Duesseldorfer Deutsche
Rheinschiffahrt AG ................. 300 24,879
Kolb und Schuele AG ................ 10,000 271,251
*Kolbenschmidt AG, Neckarsulm ....... 7,500 1,078,093
Kraftuebertragungswerke
Rheinfelden AG ..................... 4,684 1,553,780
Kraftwerk Altwuerttemberg AG ....... 314 190,961
Krauss-Maffei AG ................... 1,267 941,275
Kromschroder (G.) AG ............... 765 264,340
*Kueppersbusch AG ................... 525 76,192
Kupferberg (Christian Adalbert) &
Cie KG A.A. ........................ 151 99,658
Leffers AG, Bielefeld .............. 1,225 220,111
Leifheit AG ........................ 13,500 564,444
Leonische Drahtwerke AG ............ 2,000 552,868
*Linotype-Hell AG ................... 4,300 433,863
Loewenbraue Holding AG ............. 60 94,126
MG Vermoegensverwaltungs AG ........ 4,040 335,038
*MLF Holding fuer Umwelttechnolo gie
AG ................................. 165 15,736
*MLF Holding fuer Umwelttechnolo gie
AG Em 95 ............................ 33 3,147
Magda Media Verlaf AG .............. 7,380 107,104
*Maihak (H.) AG ..................... 275 40,879
*Main Kraftwerke AG ................. 1,189 524,245
Mainzer Aktien-Bierbrauerei AG ..... 563 169,250
Mannheimer Versicherung AG ......... 2,257 928,068
Markt und Kuehlhallen AG ........... 1,400 228,334
Mauser Waldeck AG .................. 1,667 186,630
Mittelschwaebische
Ueberlandzen trale AG .............. 355 176,641
*Moenus AG Em 95 .................... 15,750 70,206
Muehle Rueningen AG ................ 160 37,595
*Mueller-Weingarten AG .............. 579 122,042
*Nak Stoffe AG ...................... 1,046 42,650
*Neue Baumwoll-Spinnerei und Weberei
Hof AG ............................. 1,217 48,781
*Niedermayr Papierwarenfabrik AG .... 60 13,476
Nordcement AG ...................... 2,000 829,302
Norddeutsche Steingutfabrik AG ..... 5,960 177,111
Nuernberger Hypothekenbank AG ...... 2,387 676,344
*Orenstein & Koppel AG .............. 3,778 187,986
Otavi Minen AG ..................... 600 72,564
Pag Pharma-Holding AG .............. 800 211,748
Parkbrauerei AG .................... 300 61,783
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
*Patrizier-Braeu AG ................. 737 $ 63,666
Paulaner-Salvator Beteiligungs AG .. 100 196,959
*Pfaff (G.M.) AG .................... 3,200 243,262
Pfersee-Kolbermoor AG .............. 1,600 1,029,551
*Phoenix AG, Hamburg ................ 4,750 715,619
*Pittler Maschinenfabrik AG ......... 3,350 166,690
Plettac AG ......................... 5,554 1,397,136
*Progress-Werk Oberkirch AG ......... 500 57,706
Rathgeber AG ....................... 8 3,981
Reckitt und Colman Deutschland AG . 540 123,151
Reichelbraeu AG, Kulmbach .......... 550 157,740
*Reichelt (F.) AG ................... 1,290 57,947
Reiter Ingolstadt
Spinnereimaschinen AG .............. 1,200 128,127
*Renk AG ............................ 1,940 130,048
Rheinboden Hypothekenbank AG ....... 2,650 459,675
Rheinmetall Berlin AG .............. 5,000 656,531
Rhoen Klinikum AG .................. 15,240 1,211,196
Riedel de Haen AG .................. 573 502,909
*Rosenthal AG ....................... 1,650 148,238
*Rothenberger AG .................... 300 26,123
Salamander AG, Kornwesteim ......... 5,172 804,216
Schlenk (Carl) AG .................. 65 23,134
Schwaebische Zellstoff AG .......... 1,925 663,839
*Sektkellerei Schloss Wachenheim AG 84 16,254
Sinalco AG ......................... 110 57,015
Sinn AG ............................ 1,973 436,323
Sinner AG, Karlsruhe ............... 416 114,997
Sloman Neptun Schiffahrts AG ....... 35 3,193
Stern-Brauerei Carl Funke AG ....... 1,100 69,938
Stoehr & Co. AG .................... 1,600 164,755
Stolberger Zink AG ................. 64 30,518
Stollwerck AG ...................... 1,358 413,876
*Stumpf (Otto) AG ................... 550 15,774
Stuttgarter Hofbraeu AG ............ 1,800 454,043
Sued-Chemie AG ..................... 2,186 815,784
Sueddeutsche Bodencreditbank AG .... 3,040 955,909
Tempelhofer Feld AG ................ 25 57,015
*Terrex Handels AG .................. 1,250 410,332
*Traub AG ........................... 2,538 249,064
Triton-Belco AG, Hamburg ........... 1,186 118,026
Tucher Braeu AG .................... 750 79,302
Ueberlandwerk Unterfranken AG ...... 40 7,713
VGT AG ............................. 293 74,313
VK Muehlen AG ...................... 1,312 244,810
*Varta AG ........................... 5,500 1,026,261
Vereinigte Deutsche Nickel-Werke AG 1,380 205,045
Vereinte Versicherung AG ........... 398 236,545
Verseidag AG ....................... 2,753 239,722
Voegele (Joseph) AG ................ 750 139,945
Vogtlaendische Baumwollspinnerei AG 559 33,223
WCM Beteiligungs und Grundbesitz AG 1,000 7,326
WMF (Wuerttembergische
Metallwarenfabrik AG) .............. 3,033 618,338
*Walter AG .......................... 1,350 251,901
Wanderer-Werke AG .................. 1,437 148,964
*Weil der Stadt AG, Weil der Stadt .. 80 12,163
Weinig (Michael) AG ................ 2,500 907,049
Westag & Getalit ................... 700 200,760
Wickrather Bauelemente AG .......... 465 76,804
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
Wuerttembergische & Badische
Versicherungs AG Series A/B ........ 112 $ 219,433
Wuerttembergische Hypotheken bank AG 1,613 789,222
Wuerzburger Hofbraeu AG ............ 133 79,506
*Zanders Feinpapiere AG ............. 4,450 445,923
Zeag Zementwerk Lauffen-
Elektrizitaetswerk Heilbronn AG .... 1,942 536,835
------------
TOTAL COMMON STOCKS
Cost $59,968,425) .................. 71,604,517
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $13) ............ 13
------------
PREFERRED STOCK -- (0.1%)
Dyckerhoff AG ...................... 157 33,852
Westag & Getalit ................... 260 56,420
------------
TOTAL PREFERRED STOCK
(Cost $67,166) ..................... 90,272
------------
TOTAL -- GERMANY
(Cost $60,035,604) ................. 71,694,802
------------
SWITZERLAND -- (11.1%)
COMMON STOCKS -- (11.1%)
AFG Arbonia Foster Holding AG,
Arbon .............................. 522 533,788
*Accumulatoren-Fabrik Oerlikon,
Zuerich ............................ 30 15,467
Afipa SA, Vevey .................... 20 4,090
Afipa SA, Vevey Series A ........... 80 16,702
Aletsch AG, Moerel ................. 50 125,692
*Allgemeine Finanzgesellschaft,
Zuerich ............................ 741 198,905
*Ascom Holding AG, Bern ............. 907 803,818
Attisholz Holding AG, Attisholz .... 1,079 657,422
BHB Beteiligungs und
Finanzgesellschaft ................. 150 38,347
Banque Cantonale de Geneve ......... 840 224,764
Banque Cantonale du Jura ........... 400 117,597
*Banque Cantonale du Jura Em 95 ..... 50 14,061
Banque Privee Edmond de
Rothschild SA, Geneve .............. 120 472,944
Basellandschaftliche Kantonalbank .. 500 122,284
Basler Kantonalbank (Participating) 500 115,893
Bernische Kraftwerke AG, Bern ...... 600 728,590
Bossard Holding AG ................. 127 231,598
Brauerei Eichhof ................... 42 62,633
Bucher Holding AG,
Niederweningen ..................... 671 394,538
Bucherer AG, Luzern (Participating) 300 116,319
CKW (Centralschweizerische
Kraftwerke), Luzern ................ 670 642,309
CKW (Centralschweizerische
Kraftwerke), Luzern (Participating) . 1,500 138,049
Calida Holding AG, Oberkirch ....... 99 71,709
Carlo Gavazzi Holding AG, Baar
Series B ........................... 83 90,179
Chemin de Fer Brigue-Viege-
Zermatt, Zermatt ................... 370 66,212
Chemin de Fer du Gornergrat, Sion .. 70 164,039
Chocoladefabriken Lindt & Spruengli
AG, Kilchberg ....................... 24 380,401
Chocoladefabriken Lindt & Spruengli
AG, Kilchberg (Participating) ....... 74 104,048
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
Credit Foncier Vaudois, Lausanne ... 875 $ 674,798
Crossair AG fuer Europaeischen
Regionalluftverkehr, Basel ......... 141 71,972
Crossair AG fuer Europaeischen
Regionalluftverkehr, Basel
(Genusschen) ....................... 330 23,903
*Crossair AG fuer Europaeischen
Regionalluftverkehr, Basel
(Genusschen) Em 95 ................. 103 27,209
*Crossair AG fuer Europaeischen
Regionalluftverkehr, Basel Em 95 ... 51 24,555
Daetwyler Holding AG, Atldorf ...... 388 704,252
Danzas Holding AG, Basel
(Participating) .................... 1,502 275,185
Dipling Fust AG, Oberbueren ........ 1,680 415,168
EGL (Elektrizitaets-Gesellschaft
Laufenberg) AG, Laufenberg ......... 8,400 1,632,041
Edipresse SA, Lausanne ............. 262 64,970
Edipresse SA, Lausanne (Nominal) ... 1,310 62,514
Elco Looser Holding AG, Zuerich .... 720 273,643
Energie Electrique du Simplon SA
Simplon Village .................... 70 58,458
*Escor AG, Duedingen ................ 496 12,680
*Financiere Michelin, Granges-
Paccot ............................. 637 $ 287,695
Financiere Tradition, Lausanne ..... 50 29,825
Fischer (Georg) AG, Schaffhausen ... 1,372 1,835,569
*Forbo Holding AG, Eglisau .......... 1,100 428,377
Fortuna Holding, Adliswil .......... 140 131,231
Fortuna Holding, Adliswil
(Participating) .................... 650 141,244
Fotolabo SA, Ropraz ................ 1,200 386,536
Fuchs Petrolub AG, Frauenfeld ...... 2,001 630,908
GZB Genossenschaftliche
Zentralbank AG, Basel .............. 941 697,631
Galenica Holding AG, Bern Series B 120 36,097
Golay-Buchel Holding SA,
Lausanne ........................... 40 32,041
Grands Magasins Jelmoli SA,
Zuerich ............................ 931 420,477
Grands Magasins Jelmoli SA,
Zuerich (Namen) .................... 2,835 246,417
Gurit-Heberlein AG, Wattwil SG ..... 310 618,151
*HPI Holding SA, Yverdon-les-Bains .. 200 34,086
Hilti AG, Schaan (Participating) ... 600 465,786
Huerlimann Holding AG, Zuerich ..... 33 123,732
Huerlimann Holding AG, Zuerich
(Participating) .................... 100 35,790
Immuno International AG, Zuerich ... 1,545 875,522
Industrieholding Cham AG, Cham ..... 216 103,076
*Interdiscount Holdings SA,
Jegenstorf ......................... 4,840 383,571
Kardex AG, Zuerich ................. 630 187,899
Kardex AG, Zuerich (Participating) . 610 155,944
Keramik Holding AG Laufen, Laufen . 600 398,807
Kraftwerk Laufenburg, Laufenburg ... 8,475 1,480,507
Loeb Holding AG, Bern
(Participating) .................... 620 117,818
*Logitech International SA, Apples .. 4,805 479,067
Maag Holding AG, Zuerich ........... 820 45,420
Magazine Zum Globus, Zuerich ....... 400 252,237
Magazine Zum Globus, Zuerich
(Participating) .................... 396 229,467
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
*Mikron Holding AG, Biel ............ 624 $ 55,833
Moevenpick-Holding, Zuerich ........ 1,320 483,681
Moevenpick-Holding, Zuerich
(Participating) .................... 443 198,189
*Monteforno Acciaierie & Laminatoi
SA, Giornico ....................... 600 1,534
*Motor-Columbus AG, Baden ........... 1,499 2,516,429
*Netstal-Maschinen AG, Nafaels ...... 2 597
*Omnium Geneve SA, Geneve ........... 110 28,121
*Orell Fuessli Graphische Betriebe
AG, Zuerich ........................ 240 145,207
Phoenix Mecano AG, Stein am Rhein . 2,749 1,358,688
Pick Pay AG, Ruemlang .............. 110 126,544
Porst Holding AG, Jegenstorf ....... 1,844 309,559
Prodega AG, Moosseedoff
(Participating) .................... 400 122,710
Publicitas Holding SA, Lausanne
(Participating) .................... 125 105,454
Rentsch (Walter) Holding AG,
Dietlikon .......................... 1,853 306,333
*Riviera Participations Holding SA,
Vevey .............................. 50 6,029
SIG (Schweizerische Industrie
Gesellschaft Holding AG),
Neuhausen am Rheinfall ............. 167 320,196
Sarna Kunststoff Holding AG, Sarnen 74 79,139
Schweizerische National
Versicherungs Gesellschaft, Basel . 22 49,212
*Sece Cortaillod Holding SA,
Cortaillod ......................... 100 32,382
*Sibra Holding SA, Fribourg Series B 1,000 167,874
Siegfried AG, Zofingen ............. 1,066 803,928
Sopracenerina (Sta Elettrica),
Locarno ............................ 459 262,062
*Suedelektra Holding AG, Zug ........ 1,500 1,495,526
*Suter & Suter AG, Basel Class A .... 635 2,164
Swisslog Holding AG, Aarau ......... 500 146,996
UMS Schweizerische Metallwerke
Holding AG, Bern .................... 2,560 277,051
Unigestion Holding, Geneve ......... 2,891 258,675
Usego-Trimerco Holding AG,
Volketswil ......................... 1,160 172,987
Villars Holding SA, Fribourg ....... 150 17,895
*Von Moos Holding AG, Luzern ........ 1,400 113,336
*Von Roll AG, Gerlafingen ........... 2,424 50,607
WMH Walter Meier Holding AG, Staefa 50 19,173
*Zellweger Luwa AG, Uster ........... 804 733,089
*Zschokke Holding SA, Geneve ........ 80 30,336
*Zueblin Holding AG, Zuerich ........ 700 65,616
Zuercher Ziegeleien Holding,
Zuerich ............................ 1,415 976,693
Zuger Kantonalbank ................. 500 651,896
------------
TOTAL COMMON STOCKS
(Cost $26,125,194) ................. 34,756,415
------------
INVESTMENT IN CURRENCY --
(0.0%)
*Swiss Francs (Cost $1) ............. 1
------------
TOTAL -- SWITZERLAND
(Cost $26,125,195) .................. 34,756,416
------------
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
NETHERLANDS -- (10.8%)
COMMON STOCKS -- (10.8%)
A.I.R. Holdings NV ................. 1,300 $ 20,074
*ACF Holding NV (Certificate) ....... 15,757 334,800
Aalberts Industries NV ............. 4,797 274,072
Ahrend NV .......................... 22,965 773,065
Atag Holding NV .................... 4,162 270,183
Athlon Groep NV .................... 5,350 222,393
Athlon Groep NV (Certificate) ...... 3,500 145,491
Bam Groep NV ....................... 4,893 272,908
Batenburg Beheer NV ................ 1,000 111,489
Beers NV ........................... 3,325 507,273
#Begemann Groep NV .................. 13,451 212,690
Bijenkorf Beheer KBB NV,
Amsterdam .......................... 13,550 887,153
Boer Winkelbedrijven NV ............ 12,000 555,899
#Boskalis Westminster NV ............ 45,397 566,411
Braat Beheer NV .................... 3,880 40,022
Cap Volmac Group NV ................ 67,650 810,630
Cindu International NV ............. 1,750 102,687
Content Beheer ..................... 14,750 407,242
Crown Van Gelder NV ................ 2,400 219,395
*Delft Instruments NV ............... 12,808 274,514
Econosto NV ........................ 15,691 190,928
Eriks Holdings NV .................. 9,000 705,991
Flexovit International NV .......... 3,500 198,888
*Frans Maas Groep NV ................ 13,906 461,243
GTI Holding NV ..................... 4,507 363,288
Gamma Holding NV ................... 18,338 724,912
Getronics NV ....................... 25,413 1,141,152
Geveke NV .......................... 8,451 183,218
Goudsmit NV Voorheen Eduard ........ 2,066 53,724
Grand Hotel Krasnapopski NV ........ 308 26,634
Grolsche NV ........................ 43,100 1,512,094
Hoek's (W.A.) Machine &
Zuurstof fafabriek NV ............... 12,600 661,519
Holdingsmij de Telegraaf NV ........ 5,850 838,295
Hollandia Industriele Maatschappij
NV ................................. 500 16,059
Hollandsche Beton Groep NV ......... 4,846 714,778
IHC Caland NV ...................... 64,700 1,950,191
Internatio-Mueller NV .............. 15,682 1,057,736
Kas-Associatie NV .................. 7,830 258,259
Kempen & Co. NV .................... 22,200 212,539
Kondor Wessels Groep NV ............ 1,000 30,883
Koninklijke Ten Cate NV ............ 11,647 491,347
Koppelpoort Holding NV ............. 250 67,943
Landre & Glinderman NV ............. 1,936 49,028
MacIntosh NV ....................... 19,733 450,970
*Multihouse NV ...................... 20,000 53,119
NBM-Amstelland NV .................. 46,197 679,116
NKF Holding NV ..................... 3,738 520,642
Nagron Nationaal Grondbezit NV ..... 3,791 258,743
Nationale Investeringsbank NV
Series A ........................... 11,963 812,804
Nederlandsche Apparatenfabriek
Nedap .............................. 4,250 207,381
*#Nederlandsche Vliegtuigenfabriek
Fokker NV .......................... 53,650 318,122
Nedlloyd Groep NV, Rotterdam ....... 22,900 446,967
Norit NV ........................... 30,129 351,722
Oce Van der Grinten NV, Venlo ...... 17,950 1,097,622
Otra NV ............................ 6,275 1,085,238
Pakhoed NV ......................... 24,384 667,209
Polynorm NV ........................ 3,431 312,371
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
Reesink NV ......................... 2,050 $ 151,946
Roto Smeets de Boer NV ............. 1,000 20,692
Rubber Cultuur Maatschappij
Amsterdam NV ....................... 40,800 63,002
Samas-Groep NV, Zaandam ............ 11,203 422,102
Schuitema NV, Amersfoort ........... 300 340,951
Schuttersveld Holding .............. 11,039 330,693
Smit Internationale NV ............. 10,790 285,245
Sphinx NV .......................... 22,678 417,421
Stad Rotterdam ..................... 12,442 364,268
Stork NV ........................... 33,914 852,563
*Textielgroep Twenthe NV ............ 1,000 32,736
Tulip Computers NV ................. 11,188 121,624
Twentsche Kabel Holding NV ......... 18,090 614,546
Ubbink NV .......................... 1,500 52,810
Van Dorp Groep NV .................. 3,261 56,398
Van der Giessen de Noord ........... 4,433 230,275
Van der Moolen Holding NV .......... 6,560 223,259
Volker Stevin NV ................... 13,250 781,578
Vredestein NV ...................... 19,725 214,429
Wegener NV ......................... 20,069 1,860,628
*Wyers Beheer NV, Amsterdam ......... 250 77
------------
TOTAL COMMON STOCKS
(Cost $20,893,688) ................. 33,618,309
------------
INVESTMENT IN CURRENCY --
(0.0%)
*Netherlands Guilder (Cost $2,820) .. 2,744
------------
RIGHTS/WARRANTS -- (0.0%)
*Stad Rotterdam Rights 01/12/96 ..... 12,442 0
*Wyers Beheer NV, Amsterdam
Warrants 10/03/97 .................. 250 5
------------
TOTAL RIGHTS/WARRANTS
(Cost $0) .......................... 5
------------
TOTAL -- NETHERLANDS
(Cost $20,896,508) .................. 33,621,058
------------
ITALY -- (9.3%)
COMMON STOCKS -- (9.3%)
Acquedotto de Ferrari Galliera SpA . 54,000 163,790
Aedes SpA (Sta Ligure Lombarda per
Imprese & Costruzioni) ............. 42,000 187,805
Ansaldo Trasporti SpA .............. 199,533 256,435
#Attivita Immobiliari ............... 181,400 181,400
*Auschem SpA (In Liquidation) ....... 82,000 0
Autostrada Torino-Milano ........... 33,750 163,579
Avir Finanziara SpA ................ 114,000 712,946
*Banca Agricola Milanese ............ 48,000 276,473
#Banco di Chiavari e della Riviera
Ligure SpA, Chiavari ............... 175,000 313,008
#Bassetti SpA ....................... 67,500 244,841
*Bastogi SpA ........................ 1,683,000 84,203
Boero (Bartolomeo) SpA ............. 8,925 50,235
Bonifica dei Terreni Ferraresi e per
Imprese Agricole Roma .............. 11,600 96,485
*Brioschi Finanziaria SpA, Milano ... 200,000 35,147
CALP (Cristalleria Artistica la
Piana SpA) ........................ 48,000 171,107
CAMFIN (Cam Finanziaria) ........... 20,500 26,923
#CEMENTIR (Cementarie del
Tirreno SpA), Roma ................. 661,563 496,483
*CIGA SpA (Compagnia Italiana Grandi
Alberghi) .......................... 76,890 34,863
CMI SpA ............................ 36,428 69,484
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
Caffaro SpA Sta per l'Industria
Chimica ed Elettrochimica .......... 297,550 $ 252,890
*Calcestruzzi SpA ................... 51,560 182,185
Caltagirone SpA .................... 343,085 261,230
*Cantoni ITC SpA .................... 121,000 170,263
Cartiere Burgo SpA ................. 271,200 1,326,319
*Cartiere Sottrici Binda SpA ........ 1,299,375 46,319
Cementeria de Barletta SpA ......... 27,000 75,985
*Cementeria di Augusta SpA .......... 105,000 161,538
Cementerie Siciliane SpA ........... 82,200 160,390
Cementerie di Sardegna SpA ......... 77,000 154,096
*#Cogefar-Impresit Costruzioni
Generali SpA ....................... 337,000 277,145
#Comau Finanziara SpA ............... 353,000 375,297
Condotta Acque Potabili SpA, Torino 28,000 122,577
Costa Crociere SpA ................. 195,000 437,195
Costa Crociere SpA (Risp) .......... 26,000 27,967
*Cucirini SpA ....................... 30,000 22,514
*Dalmine SpA ........................ 3,001,700 551,907
#Danieli & C.Officine Meccaniche SpA 93,500 519,834
*Dataconsyst C.G.S. SpA, Monza ...... 220 20,363
*Del Favero SpA ..................... 86,000 32,270
*Editoriale SpA ..................... 210,000 74,859
*Editoriale l'Espresso SpA .......... 55,000 96,482
*Editoriale la Repubblica SpA ....... 125,000 105,535
*Enichem Augusta SpA ................ 311,000 602,939
Ericsson SpA ....................... 61,500 773,077
*Euromobiliare SpA .................. 73,500 93,541
*#Europa-Metalli LMI SpA ............. 1,086,000 176,585
*FIAR (Fabbrica Italiana
Apparecchiature Radioelettriche
SpA) ............................... 22,990 71,889
*FMC (Fabbrica Milanese Condutorri
SpA) ............................... 25,000 12,430
FONSPA (Credito Fondiaro e
Industriale Istituto per i
Finanzia menti a Medio e Lungo
Termine SpA) ...................... 269,000 336,460
Faema SpA .......................... 31,000 66,110
*Falck (Acciaierie & Ferriere
Lombarde) .......................... 218,000 428,093
*Finarte Casa d'Aste SpA (Milano) ... 56,266 39,411
*Fincasa 44 SpA ..................... 150,036 27,211
*Finrex Finanziaria Immobiliaria SpA
(In Liquidation) ................... 36,000 2,724
*Firs-Italiana de Assicurazioni
Compagnia di Assicurazioni
Eriassicurazioni (In Liquidation) .. 90,000 0
*Fochi (Filippo) SpA ................ 216,000 54,034
*Fornara Societa Finanziaria e di
Participazioni SpA ................. 310,000 13,959
*Gabetti Holding SpA ................ 70,000 52,095
*Gerolimich SpA (In Liquidation) .... 297,400 0
Gewiss SpA ......................... 103,000 1,291,526
*Gifim Iniziative Immobiliari Gifim
SpA ................................ 60,000 10,694
*Grassetto SpA ...................... 279,125 114,687
*ITAJOLLY (Cia Italiana del Jolly
Hotels SpA) ........................ 48,500 173,193
Immobiliare Metanopoli SpA ......... 1,062,500 698,366
Industrie Zignago S. Margherita SpA 61,000 270,857
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
*Istituto Finanziario Pro Arte SpA
Finarte ............................ 202,693 $ 129,931
*Italiana di Transporti Gottardo
Ruffoni SpA, Milano
(In Liquidation) ................... 279,832 18,095
Linificio & Canapificio Nazionale
SpA ................................ 118,000 34,684
Maffei SpA ......................... 75,000 93,809
Magneti Marelli SpA ................ 396,666 489,941
Magona d'Italia SpA, Firenze ....... 40,000 120,075
*Mandelli SpA ....................... 41,000 53,821
Manifattura Lane Gaetano Marzotto &
Figli SpA .......................... 144,000 819,512
Marangoni SpA, Rovereto ............ 50,303 163,587
Merloni Elettrodomestici SpA ....... 210,000 492,495
#Montefibre SpA, Milano ............. 645,000 391,276
*NAI SpA (Navigazione Alta Italia) .. 139,760 21,327
*Necchi SpA ......................... 131,400 73,137
*Perlier SpA ........................ 120,700 27,174
Pininfarina SpA .................... 64,570 553,226
*Poligrafici Editoriale SpA ......... 226,000 486,204
*Premafin Finanziaria SpA ........... 1,025,000 394,872
Previdente Cia Italiana
Assicurazione SpA .................. 149,590 870,036
Ratti SpA .......................... 155,900 302,245
Recordati Industria Chimica E
Farmaceutica SpA ................... 34,000 203,064
Rejna SpA, Milano .................. 19,000 147,342
Risanamento di Napoli SpA .......... 26,700 259,820
Riva Finanziaria SpA ............... 23,800 72,784
*Rodriquez SpA ...................... 41,250 33,279
SISA (Societa Imballaggi Speciali
Asti SpA) .......................... 65,000 54,878
*#SMI (Sta Metallurgica Italiana SpA) 456,600 134,210
*#SNIA Fibre SpA ..................... 328,000 124,923
SOPAF (Societa Partecipazioni
Finanziarie SpA) ................... 40,000 43,402
*#Saffa SpA, Milano .................. 100,500 252,664
Safilo (Sta Azionaria Fabbrica
Italiana Lavorazione Occhiali SpA) 50,100 593,743
Saiag SpA (Industrie Articoli
Gomma) ............................. 43,000 123,702
#Sasib SpA .......................... 186,000 778,199
*Schiapparelli 1824 SpA ............. 300,000 23,452
Serfi SpA (Servizi Finanziari) ..... 72,000 251,707
*Simint SpA ......................... 82,488 78,671
Sogefi SpA ......................... 260,000 513,821
*Sondel Nordelettrica SpA ........... 728,892 911,685
#Sorin Biomedica SpA ................ 407,610 899,852
Stefanel SpA ....................... 190,800 235,070
Tecnost SpA ........................ 170,000 255,160
*Teknecomp SpA ...................... 148,643 90,171
Terme Demaniali di Acqui SpA ....... 39,900 24,878
*Texmantova SpA ..................... 40,000 32,520
Trenno SpA ......................... 147,333 242,330
*Tripcovich (D.) & Co. SpA
Navigazione Rimorchi e
Salvataggi Trieste ................. 113,898 26,355
*#UNICEM (Unione Cementi
Marchini Emiliane e di
Augusta-Casale) .................... 159,600 875,854
USA (Unione Subalpina di
Assicurazioni SpA) ................. 52,500 305,347
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
*Unione Manifatture SpA
(In Liquidation) ................... 156,000 $ 0
*Unipar (Unione Nazionale di
Participazione SpA)
(In Liquidation) ................... 539,000 0
Unipol SpA ......................... 65,000 414,634
Vianini Industria SpA .............. 126,000 66,191
Vianini Lavori SpA ................. 191,000 268,762
Vittoria Assicurazioni SpA ......... 59,500 253,033
*Wabco Westinghouse SpA, Torino ..... 6,200 12,989
Zucchi (Vincenzo) SpA .............. 97,000 467,105
------------
TOTAL COMMON STOCKS
(Cost $46,430,918) ................. 28,937,292
------------
RIGHTS/WARRANTS -- (0.0%)
*#Cartiere Burgo SpA Warrants
12/31/95 ........................... 45,200 31
*Cartiere Sottrici Binda SpA Rights
12/15/95 ........................... 1,299,375 975
------------
TOTAL RIGHTS/WARRANTS
(Cost $0) .......................... 1,006
------------
TOTAL -- ITALY (Cost $46,430,918) .... 28,938,298
------------
SPAIN -- (8.2%)
COMMON STOCKS -- (8.2%)
*Ahorro Familiar SA ................. 6,051 56,528
*Algodonera de San Antonio SA ....... 8,800 64,266
*Amper SA ........................... 34,400 437,335
*Asturiana del Zinc SA .............. 33,100 282,331
Azkoyen SA ......................... 4,200 232,689
*BAMI SA (Inmobiliara de
Construcciones y Terrenos) ......... 23,634 48,382
BANDESCO (Banco del Desarrollo
Economico Espanol SA) .............. 300 36,190
*BNP Espana SA ...................... 501,700 152,833
Banco Guipuzcoano SA ............... 4,150 131,478
Banco Pastor SA .................... 18,100 893,972
Banco Zaragozano SA ................ 45,598 727,864
Banco de Alicante .................. 6,100 196,726
Banco de Andalucia ................. 8,900 1,229,082
Banco de Castilla SA ............... 2,100 929,732
Banco de Credito Balear SA ......... 9,850 252,051
Banco de Galicia SA ................ 7,550 675,881
Banco de Valencia .................. 51,350 717,482
Banco de Vasconia SA ............... 8,900 379,569
*Banco de Vitoria SA ................ 13,850 135,012
*Banco de Vitoria SA Em 95 .......... 13,850 122,636
Bodegas y Bebidas SA ............... 12,876 324,253
CAF (Construcciones y Auxiliar de
Ferrocarriles SA) .................. 9,500 362,713
*CAI (Corporacion Alimentaria
Iberica SA) ........................ 11,200 0
*CARTEMAR (Cartera de Valores del
Mar SA) ............................. 4,016 4,241
*CINSA (Compania de Inversiones SA) 1,400 9,781
*Citroen Hispania SA ................ 650 31,840
Conservera Campofrio SA ............ 8,500 293,461
Construcciones Lain SA ............. 127,600 162,739
Coporacion Financiera Reunida SA ... 60,085 206,466
Cubiertas y Mzov SA ................ 10,395 567,461
*Dimetal SA ......................... 3,500 8,046
ENHER SA (Empresa Nacional
Hidroelectrica del Ribargozana SA)
Series B ........................... 50,400 994,898
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
ERZ (Electricas Reunidas de
Zaragoza) .......................... 54,937 $ 1,182,641
ESSA (Estacionamientos
Subterraneos SA) ................... 8,875 161,495
Ebro Agricolas Compania de
Alimentacion SA .................... 89,900 956,694
*El Aguila SA ....................... 39,200 251,249
Elecnor SA ......................... 8,100 210,561
*Empresa Nacional de Celulosa SA .... 8,200 140,219
*Ercros SA .......................... 33,200 26,700
*Erpo SA ............................ 3,289 9,565
*Espanola del Zinc SA ............... 6,500 33,794
*Estacionamientos Urbanos SA ........ 4,200 160,357
Europistas Concesionaria Espanola
SA ................................. 98,333 802,800
Europistas Concesionaria Espanola
SA Em 95 ........................... 21,365 173,558
Filo SA ............................ 61,297 253,952
Financiera y Minera Series A/C ..... 5,200 49,423
GESA (Gas y Electricidad SA) ....... 17,000 872,786
General Azucarera de Espana SA ..... 15,850 508,591
Grupo Anaya SA ..................... 16,500 357,880
Hidro Nitro Espanola SA ............ 7,990 55,171
Hornos Ibericos Alba SA ............ 46,600 461,836
Huarte SA .......................... 42,500 186,434
Hullas del Coto Cortes ............. 8,666 90,813
Iberica de Autopistas SA
Concesionaria de Estado
Iberpistas ......................... 45,070 697,468
Iberica del Frio SA ................ 2,400 75,841
*Iberica del Frio SA Em 95 .......... 600 18,765
Inbesos SA ......................... 1,610 14,387
Indo Internacional SA .............. 5,600 186,515
*Inmobiliaria Alcazar SA ............ 5,126 45,805
*Inmobiliaria Urbis SA .............. 29,100 139,236
Inmobiliaria Zabalburu SA .......... 5,800 73,030
Inmobiliaria del Sur SA ............ 1,380 73,428
*Inmolevante SA ..................... 6,957 28,258
Koipe SA ........................... 8,400 496,767
*LSB (La Seda de Barcelona SA)
Series B ........................... 25,200 59,366
Lingotes Especiales SA ............. 4,140 31,109
*Liwe Espanola SA ................... 4,400 17,872
Mapfre Inmuebles SA ................ 740 58,611
*Max Center Leisa SA ................ 1,500 5,301
*Max Center Leisa SA Em 95 .......... 1,500 8,377
*Nicolas Correa SA .................. 1,575 6,794
*Nueva Montana Quijano SA Series B . 100,500 160,833
OCP Construcciones SA .............. 14,930 388,107
Papelera de Navarra SA ............. 6,000 58,245
*Pascual Hermanos SA ................ 7,610 5,409
Pescanova SA ....................... 23,252 366,441
*Pesquerias Espanolas del Bacalao SA 3,500 960
Portland Valderrivas SA ............ 8,075 506,410
*Prim SA ............................ 3,100 18,887
Promociones Eurobuilding SA ........ 16,650 53,426
*Radiotronica SA .................... 2,137 19,443
*Santana Motor SA Series A .......... 22,100 0
*Sarrio SA .......................... 105,100 417,497
*Sefanitro (Sdad Espanola de
Fabricaciones Nitrogenadas SA) ..... 1,600 5,654
*Sindibank (Sindicato de Banqueros
de Barcelona) ...................... 10,540 209,773
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
*Sotogrande SA ...................... 69,786 $ 141,159
Tableros de Fibras SA Series B ..... 21,876 243,462
Transportes Ferroviarios Especiales
Tranfesa ........................... 24,000 230,057
*Trenzas y Cables de Acero SA ....... 7,083 46,031
Uniland Cementera SA ............... 5,750 256,905
Union Resinera Espanola SA ......... 1,100 29,935
*#Union y el Fenix-Espanol Cia de
Seguros Reunidos SA ................ 19,550 154,050
Unipapel SA ........................ 13,484 282,605
*#Uralita SA ......................... 122,725 1,246,192
Vidrala SA ......................... 10,340 401,505
*Vidriera Leonesa SA, Vilesa ........ 2,983 12,359
*Vidriera Leonesa SA, Vilesa Em 95 .. 3,976 13,243
Viscofan Industria Navarra de
Envolturas Celulosicas SA .......... 46,425 484,615
Zeltia SA .......................... 3,664 122,332
------------
TOTAL COMMON STOCKS
(Cost $28,937,961) ................. 25,526,922
------------
INVESTMENT IN CURRENCY --
(0.0%)
*Spanish Peseta (Cost $8,427) ....... 8,334
RIGHTS/WARRANTS -- (0.0%)
*Ercros SA Rights 01/05/96
(Cost $0) .......................... 33,200 1,618
------------
TOTAL -- SPAIN
(Cost $28,946,388) ................. 25,536,874
------------
SWEDEN -- (7.1%)
COMMON STOCKS -- (7.1%)
Acrimo AB Series B ................. 2,800 26,310
*Active I Malmoe AB Series A ........ 4,160 34,958
*Active I Malmoe AB Series B ........ 4,160 35,594
Allgon AB Series B ................. 32,700 539,587
Alma Industri & Handel AB Series B 5,200 54,026
*Anders Dioes AB .................... 28,800 143,450
Angpannefoereningen AB Series B .... 7,200 115,508
*Arcona AB Series B ................. 161,200 134,231
*Argonaut AB Series A ............... 81,000 136,134
*Argonaut AB Series B ............... 171,500 290,856
Arjo AB ............................ 41,500 672,116
B & N Bylock & Nordsjoefrakt AB
Series B ........................... 41,800 360,840
*BPA AB Series A .................... 74,000 158,289
*BPA AB Series B .................... 56,700 121,283
Berg (C.F.) & Co. AB Series B ...... 6,200 19,988
Bergman & Beving AB Series B ....... 28,000 812,834
*Bilspedition AB Series A ........... 88,300 337,280
*Bilspedition AB Series B ........... 136,700 543,040
Bongs Fabriker AB Series B ......... 6,000 47,670
Boras Waefveri AB Series B ......... 6,800 72,727
Catena AB Series A ................. 66,500 528,342
Celsius Industrier AB Series B ..... 60,100 1,239,649
*Concordia Maritime AB Series B ..... 37,300 94,034
Eldon AB Series B .................. 10,800 232,666
Enea Data AB Series B .............. 2,000 19,251
Esselte AB Series A ................ 40,100 600,428
Esselte AB Series B ................ 31,700 474,652
FFNS Gruppen AB Series B ........... 13,000 99,312
*Fabege Fastigh AB Birger
Gustavsson Series B ................ 433,500 124,519
*Fastighits AB Celtica .............. 5,800 28,358
*Foereningsbanken AB Series A ....... 383,200 1,048,018
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
Forcenergy AB Series B ............. 32,100 $ 158,416
Forsheda AB Series B ............... 18,000 310,772
*Frontline AB ....................... 90,800 249,717
Garphyttan Industrier AB ........... 31,200 409,962
Geveko AB Series B ................. 8,300 84,966
Gullspangs Kraft AB Series B ....... 22,300 315,164
ICB Shipping AB Series B ........... 61,500 591,979
JP Bank Series A ................... 14,000 66,310
JP Bank Series B ................... 8,000 36,669
Jacobson and Widmark AB ............ 9,800 77,112
*Kloevern Foervaltnings AB Series B 447,300 351,963
Linjebuss AB Series A .............. 30,700 215,768
Marieberg Tidnings AB Series A ..... 51,900 1,237,036
NCC AB Series A .................... 53,700 619,458
NCC AB Series B .................... 86,700 993,506
Nobelpharma AB ..................... 45,460 562,607
Nolato AB Series B ................. 15,300 121,558
#Nordstroem & Thulin AB Series B .... 142,400 376,397
OEM International AB Series B ...... 1,600 28,113
*Oestgoeta Enskilda Bank ............ 104,200 339,108
*Piren AB ........................... 539,500 131,063
*Platzer Bygg AB Series B ........... 36,000 90,756
Rottneros Bruk AB .................. 366,600 442,497
*Safib Fastighets AB Series B ....... 20,400 110,961
Sandblom & Stohne AB Series B ...... 8,400 45,561
Scandiaconsult AB .................. 14,300 83,025
Scribona AB Series A ............... 40,100 425,814
Scribona AB Series B ............... 31,700 339,037
Siab AB Series A ................... 89,600 574,973
Siab AB Series B ................... 34,800 217,999
*Skandigen AB, Series A ............. 13,300 104,653
Skane-Gripen AB Series A ........... 10,800 107,258
Skane-Gripen AB Series B ........... 33,200 329,717
Skrinet AB Series B ................ 5,100 51,818
*Solitair Kapital AB ................ 90,000 71,505
Spendrups Bryggeri AB Series B ..... 19,900 101,856
#Stena Line AB Series B ............. 128,000 596,486
Svedala Industri ................... 56,800 1,575,126
Swepart Mecan AB Series B .......... 25,000 108,098
Tivox AB Series B .................. 7,200 17,601
United Tankers AB Series B ......... 25,900 110,802
*VBB Gruppen AB Series B ............ 20,900 70,891
*Wallenstam Byggnads AB Series B .... 16,700 102,063
Westergyllen AB Series B ........... 4,300 45,989
Zetterbergs Industri AB Series B ... 5,200 105,669
------------
TOTAL COMMON STOCKS
(Cost $20,677,793) ................. 22,253,749
------------
INVESTMENT IN CURRENCY --
(0.0%)
*Swedish Krona (Cost $4,927) ........ 4,916
------------
TOTAL -- SWEDEN
(Cost $20,682,720) .................. 22,258,665
BELGIUM -- (3.9%)
COMMON STOCKS -- (3.9%)
*Abfin SA ........................... 2,560 10,851
Afrifina ........................... 3,480 278,049
*Aurex SA ........................... 2,000 3,230
Axa Belgium SA ..................... 7,270 342,405
BMT NV ............................. 2,040 242,947
Banque Belgo-Zairoise Belgolaise SA 1,155 384,676
Banque Nationale de Belgique ....... 810 1,077,048
------------
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------
*Beherman Auto Transports SA ........ 895 $ 78,736
Belge des Betons ................... 425 228,406
Belgo Katanga NPV .................. 408 91,688
Belgo Katanga NPV VVPR ............. 136 30,563
Bernheim-Comofi SA ................. 5,295 288,575
CFE (Compagnie Francois
d'Entreprises) ..................... 2,080 462,533
CMB (Cie Maritime Belge) ........... 1,500 104,458
Carrieres Unies Porphyre ........... 20 25,164
*Chanic SA .......................... 175 3,238
Chimique et Metallurgique
Campine, Beerse .................... 370 56,760
City Hotels SA ..................... 1,290 126,505
Cofinimmo SA ....................... 4,330 502,557
*Cokeries & Houilleres d'Anderlues .. 100 9,807
Commerciale de Brasserie SA COBRHA 115 48,747
Credit General SA de Banque,
Bruxelles .......................... 3,459 558,560
Creyf's Interim .................... 1,200 51,512
Deceuninck Plastics Industries SA .. 7,370 787,208
Desimpel Kortemark Cy NV ........... 4,700 240,336
*Electrorail SA (Reunies
d'Electricite & de Transports) .... 11,416 24,579
Engrais Rosier SA .................. 655 66,987
Fabrique de Fer de Charleroi ....... 77 170,579
Financiere d'Obourg ................ 440 627,250
*Floridienne NV ..................... 2,033 62,238
*Ford Motor Co. SA Belgium .......... 1,110 116,508
*Forges de Clabecq SA ............... 3,460 50,518
*Franki NV (Cie Internationale des
Pieux Armes Frankignoul SA) ........ 5,875 119,378
Glaces de Charleroi ................ 70 125,988
Glaverbel SA ....................... 3,762 413,852
*Glaverbel SA VVPR .................. 338 45
Immobel (Cie Immobiliere de
Belgique SA) ....................... 10,600 707,855
*Intertropical-Comfina SA
(In Liquidation) ................... 275 6,476
Mecaniver SA, Bruxelles ............ 128 26,870
Metiers Automatiques Picanol ....... 403 176,249
*PCB SA Bruxelles ................... 6,504 56,671
*Papeteries de Catala SA ............ 315 49,807
Plantations Nord-Sumatra SA ........ 650 41,766
*#Recticel SA ........................ 8,450 85,566
*Roton (Compagnie Industrielle et
Financiere Roton) .................. 30 1,235
SABCA (Sa Belge de Constructions
Aeronautiques) ..................... 4,280 115,189
*SCF SA ............................. 380 1,598
*SCF SA Em 94 ....................... 2,470 10,470
SIPEF (Societe Internationale de
Plantations & de Finance), Anvers . 1,175 168,394
SIPEF (Societe Internationale de
Plantations & de Finance), Anvers
(Precompte Reduit) .................. 370 54,644
Sa d'Ieteren ....................... 11,850 892,986
Sa d'Ieteren (Precompte Reduit) .... 3,150 235,786
*Sait Radioholland .................. 6,088 159,343
*Sait Radioholland (Precompte
Reduit) ............................ 152 4,490
Sapec SA ........................... 3,560 155,933
Sapec SA (Taux Reduit) ............. 75 3,406
Sidro .............................. 4,040 267,068
</TABLE>
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------- ------
<S> <C> <C>
Spadel NPV ................................................................................... 325 $ 404,542
Surongo SA ................................................................................... 20 2,698
*Telinfo SA ................................................................................... 5,790 125,831
Ter Beke NV .................................................................................. 2,212 223,619
UCO SA Ledeberg-Gand ......................................................................... 531 275,549
UNIBRA ....................................................................................... 1,600 64,269
------------
TOTAL COMMON STOCKS
(Cost $11,054,647) ............................................................................ 12,130,791
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs (Cost $1,700)................................................................... 1,684
------------
TOTAL -- BELGIUM
(Cost $11,056,347) ............................................................................ 12,132,475
------------
Face
Amount
--------
(000)
TEMPORARY CASH INVESTMENTS -- (1.3%)
Repurchase Agreement, PNC Securities Corp. 5.65%, 12/01/95 (Collateralized by U.S. Treasury
Notes 6.125%, 05/31/97) (Cost $4,200,000) ..................................................... $4,200 4,200,000
-------------
TOTAL INVESTMENTS -- (100.0%) (Cost $302,229,252) ............................................. $312,280,646
=============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
@Denominated in Local Currency
See accompanying Notes to Financial Statements.
<PAGE>
SCHEDULE OF INVESTMENTS
THE LARGE CAP INTERNATIONAL PORTFOLIO
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
JAPAN -- (35.5%)
COMMON STOCKS -- (35.5%)
Ajinomoto Co., Inc. ................ 10,000 $108,374
#All Nippon Airways Co., Ltd. ....... 18,000 177,340
Asahi Bank, Ltd. ................... 31,000 360,394
Asahi Chemical Industry Co., Ltd. .. 20,000 149,754
Asahi Glass Co., Ltd. .............. 15,000 165,517
#Bank of Tokyo, Ltd. ................ 30,000 490,640
Bank of Yokohama, Ltd. ............. 16,000 119,015
Bridgestone Corp. .................. 11,000 162,562
Canon, Inc. ........................ 11,000 193,990
Chiba Bank, Ltd. ................... 8,000 70,542
Chubu Electric Power Co., Ltd. ..... 9,300 218,069
Chugoku Electric Power Co., Ltd. ... 5,304 123,847
Dai Nippon Printing Co., Ltd. ...... 9,000 157,832
Dai-Ichi Kangyo Bank, Ltd. ......... 44,000 823,645
#Daiwa Bank, Ltd. ................... 20,000 131,429
#Daiwa House Industry Co., Ltd. ..... 5,000 74,877
Daiwa Securities Co., Ltd. ......... 17,000 236,158
Fanuc, Ltd. ........................ 4,000 170,640
#Fuji Bank, Ltd. .................... 42,000 877,241
Fuji Photo Film Co., Ltd. .......... 7,000 173,793
Fujitsu, Ltd. ...................... 25,000 295,566
*Hanwa Co., Ltd. .................... 5,000 16,502
Hitachi, Ltd. ...................... 47,000 476,946
Hokkaido Takus Bank ................ 9,000 23,852
Honda Motor Co., Ltd. .............. 12,000 217,537
Industrial Bank of Japan ........... 33,000 949,360
Ito-Yokado Co., Ltd. ............... 6,000 332,217
Itochu Corp. ....................... 21,000 139,655
Kajima Corp. ....................... 13,000 127,566
Kansai Electric Power Co., Inc. .... 14,039 333,340
Kao Corp. .......................... 6,000 73,892
*Kawasaki Steel Corp. ............... 43,000 152,936
Kinki Nippon Railway Co., Ltd. ..... 20,000 150,345
Kirin Brewery Co., Ltd. ............ 14,000 148,965
*Kobe Steel, Ltd. ................... 28,000 80,276
Komatsu, Ltd. ...................... 10,000 78,818
#Kubota Corp. ....................... 20,000 131,823
Kyocera Corp. ...................... 2,000 158,621
Kyushu Electric Power Co., Inc. .... 6,262 150,535
#Long Term Credit Bank of Japan, Ltd. 33,000 272,778
Marubeni Corp. ..................... 15,000 79,803
Matsushita Electric Industrial Co.,
Ltd. ............................... 29,000 431,429
Matsushita Electric Works, Ltd. .... 11,000 113,793
#Mitsubishi Bank, Ltd. .............. 42,000 918,621
Mitsubishi Chemical Corp. .......... 24,000 117,281
Mitsubishi Corp. ................... 22,000 264,433
Mitsubishi Electric Corp. .......... 28,000 208,552
Mitsubishi Estate Co., Ltd. ........ 17,000 192,611
Mitsubishi Heavy Industries, Ltd. .. 46,000 367,547
Mitsubishi Trust & Banking Corp. ... 19,000 292,020
Mitsui & Co., Ltd. ................. 21,000 178,345
Mitsui Trust & Banking Co., Ltd. ... 16,000 150,384
#NEC Corp. .......................... 23,000 294,581
*NKK Corp. .......................... 52,000 143,448
Nikko Securities Co., Ltd. ......... 19,000 209,655
Nintendo Co., Ltd., Kyoto .......... 1,000 78,818
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Shares Value+
------ ------
#Nippon Credit Bank, Ltd. ........... 17,000 $ 66,995
Nippon Express Co., Ltd. ........... 15,000 130,493
Nippon Oil Co., Ltd. ............... 12,000 66,207
Nippon Steel Corp. ................. 94,000 324,138
Nippondenso Co., Ltd. .............. 11,000 203,744
Nissan Motor Co., Ltd. ............. 35,000 258,276
Nomura Securities Co., Ltd. ........ 28,000 551,724
Osaka Gas Co., Ltd. ................ 37,000 126,128
Pioneer Electronic ................. 2,000 34,877
Sakura Bank, Ltd. .................. 50,000 541,872
Sankyo Co., Ltd. ................... 4,000 89,458
Sanwa Bank, Ltd. ................... 43,000 834,581
Sanyo Electric ..................... 27,000 140,985
Secom Co., Ltd. .................... 2,000 135,369
#Sega Enterprises, Ltd. ............. 1,000 54,187
Seibu Railway Co., Ltd. ............ 6,000 302,660
Seksui House ....................... 7,000 82,069
Seven-Eleven Japan Co., Ltd. ....... 6,000 416,158
Sharp Corp. Osaka .................. 14,000 198,621
Shikoku Electric Power Co., Inc. ... 2,754 65,119
Shimizu Corp. ...................... 12,000 122,956
Shizuoka Bank, Ltd. ................ 11,000 139,803
Sony Corp. ......................... 5,500 292,611
Sumitomo Bank, Ltd. ................ 44,000 849,655
#Sumitomo Chemical Co., Ltd. ........ 16,000 79,763
Sumitomo Corp. ..................... 15,000 149,261
Sumitomo Electric Industries, Ltd. . 7,000 82,069
*Sumitomo Metal Industries, Ltd.
Osaka .............................. 46,000 140,039
Sumitomo Trust & Banking Co., Ltd. . 16,000 220,690
Taisei Corp. ....................... 10,000 65,419
Taisho Pharmaceutical Co., Ltd. .... 3,000 56,749
Takeda Chemical Industries, Ltd. ... 12,000 179,704
Tohuku Electric Power Co., Inc. .... 6,666 156,306
#Tokai Bank, Ltd. ................... 28,000 342,069
Tokio Marine & Fire Insurance Co.,
Ltd ................................ 23,000 262,857
Tokyo Electric Power Co., Ltd ...... 19,877 516,998
Tokyo Gas Co., Ltd. ................ 37,000 130,867
Tokyu Corp. ........................ 11,000 76,621
Tonen Corp. ........................ 9,000 134,778
Toppan Printing Co., Ltd. .......... 10,000 130,049
Toray Industries, Inc. ............. 21,000 136,965
Toshiba Corp. ...................... 47,000 339,419
Toyo Seikan Kaisha, Ltd ............ 2,000 60,887
Toyo Trust & Banking Co., Ltd. ..... 8,000 62,502
Toyota Motor Corp. ................. 55,000 1,089,163
Yamaichi Secs Co. .................. 12,000 76,138
Yamanouchi Pharmaceutical Co., Ltd. 5,000 107,882
Yasuda Trust & Banking ............. 11,000 53,103
-------------
TOTAL COMMON STOCKS (Cost
$19,383,570) ....................... 24,017,494
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $6,033) ......... 6,040
-------------
TOTAL -- JAPAN (Cost $19,389,603) ... 24,023,534
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Shares Value+
------ ------
UNITED KINGDOM -- (22.3%)
COMMON STOCKS -- (22.3%)
Abbey National P.L.C. .............. 32,700 $ 320,489
Allied Domecq P.L.C. ............... 25,087 195,626
Argyll Group P.L.C. ................ 32,488 154,487
BAT Industries P.L.C. .............. 88,497 753,687
BOC Group P.L.C. ................... 11,703 157,287
BTR P.L.C. ......................... 100,820 516,415
Barclays P.L.C ..................... 45,338 544,176
Bass P.L.C. ........................ 18,400 193,841
Boots Co., P.L.C. .................. 20,298 175,662
British Gas P.L.C. ................. 92,200 343,976
British Petroleum Co., P.L.C. ...... 158,809 1,246,875
British Telecommunications P.L.C. .. 133,400 769,981
Cable and Wireless P.L.C. .......... 63,016 435,027
Cadbury Schweppes P.L.C. ........... 27,142 230,741
Fisons P.L.C. ...................... 23,000 92,841
General Electric Co. P.L.C. ........ 72,481 350,756
Glaxo Holdings P.L.C. .............. 100,114 1,333,277
Grand Metropolitan P.L.C. .......... 49,852 336,147
Great Universal Stores P.L.C. ...... 21,400 201,559
Guinness P.L.C. .................... 43,200 305,164
Hanson P.L.C. ...................... 141,330 423,003
Imperial Chemical Industries P.L.C. 15,800 183,119
Lloyds Bank P.L.C. ................. 37,310 494,597
Marks & Spencer P.L.C. ............. 59,661 405,936
National Power P.L.C. .............. 34,100 240,882
National Westminster Bank P.L.C. ... 37,904 385,982
Prudential Corp. P.L.C. ............ 41,681 274,040
RTZ Corp. P.L.C. ................... 30,672 439,898
Reuters Holdings P.L.C. ............ 48,200 453,241
Sainsbury (J.) P.L.C. .............. 52,015 306,194
Shell Transport & Trading Co.,
P.L.C. ............................. 95,000 1,169,303
Smithkline Beecham P.L.C. Class A .. 27,536 292,192
Sun Alliance Group P.L.C. .......... 20,422 124,589
Tesco P.L.C. ....................... 52,029 229,906
Unilever P.L.C. .................... 22,200 430,068
Vendome Luxury Group P.L.C. Units .. 15,100 124,906
Whitbread P.L.C. ................... 13,000 132,778
Zeneca Group P.L.C. ................ 15,200 306,779
-------------
TOTAL COMMON STOCKS (Cost
$12,014,858) ....................... 15,075,427
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $11,083) ..................... 10,863
-------------
RIGHTS/WARRANTS -- (0.0%)
*BTR P.L.C. Warrants 1993-98
(Cost $0) .......................... 270 99
-------------
TOTAL -- UNITED KINGDOM
(Cost $12,025,941) ................. 15,086,389
-------------
GERMANY -- (9.2%)
COMMON STOCKS -- (9.2%)
Basf AG ............................ 1,650 361,472
Bayer AG ........................... 1,900 494,105
#Bayerische Motorenwerke AG BMW,
Muenchen ........................... 481 258,949
Commerzbank AG ..................... 774 178,924
Daimler-Benz AG .................... 1,345 661,346
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Shares Value+
------ ------
Deutsche Bank AG ................... 13,500 $ 633,017
Dresdner Bank ...................... 13,280 355,632
Hochtief AG ........................ 151 67,830
Hoechst AG ......................... 1,500 388,010
Mannesmann AG ...................... 943 303,493
#RWE AG ............................. 1,325 481,194
Siemens AG ......................... 1,500 783,172
*Thyssen ............................ 850 157,077
Veba AG ............................ 14,500 591,223
Viag AG ............................ 625 249,114
Volkswagen ......................... 850 275,501
-------------
TOTAL COMMON STOCKS (Cost $4,743,085) 6,240,059
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $1) ............. 1
-------------
TOTAL -- GERMANY (Cost $4,743,086) .. 6,240,060
-------------
SWITZERLAND -- (8.0%)
COMMON STOCKS -- (8.0%)
Bbc AG Brn Bov & Cie ............... 186 213,975
CS Holding, Zuerich (Namen) ........ 3,575 339,678
Ciba-Geigy SA, Basel (Namen) ....... 573 511,721
Financiere Richemont AG Units -A- .. 86 116,523
Nestle SA, Cham et Vevey ........... 893 953,497
Roche Holding AG, Basel ............ 124 1,616,702
SBG (Schweizerische
Bankgesellschaft) .................. 556 581,822
SBV (Schweizerischer Bankverein) ... 773 308,278
Sandoz AG, Basel ................... 865 740,797
-------------
TOTAL -- SWITZERLAND (Cost
$2,997,968) ........................ 5,382,993
-------------
FRANCE -- (7.7%)
COMMON STOCKS -- (7.7%)
Accor SA ........................... 495 60,175
Air Liquide ........................ 1,660 267,398
Alcatel Alsthom Cie Generale
d'Electricite SA ................... 3,744 312,288
Axa SA ............................. 3,634 217,676
C.S.F. (Thomson-Csf) ............... 2,283 50,148
Canal Plus SA ...................... 468 84,963
Carnaudmetalbox SA ................. 1,600 70,419
Carrefour Supermarche SA ........... 650 359,097
Cnm (Navigation Mixte SA) .......... 276 41,525
Compagnie De Suez SA (Ex Compagnie
Financiere De Suez) ................ 3,979 149,502
Elf Aquitaine ...................... 6,727 471,767
*Euro Disney SCA .................... 15,150 39,812
Financiere de Paribas SA Series A .. 2,425 134,992
Generale des Eaux .................. 2,893 281,814
Groupe Danone ...................... 1,796 281,379
Havas SA ........................... 955 70,308
L'Oreal ............................ 1,550 384,313
LVMH (Louis Vuitton Moet Hennessy) . 2,216 422,307
LaFarge Coppee SA .................. 1,834 116,625
Lyonnais des Eaux SA ............... 1,168 111,997
Pechiney International ............. 1,600 31,872
Pernod-Ricard ...................... 1,260 74,816
Peugeot SA ......................... 1,250 161,735
Saint-Gobain ....................... 1,901 219,273
Sanofi SA .......................... 2,028 117,530
Societe Generale ................... 1,891 223,051
*Spie Batignolles ................... 2,480 91,340
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Shares Value+
------ ------
Total SA ........................... 5,265 $ 324,244
-------------
TOTAL -- FRANCE (Cost $4,562,513) ... 5,172,366
-------------
NETHERLANDS -- (5.6%)
COMMON STOCKS -- (5.6%)
Internationale Nederlanden Groep NV 8,317 544,535
Royal Dutch Petroleum Co., Den Haag 15,700 2,019,957
Unilever NV ........................ 9,400 1,242,495
-------------
TOTAL -- NETHERLANDS
(Cost $2,886,521) .................. 3,806,987
-------------
AUSTRALIA -- (3.6%)
COMMON STOCKS -- (3.6%)
Amcor, Ltd. ........................ 12,538 91,258
Australia & New Zealand Banking
Group Ltd .......................... 42,093 187,576
BTR Nylex, Ltd. .................... 34,300 92,219
Boral Ltd .......................... 30,800 72,972
Brambles Industries, Ltd. .......... 3,950 43,125
Broken Hill Proprietary Co., Ltd. .. 51,748 704,101
CRA, Ltd. .......................... 14,000 221,890
Coles Myer, Ltd. ................... 29,892 96,352
Csr Ltd. ........................... 16,243 51,995
Fosters Brewing Group, Ltd. ........ 34,148 56,050
Mim Holdings ....................... 46,868 63,701
#National Australia Bank ............ 31,909 278,226
Pacific Dunlop, Ltd. ............... 19,238 46,008
Western Mining Corp. Holdings, Ltd. 29,047 194,807
Westpac Banking Corp. .............. 49,144 203,667
-------------
TOTAL COMMON STOCKS (Cost $1,805,888) 2,403,947
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australia Dollar (Cost $966) ....... 969
-------------
TOTAL -- AUSTRALIA (Cost $1,806,854) 2,404,916
-------------
ITALY -- (2.5%)
COMMON STOCKS -- (2.5%)
#Alleanza Assicurazioni SpA ......... 8,750 75,023
Alleanza Assicurazioni SpA (Risp) .. 103 660
Assicurazioni Generali SpA, Trieste 15,275 348,201
Banca Commerciale Italiana SpA ..... 34,000 64,640
*Banca Nazionale dell'Agricoltura SpA 3,000 1,872
*Banca di Roma ...................... 44,000 39,515
#Banco Ambrosiano Veneto SpA ........ 12,000 29,644
#Credito Italiano ................... 39,000 40,171
*Ferruzzi Finanziaria SpA Ferfin .... 43,235 27,796
Fiat SpA ........................... 74,000 223,527
*Gemina SpA, Milano ................. 20,000 7,892
#Ifil Finanziaria Partecipazioni SpA,
Torino ............................. 8,000 21,939
Italcementi Fabbriche Riunite
Cemento SpA, Bergamo ............... 1,500 8,077
*La Fondiara Assicurazioni SpA ...... 4,200 17,178
*Montedison SpA ..................... 99,000 61,418
#RAS SpA (Riunione Adriatica di
Sicurta) ........................... 6,787 69,504
RAS SpA (Riunione Adriatica di
Sicurta) (Risp) .................... 338 1,774
SAI SpA (Sta Assicuratrice
Industriale SpA) ................... 2,000 19,074
Sirti SpA .......................... 4,000 23,165
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Shares Value+
------ ------
Stet SpA Station Finanziaria
Telefonica Torino .................. 74,000 $ 201,082
*Telecom Italia Mobile SpA .......... 134,740 217,404
Telecom Italia SpA ................. 134,740 183,277
Toro Assicurazioni Cia Anonima
d'Assicurazione di Torino SpA ...... 1,000 13,696
-------------
TOTAL -- ITALY (Cost $1,521,082) .... 1,696,529
-------------
HONG KONG -- (2.3%)
COMMON STOCKS -- (2.3%)
Cathay Pacific Airways, Ltd. ....... 32,000 47,798
China Light & Power Co., Ltd. ...... 22,000 103,563
Citic Pacific, Ltd. ................ 24,000 75,577
Hang Seng Bank, Ltd. ............... 21,500 187,682
Henderson Land Development Co., Ltd. 18,000 111,503
Hong Kong Telecommunications, Ltd. . 124,400 211,557
HongKong Electric Holdings, Ltd. ... 22,500 75,509
Hutchison Whampoa, Ltd. ............ 40,000 226,059
New World Development Co. Ltd ...... 19,000 79,366
Sung Hungkai Properties, Ltd. ...... 26,000 209,311
Swire Pacific, Ltd. Series A ....... 16,000 121,048
Wharf Holdings, Ltd. ............... 24,000 80,233
-------------
TOTAL COMMON STOCKS (Cost $1,551,303) 1,529,206
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $10,572) ... 10,566
-------------
TOTAL -- HONG KONG (Cost $1,561,875) 1,539,772
-------------
Face
Amount
---------
(000)
TEMPORARY CASH INVESTMENTS -- (3.3%)
Repurchase Agreement, PNC Secur-
ities Corp. 5.65%, 12/01/95
(Collateralized by U.S. Treasury
Notes, 6.125%, 05/31/97) (Cost
$2,208,000) ........................ $ 2,208 2,208,000
-------------
TOTAL INVESTMENTS -- (100.0%) (Cost
$53,703,443) ....................... $67,561,546
=============
</TABLE>
- ------
+See Note B to Financial Statements
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Shares Value+
------------ --------------
<S> <C> <C>
Investment in The DFA International Value Series of The DFA Investment
Trust Company ............................................................ 16,309,820 $172,022,735
--------------
Total Investments (100%) (Cost $156,448,602) ......................... $172,022,735
==============
</TABLE>
- ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
JAPAN -- (32.6%)
COMMON STOCKS -- (32.6%)
Aica Kogyo Co., Ltd. ............ 10,000 $ 64,039
Aichi Corp. ..................... 10,100 84,681
Aichi Machine Industry Co., Ltd. 105,000 600,000
*Amada Wasino Co., Ltd. .......... 73,000 251,724
Ando Corp. ...................... 52,000 261,793
Araya Industrial Co., Ltd. ...... 92,000 342,621
Asahi Kogyosha Co., Ltd. ........ 50,000 320,197
Asanuma Corp. ................... 63,000 319,655
Bank of Okinawa, Ltd. ........... 16,200 542,660
Bank of the Ryukyus, Ltd. ....... 15,600 568,670
Bunka Shutter Co., Ltd. ......... 110,000 847,488
Cabin Co., Ltd. ................. 69,000 329,025
Calpis Food Industry Co., Ltd. .. 71,000 484,759
*Central Finance Co., Ltd. ....... 39,000 165,222
*Chisan Tokan Co., Ltd. .......... 69,000 212,099
Chugoku Marine Paints, Ltd. ..... 21,000 95,379
Chuo Spring Co., Ltd., Nagoya ... 84,000 428,690
*D'urban, Inc. ................... 60,000 258,916
Dai Nippon Construction ......... 15,000 99,015
Dai-Ichi Hotel, Ltd., Tokyo ..... 42,000 231,724
*Dai-Ichi Katei Denki Co., Ltd. .. 85,000 350,049
Dai-Ichi Kogyo Seiyaku Co., Ltd. 9,000 52,315
*Dai-Ichi Securities Co., Ltd. ... 49,000 163,655
Daidoh, Ltd. .................... 56,000 427,586
Daiichi Cement Co., Ltd. ........ 27,000 121,034
*Daiwabo Co., Ltd. ............... 217,000 671,310
Danto Corp. ..................... 7,000 81,379
Descente, Ltd. .................. 91,000 524,483
*Dijet Industrial Co., Ltd. ...... 3,000 10,788
Fujirebio, Inc. ................. 55,000 436,207
Fukuda Corp. .................... 62,000 579,685
Gastec Service, Inc. ............ 25,000 184,729
Graphtec Corp. .................. 39,000 230,542
Gun-Ei Chemical Industry Co.,
Ltd. .......................... 14,000 70,345
Gunze Sangyo, Inc., Tokyo ....... 91,000 403,448
Harima Chemicals, Inc. .......... 38,000 361,281
Hisaka Works, Ltd. .............. 9,000 148,966
Hisamitsu Pharmaceutical Co.,
Inc. .......................... 58,000 438,857
Hochiki Corp. ................... 9,000 59,498
*Hodogaya Chemical Co., Ltd. ..... 19,000 53,724
Hokkai Can Co., Ltd., Tokyo ..... 95,000 645,813
Hokkaido Gas Co., Ltd. .......... 8,000 33,970
Hokko Chemical Industry Co., Ltd. 10,000 53,399
Horiba, Ltd. .................... 40,000 512,315
Howa Machinery, Ltd. ............ 33,000 123,872
Ichikawa Co., Ltd. .............. 9,000 47,438
Ikegami Tsushinki Co., Ltd. ..... 44,000 280,906
Inabata and Co., Ltd., Osaka .... 47,000 322,749
Intec, Inc. ..................... 21,000 357,931
Ishikawa Seisakusho, Ltd. ....... 13,000 67,241
Ishizuka Glass Co., Ltd. ........ 37,000 173,153
Itoki Crebio Corp. .............. 45,000 339,163
Iwasaki Electric Co., Ltd. ...... 21,000 94,759
Iwata Air Compressor
Manufacturing Co., Ltd. ....... 13,000 85,941
Japan Oil Transportation Co.,
Ltd. .......................... 8,000 44,532
Japan Transcity Corp. ........... 14,650 83,714
Japan Vilene Co., Ltd. .......... 23,000 135,961
Joban Kosan Co., Ltd. ........... 22,000 107,291
Kamei Corp. ..................... 11,000 130,049
Kanaden Corp. ................... 11,000 94,286
Kanematsu Electronics, Ltd. ..... 17,000 180,887
Kansei Corp. .................... 65,000 509,112
Kanto Auto Works, Ltd., Yokosuka 91,000 618,620
Kanto Bank, Ltd. ................ 13,400 380,217
Kanto Natural Gas Development
Co., Ltd. ..................... 79,000 521,477
Kasumi Co., Ltd. ................ 5,000 50,739
Kato Works Co., Ltd. ............ 84,000 469,241
Kawada Industries, Inc. ......... 9,000 79,714
Kawai Musical Instruments
Manufacturing Co., Ltd. ....... 19,000 73,192
Kawashima Textile Manufacturers,
Ltd. .......................... 29,000 107,143
*Kawasho Corp. ................... 183,000 730,197
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------ ------
Kinseki, Ltd. ................... 8,000 $ 112,709
*Kinsho-Mataichi Corp. ........... 41,000 167,232
*Kioritz Corp. ................... 99,000 281,882
Kita-Nippon Bank, Ltd. .......... 8,700 394,286
Kitagawa Iron Works Co., Ltd. ... 19,000 162,857
Kokusai Kogyo Co., Ltd. ......... 57,000 589,654
Komai Tekko, Inc. ............... 46,000 330,837
Komatsu Forklift Co., Ltd. ...... 28,000 188,138
Kosei Securities Co., Ltd. ...... 12,000 55,448
*Kyotaru Co., Ltd. ............... 70,000 448,276
Kyowa Leather Cloth Co., Ltd. ... 19,000 190,936
Kyushu Bank, Ltd. ............... 139,000 553,261
Life Corp. ...................... 14,000 112,690
Magara Construction Co., Ltd. ... 12,000 63,961
*Maruman Securities Co., Ltd. .... 100,000 437,438
Marusan Securities Co., Ltd. .... 24,000 199,330
Maruwn Corp. .................... 8,000 62,187
Matsui Construction Co., Ltd. ... 7,000 54,069
Matsuo Bridge Co., Ltd. ......... 6,000 36,118
Meito Sangyo Co., Ltd. .......... 11,000 201,576
Mitsuba Electric Manufacturing
Co., Ltd. ..................... 12,000 124,138
Mitsubishi Pencil Co., Ltd. ..... 11,000 90,493
Mitsuuroko Co., Ltd. ............ 8,000 56,670
Miyuki Keori Co., Ltd. .......... 52,000 387,310
Morozoff, Ltd., Osaka ........... 49,000 197,931
Mory Industries, Inc. ........... 12,000 65,616
*Mutoh Industries, Ltd. .......... 61,000 300,493
Mutow Co., Ltd. ................. 39,000 299,704
*Nabco, Ltd. ..................... 19,000 92,660
Naigai Co., Ltd. ................ 112,000 486,621
Nakamuraya Co., Ltd. ............ 8,000 47,212
Nakano Corp. .................... 70,000 330,345
Neturen Co., Ltd., Tokyo ........ 11,000 84,532
*Nichiboshin, Ltd. ............... 83,000 63,783
Nichiei Construction Co., Ltd. .. 79,000 664,690
*Nichimo Co., Ltd. ............... 52,000 193,655
*Nichimo Corp. ................... 46,000 215,724
Nihon Kohden Corp. .............. 34,000 334,640
Nihon Matai Co., Ltd. ........... 31,000 171,034
Nihon Parkerizing Co., Ltd. ..... 21,000 126,207
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------ ------
Nihon Tokushu Toryo Co., Ltd. ... 34,000 $157,438
Niigata Chuo Bank, Ltd. ......... 134,000 384,177
Nippon Chemiphar Co., Ltd. ...... 55,000 325,665
Nippon Conlux Co., Ltd. ......... 11,000 110,542
Nippon Conveyor Co., Ltd. ....... 8,000 33,025
Nippon Denko Co., Ltd. .......... 30,000 107,291
Nippon Hume Pipe Co., Ltd. ...... 42,000 218,483
*Nippon Koshuha Steel Co., Ltd. .. 22,000 118,128
Nippon Synthetic Chemical
Industry Co., Ltd. ............ 28,000 159,448
Nippon Thompson Co., Ltd. ....... 10,000 87,192
Nippon Valqua Industries, Ltd. .. 71,000 322,473
Nittoc Construction Co., Ltd. ... 11,000 80,739
Obayashi Road Corp. ............. 15,000 107,882
Okabe Co., Ltd. ................. 40,000 323,153
*Oki Electric Cable Co., Ltd. .... 10,000 41,872
*Okuma and Howa Machinery, Ltd. .. 16,000 54,384
Okura Industrial Co., Ltd. ...... 55,000 373,892
*Ono Sokki Co., Ltd. ............. 9,000 62,956
Optec Dai-Ichi Denko Co., Ltd. .. 30,000 148,670
Origin Electric Co., Ltd. ....... 27,000 218,128
Pacific Industrial Co., Ltd. .... 71,000 354,650
Parco Co., Ltd. ................. 28,000 289,655
*Pasco Corp. ..................... 26,000 105,537
Pokka Corp. ..................... 46,000 489,458
Renown Look, Inc. ............... 47,000 251,901
Rheon Automatic Machinery Co.,
Ltd. .......................... 20,000 177,340
Rhythm Watch Co., Ltd. .......... 120,000 423,251
Ryoden Trading Co., Ltd. ........ 14,000 120,000
S.T. Chemical Co., Ltd. ......... 28,000 261,517
Sagami Co., Ltd. ................ 55,000 390,148
Sakai Chemical Industry Co., Ltd. 33,000 204,828
Sakai Heavy Industries, Ltd. .... 11,000 70,443
Sankei Building Co., Ltd. ....... 18,000 140,985
Sanko Metal Industrial Co., Ltd.,
Tokyo ......................... 10,000 52,217
*Sankyo Seiki Manufacturing Co.,
Ltd. .......................... 25,000 209,360
Sanyo Industries, Ltd., Tokyo ... 29,000 154,000
Sata Construction Co., Ltd.,
Gumma ......................... 11,000 56,571
Seikitokyu Industries Co., Ltd. . 88,000 552,276
Seiren Co., Ltd. ................ 33,000 238,315
Shibuya Kogyo Co., Ltd. ......... 40,000 421,675
*Shikibo, Ltd. ................... 28,000 67,034
Shikoku Chemicals Corp. ......... 17,000 105,182
Shin Nippon Air Technologies Co.,
Ltd. .......................... 20,100 267,340
Shin-Etsu Polymer Co., Ltd. ..... 21,000 138,828
Shinko Shoji Co., Ltd. .......... 6,000 92,808
Shiroki Co., Ltd. ............... 15,000 66,355
*Shokusan Jutaku Sogo Co., Ltd. .. 186,000 601,064
Sintokogio, Ltd., Nagoya ........ 89,000 667,281
Soda Nikka Co., Ltd. ............ 32,000 153,222
*Sogo Co., Ltd. .................. 47,000 166,700
Sotetsu Rosen Co., Ltd. ......... 5,000 39,409
Star Micronics Co., Ltd. ........ 32,000 244,020
Sumisho Computer Systems Corp. .. 45,000 598,522
*Sumitomo Corporation's Leasing,
Ltd. .......................... 37,000 177,163
Sumitomo Precision Products Co.,
Ltd., Amagasaki City .......... 16,000 151,015
Sun Telephone Co., Ltd. ......... 62,000 424,532
Suzutan Co., Ltd. ............... 58,000 377,143
*TYK Corp. ....................... 62,000 323,744
*Taiheiyo Bank, Ltd. ............. 96,000 283,744
*Taiheiyo Securities Co., Ltd. ... 160,000 535,961
Taisei Fire & Marine Insurance
Co., Ltd. ..................... 7,000 37,241
Taisei Prefab Construction Co.,
Ltd. .......................... 91,000 498,483
Taiyo Toyo Sanso Co., Ltd. ...... 32,000 148,177
*Taka-Q Co., Ltd. ................ 76,000 262,818
Takada Kiko Co., Ltd. ........... 29,000 272,857
Takara Co., Ltd. ................ 41,000 315,074
Takiron Co., Ltd. ............... 100,000 687,685
Tamura Corp. .................... 21,000 144,414
Tasaki Shinju Co., Ltd. ......... 50,000 512,315
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------ ------
Tatsuta Electric Wire & Cable
Co., Ltd. ..................... 17,000 $ 83,911
*Tayca Corp. ..................... 74,000 252,985
*Teac Corp. ...................... 7,000 50,345
Teikoku Tsushin Kogyo Co., Ltd. . 13,000 84,404
Titan Kogyo Kabushiki Kaisha .... 22,000 119,212
*Toa Wool Spinning & Weaving Co.,
Ltd. .......................... 72,000 247,567
Tobu Store Co., Ltd. ............ 73,000 503,448
Tochigi Fuji Industrial Co., Ltd. 47,000 337,567
Toda Kogyo Corp. ................ 42,000 295,862
*Toho Rayon Co., Ltd. ............ 24,000 81,576
Tohto Suisan Co., Ltd. .......... 52,000 210,562
*Tokai Kanko Co., Ltd. ........... 21,000 27,517
*Tokai Kogyo Co., Ltd. ........... 13,000 31,892
*Tokai Senko K.K. Nagoya ......... 52,000 184,433
Tokushu Paper Manufacturing Co.,
Ltd. .......................... 7,000 62,759
Tokuyo City Bank, Ltd. .......... 107,000 218,217
Tokyo Denki Komusho Co., Ltd. ... 30,000 294,975
*Tokyo Nissan Auto Sales Co., Ltd. 34,000 184,571
*Tokyo Tekko Co., Ltd. ........... 56,000 278,621
*Tokyu Tourist Corp. ............. 54,000 202,167
*Topcon Corp. .................... 15,000 268,966
Topre Corp. ..................... 13,000 101,823
*Toshibo Tungaloy Co.,Ltd. ....... 21,000 132,000
Tosho Printing Co., Ltd. ........ 6,000 57,635
Totenko Co., Ltd. ............... 34,000 157,438
Totoku Electric Co., Ltd., Tokyo 12,000 75,665
*Towa Real Estate Development Co.,
Ltd. .......................... 11,000 46,276
Toyo Aluminum K.K. .............. 18,000 114,739
Toyo Corp. ...................... 21,000 353,793
Toyo Information System Co., Ltd. 58,000 782,857
Toyo Radiator Co., Ltd. ......... 19,000 98,276
*Toyo Securities Co., Ltd. ....... 110,000 367,389
Tsugami Corp. ................... 23,000 120,099
Tsurumi Manufacturing Co., Ltd. . 7,000 77,931
Uchida Yoko Co., Ltd. ........... 44,000 294,778
Ueki Corp. ...................... 49,000 255,862
*Yamatane Securities Co., Ltd. ... 44,000 151,724
Yamato International, Inc. ...... 44,000 187,271
Yokohama Reito Co., Ltd. ........ 8,000 92,217
Yomeishu Seizo Co., Ltd. ........ 9,000 73,596
Yondenko Corp. .................. 32,000 287,212
*Yoshihara Oil Mill, Ltd. ........ 2,000 8,591
*Yuken Kogyo Co., Ltd. ........... 12,000 55,330
Zenchiku Co., Ltd. .............. 12,000 47,882
--------------
TOTAL COMMON STOCKS (Cost
$52,831,273) .................. 53,031,340
--------------
RIGHTS/WARRANTS -- (0.0%)
*Danto Corp. Rights 12/14/95
(Cost $0) ..................... 1,400 $ 15,586
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $982) ........ 980
--------------
TOTAL -- JAPAN (Cost $52,832,255) 53,047,906
--------------
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------ ------
UNITED KINGDOM -- (17.8%)
COMMON STOCKS -- (16.5%)
600 Group P.L.C. ................ 34,000 $ 85,777
APV P.L.C. ...................... 25,609 31,716
ASDA Property Holdings P.L.C. ... 48,000 88,070
ASW Holdings P.L.C. ............. 150,000 247,698
Abbeycrest P.L.C. ............... 5,000 6,728
Adam & Harvey Group P.L.C. ...... 8,000 60,915
Adwest Group P.L.C. ............. 150,000 286,687
Alexanders Holdings P.L.C. ...... 71,000 14,655
Allders P.L.C. .................. 67,000 196,691
Allied London Properties P.L.C. . 15,000 14,678
Amec P.L.C. ..................... 127,200 192,544
Amstrad P.L.C. .................. 71,000 287,138
Anglo Eastern Plantations P.L.C. 32,195 58,579
Appleyard Group P.L.C. .......... 120,000 165,132
Associated Nursing Services
P.L.C. ........................ 10,000 25,687
Austin Reed Group P.L.C. ........ 55,000 149,689
Avon Rubber P.L.C. .............. 16,730 134,040
Avonside Group P.L.C. ........... 75,000 44,723
*BM Group P.L.C. ................. 200,000 99,385
BSG International P.L.C. ........ 197,500 175,902
BSM Group P.L.C. ................ 50,000 114,675
Baggeridge Brick P.L.C. ......... 60,000 100,914
Baird (William) P.L.C. .......... 75,000 217,883
Baldwin P.L.C. .................. 30,000 75,686
Baltic P.L.C. ................... 54,000 122,198
Banks (Sidney C.) P.L.C. ........ 6,000 25,412
Bardon Group P.L.C. ............. 511,333 211,093
Barr & Wallace Arnold Trust
P.L.C. ........................ 10,000 32,109
Barratt Developments P.L.C. ..... 19,200 65,759
Beales Hunter P.L.C. ............ 6,000 21,559
Bellway P.L.C. .................. 50,000 194,948
Bentalls P.L.C. ................. 40,000 61,772
Berkeley Group P.L.C. ........... 14,200 104,000
Bett Brothers P.L.C. ............ 14,000 37,889
Betterware P.L.C. ............... 50,000 60,396
Bilton P.L.C. ................... 155,000 500,058
Birkby P.L.C. ................... 50,000 103,208
*Birse Group P.L.C. .............. 201,000 50,709
*Blagden Industries P.L.C. ....... 50,000 114,675
Blockleys P.L.C. ................ 45,000 37,843
Boddington Group P.L.C. ......... 21,800 148,328
Boot (Henry) & Sons P.L.C. ...... 50,000 151,371
Bourne End Properties P.L.C. .... 100,000 68,805
Breedon P.L.C. .................. 16,000 19,082
Bridon P.L.C. ................... 54,000 105,684
Bristol Evening Post P.L.C. ..... 10,000 53,515
British Building and Engineering
Appliances, Ltd. .............. 20,000 12,232
British Data Management P.L.C. .. 15,000 29,816
British Dredging P.L.C. ......... 32,000 52,842
British Fittings Group P.L.C. ... 42,000 52,017
British Mohair Holdings P.L.C. .. 10,000 26,452
British-Borneo Petroleum
Syndicate P.L.C. .............. 26,010 115,729
Bryant Group P.L.C. ............. 150,000 236,231
Budgens P.L.C. .................. 120,000 61,466
Burndene Investments P.L.C. ..... 113,903 67,921
Burtonwood Brewery P.L.C. ....... 20,000 55,350
CLS Holdings P.L.C. ............. 125,000 181,569
Cala P.L.C. ..................... 75,000 127,289
Cantors P.L.C. .................. 11,000 19,342
Cape P.L.C. ..................... 75,000 167,426
Capital & Regional Properties
P.L.C. ........................ 30,000 67,429
Carlisle Group P.L.C. ........... 107,000 29,040
Carr's Milling Industries P.L.C. 11,000 52,643
Casket P.L.C. ................... 144,000 18,715
Cater Allen Holdings P.L.C. ..... 10,000 69,264
*Cathay International P.L.C. ..... 370,000 65,059
*Central Transport Rental Group .. 96,355 25,046
Centregold P.L.C. ............... 25,000 26,375
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------ ------
Chelsfield P.L.C. ............... 150,000 $ 396,775
Chesterfield Properties P.L.C. .. 27,000 175,453
Chloride Group P.L.C. ........... 100,000 36,314
*Chrysalis Group P.L.C. .......... 48,000 253,936
Church & Co. P.L.C. ............. 21,000 122,014
Clarkson (Horace) P.L.C. ........ 15,000 24,082
Clinton Cards P.L.C. ............ 31,000 48,347
Clyde Petroleum P.L.C. .......... 373,000 285,159
Community Hospitals Group P.L.C. 59,000 227,332
Conrad Ritblat Sinclair Goldsmith
P.L.C. ........................ 88,000 33,638
Cook (William) P.L.C. ........... 39,000 134,766
Cosalt P.L.C. ................... 20,000 47,399
*Costain Group P.L.C. ............ 38,000 42,995
Countryside Property P.L.C. ..... 56,000 64,218
Crest Nicholson P.L.C. .......... 140,000 139,139
Crest Packaging P.L.C. .......... 75,000 76,832
Crestacare P.L.C. ............... 177,000 84,573
Cropper (James) P.L.C. .......... 14,000 60,793
Daejan Holdings P.L.C. .......... 27,000 478,882
Dagenham Motors Group P.L.C. .... 41,000 80,242
Dalepak Foods P.L.C. ............ 26,000 54,065
Dencora P.L.C. .................. 20,000 41,895
Derwent Valley Holdings P.L.C. .. 15,000 71,099
Development Securities P.L.C. ... 70,000 186,232
Dolphin Packaging P.L.C. ........ 21,000 39,494
EIS Group P.L.C. ................ 83,000 484,784
ERF Holdings P.L.C. ............. 18,000 75,410
*Eleco Holdings P.L.C. ........... 53,000 28,363
English & Overseas Properties
P.L.C. ........................ 50,000 18,348
Etam P.L.C. ..................... 95,000 251,291
Evans of Leeds P.L.C. ........... 74,000 123,329
*Ex-Lands P.L.C. ................. 82,000 26,956
Fenchurch P.L.C. ................ 65,000 134,170
Finlay (James) P.L.C. ........... 150,000 149,078
Fiscal Properties P.L.C. ........ 75,000 62,498
Five Oaks Investments P.L.C. .... 168,000 56,512
French (Thomas) & Sons P.L.C. ... 17,000 17,935
Friendly Hotels P.L.C. .......... 35,000 81,343
Frogmore Estates P.L.C. ......... 52,039 355,666
Galliford P.L.C. ................ 160,000 46,482
Gates (Frank G.) P.L.C. ......... 32,000 40,610
Geest P.L.C. .................... 40,000 87,459
Gent (S.R.) P.L.C. .............. 27,000 38,806
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------ ------
Gleeson (M.J.) Group P.L.C. ..... 12,000 $135,408
Goal Petroleum P.L.C. ........... 125,000 126,143
Grainger Trust, Ltd. ............ 42,000 157,334
Greene King P.L.C. .............. 49,000 470,503
Greycoat P.L.C. ................. 120,000 260,542
Hall Engineering (Holdings)
P.L.C. ........................ 56,000 166,111
Hambro Countrywide P.L.C. ....... 61,000 33,577
Hamlet Group P.L.C. ............. 25,000 38,225
Hardy Oil & Gas P.L.C. .......... 105,000 290,586
Hazlewood Foods P.L.C. .......... 265,500 405,950
Helene P.L.C. ................... 134,000 30,733
Helical Bar P.L.C. .............. 11,000 54,325
Hemingway Properties P.L.C. ..... 300,000 104,354
Hickson International P.L.C. .... 163,000 224,304
Higgs & Hill P.L.C. ............. 87,000 123,711
Hill & Smith Holdings P.L.C. .... 38,000 62,169
Hollas Group P.L.C. ............. 100,000 23,700
Holt (Joseph) P.L.C. ............ 2,128 101,288
Hopkinsons Group P.L.C. ......... 37,000 18,103
*Horace Small Apparel P.L.C. ..... 23,000 31,474
*Huntingdon International Holdings
P.L.C. ........................ 107,000 129,246
Ibstock P.L.C. .................. 255,000 261,230
Industrial Control Services Group
P.L.C. ........................ 25,000 38,990
Ipeco Holdings P.L.C. ........... 56,000 77,062
JLI Group P.L.C. ................ 74,000 70,151
*Jeyes Group P.L.C. .............. 14,000 34,036
Joseph (Leopold) Holdings P.L.C. 9,000 63,713
Kalamazoo Computer Group P.L.C. . 10,000 14,373
King & Shaxson Holdings P.L.C. .. 17,000 35,350
Kunick P.L.C. ................... 100,000 35,549
Laing (John) P.L.C. ............. 43,354 169,035
Leigh Interests P.L.C. .......... 121,100 235,156
Lex Service P.L.C. .............. 19,950 88,155
Linton Park P.L.C. .............. 9,000 41,971
London Industrial P.L.C. ........ 30,000 130,730
London Merchant Securities P.L.C. 121,000 170,208
Lovell (Y.J.) Holdings P.L.C. ... 29,000 11,307
MTM P.L.C. ...................... 66,000 65,594
Mallett P.L.C. .................. 25,000 27,522
Mansfield Brewery P.L.C. ........ 113,000 556,342
Marshalls P.L.C. ................ 40,000 88,682
Marston Thompson & Evershed
P.L.C. ........................ 61,000 291,932
Martin International Holdings
P.L.C. ........................ 62,000 22,752
Matthews (Bernard) P.L.C. ....... 80,000 119,874
Maunders (John) Group P.L.C. .... 45,000 127,977
McAlpine (Alfred) P.L.C. ........ 51,000 104,492
*McCarthy & Stone P.L.C. ......... 70,000 69,570
McDonnell Information Systems
Group P.L.C. .................. 50,000 53,515
*Merchant Retail Group P.L.C. .... 153,000 38,600
*Micro Focus Group P.L.C. ........ 8,000 72,536
Molins P.L.C. ................... 5,500 67,192
Morland & Co. P.L.C. ............ 46,800 379,969
Mowlem (John) & Co. P.L.C. ...... 99,000 90,823
Mucklow (A & J) Group P.L.C. .... 68,000 141,402
NSM P.L.C. ...................... 44,000 61,221
Neepsend P.L.C. ................. 43,000 34,188
Neotronics Technology P.L.C. .... 46,000 30,947
Norcros P.L.C. .................. 237,000 279,027
Nurdin & Peacock, Ltd. .......... 86,000 220,910
Oliver Group P.L.C. ............. 43,000 26,956
PSIT P.L.C. ..................... 81,800 162,594
Partridge Fine Arts P.L.C. ...... 16,000 17,369
Paterson Zochonis P.L.C. ........ 35,000 238,142
Peel Holdings P.L.C. ............ 59,000 287,773
Perry Group P.L.C. .............. 52,000 124,032
Persimmon P.L.C. ................ 73,000 202,027
Photo-Me International P.L.C. ... 94,000 232,836
Pittards P.L.C. ................. 39,000 29,219
Pittencrieff Resources P.L.C. ... 54,394 36,594
Plantation & General Investment
P.L.C. ........................ 24,000 21,284
Property Partnerships P.L.C. .... 10,000 38,990
Prowting P.L.C. ................. 77,261 132,308
QS Holdings P.L.C. .............. 71,000 53,194
Quadrant Group P.L.C. ........... 118,000 27,063
Quick Group P.L.C. .............. 41,732 89,332
Raine P.L.C. .................... 338,000 87,856
Rea Brothers Group P.L.C. ....... 32,906 22,641
Readicut International P.L.C. ... 115,000 123,085
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------ ------
Record Holdings P.L.C. .......... 69,000 $ 69,631
Richards P.L.C. ................. 42,000 25,687
Richardsons Westgarth P.L.C. .... 24,000 29,357
Ropner P.L.C. ................... 21,000 47,521
Rowe Evans Investments P.L.C. ... 20,000 32,415
Royal Doulton P.L.C. ............ 70,000 273,997
Russell (Alexander) P.L.C. ...... 40,000 66,664
Saville (J.) Gordon Group P.L.C. 150,000 130,730
Scholl P.L.C. ................... 20,000 63,301
Scottish Metropolitan Property
P.L.C. ........................ 65,400 70,998
Shaftesbury P.L.C. .............. 100,000 185,009
Sharpe & Fisher P.L.C. .......... 14,000 33,607
Sherwood Group P.L.C. ........... 19,000 32,828
Sidlaw Group P.L.C. ............. 39,000 81,694
*Signet Group P.L.C. ............. 168,700 37,402
Sirdar P.L.C. ................... 36,000 50,090
Southend Property Holdings P.L.C. 50,000 32,109
Spring Ram Corp. P.L.C. ......... 306,000 86,557
St. Modwen Properties P.L.C. .... 50,000 41,283
Stanley Leisure Organisation
P.L.C. ........................ 43,700 237,201
Stoddard Sekers International
P.L.C. ........................ 98,000 34,464
Tay Homes P.L.C. ................ 52,000 118,467
Tops Estates P.L.C. ............. 63,000 126,188
Town Centre Securities P.L.C. ... 240,000 344,942
Trafford Park Estates P.L.C. .... 102,721 152,349
Transport Development Group
P.L.C. ........................ 265,900 780,597
*Ugland International Holdings
P.L.C. ........................ 44,000 48,439
Union P.L.C. .................... 50,000 85,624
United Industries P.L.C. ........ 130,000 31,803
Vaux Group P.L.C. ............... 42,328 169,565
Vibroplant P.L.C. ............... 35,000 40,671
Warner Estate Holdings P.L.C. ... 38,000 117,947
Warnford Investments P.L.C. ..... 12,000 37,430
*Wates City of London Properties
P.L.C. ........................ 239,099 250,424
Watts, Blake, Bearne & Co. P.L.C. 4,000 31,497
Westbury P.L.C. ................. 63,000 176,278
Westminster Health Care Holdings
P.L.C. ........................ 37,500 188,067
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Wew Group ....................... 217,000 $ 56,405
Wholesale Fittings P.L.C. ....... 15,000 74,080
Wilson (Connolly) Holdings P.L.C. 103,000 239,380
Wilson Bowden P.L.C. ............ 31,900 169,250
Wintrust P.L.C. ................. 15,000 63,071
Yorkshire Chemicals P.L.C. ...... 90,000 377,051
Yorkshire Food Group P.L.C. ..... 20,000 27,216
Young & Co's Brewery P.L.C. Class
A ............................. 5,000 33,332
Young (H.) Holdings P.L.C. ...... 29,000 45,671
-----------
TOTAL COMMON STOCKS
(Cost $28,372,240) ............ 26,821,425
-----------
INVESTMENT IN CURRENCY -- (1.3%)
*British Pound Sterling
(Cost $2,116,046) ............. 2,091,829
-----------
TOTAL -- UNITED KINGDOM
(Cost $30,488,286) ............ 28,913,254
-----------
GERMANY -- (8.4%)
COMMON STOCKS -- (6.7%)
Aachener und Muenchener
Lebensversicherung AG ......... 400 192,398
Andreae-Noris Zahn AG, Anzag .... 1,170 295,128
Barmag AG ....................... 1,900 241,603
*Bremer Vukan Verbund AG ......... 19,950 583,196
*Bremer Woll-Kaemmerei AG ........ 920 75,024
Brillant AG ..................... 344 40,415
*Ceag Industrie-Aktien und Anlagen
AG ............................ 343 24,178
DSL Holding AG .................. 2,550 299,585
Deutsche Hypotheken Bank AG,
Hannover/Berlin ............... 1,110 291,500
*Deutsche Kontinentale
Rueckversicherungs AG ......... 415 57,647
*Deutsche Verkehrs-Bank AG ....... 1,908 253,169
*Doerries Scharmann AG ........... 10,910 45,238
Dyckerhoff & Widmann AG ......... 1,557 256,093
Escada AG ....................... 980 172,025
*Ex-Cell-O Holding AG ............ 600 51,500
Felten & Guilleaume
Energietechnik AG ............. 1,800 283,621
Flender (A. Friedrich) AG ....... 1,725 202,661
Fuchs Petrolub AG Oel & Chemie .. 1,117 138,950
Herlitz AG ...................... 2,679 468,779
*Hutschenreuther AG .............. 346 33,476
Hypothekenbank In Hamburg AG .... 15 9,226
Iwka AG ......................... 2,700 496,337
KM Europa Metal AG .............. 2,164 188,434
*KM Europa Metal AG Em 95 ........ 1,484 116,915
KSB AG .......................... 1,225 203,179
*Kaufhalle AG .................... 3,850 427,039
Kaufring AG ..................... 2,500 205,598
*Kolbenschmidt AG, Neckarsulm .... 1,000 143,746
Lehnkering-Montan-Transport AG .. 400 63,303
*Lehnkering-Montan-Transport AG Em
95 ............................ 80 11,444
Leonische Drahtwerke AG ......... 150 41,465
*Massa AG ........................ 930 105,918
Mauser Waldeck AG ............... 821 91,916
*Moksel (A.) AG .................. 10,000 78,784
*Neue Baumwoll-Spinnerei und
Weberei Hof AG ................ 321 12,867
Nuernberger Hypothekenbank AG ... 1,341 379,964
*Phoenix AG, Hamburg ............. 1,854 279,317
Rheinboden Hypothekenbank AG .... 1,304 226,195
Rheinmetall Berlin AG ........... 2,450 321,700
*Rosenthal AG .................... 709 63,697
Salamander AG, Kornwesteim ...... 2,550 396,510
Sixt AG ......................... 200 49,758
Stern-Brauerei Carl Funke AG .... 300 19,074
Stoehr & Co. AG ................. 744 76,611
Strabag AG ...................... 3,100 519,523
Sueddeutsche Bodencreditbank AG . 275 86,472
Triton-Belco AG, Hamburg ........ 600 59,710
Tucher Braeu AG ................. 427 45,149
*Varta AG ........................ 2,691 502,122
Verseidag AG .................... 1,205 104,927
Voegele (Joseph) AG ............. 352 65,681
WMF (Wuerttembergische
Metallwarenfabrik AG) ......... 1,272 259,323
Walter Bau AG ................... 1,437 317,789
Wanderer-Werke AG ............... 200 20,733
Weru AG ......................... 800 288,597
Wuerttembergische AG ............ 774 462,688
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Zanders Feinpapiere AG .......... 1,978 $ 198,210
--------------
TOTAL COMMON STOCKS
(Cost $12,214,332) ............ 10,946,107
--------------
INVESTMENT IN CURRENCY -- (1.7%)
*German Marks (Cost $2,764,798) .. 2,734,735
--------------
TOTAL -- GERMANY (Cost
(Cost $14,979,130) ............ 13,680,842
--------------
FRANCE -- (8.0%)
COMMON STOCKS -- (6.3%)
ALSPI (Societe Alsacienne de
Participations Industrielles) . 6,056 432,363
Agricole de la Crau ............. 200 18,455
Arbel SA ........................ 1,033 41,030
Bains de Mer et du Cercle des
Etrangers a Monaco ............ 2,482 308,694
Burelle SA ...................... 4,407 185,651
*CLAL (Comptoir Lyon-Alemand Loyot
SA) ........................... 3,581 287,701
Caoutchoucs de Padang ........... 640 84,734
*Compagnie Financiere pour
l'Immobilier d'Enterprise Fidei 7,219 97,170
Continentale d'Entreprises SA ... 3,609 112,216
DMC (Dollfus Mieg et Cie) ....... 13,660 588,599
*Dynaction SA .................... 4,485 88,260
Financiere Moncey SA ............ 169 37,360
France SA ....................... 2,240 287,583
Galeries Lafayette SA ........... 2,752 733,683
Gantois Series .................. 390 100,923
Gascogne SA ..................... 866 72,355
Genefim-Societe Immobiliere pour
le Commerce et l'Industrie SA . 9,499 226,756
*Generale de Geophysique SA ...... 4,550 180,722
Gevelot ......................... 400 105,115
Groupe du Louvre SA ............. 20,849 565,035
Immeubles de France ............. 3,980 220,357
*Intertechnique SA ............... 2,194 186,171
Labinal SA ...................... 7,797 766,406
Plastic Omnium .................. 3,200 221,464
Radiotechnique .................. 5,365 294,887
Reassurances SA (Francaise de) .. 858 111,015
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------ ------
Reunion (Banque de la) .......... 126 $ 23,507
Rue Imperiale de Lyon ........... 1,236 880,201
SFIM (Societe de Fabrication
d'Instruments de Mesure) ...... 1,458 261,767
Sabeton ......................... 349 53,068
Salins du Midi & des Salines de
l'Est ......................... 4,971 425,801
Societe Financiere Immobail SA .. 3,647 117,055
Societe Financiere Interbail SA . 10,795 688,628
Taittinger SA ................... 765 275,461
*Teleflex Lionel-Dupont .......... 500 13,240
*Union Industrielle de Credit SA,
Paris ......................... 8,417 108,062
*Vallourec (Usines a Tubes de
Lorraine Escaut et Vallourec
Reunies) ...................... 17,170 654,423
Via Banque ...................... 10,978 365,566
----------
TOTAL COMMON STOCKS
(Cost $11,640,864) ............ 10,221,484
----------
INVESTMENT IN CURRENCY -- (1.7%)
*French Francs (Cost $2,766,949) . 2,736,125
----------
TOTAL -- FRANCE (Cost $14,407,813) 12,957,609
----------
SWITZERLAND -- (6.2%)
COMMON STOCKS -- (5.5%)
Bucher Holding AG, Niederweningen 1,650 970,175
CKW (Centralschweizerische
Kraftwerke), Luzern ........... 25 23,967
Calida Holding AG, Oberkirch .... 100 72,433
Carlo Gavazzi Holding AG, Baar
Series B ...................... 160 173,839
*Cos Computer Systems SA Baden,
Baden ......................... 6,500 83,085
Credit Foncier Vaudois, Lausanne 550 424,159
Daetwyler Holding AG, Atldorf ... 680 1,234,256
Danzas Holding AG, Basel
(Participating) ............... 1,300 238,176
Financiere Tradition, Lausanne .. 30 17,895
Galenica Holding AG, Bern Series
B ............................. 2,200 661,781
Grands Magasins Jelmoli SA,
Zuerich ....................... 200 90,328
Grands Magasins Jelmoli SA,
Zuerich (Namen) ............... 1,050 91,265
Huerlimann Holding AG, Zuerich .. 80 299,957
Immuno International AG, Zuerich 450 255,006
Maag Holding AG, Zuerich ........ 1,700 94,163
Magazine Zum Globus, Zuerich .... 1,650 1,040,477
Rentsch (Walter) Holding AG,
Dietlikon ..................... 3,600 595,143
Saurer AG, Arbon ................ 600 208,607
*Sibra Holding SA, Fribourg Series
B ............................. 1,650 276,992
*Von Roll AG, Gerlafingen ........ 21,000 438,432
*Zschokke Holding SA, Geneve ..... 800 303,366
*Zueblin Holding AG, Zuerich ..... 2,300 215,594
Zuercher Ziegeleien Holding,
Zuerich ....................... 1,700 1,173,413
----------
TOTAL COMMON STOCKS (Cost
$9,597,274) ................... 8,982,509
----------
INVESTMENT IN CURRENCY -- (0.7%)
*Swiss Francs (Cost $1,165,625) .. $ 1,150,223
-----------
TOTAL -- SWITZERLAND
(Cost $10,762,899) ............ 10,132,732
----------
NETHERLANDS -- (5.0%)
COMMON STOCKS -- (4.2%)
Athlon Groep NV ................. 2,900 120,550
Bam Groep NV .................... 4,585 255,729
Beers NV ........................ 1,266 193,145
Begemann Groep NV ............... 14,000 221,371
Cindu International NV .......... 1,790 105,034
Econosto NV ..................... 15,100 183,737
Gamma Holding NV ................ 20,170 797,332
Geveke NV ....................... 2,300 49,864
Grand Hotel Krasnapopski NV ..... 900 77,826
Hollandsche Beton Groep NV ...... 7,963 1,174,531
Kas-Associatie NV ............... 7,600 250,673
Koninklijke Ten Cate NV ......... 11,217 473,205
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------ ------
Landre & Glinderman NV .......... 900 $ 22,792
NKF Holding NV .................. 3,508 488,607
*Nederlandsche Vliegtuigenfabriek
Fokker NV ..................... 62,500 370,599
Norit NV ........................ 29,010 338,659
Smit Internationale NV .......... 9,780 258,545
*Textielgroep Twenthe NV ......... 1,200 39,284
Tulip Computers NV .............. 11,340 123,276
Twentsche Kabel Holding NV ...... 7,900 268,376
Ubbink NV ....................... 900 31,686
Van Dorp Groep NV ............... 3,800 65,720
Van der Giessen de Noord ........ 350 18,181
Volker Stevin NV ................ 11,940 704,305
Vredestein NV ................... 17,790 193,393
--------------
TOTAL COMMON STOCKS
(Cost $7,412,562) ............. 6,826,420
--------------
INVESTMENT IN CURRENCY -- (0.8%)
*Netherlands Guilder
(Cost $1,387,456) ............. 1,371,470
--------------
TOTAL -- NETHERLANDS
(Cost $8,800,018) ............. 8,197,890
--------------
HONG KONG -- (3.1%)
COMMON STOCKS -- (3.1%)
Allied Group, Ltd. .............. 1,300,000 90,786
Allied Properties (Hong Kong),
Ltd. .......................... 1,538,000 188,956
Applied International Holdings,
Ltd. .......................... 230,000 24,985
Asia Standard International
Group, Ltd. ................... 562,000 65,412
Associated International Hotels,
Ltd. .......................... 188,000 108,193
Beauforte Investors Corp., Ltd. . 19,000 29,486
CNT Group, Ltd. ................. 456,000 26,832
Century City International
Holdings, Ltd. ................ 1,307,008 294,108
Chevalier International Holdings,
Ltd. .......................... 372,000 59,174
China Aerospace International
Holdings, Ltd. ................ 583,200 59,583
Chow Sang Sang Holdings
International, Ltd. ........... 148,000 49,285
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------ ------
Chuang's Consortium
International, Ltd. ........... 449,388 $ 48,237
*Continental Mariner Investment
Co., Ltd. ..................... 253,000 22,903
Crocodile Garments, Ltd. ........ 322,000 23,320
Dynamic Holdings, Ltd. .......... 134,000 25,648
Far East Consortium
International, Ltd. ........... 312,000 45,191
Fountain Set Holdings, Ltd. ..... 240,000 43,453
Furama Hotel Enterprises, Ltd. .. 152,000 170,036
Great Wall Electronic
International, Ltd. ........... 310,000 25,257
Harbour Centre Development, Ltd. 200,000 212,092
Hong Kong Ferry (Holdings) Co.,
Ltd. .......................... 413,000 411,263
Hong Kong Parkview Group, Ltd. .. 226,000 56,993
Huey Tai International, Ltd. .... 250,000 39,767
Hwa Kay Thai Holdings, Ltd. ..... 413,600 54,023
Kwong Sang Hong International,
Ltd. .......................... 386,000 96,843
Lai Sun Development Co., Ltd. ... 1,750,000 219,528
Lai Sun Garment (International),
Ltd. .......................... 162,000 168,652
*Laws International Holdings, Ltd. 184,000 19,037
Lippo, Ltd. ..................... 186,000 99,825
Liu Chong Hing Bank, Ltd. ....... 100,000 118,978
Liu Chong Hing Investment, Ltd. . 242,000 233,159
Luks Industrial Co., Ltd. ....... 270,000 29,680
Melbourne Enterprises, Ltd. ..... 3,000 17,692
Min Xin Holdings, Ltd. .......... 126,000 22,976
Mingly Corp., Ltd. .............. 1,238,000 248,160
National Electronics Holdings,
Ltd. .......................... 420,000 20,097
Ocean-Land Development, Ltd. .... 34,000 27,262
Pacific Concord Holding, Ltd. ... 1,316,000 209,334
Playmates Properties Holdings,
Ltd. .......................... 420,000 55,403
Pokfulam Development Co., Ltd. .. 36,000 17,692
Ryoden Development, Ltd. ........ 358,000 78,244
Sea Holdings, Ltd. .............. 126,000 76,178
Seapower Resources International,
Ltd. .......................... 515,000 41,293
Shaw Brothers Hong Kong, Ltd. ... 158,000 181,856
*Shougang Concord Grand (Group),
Ltd. .......................... 282,000 15,682
Sincere Co., Ltd. ............... 365,000 54,284
Stelux Holdings International,
Ltd. .......................... 595,000 152,357
Sun Fook Kong Holdings, Ltd. .... 280,000 15,933
Swank International Manufacturing
Co., Ltd. ..................... 226,000 25,135
Tai Sang Land Development, Ltd. . 134,000 63,253
Tian An China Investments Co.,
Ltd. .......................... 294,000 34,980
Tian Teck Land, Ltd. ............ 248,000 54,202
Tomei International (Holdings),
Ltd. .......................... 398,000 28,824
Tse Sui Luen Jewellry
(International), Ltd. ......... 280,000 69,525
USI Holdings, Ltd. .............. 300,000 22,114
Winfoong Investment, Ltd. ....... 416,000 19,906
Wing On Co. International, Ltd. . 206,000 205,134
Winsor Industrial Corp., Ltd. ... 110,000 98,157
Wong's International (Holdings),
Ltd. .......................... 186,000 26,941
---------
TOTAL -- HONG KONG (Cost
$5,225,219) ................... 5,043,299
---------
SWEDEN -- (2.6%)
COMMON STOCKS -- (2.2%)
*Arcona AB Series B .............. 94,100 78,357
*Argonaut AB Series B ............ 87,600 148,565
B & N Bylock & Nordsjoefrakt AB
Series B ...................... 21,400 184,736
Bongs Fabriker AB Series B ...... 3,500 27,807
Celsius Industrier AB Series B .. 25,300 521,849
*Concordia Maritime AB Series B .. 22,100 55,714
FFNS Gruppen AB Series B ........ 7,300 55,768
*Foereningsbanken AB Series A .... 184,100 503,498
Forcenergy AB Series B .......... 16,400 80,935
*Frontline AB .................... 43,600 119,908
Geveko AB Series B .............. 2,300 23,545
ICB Shipping AB Series B ........ 31,400 302,246
Jacobson and Widmark AB ......... 7,100 55,867
*Kloevern Foervaltnings AB Series
B ............................. 188,000 147,930
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------ ------
Nordstroem & Thulin AB Series B . 83,100 $ 219,653
*Piren AB ........................ 81,400 19,775
*Platzer Bygg AB Series B ........ 15,300 38,571
*Safib Fastighets AB Series B .... 16,700 90,836
Scandiaconsult AB ............... 7,300 42,383
Siab AB Series A ................ 45,800 293,904
Skrinet AB Series B ............. 3,100 31,497
Stena Line AB Series B .......... 65,400 304,767
United Tankers AB Series B ...... 10,400 44,492
*VBB Gruppen AB Series B ......... 8,000 27,135
*Wallenstam Byggnads AB Series B . 14,100 86,173
*Wihlborg & Son AB Series B ...... 41,300 75,091
--------------
TOTAL COMMON STOCKS
(Cost $3,214,685) ............. 3,581,002
--------------
INVESTMENT IN CURRENCY -- (0.4%)
*Swedish Krona (Cost $657,572) ... 655,092
--------------
TOTAL -- SWEDEN (Cost $3,872,257) 4,236,094
--------------
AUSTRALIA -- (2.6%)
COMMON STOCKS -- (2.5%)
Aberfoyle, Ltd. ................. 67,500 150,398
Adelaide Brighton, Ltd. ......... 136,843 116,879
Australian Industry Development
Corp. ......................... 75,700 113,570
Awa, Ltd. ....................... 195,200 78,287
Ballarat Brewing Co. Ltd. ....... 19,400 31,410
Bridgestone Australia, Ltd. ..... 18,682 34,688
Caltex Australia, Ltd. .......... 26,200 91,457
Capral Aluminium, Ltd. .......... 67,000 159,236
Central Equity, Ltd. ............ 42,800 26,384
Centro Properties, Ltd. ......... 67,215 105,832
Clyde Industries, Ltd. .......... 86,100 88,886
*Consolidated Rutile, Ltd. ....... 42,600 65,810
Coventry Group, Ltd. ............ 30,100 107,753
Crane (G.E) Holdings, Ltd. ...... 6,322 32,868
*Crusader, Ltd. .................. 94,400 94,650
Defiance Mills, Ltd. ............ 29,700 29,117
*Devex, Ltd. ..................... 82,600 23,312
*Dominion Mining, Ltd. ........... 384,000 82,708
Energy Resources of Australia,
Ltd. Series A ................. 84,525 285,636
FAI Insurances, Ltd. ............ 270,659 112,571
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------ ------
Fai Life, Ltd. .................. 60,897 $ 30,755
Finemore Holdings, Ltd. ......... 9,500 14,464
Foodland Associated, Ltd. ....... 87,855 292,321
*Gold Mines of Australia, Ltd. ... 245,100 58,252
*Goldfields, Ltd. ................ 10,233 25,460
Gwalia Consolidated, Ltd. ....... 38,900 59,227
Kurts (Peter) Properties, Ltd. .. 63,600 61,879
*McIntosh Securities, Ltd. ....... 27,000 17,246
Memtec, Ltd. .................... 49,646 82,963
Mirvac, Ltd. .................... 118,572 98,632
National Consolidated, Ltd. ..... 129,553 81,787
National Foods, Ltd. ............ 180,600 186,444
*Orbital Engine Corp., Ltd. ...... 165,000 145,830
Pacific BBA, Ltd. ............... 17,074 35,253
Pacific Magazines and Printing,
Ltd. .......................... 201,916 427,397
*Peptide Technology, Ltd. ........ 66,500 23,707
QUF Industries, Ltd. ............ 68,264 115,596
*Savage Resources, Ltd. .......... 298,100 219,186
Sea World Property Trust ........ 61,000 51,648
Siddons Ramset, Ltd. ............ 19,459 52,028
Westralian Forest Industries,
Ltd. .......................... 8,100 23,462
Wills (W.D. & H.O.) Holdings,
Ltd. .......................... 67,492 100,253
-----------
TOTAL COMMON STOCKS
(Cost $3,936,275) ............. 4,035,242
-----------
INVESTMENT IN CURRENCY -- (0.1%)
*Australian Dollar (Cost $115,168) 116,215
-----------
TOTAL -- AUSTRALIA
(Cost $4,051,443) ............. 4,151,457
-----------
ITALY -- (2.3%)
COMMON STOCKS -- (2.1%)
Ansaldo Trasporti SpA ........... 21,000 26,989
Attivita Immobiliari ............ 75,000 75,000
Banco di Chiavari e della Riviera
Ligure SpA, Chiavari .......... 75,000 134,146
Bassetti SpA .................... 25,000 90,682
Caltagirone SpA ................. 220,000 167,511
*Cantoni ITC SpA ................. 32,500 45,732
Cementerie Siciliane SpA ........ 32,500 63,415
Cementerie di Sardegna SpA ...... 22,500 45,028
Comau Finanziara SpA ............ 126,000 133,959
Costa Crociere SpA .............. 65,000 145,732
Ericsson SpA .................... 27,500 345,685
*Europa-Metalli LMI SpA .......... 410,000 66,667
FONSPA (Credito Fondiaro e
Industriale Istituto per i
Finanziamenti a Medio e Lungo
Termine SpA) .................. 98,000 122,577
*Falck (Acciaierie & Ferriere
Lombarde) ..................... 82,000 161,026
*Gabetti Holding SpA ............. 15,000 11,163
*Grassetto SpA ................... 110,000 45,197
Industrie Zignago S. Margherita
SpA ........................... 14,000 62,164
*Istituto Finanziario Pro Arte SpA
Finarte ....................... 101,640 65,154
Maffei SpA ...................... 28,000 35,022
Magona d'Italia SpA, Firenze .... 9,000 27,017
Marangoni SpA, Rovereto ......... 15,000 48,780
*Milano Assicurazioni SpA ........ 61,000 198,374
Montefibre SpA, Milano .......... 265,000 160,757
*Necchi SpA ...................... 50,000 27,830
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------ ------
*Premafin Finanziaria SpA ........ 560,000 $ 215,735
Riva Finanziaria SpA ............ 2,000 6,116
SISA (Societa Imballaggi Speciali
Asti SpA) ..................... 30,000 25,328
*SMI (Sta Metallurgica Italiana
SpA) .......................... 48,000 14,109
*Saffa SpA, Milano ............... 37,060 93,171
Stefanel SpA .................... 70,000 86,241
*UNICEM (Unione Cementi Marchini
Emiliane e di Augusta-Casale) . 15,000 82,317
Unipol SpA ...................... 52,760 336,554
Vianini Industria SpA ........... 60,000 31,520
Zucchi (Vincenzo) SpA ........... 32,000 154,096
-----------
TOTAL COMMON STOCKS (Cost
$4,019,932) ................... 3,350,794
-----------
INVESTMENT IN CURRENCY -- (0.2%)
*Italian Lira (Cost $424,202) .... 423,409
-----------
TOTAL -- ITALY (Cost $4,444,134) . 3,774,203
SPAIN -- (1.7%)
COMMON STOCKS -- (1.7%)
*BNP Espana SA ................... 225,408 61,800
Banco Guipuzcoano SA ............ 5,450 172,665
Banco Pastor SA ................. 8,900 439,577
Banco Zaragozano SA ............. 12,700 202,725
*Banco de Vitoria SA ............. 962 9,378
Construcciones Lain SA .......... 51,000 65,045
Cubiertas y Mzov SA ............. 5,100 278,408
ERZ (Electricas Reunidas de
Zaragoza) ..................... 7,350 158,225
ESSA (Estacionamientos
Subterraneos SA) .............. 1,100 20,016
Ebro Agricolas Compania de
Alimentacion SA ............... 32,200 342,665
Filo SA ......................... 18,500 76,645
GESA (Gas y Electricidad SA) .... 1,400 71,877
Grupo Anaya SA .................. 1,000 21,690
*Grupo Fosforera SA .............. 5,490 25,376
Huarte SA ....................... 12,900 56,588
*Inmobiliaria Urbis SA ........... 40,600 194,260
Inmobiliaria Zabalburu SA ....... 1,900 23,924
*Nueva Montana Quijano SA Series B 31,050 49,690
OCP Construcciones SA ........... 3,600 93,582
*Sarrio SA ....................... 56,500 224,439
Tableros de Fibras SA Series B .. 4,200 46,742
Unipapel SA ..................... 4,950 103,744
--------------
TOTAL COMMON STOCKS (Cost
$3,000,341) ................... 2,739,061
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $7,681) .... 7,596
--------------
TOTAL -- SPAIN (Cost $3,008,022) . 2,746,657
--------------
BELGIUM -- (1.3%)
COMMON STOCKS -- (1.1%)
Banque Belgo-Zairoise Belgolaise
SA ............................ 83 27,643
Banque Nationale de Belgique .... 20 26,594
*Beherman Auto Transports SA ..... 300 26,392
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------ ------
Belge des Betons ................ 195 $ 104,798
Bernheim-Comofi SA .............. 2,490 135,704
CFE (Compagnie Francois
d'Entreprises) ................ 900 200,133
Credit General SA de Banque,
Bruxelles ..................... 1,203 194,261
Desimpel Kortemark Cy NV ........ 500 25,568
Fabrique de Fer de Charleroi .... 10 22,153
*Floridienne NV .................. 1,900 58,167
*Forges de Clabecq SA ............ 1,760 25,697
*Franki NV (Cie Internationale des
Pieux Armes Frankignoul SA) ... 1,800 36,575
Immobel (Cie Immobiliere de
Belgique SA) .................. 7,380 492,828
Metiers Automatiques Picanol .... 100 43,734
*Papeteries de Catala SA ......... 20 3,162
Sa d'Ieteren .................... 250 18,839
*Sait Radioholland ............... 1,500 39,260
Sapec SA ........................ 1,200 52,562
Ter Beke NV ..................... 800 80,875
UCO SA Ledeberg-Gand ............ 320 166,056
-----------
TOTAL COMMON STOCKS
Cost $1,954,466) .............. 1,781,001
-----------
INVESTMENT IN CURRENCY -- (0.2%)
*Belgian Francs (Cost $376,064) .. 375,888
-----------
TOTAL -- BELGIUM (Cost $2,330,530) 2,156,889
-----------
SINGAPORE -- (1.1%)
COMMON STOCKS -- (1.1%)
*Auric Pacific Group, Ltd. ....... 45,000 72,524
Bonvests Holdings, Ltd. ......... 63,000 52,780
Carnaudmetalbox Asia, Ltd. ...... 32,000 135,179
Chuan Hup Holdings, Ltd. ........ 83,000 67,767
Hai Sun Hup Group, Ltd. ......... 64,000 41,803
Hind Hotels International, Ltd. . 18,000 20,958
Hong Kok Corp., Ltd. ............ 45,000 67,732
Hotel Grand Central, Ltd. ....... 50,700 53,994
Hotel Plaza, Ltd. ............... 112,000 70,373
Hwa Hong Corp., Ltd. ............ 63,000 96,613
Intraco, Ltd. ................... 28,000 43,138
Isetan (Singapore), Ltd. ........ 12,000 23,003
Keppel Finance, Ltd. ............ 61,000 75,790
LC Development, Ltd. ............ 37,000 29,421
Lim Kah Ngam, Ltd. .............. 41,000 44,537
Metro Holdings, Ltd. ............ 44,800 184,480
Pacific Carriers, Ltd. .......... 84,000 69,180
Prima, Ltd. ..................... 12,000 42,258
Republic Hotels and Resorts, Ltd. 84,000 96,017
Robinson & Co., Ltd. ............ 19,000 78,914
Scotts Holdings, Ltd. ........... 71,000 52,929
Shangri-La Hotel, Ltd. .......... 44,000 149,321
Times Publishing, Ltd. .......... 52,000 116,663
United Engineers, Ltd. .......... 81,000 150,096
United Overseas Finance, Ltd. ... 10,000 14,058
-----------
TOTAL COMMON STOCKS (Cost
$1,867,338) ................... 1,849,528
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost $2) ..... 2
-----------
TOTAL -- SINGAPORE (Cost
$1,867,340) ................... 1,849,530
-----------
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Face
Amount
--------
(000)
TEMPORARY CASH INVESTMENTS --
(7.3%)
Repurchase Agreement, PNC
Securities Corp. 5.65%,
12/01/95 (Collateralized by
U.S. Treasury Notes 6.125%,
05/31/97) (Cost $11,870,000) .. $ 11,870 11,870,000
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $168,939,346) ........... $162,758,362
============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
<PAGE>
SCHEDULES OF INVESTMENTS
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Shares Value+
----------- ---------------
<S> <C> <C>
Investment in The DFA One-Year Fixed Income Series of The DFA
Investment Trust Company ............................................. 70,532,690 $705,007,385
------------
Total Investments (100%) (Cost $700,203,192) ..................... $705,007,385
============
</TABLE>
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Face
Amount Value+
--------- -------------
(000)
<S> <C> <C>
AGENCY OBLIGATIONS -- (98.2%)
Federal Farm Credit Bank
5.550%, 12/18/95 ........................................................ $ 8,000 $ 7,978,807
5.640%, 12/22/95 ........................................................ 11,000 10,964,003
Federal Home Loan Bank ...................................................
5.670%, 12/12/95 ........................................................ 231,000 230,596,967
5.670%, 12/28/95 ........................................................ 46,000 45,806,110
------------
TOTAL AGENCY OBLIGATIONS (Cost $295,347,021) ............................... 295,345,887
------------
TEMPORARY CASH INVESTMENTS -- (1.8%)
Repurchase Agreement, PNC Securities Corp. 5.65%, 12/01/95 (Collateralized
by U.S. Treasury Notes 6.125%, 05/31/97) (Cost $5,502,000) ............ 5,502 5,502,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $300,849,021) .......................... $300,847,887
============
</TABLE>
- ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA GLOBAL FIXED INCOME PORTFOLIO
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Face
Amount Value+
-------- --------
(000)
<S> <C> <C>
JAPAN -- (28.8%)
BONDS -- (28.8%)
Austria (Republic of)
5.000%, 01/22/01 ................... 300,000 $ 3,406,995
Autobahnen und
Schnellstrassenfinanzierungs AG
6.000%, 03/11/00 ................... 500,000 5,818,719
Belgium (Kingdom of)
6.875%, 07/09/01 ................... 600,000 7,399,803
Council of Europe Resettlement Fund
for National Refugees and
Overpopulation in Europe
6.875%, 03/05/01 ................... 700,000 8,559,310
Credit Local de France SA
6.000%, 10/31/01 ................... 500,000 5,957,143
European Investment Bank
6.625%, 03/15/00 ................... 200,000 2,380,887
Inter-American Development Bank
6.750%, 02/20/01 ................... 200,000 2,434,286
6.000%, 10/30/01 ................... 400,000 4,774,778
Japan Development Bank
6.500%, 09/20/01 ................... 800,000 9,769,458
World Bank (International Bank for
Reconstruction and Development)
6.750%, 06/18/01 ................... 600,000 7,359,015
-------------
TOTAL BONDS (Cost $59,498,401) ...... 57,860,394
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $27) ........... 27
-------------
TOTAL -- JAPAN (Cost $59,498,428) ... 57,860,421
-------------
GERMANY -- (23.3%)
BONDS -- (23.3%)
European Economic Community
6.500%, 03/10/00 .................. 9,000 6,536,973
Germany (Federal Republic of)
9.000%, 10/20/00 .................. 28,000 22,440,423
8.250%, 09/20/01 .................. 13,000 10,199,358
KFW International Finance, Inc.
7.500%, 01/24/00 .................. 10,000 7,498,963
-------------
TOTAL BONDS (Cost $42,127,725) ...... 46,675,717
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $594) .......... 581
-------------
TOTAL -- GERMANY
(Cost $42,128,319) ................. 46,676,298
-------------
CANADA -- (15.9%)
BONDS -- (15.9%)
British Columbia (Province of)
Series BCCD-H
10.150%, 08/29/01 ................. 10,000 8,405,861
Canada (Government of)
9.750%, 12/01/01 .................. 28,000 23,474,416
-------------
TOTAL BONDS (Cost $30,787,247) ...... 31,880,277
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Canadian Dollars (Cost $17) ....... 17
-------------
TOTAL -- CANADA
(Cost $30,787,264) ................. 31,880,294
-------------
<PAGE>
THE DFA GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
Face
Amount Value+
-------- --------
(000)
FRANCE -- (10.5%)
BONDS -- (10.5%)
Credit Locale de France SA
6.000%, 11/15/01 .................. 61,000 $11,907,861
France (Republic of)
9.500%, 01/25/01 .................. 40,000 9,147,450
-------------
TOTAL BONDS (Cost $20,272,757) ...... 21,055,311
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs (Cost $446) ......... 441
-------------
TOTAL -- FRANCE
(Cost $20,273,203) ................. 21,055,752
-------------
UNITED KINGDOM -- (9.4%)
BONDS -- (9.4%)
Austria (Republic of)
10.375%, 03/29/99 ................. 2,000 3,341,822
Guaranteed Export Finance Corp.
P.L.C.
7.250%, 12/15/98 .................. 5,000 7,731,389
Halifax Building Society, Ltd.
7.750%, 12/03/98 .................. 5,000 7,800,958
-------------
TOTAL BONDS (Cost $18,910,427) ...... 18,874,169
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $6,392) ...................... 6,216
-------------
TOTAL -- UNITED KINGDOM
(Cost $18,916,819) ................. 18,880,385
-------------
AUSTRALIA -- (8.6%)
BONDS -- (8.6%)
New South Wales Treasury Corp.
12.000%, 12/01/01 ................. 9,340 8,231,489
Queensland Treasury Corp.
8.000%, 08/14/01 .................. 12,000 8,912,725
-------------
TOTAL -- AUSTRALIA
(Cost $16,542,631) ................. 17,144,214
-------------
AGENCY OBLIGATIONS -- (1.0%)
Federal Home Loan Bank
5.670%, 12/28/95
(Cost $1,991,495) ................. 2,000 1,991,570
-------------
TEMPORARY CASH INVESTMENTS -- (2.5%)
Repurchase Agreement, PNC
Securities Corp. 5.65%, 12/01/95
(Collateralized by U.S. Treasury
Notes 6.125%, 05/31/97)
(Cost $4,968,000) .................. 4,968 4,968,000
-------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $195,106,159) ................ $200,456,934
=============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
@Denominated in Local Currency
See accompanying Notes to Financial Statements
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Face
Amount Value+
-------- -------------
(000)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- (48.2%)
U.S. Treasury Bonds ............................................................................
11.750% , 02/15/01 ............................................................................ $3,000 $ 3,832,968
13.125% , 05/15/01 ............................................................................ 4,500 6,080,625
13.375% , 08/15/01 ............................................................................ 2,000 2,750,938
11.625% , 11/15/02 ............................................................................ 3,500 4,683,984
9.375% , 02/15/06 ............................................................................ 1,000 1,269,531
U.S. Treasury Notes ............................................................................
15.750% , 11/15/01 ............................................................................ 3,500 5,277,892
14.250% , 02/15/02 ............................................................................ 5,750 8,324,022
6.375% , 08/15/02 ............................................................................ 4,000 4,154,376
6.250% , 02/15/03 ............................................................................ 1,000 1,032,969
-------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $35,840,523) ............................................. 37,407,305
-------------
AGENCY OBLIGATIONS -- (45.7%)
Farm Credit System Financial Assistance Corp. ..................................................
9.375% , 07/21/03 ............................................................................ 2,000 2,405,938
8.800% , 06/10/05 ............................................................................ 1,000 1,194,063
Federal Farm Credit Bank .......................................................................
6.320% , 09/09/02 ............................................................................ 1,000 1,024,219
7.160% , 05/19/10 ............................................................................ 2,000 2,173,750
Federal Home Loan Bank .........................................................................
7.190% , 04/27/01 ............................................................................ 8,000 8,513,752
6.290% , 07/03/02 ............................................................................ 3,100 3,177,016
5.440% , 10/15/03 ............................................................................ 2,000 1,933,438
Federal Home Loan Mortgage Corp. ...............................................................
7.350% , 03/22/05 ............................................................................ 2,000 2,171,562
Federal National Mortgage Association ..........................................................
8.900% , 06/12/00 ............................................................................ 3,000 3,373,593
8.250% , 12/18/00 ............................................................................ 1,000 1,106,563
7.050% , 11/12/02 ............................................................................ 2,000 2,130,938
6.800% , 01/10/03 ............................................................................ 6,000 6,282,186
-------------
TOTAL AGENCY OBLIGATIONS (Cost $33,675,388) .................................................... 35,487,018
-------------
SUPRANATIONAL OBLIGATIONS -- (1.5%)
European Investment Bank
9.125%, 06/01/02 (Cost $1,127,233) ............................................................ 1,000 1,168,135
-------------
TEMPORARY CASH INVESTMENTS -- (4.6%)
Repurchase Agreement, PNC Securities Corp. 5.65%, 12/01/95 (Collateralized by U.S. Treasury
Notes 6.125%, 05/31/97)
(Cost $3,582,000) ............................................................................. 3,582 3,582,000
-------------
TOTAL INVESTMENTS -- (100.0%) (Cost $74,225,144) ............................................... $77,644,458
=============
</TABLE>
- ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
The U.S. The U.S. The U.S.
9-10 Small 6-10 Small Large
Company Company Company
Portfolio Portfolio Portfolio
------------ ------------ -----------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value .........................$ 928,597 $ 186,699 $ 97,118
Receivables
Dividends and Interest .................. 624 -- --
Investment Securities Sold .............. 1,966 -- --
Fund Shares Sold ........................ 340 30 148
Prepaid Expenses and Other Assets ............ 217 13 16
----------- ----------- ----------
Total Assets ....................... 931,744 186,742 97,282
----------- ----------- ----------
LIABILITIES:
Payable for Investment Securities Purchased .. 1,654 30 140
Payable for Fund Shares Redeemed ............. 4,032 -- 8
Accrued Expenses and Other Liabilities ....... 584 68 23
----------- ----------- ----------
Total Liabilities .................. 6,270 98 171
----------- ----------- ----------
NET ASSETS ...................................$ 925,474 $ 186,644 $ 97,111
=========== =========== ==========
SHARES OUTSTANDING $.01 PAR VALUE ............ 83,929,582 14,763,436 5,359,508
=========== =========== ==========
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE $ 11.03 $ 12.64 $ 18.12
=========== =========== ==========
PUBLIC OFFERING PRICE PER SHARE ..............$ 11.03 $ 12.64 $ 18.12
=========== =========== ==========
Investments at Cost ..........................$ 730,476 $ 143,042 $ 69,638
=========== =========== ==========
</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 .........................$ 610,059 $ 280,939 $ 44,646
Receivables
Dividends and Interest .................. -- -- 103
Fund Shares Sold ........................ 526 185 28
Prepaid Expenses and Other Assets ............ 50 22 2
----------- ----------- ----------
Total Assets ....................... 610,635 281,146 44,779
----------- ----------- ----------
LIABILITIES:
Payable for Investment Securities Purchased .. 375 20 1,255
Payable for Fund Shares Redeemed ............. 151 165 49
Accrued Expenses and Other Liabilities ....... 159 46 40
----------- ----------- ----------
Total Liabilities .................. 685 231 1,344
----------- ----------- ----------
NET ASSETS ...................................$ 609,950 $ 280,915 $ 43,435
=========== =========== ==========
SHARES OUTSTANDING $.01 PAR VALUE ............ 43,484,481 21,141,290 4,342,013
=========== =========== ==========
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE $ 14.03 $ 13.29 $ 10.00
=========== =========== ==========
PUBLIC OFFERING PRICE PER SHARE ..............$ 14.03 $ 13.29 $ 10.00
=========== =========== ==========
Investments at Cost ..........................$ 506,608 $ 227,796 $ 45,708
=========== =========== ==========
</TABLE>
See accompanying Notes to Financial Statements
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1995
<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 ........................$ 370,457 $ 193,072 $ 166,926
Cash ........................................ 15 57 180
Receivables .................................
Dividends and Interest ................. 783 241 679
Investment Securities Sold ............. -- 85 136
Fund Shares Sold ....................... 130 21 81
Prepaid Expenses and Other Assets ........... 33 6 7
----------- ----------- ----------
Total Assets ............................ 371,418 193,482 168,009
----------- ----------- ----------
LIABILITIES: ................................
Payable for Investment Securities Purchased . -- 111 109
Payable for Fund Shares Redeemed ............ 48 33 20
Accrued Expenses and Other Liabilities ...... 257 201 150
----------- ----------- ----------
Total Liabilities ....................... 305 345 279
----------- ----------- ----------
NET ASSETS ..................................$ 371,113 $ 193,137 $ 167,730
=========== =========== ==========
SHARES OUTSTANDING $.01 PAR VALUE ........... 16,292,798 13,428,708 6,963,975
=========== =========== ==========
NET ASSET VALUE AND REDEMPTION PRICE PER
SHARE .....................................$ 22.78 $ 14.38 $ 24.09
=========== =========== ==========
PUBLIC OFFERING PRICE PER SHARE .............$ 22.89 $ 14.52 $ 24.09
=========== =========== ==========
Investments at Cost .........................$ 372,036 $ 182,685 $ 161,609
=========== =========== ==========
</TABLE>
<TABLE>
<CAPTION>
The
The Continental The
Emerging Small Large Cap
Markets Company International
Portfolio Portfolio Portfolio
----------- ------------- ---------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value .........................$ 49,280 $ 312,280 $ 67,561
Cash ......................................... -- 13 15
Receivables ..................................
Dividends and Interest .................. -- 1,902 283
Investment Securities Sold .............. -- 24 --
Fund Shares Sold ........................ 66 167 119
Prepaid Expenses and Other Assets ............ 26 8 33
---------- ----------- ----------
Total Assets ............................. 49,372 314,394 68,011
---------- ----------- ----------
LIABILITIES: .................................
Payable for Investment Securities Purchased .. -- 21 --
Payable for Fund Shares Redeemed ............. 5 9 29
Accrued Expenses and Other Liabilities ....... 30 248 42
---------- ----------- ----------
Total Liabilities ........................ 35 278 71
---------- ----------- ----------
NET ASSETS ...................................$ 49,337 $ 314,116 $ 67,940
========== =========== ==========
SHARES OUTSTANDING $.01 PAR VALUE ............ 4,766,054 22,222,615 5,391,887
========== =========== ==========
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE $ 10.35 $ 14.13 $ 12.60
========== =========== ==========
PUBLIC OFFERING PRICE PER SHARE ..............$ 10.40 $ 14.27 $ 12.60
========== =========== ==========
Investments at Cost ..........................$ 51,374 $ 302,229 $ 53,703
========== =========== ==========
</TABLE>
See accompanying Notes to Financial Statements
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
The DFA The DFA
International International The DFA
High Book Small Cap One-Year
to Market Value Fixed Income
Portfolio Portfolio Portfolio
--------------- --------------- --------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value .........................$ 172,023 $ 162,758 $ 705,007
Cash ......................................... -- 2,866 --
Receivables
Dividends and Interest .................. -- 287 --
Fund Shares Sold ........................ 382 140 25,460
Prepaid Expenses and Other Assets ............ 36 62 11
----------- ----------- -----------
Total Assets ....................... 172,441 166,113 730,478
----------- ----------- -----------
LIABILITIES:
Payable for Investment Securities Purchased .. 366 18,850 25,460
Payable for Fund Shares Redeemed ............. 16 2 --
Accrued Expenses and Other Liabilities ....... 42 136 68
----------- ----------- -----------
Total Liabilities .................. 424 18,988 25,528
----------- ----------- -----------
NET ASSETS ...................................$ 172,017 $ 147,125 $ 704,950
=========== =========== ===========
SHARES OUTSTANDING $.01 PAR VALUE ............ 14,314,605 15,203,524 69,056,810
=========== =========== ===========
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE $ 12.02 $ 9.68 $ 10.21
=========== =========== ===========
PUBLIC OFFERING PRICE PER SHARE ..............$ 12.02 $ 9.75 $ 10.21
=========== =========== ===========
Investments at Cost ..........................$ 156,449 $ 168,939 $ 700,203
=========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
The DFA
The DFA The DFA Intermediate
Five-Year Global Government
Government Fixed Income Fixed Income
Portfolio Portfolio Portfolio
------------ -------------- --------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value ................................$ 300,848 $ 200,457 $ 77,644
Receivables
Dividends and Interest ......................... 1 6,323 1,293
Fund Shares Sold ............................... 157 169 75
Unrealized Gain on Forward Foreign Currency Contracts -- 2,337 --
Prepaid Expenses and Other Assets ................... 33 22 7
----------- ----------- ----------
Total Assets .............................. 301,039 209,308 79,019
----------- ----------- ----------
LIABILITIES:
Payable for Fund Shares Redeemed .................... 43 1,039 907
Accrued Expenses and Other Liabilities .............. 75 103 25
----------- ----------- ----------
Total Liabilities ......................... 118 1,142 932
----------- ----------- ----------
NET ASSETS ..........................................$ 300,921 $ 208,166 $ 78,087
=========== =========== ==========
SHARES OUTSTANDING $.01 PAR VALUE ................... 29,940,700 19,815,470 6,948,530
=========== =========== ==========
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE ......$ 10.05 $ 10.51 $ 11.24
=========== =========== ==========
PUBLIC OFFERING PRICE PER SHARE .....................$ 10.05 $ 10.51 $ 11.24
=========== =========== ==========
Investments at Cost .................................$ 300,849 $ 195,106 $ 74,225
=========== =========== ==========
</TABLE>
See accompanying Notes to Financial Statements
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1995
(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 ................................................. $ 7,452 $ 1,838 $ 1,886
Interest .................................................. 1,163 -- --
Income from Securities Lending ............................ 19 -- --
-------- ------- -------
Total Investment Income ................................ 8,634 1,838 1,886
-------- ------- -------
Expenses ....................................................
Investment Advisory Services .............................. 4,045 -- --
Administrative Services ................................... -- 501 162
Accounting & Transfer Agent Fees .......................... 643 19 19
Custodian's Fee ........................................... 150 -- --
Legal Fees ................................................ 33 2 3
Audit Fees ................................................ 43 2 3
Filing Fees ............................................... 21 13 12
Shareholders' Reports ..................................... 26 1 8
Directors' Fees and Expenses .............................. 27 1 1
Other ..................................................... 35 1 1
-------- ------- -------
Total Expenses ........................................... 5,023 540 209
Less: Expenses Reimbursed ................................. -- -- (47)
-------- ------- -------
Net Expenses .............................................. 5,023 540 162
-------- ------- -------
Net Investment Income ..................................... 3,611 1,298 1,724
-------- ------- -------
Net Realized and Unrealized Gain (Loss) on Investments ......
Net Realized Gain on Investment Securities .................. 75,321 10,114 120
Change in Unrealized Appreciation (Depreciation) of
Investment Securities ..................................... 137,059 27,538 21,406
-------- ------- -------
Net Gain on Investment Securities .......................... 212,380 37,652 21,526
-------- ------- -------
Net Increase in Net Assets Resulting from Operations ........ $215,991 $38,950 $23,250
======== ======= =======
</TABLE>
See accompanying Notes to Financial Statements
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1995
(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 ................................................. $ 5,622 $ 5,873 $2,708
Interest .................................................. -- -- 73
-------- ------- -------
Total Investment Income .................................. 5,622 5,873 2,781
-------- ------- -------
Expenses ....................................................
Investment Advisory Services .............................. -- -- 183
Administrative Services ................................... 1,435 327 --
Accounting & Transfer Agent Fees .......................... 19 19 66
Custodian's Fee ........................................... -- -- 6
Legal Fees ................................................ 2 3 7
Audit Fees ................................................ 3 3 5
Filing Fees ............................................... 103 70 24
Shareholders' Reports ..................................... 1 1 3
Directors' Fees and Expenses .............................. 1 1 3
Other ..................................................... 9 11 4
-------- ------- -------
Total Expenses ........................................... 1,573 435 301
-------- ------- -------
Net Investment Income ..................................... 4,049 5,438 2,480
-------- ------- -------
Net Realized and Unrealized Gain (Loss) on Investments ......
Net Realized Gain (Loss) on Investment Securities ........... 7,489 2,203 18
Change in Unrealized Appreciation (Depreciation) of
Investment Securities ..................................... 104,890 61,756 2,018
-------- ------- -------
Net Gain on Investment Securities .......................... 112,379 63,959 2,036
-------- ------- -------
Net Increase in Net Assets Resulting from Operations ........ $116,428 $69,397 $4,516
======== ======= =======
</TABLE>
See accompanying Notes to Financial Statements
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1995
(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 $402, $174
and $1,136, respectively) ........................... $ 2,277 $ 5,904 $ 6,705
Interest ............................................... 375 269 372
Income from Securities Lending ......................... 742 53 --
-------- -------- -------
Total Investment Income ............................. 3,394 6,226 7,077
-------- -------- -------
Expenses
Investment Advisory Services ........................... 1,704 1,020 1,096
Accounting & Transfer Agent Fees ....................... 401 258 277
Custodian's Fee ........................................ 272 302 105
Legal Fees ............................................. 33 19 23
Audit Fees ............................................. 22 14 16
Filing Fees ............................................ 35 31 17
Shareholders' Reports .................................. 15 9 10
Directors' Fees and Expenses ........................... 14 9 10
Other .................................................. 34 31 30
-------- -------- -------
Total Expenses ...................................... 2,530 1,693 1,584
-------- -------- -------
Net Investment Income .................................. 864 4,533 5,493
-------- -------- -------
Net Realized and Unrealized Gain (Loss) on Investments and
Foreign Currency
Net Realized Gain on Investment Securities ............... 6,621 6,273 16,821
Net Realized Gain (Loss) on Foreign Currency Transactions 46 9 (32)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ............. (28,340) (23,959) (1,683)
Translation of Foreign Currency Denominated Amounts .... (23) 3 (3)
-------- -------- -------
Net Gain (Loss) on Investment Securities and Foreign
Currency ............................................ (21,696) (17,674) 15,103
-------- -------- -------
Net Increase (Decrease) in Net Assets Resulting from
Operations ............................................. ($ 20,832) ($ 13,141) $20,596
======== ========= =======
</TABLE>
See accompanying Notes to Financial Statements
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1995
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The
The Continental The
Emerging Small Large Cap
Markets Company International
Portfolio Portfolio Portfolio
----------- ------------- ---------------
<S> <C> <C> <C>
Investment Income
Dividends, (Net of Foreign Taxes Withheld of $0, $817
and $149, respectively) ............................ -- $ 8,012 $1,260
Interest .............................................. -- 515 140
Income from Securities Lending ........................ -- 117 19
Net Investment Income from the DFA Investment Trust
Company ............................................ $ 516 -- --
-------- -------- -------
Total Investment Income ............................ 516 8,644 1,419
-------- -------- -------
Expenses
Investment Advisory Services .......................... -- 1,781 147
Administrative Services ............................... 122 -- --
Accounting & Transfer Agent Fees ...................... 38 411 84
Custodian's Fee ....................................... -- 302 60
Legal Fees ............................................ 14 29 10
Audit Fees ............................................ 10 21 7
Filing Fees ........................................... 21 28 4
Shareholders' Reports ................................. 2 13 4
Directors' Fees and Expenses .......................... 2 12 5
Other ................................................. 9 42 15
-------- -------- -------
Total Expenses ..................................... 218 2,639 336
-------- -------- -------
Net Investment Income ................................. 298 6,005 1,083
-------- -------- -------
Net Realized and Unrealized Gain (Loss) on Investments
and Foreign Currency
Net Realized Gain (Loss) on Investment Securities ....... (169) 16,669 (444)
Net Realized Gain (Loss) on Foreign Currency Transactions (57) 466 (120)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ............ (2,547) (26,692) 4,369
Translation of Foreign Currency Denominated Amounts ... (3) (49) (5)
-------- -------- -------
Net Gain (Loss) on Investment Securities and Foreign
Currency ........................................... (2,776) (9,606) 3,800
-------- -------- -------
Net Increase (Decrease) in Net Assets Resulting from
Operations ............................................ ($ 2,478) ($ 3,601) $4,883
========= ========== ======
</TABLE>
See accompanying Notes to Financial Statements
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR (OR PERIOD) ENDED NOVEMBER 30, 1995
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA The DFA
International International The DFA
High Book Small Cap One Year
to Market Value Fixed Income
Portfolio Portfolio(1) Portfolio
--------------- --------------- --------------
<S> <C> <C> <C>
Investment Income
Dividends, (Net of Foreign Taxes Withheld of $0, $100 and
$0, respectively ...................................... $2,951 $ 914 $36,959
Interest ................................................. -- 323 --
------ ------ -------
Total Investment Income ................................ 2,951 1,237 36,959
------ ------ -------
Expenses ...................................................
Investment Advisory Services ............................. -- 299 --
Administrative Services .................................. 80 -- 619
Accounting & Transfer Agent Fees ......................... 19 53 19
Custodian's Fee .......................................... -- 184 --
Client Service Fee ....................................... 200 -- --
Legal Fees ............................................... 3 11 2
Audit Fees ............................................... 3 7 3
Filing Fees .............................................. 34 1 25
Shareholders' Reports .................................... 1 2 1
Directors' Fees and Expenses ............................. 1 1 1
Other .................................................... 15 13 3
------ ------ -------
Total Expenses ......................................... 356 571 673
------ ------ -------
Net Investment Income .................................... 2,595 666 36,286
------ ------ -------
Net Realized and Unrealized Gain (Loss) on Investments and
Foreign Currency
Net Realized Gain (Loss) on Investment Securities .......... 194 124 (1,504)
Net Realized Loss on Foreign Currency Transactions ......... -- (13) --
Change in Unrealized Appreciation (Depreciation) of: .......
Investment Securities and Foreign Currency ................ 6,730 (6,181) 11,442
Translation of Foreign Currency Denominated Amounts ....... -- 190 --
------ ------ -------
Net Gain (Loss) on Investment Securities and Foreign
Currency ................................................ 6,924 (5,880) 9,938
------ ------ -------
Net Increase (Decrease) in Net Assets Resulting from
Operations ............................................... $9,519 ($5,214) $46,224
====== ====== =======
</TABLE>
- ------
(1) For the period December 30, 1994 (commencement of operations) to November
30, 1995.
See accompanying Notes to Financial Statements
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1995
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA
The DFA The DFA Intermediate
Five-Year Global Government
Government Fixed Income Fixed Income
Portfolio Portfolio Portfolio
------------ -------------- --------------
<S> <C> <C> <C>
Investment Income
Interest .............................................. $17,047 $10,892 $4,577
------- ------- ------
Expenses ................................................
Investment Advisory Services .......................... 531 433 102
Accounting & Transfer Agent Fees ...................... 103 212 42
Custodian's Fee ....................................... 33 54 8
Legal Fees ............................................ 9 18 4
Audit Fees ............................................ 8 13 3
Filing Fees ........................................... 55 37 15
Shareholders' Reports ................................. 7 8 2
Directors' Fees and Expenses .......................... 5 8 2
Other ................................................. 2 15 8
------- ------- ------
Total Expenses ....................................... 753 798 186
------- ------- ------
Net Investment Income ................................. 16,294 10,094 4,391
------- ------- ------
Net Realized and Unrealized Gain (Loss) on Investments
and Foreign Currency
Net Realized Gain (Loss) on Investment Securities ....... (8,073) 2,020 874
Net Realized Gain on Foreign Currency Transactions ...... -- 5,130 --
Change in Unrealized Appreciation (Depreciation) of: ....
Investment Securities and Foreign Currency ............. 15,097 6,020 6,019
Translation of Foreign Currency Denominated Amounts .... -- 1,699 --
------- ------- ------
Net Gain on Investment Securities and Foreign Currency . 7,024 14,869 6,893
------- ------- ------
Net Increase in Net Assets Resulting from Operations .... $23,318 $24,963 $11,284
======= ======= =======
</TABLE>
See accompanying Notes to Financial Statements
<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
---------------------------- ---------------------------- -----------------------
Year Ended Year Ended Year Ended Year Ended Year Ended YearEnded
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1995 1994 1995 1994
------------ ------------ ------------ ------------ ----------- ---------
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................... $ 3,611 $ 1,079 $ 1,298 $ 898 $ 1,724 $ 1,192
Net Realized Gain (Loss) on
Investment Securities ................ 75,321 (5,176) 10,114 11,504 120 (79)
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities ........................... 137,059 36,497 27,538 (11,694) 21,406 (712)
-------- -------- -------- -------- ------- -------
Net Increase in Net Assets
Resulting from Operations ....... 215,991 32,400 38,950 708 23,250 401
-------- -------- -------- -------- ------- -------
Distributions From:
Net Investment Income ................... (3,238) (2,008) (1,307) (950) (1,728) (1,195)
Net Realized Gains ...................... (6,831) (42,251) (14,069) (2,940) (107) (302)
-------- -------- -------- -------- ------- -------
Total Distribution ................. (10,069) (44,259) (15,376) (3,890) (1,835) (1,497)
-------- -------- -------- -------- ------- -------
Capital Share Transactions (1):
Shares Issued ........................... 109,270 59,828 45,619 17,429 40,956 19,913
Shares Issued in Lieu of Cash
Distributions ........................ 9,373 41,874 13,251 2,701 1,534 1,385
Shares Redeemed ......................... (58,312) (61,540) (7,937) (41,674) (15,432) (9,394)
-------- -------- -------- -------- ------- -------
Net Increase (Decrease) From Capital
Shares Transactions ................ 60,331 40,162 50,933 (21,544) 27,058 11,904
-------- -------- -------- -------- ------- -------
Total Increase (Decrease) ............ 266,253 28,303 74,507 (24,726) 48,473 10,808
Net Assets
Beginning of Period ..................... 659,221 630,918 112,137 136,863 48,638 37,830
-------- -------- -------- -------- ------- -------
End of Period ........................... $925,474 $659,221 $186,644 $112,137 $ 97,111 $48,638
======== ======== ======== ======== ======== =======
(1) Shares Issued and Redeemed:
Shares Issued ........................... 11,210 7,035 4,106 1,488 2,610 1,439
Shares Issued in Lieu of Cash
Distribution ......................... 863 5,184 1,242 243 94 101
Shares Redeemed ......................... (5,753) (7,182) (702) (3,586) (927) (677)
-------- -------- -------- -------- ------- -------
6,320 5,037 4,646 (1,855) 1,777 863
======== ======== ======== ======== ======== =======
</TABLE>
See accompanying Notes to Financial Statements
<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
---------------------------- ---------------------------- -----------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1995 1994 1995 1994
------------ ------------ ------------ ------------ ------------ ----------
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................... $ 4,049 $ 3,853 $ 5,438 $ 4,977 $ 2,480 $ 1,076
Net Realized Gain (Loss) on
Investment Securities ................ 7,489 (58) 2,203 (287) 18 (1,018)
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities ........................... 104,890 (9,476) 61,756 (10,672) 2,018 (3,869)
-------- -------- -------- -------- ------- -------
Net Increase (Decrease) in Net
Assets Resulting from Operations 116,428 (5,681) 69,397 (5,982) 4,516 (3,811)
-------- -------- -------- -------- ------- -------
Distributions From:
Net Investment Income ................... (4,090) (3,912) (5,439) (5,021) (1,853) (819)
Net Realized Gains ...................... (6,604) (18) (3,499) -- -- --
Tax Return of Capital ................... -- -- -- -- (433) (223)
-------- -------- -------- -------- ------- -------
Total Distribution ................. (10,694) (3,930) (8,938) (5,021) (2,286) (1,042)
-------- -------- -------- -------- ------- -------
Capital Share Transactions (1):
Shares Issued ........................... 195,639 270,394 109,335 131,587 13,000 14,934
Shares Issued in Lieu of Cash
Distributions ........................ 7,554 2,989 6,778 4,262 2,071 956
Shares Redeemed ......................... (43,125) (15,306) (93,223) (17,568) (4,322) (2,687)
-------- -------- -------- -------- ------- -------
Net Increase From Capital
Shares Transactions ................ 160,068 258,077 22,890 118,281 10,749 13,203
-------- -------- -------- -------- ------- -------
Total Increase ....................... 265,802 248,466 83,349 107,278 12,979 8,350
Net Assets
Beginning of Period ..................... 344,148 95,682 197,566 90,288 30,456 22,106
-------- -------- -------- -------- ------- -------
End of Period ........................... $609,950 $344,148 $280,915 $197,566 $43,435 $30,456
======== ======== ======== ======== ======== =======
(1) Shares Issued and Redeemed:
Shares Issued ........................... 15,322 23,309 9,379 12,672 1,279 1,410
Shares Issued in Lieu of Cash
Distribution ......................... 550 271 544 418 209 102
Shares Redeemed ......................... (3,313) (1,320) (8,714) (1,678) (429) (253)
-------- -------- -------- -------- ------- -------
12,559 22,260 1,209 11,412 1,059 1,259
======== ======== ======== ======== ======== =======
</TABLE>
See accompanying Notes to Financial Statements
<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
---------------------------- ---------------------------- -----------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1995 1994 1995 1994
------------ ------------ ------------ ------------ ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income .................... $ 864 $ 291 $ 4,533 $ 2,824 $ 5,493 $ 4,071
Net Realized Gain (Loss) on Investment
Securities ............................ 6,621 7,526 6,273 13,511 16,821 5,982
Net Realized Gain (Loss) on Foreign
Currency Transactions ................. 46 104 9 (29) (32) 241
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency .............................. (28,340) 53,458 (23,959) (10,031) (1,683) 10,476
Translation of Foreign Currency
Denominated Amounts ................... (23) 29 3 (3) (3) (9)
-------- -------- -------- -------- ------- -------
Net Increase (Decrease) in Net Assets
Resulting from Operations ............ (20,832) 61,408 (13,141) 6,272 20,596 20,761
-------- -------- -------- -------- ------- -------
Distributions From:
Net Investment Income .................... (891) (476) (4,485) (2,873) (5,241) (4,712)
Net Realized Gains ....................... (8,541) (7,597) (3,585) (11,598) (2,120) --
-------- -------- -------- -------- ------- -------
Total Distribution .................... (9,432) (8,073) (8,070) (14,471) (7,361) (4,712)
-------- -------- -------- -------- ------- -------
Capital Share Transactions (1):
Shares Issued ............................ 103,808 92,490 21,624 49,088 29,396 29,201
Shares Issued in Lieu of Cash
Distributions ......................... 9,432 8,055 8,070 14,471 7,361 4,712
Shares Redeemed .......................... (42,537) (32,450) (28,299) (7,030) (96,375) (17,638)
-------- -------- -------- -------- ------- -------
Net Increase (Decrease) From Capital
Shares Transactions ................. 70,703 68,095 1,395 56,529 (59,618) 16,275
-------- -------- -------- -------- ------- -------
Total Increase (Decrease) ............. 40,439 121,430 (19,816) 48,330 (46,383) 32,324
Net Assets
Beginning of Period ...................... 330,674 209,244 212,953 164,623 214,113 181,789
-------- -------- -------- -------- ------- -------
End of Period ............................ $371,113 $330,674 $193,137 $212,953 $167,730 $214,113
======== ======== ======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued ......................... 4,585 3,540 1,426 2,819 1,177 1,191
Shares Issued in Lieu of Cash
Distribution ........................ 384 363 552 900 302 207
Shares Redeemed ....................... (1,869) (1,191) (1,878) (395) (3,746) (734)
-------- -------- -------- -------- ------- -------
3,100 2,712 100 3,324 2,267 634
======== ======== ======== ======== ======== ========
</TABLE>
See accompanying Notes to Financial Statements
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The Emerging The Continental The Large Cap
Markets Small Company International
Portfolio Portfolio Portfolio
----------------------------- ---------------------------- -----------------------
Year Ended April 25 to Year Ended Year Ended Year Ended Year Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1995 1994 1995 1994
------------ ------------- ------------ ------------ ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) ............ $ 298 $ (25) $ 6,005 $ 3,951 $ 1,083 $ 698
Net Realized Gain (Loss) on
Investment Securities ................ (169) 20 16,669 373 (444) 2,920
Net Realized Gain (Loss) on Foreign
Currency Transactions ................ (57) (7) 466 160 (120) (253)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency ............................. (2,547) 453 (26,692) 42,265 4,369 5,619
Translation of Foreign Currency
Denominated Amounts .................. (3) 1 (49) 232 (5) 1
-------- -------- -------- -------- ------- -------
Net Increase (Decrease) in Net Assets
Resulting from Operations .......... (2,478) 442 (3,601) 46,981 4,883 8,985
-------- -------- -------- -------- ------- -------
Distributions From:
Net Investment Income ................... (230) -- (6,257) (4,700) (934) (442)
Net Realized Gains ...................... -- -- (500) (1,249) (1,072) (2,062)
Tax Return of Capital ................... -- -- -- (247) -- --
-------- -------- -------- -------- ------- -------
Total Distribution ................... (230) -- (6,757) (6,196) (2,006) (2,504)
-------- -------- -------- -------- ------- -------
Capital Share Transactions (1):
Shares Issued ........................... 39,528 15,458 40,567 53,091 30,608 27,006
Shares Issued in Lieu of Cash
Distributions ........................ 230 -- 6,757 6,196 2,006 2,504
Shares Redeemed ......................... (3,444) (169) (63,842) (25,255) (23,186) (58,828)
-------- -------- -------- -------- ------- -------
Net Increase (Decrease) From Capital
Shares Transactions ................ 36,314 15,289 (16,518) 34,032 9,428 (29,318)
-------- -------- -------- -------- ------- -------
Total Increase (Decrease) ............ 33,606 15,731 (26,876) 74,817 12,305 (22,837)
Net Assets
Beginning of Period ..................... 15,731 -- 340,992 266,175 55,635 78,472
-------- -------- -------- -------- ------- -------
End of Period ........................... $49,337 $15,731 $314,116 $340,992 $ 67,940 $55,635
======== ======== ======== ======== ======== =======
(1) Shares Issued and Redeemed:
Shares Issued ........................ 3,674 1,406 2,644 3,469 2,502 2,184
Shares Issued in Lieu of Cash
Distribution ....................... 23 -- 470 436 166 213
Shares Redeemed ...................... (323) (14) (4,198) (1,696) (1,946) (4,696)
-------- -------- -------- -------- ------- -------
3,374 1,392 (1,084) 2,209 722 (2,299)
======== ======== ======== ======== ======== =======
</TABLE>
See accompanying Notes to Financial Statements
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA The DFA
International International The DFA One-Year
High Book to Market Small Cap Value Fixed Income
Portfolio Portfolio Portfolio
------------------------ --------------- --------------------------
Year Year Dec. 30, 1994 Year Year
Ended Ended to Ended Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1995 1995 1994
---------- ---------- --------------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets ..........
Operations:
Net Investment Income .................... $ 2,595 $ 1,304 $ 666 $ 36,286 $ 27,760
Net Realized Gain (Loss) on Investment
Securities ............................ 194 (87) 124 (1,504) (1,304)
Net Realized Gain (Loss) on Foreign
Currency Transactions ................. -- 3 (13) -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency .............................. 6,730 9,498 (6,181) 11,442 (11,577)
Translation of Foreign Currency
Denominated Amounts ................... -- 1 190 -- --
---------- -------- -------- -------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations ........... 9,519 10,719 (5,214) 46,224 14,879
---------- -------- -------- -------- ---------
Distributions From:
Net Investment Income .................... (2,601) (1,291) (588) (36,352) (27,753)
Net Realized Gains ....................... (337) -- (114) (405) (1,035)
---------- -------- -------- -------- ---------
Total Distribution ...................... (2,938) (1,291) (702) (36,757) (28,788)
---------- -------- -------- -------- ---------
Capital Share Transactions (1):
Shares Issued ............................ 63,111 51,332 154,664 357,430 335,714
Shares Issued in Lieu of Cash
Distributions ......................... 2,938 1,291 702 26,485 22,977
Shares Redeemed .......................... (13,565) (12,334) (2,325) (280,658) (360,956)
---------- -------- -------- -------- ---------
Net Increase (Decrease) From Capital
Shares Transactions ................. 52,484 40,289 153,041 103,257 (2,265)
---------- -------- -------- -------- ---------
Total Increase (Decrease) ............. 59,065 49,717 147,125 112,724 (16,174)
Net Assets
Beginning of Period ...................... 112,952 63,235 -- 592,226 608,400
---------- -------- -------- -------- ---------
End of Period ............................ $172,017 $112,952 $147,125 $ 704,950 $ 592,226
========== ======== ======== ========= =========
(1) Shares Issued and Redeemed:
Shares Issued ......................... 5,362 4,443 15,363 35,060 33,060
Shares Issued in Lieu of Cash
Distribution ........................ 245 114 73 2,620 2,270
Shares Redeemed ....................... (1,162) (1,061) (232) (27,540) (35,610)
---------- -------- -------- -------- ---------
4,445 3,496 15,204 10,140 (280)
========== ========= ======== ======== =========
</TABLE>
See accompanying Notes to Financial Statements
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA The DFA
Five Year The DFA Global Intermediate Gov't
Government Fixed Income Fixed Income
Portfolio Portfolio Portfolio
------------------------ ------------------------ ------------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1995 1994 1995 1994
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................... $ 16,294 $ 10,856 $ 10,094 $ 7,160 $ 4,391 $ 3,790
Net Realized Gain (Loss) on
Investment Securities ................ (8,073) (2,385) 2,020 (5,468) 874 17
Net Realized Gain (Loss) on Foreign
Currency Transactions ................ -- -- 5,130 (2,805) -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency ............................. 15,097 (15,321) 6,020 (2,230) 6,019 (6,528)
Translation of Foreign Currency
Denominated Amounts .................. -- -- 1,699 138 -- --
-------- -------- -------- -------- -------- -------
Net Increase (Decrease) in Net Assets
Resulting from Operations .......... 23,318 (6,850) 24,963 (3,205) 11,284 (2,721)
-------- -------- -------- -------- -------- -------
Distributions From:
Net Investment Income ................... (16,191) (10,710) (13,843) (5,328) (4,374) (3,752)
Net Realized Gains ...................... -- (18) -- (97) (578) (739)
-------- -------- -------- -------- -------- -------
Total Distribution ..................... (16,191) (10,728) (13,843) (5,425) (4,952) (4,491)
-------- -------- -------- -------- -------- -------
Capital Share Transactions (1):
Shares Issued ........................... 128,212 132,388 95,850 76,462 30,310 22,801
Shares Issued in Lieu of Cash
Distributions ........................ 11,921 8,954 9,165 3,622 1,636 1,851
Shares Redeemed ......................... (81,893) (52,714) (43,498) (37,453) (21,018) (9,664)
-------- -------- -------- -------- -------- -------
Net Increase From Capital
Shares Transactions ................ 58,240 88,628 61,517 42,631 10,928 14,988
-------- -------- -------- -------- -------- -------
Total Increase ....................... 65,367 71,050 72,637 34,001 17,260 7,776
Net Assets
Beginning of Period ..................... 235,554 164,504 135,529 101,528 60,827 53,051
-------- -------- -------- -------- -------- -------
End of Period ........................... $300,921 $235,554 $208,166 $135,529 $ 78,087 $60,827
-------- -------- -------- -------- -------- -------
(1) Shares Issued and Redeemed:
Shares Issued ........................ 12,740 12,920 9,380 7,600 2,770 2,100
Shares Issued in Lieu of Cash
Distribution ....................... 1,190 910 890 360 150 170
Shares Redeemed ...................... (8,160) (5,250) (4,270) (3,760) (1,920) (900)
-------- -------- -------- -------- -------- -------
5,770 8,580 6,000 4,200 1,000 1,370
======== ======== ======== ======== ======== =======
</TABLE>
See accompanying Notes to Financial Statements
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
The U.S. 9-10 Small Company Portfolio
---------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1993 1992 1991
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ............ $ 8.49 $ 8.69 $ 7.75 $ 6.33 $ 5.34
---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
Net Investment Income ......... 0.05 0.01 0.03 0.04 0.04
Net Gain (Losses) on Securities
(Realized and Unrealized) .. 2.61 0.40 1.67 1.53 1.64
---------- ---------- ---------- ---------- ----------
Total From Investment
Operations ............... 2.66 0.41 1.70 1.57 1.68
- ----------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ......... (0.04) (0.03) (0.05) (0.05) (0.07)
Net Realized Gains ............ (0.08) (0.58) (0.71) (0.10) (0.62)
---------- ---------- ---------- ---------- ----------
Total Distributions ........ (0.12) (0.61) (0.76) (0.15) (0.69)
- ----------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .. $ 11.03 $ 8.49 $ 8.69 $ 7.75 $ 6.33
====================================================================================================
Total Return .................... 31.37% 5.06% 23.91% 25.24% 39.08%
- ----------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $925,474 $659,221 $630,918 $651,313 $722,289
Ratio of Expenses to Average Net
Assets ........................ 0.62% 0.65% 0.70% 0.68% 0.64%
Ratio of Net Investment Income to
Average Net Assets ............ 0.45% 0.16% 0.26% 0.53% 0.75%
Portfolio Turnover Rate ......... 24.65% 16.56% 9.87% 9.72% 10.13%
- ----------------------------------------------------------------------------------------------------
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
Year Year Year Year Year
Ended Ended Ended Ended Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1990 1989 1988 1987 1986
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ............ $ 7.74 $ 7.66 $ 7.50 $ 8.94 $ 8.88
---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
Net Investment Income ......... 0.07 0.07 0.10 0.09 0.12
Net Gain (Losses) on Securities
(Realized and Unrealized) .. (1.77) 0.98 1.48 (1.53) 1.15
---------- ---------- ---------- ---------- ----------
Total From Investment
Operations ............... (1.70) 1.05 1.58 (1.44) 1.27
- ----------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ......... (0.08) (0.09) (0.11) -- (0.23)
Net Realized Gains ............ (0.62) (0.88) (1.31) -- (0.98)
---------- ---------- ---------- ---------- ----------
Total Distributions ........ (0.70) (0.97) (1.42) -- (1.21)
- ----------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .. $ 5.34 $ 7.74 $ 7.66 $ 7.50 $ 8.94
====================================================================================================
Total Return .................... (24.09)% 16.09% 24.36% (16.04)% 14.88%
- ----------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $561,102 $949,291 $912,518 $788,821 $952,580
Ratio of Expenses to Average Net
Assets ........................ 0.62% 0.62% 0.62% 0.61% 0.62%
Ratio of Net Investment Income to
Average Net Assets ............ 0.99% 0.86% 1.19% 0.92% 1.14%
Portfolio Turnover Rate ......... 3.79% 7.86% 25.98% 23.05% 14.19%
- ----------------------------------------------------------------------------------------------------
</TABLE>
(Adjusted to reflect a 1,900% stock dividend as of November 28, 1986)
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. 6-10 Small Company Portfolio
---------------------------------------------------
Year Year Year March 20
Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1993 1992
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ......................... $ 11.08 $ 11.43 $ 10.35 $ 10.00
---------- ---------- ----------- ----------
Income From Investment
Operations
Net Investment Income ......... 0.09 0.09 0.08 0.04
Net Gain (Losses) on Securities
(Realized and Unrealized) .. 2.81 (0.07) 1.43 0.31
---------- ---------- ----------- ----------
Total From Investment
Operations ................. 2.90 0.02 1.51 0.35
- ------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ......... (0.14) (0.09) (0.11) --
Net Realized Gains ............ (1.20) (0.28) (0.32) --
---------- ---------- ----------- ----------
Total Distributions ........... (1.34) (0.37) (0.43) --
- ------------------------------------------------------------------------------------------
Net Asset Value, End of Period .. $ 12.64 $ 11.08 $ 11.43 $ 10.35
==========================================================================================
Total Return .................... 28.75% 0.22% 14.72% 6.70%#
- ------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $186,644 $112,137 $ 136,863 $134,418
Ratio of Expenses to Average Net
Assets** ...................... 0.49% 0.53% 0.58% 0.48%*
Ratio of Net Investment Income to
Average Net Assets ............ 0.83% 0.72% 0.70% 0.96%*
Portfolio Turnover Rate ......... N/A*** N/A*** 1.81%*(b) 3.41%*
- -------------------------------------------------------------------------------------------
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
The U.S. Large Company Portfolio
----------------------------------------------------------------------
Year Year Year Year Dec. 31, 1990
Ended Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1993 1992 1991
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ......................... $ 13.58 $ 13.91 $ 13.12 $ 11.44 $ 10.00
---------- ---------- ------------ ---------- ---------------
Income From Investment
Operations
Net Investment Income ......... 0.35 0.37 0.36 0.36 0.34
Net Gain (Losses) on Securities
(Realized and Unrealized) .. 4.57 (0.22) 0.87 1.69 1.34
---------- ---------- ------------ ---------- ---------------
Total From Investment
Operations ................. 4.92 0.15 1.23 2.05 1.68
- -----------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ......... (0.36) (0.37) (0.44) (0.37) (0.24)
Net Realized Gains ............ (0.02) (0.11) -- -- --
---------- ---------- ------------ ---------- ---------------
Total Distributions ........... (0.38) (0.48) (0.44) (0.37) (0.24)
- -----------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .. $ 18.12 $ 13.58 $ 13.91 $ 13.12 $ 11.44
===========================================================================================================
Total Return .................... 36.54% 1.04% 9.48% 18.23% 16.80%#
- -----------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $ 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) 0.11%(a) 0.00%*(a)
Ratio of Net Investment Income to
Average Net Assets ............ 2.29%(a) 2.75%(a) 2.48%(a) 2.86%(a) 3.42%*(a)
Portfolio Turnover Rate ......... N/A*** N/A*** 27.67%*(b) 3.56% 0.97%*
- -----------------------------------------------------------------------------------------------------------
</TABLE>
<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. See accompanying Notes to
Financial Statements
*** 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 November 30, 1995,
1994, 1993, 1992 and 1991 would have been 0.46%, 0.66%, 0.79%, 0.53% and 191
0.52%, respectively, and the ratios of net investment income to average
net assets for the periods ended November 30, 1995, 1994, 1993, 1992, and
1991 would have been 2.23%, 2.64%, 2.28%, 2.44% and 2.90%, respectively.
(b) Portfolio turnover calculated for the periods 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
<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
------------------------------------- -------------------------------------
Year Year March 2 Year Year Feb. 19
Ended Ended to Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1993 1995 1994 1993
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ............ $ 11.13 $ 11.04 $ 10.00 $ 9.91 $ 10.60 $ 10.00
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
Net Investment Income ......... 0.10 0.14 0.11 0.29 0.32 0.18
Net Gain (Losses) on Securities
(Realized and Unrealized) .. 3.06 0.10 1.03 3.55 (0.68) 0.59
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations ............... 3.16 0.24 1.14 3.84 (0.36) 0.77
- -----------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ......... (0.10) (0.15) (0.10) (0.29) (0.33) (0.17)
Net Realized Gains ............ (0.16) -- -- (0.17) -- --
Tax Return of Capital ......... -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions ........ (0.26) (0.15) (0.10) (0.46) (0.33) (0.17)
- -----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .. $ 14.03 $ 11.13 $ 11.04 $ 13.29 $ 9.91 $ 10.60
=================================================================================================================
Total Return .................... 28.41% 2.19% 11.39%# 39.13% (3.27)% 7.59%#
- -----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $609,950 $344,148 $95,682 $280,915 $197,566 $90,288
Ratio of Expenses to Average Net
Assets** ...................... 0.64% 0.66% 0.70%* 0.42% 0.44% 0.47%*
Ratio of Net Investment Income to
Average Net Assets ............ 0.85% 1.69% 1.97%* 2.49% 3.50% 3.38%*
Portfolio Turnover Rate ......... N/A*** N/A*** N/A*** N/A*** N/A*** N/A***
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
The DFA/AEW Real
Estate Securities
Portfolio
-------------------------------------
Year Year Jan. 5
Ended Ended to
Nov. 30, Nov. 30, Nov. 30,
1995 1994 1993
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
Net Asset Value,
Beginning of Period ............ $ 9.28 $ 10.92 $ 10.00
---------- ---------- ----------
Income From Investment
Operations
Net Investment Income ......... 0.61 0.37 0.20
Net Gain (Losses) on Securities
(Realized and Unrealized) .. 0.68 (1.65) 0.91
---------- ---------- ----------
Total From Investment
Operations ............... 1.29 (1.28) 1.11
- ---------------------------------------------------------------------------
Less Distributions
Net Investment Income ......... (0.46) (0.28) (0.19)
Net Realized Gains ............ -- -- --
Tax Return of Capital ......... (0.11) (0.08) --
---------- ---------- ----------
Total Distributions ........ (0.57) (0.36) (0.19)
- ---------------------------------------------------------------------------
Net Asset Value, End of Period .. $ 10.00 $ 9.28 $ 10.92
===========================================================================
Total Return .................... 14.00% (11.76)% 11.08%#
- ---------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $43,435 $30,456 $ 22,106
Ratio of Expenses to Average Net
Assets** ...................... 0.82% 0.90% 0.88%*
Ratio of Net Investment Income to
Average Net Assets ............ 6.76% 3.90% 2.63%*
Portfolio Turnover Rate ......... 0.66% 28.87% 0.55%*
- ---------------------------------------------------------------------------
</TABLE>
<PAGE>
*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. 192
***Refer to the respective Master Fund Series
#Non-annualized.
See accompanying Notes to Financial Statements
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The Japanese Small Company Portfolio
---------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1993 1992 1991
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ............ $ 25.06 $ 19.96 $ 18.92 $ 25.05 $ 26.27
---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
Net Investment Income (Loss) .. 0.06 0.05 0.04 0.04 (0.01)
Net Gain (Losses) on Securities
(Realized and Unrealized) .. (1.65) 5.76 1.75 (5.69) 0.51
---------- ---------- ---------- ---------- ----------
Total From Investment
Operations ............... (1.59) 5.81 1.79 (5.65) 0.50
- ----------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ......... (0.06) (0.04) (0.05) -- --
Net Realized Gains ............ (0.63) (0.67) (0.70) (0.48) (1.72)
---------- ---------- ---------- ---------- ----------
Total Distributions ........ (0.69) (0.71) (0.75) (0.48) (1.72)
- ----------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .. $ 22.78 $ 25.06 $ 19.96 $ 18.92 $ 25.05
====================================================================================================
Total Return .................... (6.54)% 29.59% 9.52% (23.01)% 1.68%
- ----------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $371,113 $330,674 $209,244 $139,892 $159,475
Ratio of Expenses to Average Net
Assets ........................ 0.74% 0.76% 0.82% 0.78% 0.78%
Ratio of Net Investment Income to
Average Net Assets ............ 0.25% 0.10% 0.06% 0.10% (0.11)%
Portfolio Turnover Rate ......... 7.79% 10.51% 9.36% 5.00% 2.71%
- ----------------------------------------------------------------------------------------------------
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
Year Year Year Year Jan. 31
Ended Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1990 1989 1988 1987 1986
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ............ $ 38.33 $ 31.03 $ 24.87 $ 14.39 $ 10.35
---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
Net Investment Income (Loss) .. (0.03) (0.09) (0.05) (0.01) 0.01
Net Gain (Losses) on Securities
(Realized and Unrealized) .. (10.74) 9.09 10.42 10.53 4.03
---------- ---------- ---------- ---------- ----------
Total From Investment
Operations ............... (10.77) 9.00 10.37 10.52 4.04
- ----------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ......... -- -- -- -- --
Net Realized Gains ............ (1.29) (1.70) (4.21) (0.04) --
---------- ---------- ---------- ---------- ----------
Total Distributions ........ (1.29) (1.70) (4.21) (0.04) --
- ----------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .. $ 26.27 $ 38.33 $ 31.03 $ 24.87 $ 14.39
====================================================================================================
Total Return .................... (29.12)% 30.63% 47.62% 73.09% 38.37%#
- ----------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $149,100 $168,820 $107,863 $60,450 $ 45,683
Ratio of Expenses to Average Net
Assets ........................ 0.83% 0.76% 0.76% 0.78% 0.79%*
Ratio of Net Investment Income to
Average Net Assets ............ (0.22)% (0.34)% (0.23)% (0.08)% 0.07%*
Portfolio Turnover Rate ......... 10.26% 5.76% 9.14% 0.07% 0.00%*
- ----------------------------------------------------------------------------------------------------
</TABLE>
*Annualized
#Non-annualized
See accompanying Notes to Financial Statements
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The Pacific Rim
Company Portfolio
-------------------------------
Year Year Jan. 5
Ended Ended to
Nov. 30, Nov. 30, Nov. 30,
1995 1994 1993
- -------------------------------------------------------------
<S> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $ 15.98 $ 16.45 $ 10.00
-------- -------- --------
Income From Investment
Operations .............
Net Investment Income . 0.34 0.23 0.11
Net Gain (Losses) on
Securities (Realized
and Unrealized) .... (1.33) 0.47 6.46
-------- -------- --------
Total From
Investment
Operations ....... (0.99) 0.70 6.57
- -------------------------------------------------------------
Less Distributions
Net Investment Income . (0.34) (0.23) (0.09)
Net Realized Gains .... (0.27) (0.94) (0.03)
-------- -------- --------
Total Distributions (0.61) (1.17) (0.12)
- -------------------------------------------------------------
Net Asset Value, End of
Period ................ $ 14.38 $ 15.98 $ 16.45
=============================================================
Total Return ............ (6.27)% 4.26% 65.71%#
- -------------------------------------------------------------
Net Assets, End of Period
(thousands) ........... $193,137 $212,953 $164,623
Ratio of Expenses to
Average Net Assets .... 0.83% 0.95% 1.16%*
Ratio of Net Investment
Income to Average Net
Assets ................ 2.22% 1.47% 1.27%*
Portfolio Turnover Rate . 5.95% 26.05% 2.77%*
- -------------------------------------------------------------
</TABLE>
<PAGE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
The United Kingdom Small Company Portfolio
----------------------------------------------------------------------------------------------------
Year Year Year Year Year Year Year Year Year Jan. 31
Ended Ended Ended Ended Ended Ended Ended Ended Ended to Nov.
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, 30,
1995 1994 1993 1992 1991 1990 1989 1988 1987 1986
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $23.20 $21.22 $16.38 $21.37 $20.41 $22.55 $28.29 $23.41 $16.29 $14.03
------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Income From Investment
Operations .............
Net Investment Income . 0.84 0.48 0.45 0.64 0.69 0.92 0.52 0.61 0.17 0.46
Net Gain (Losses) on
Securities (Realized
and Unrealized) .... 1.12 2.03 5.34 (4.98) 1.71 (1.34) (4.75) 5.18 7.35 1.80
------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Total From
Investment
Operations ....... 1.96 2.51 5.79 (4.34) 2.40 (0.42) (4.23) 5.79 7.52 2.26
- -----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income . (0.76) (0.53) (0.95) (0.65) (0.90) (0.75) (0.54) (0.28) (0.36) --
Net Realized Gains .... (0.31) -- -- -- (0.54) (0.97) (0.97) (0.63) (0.04) --
------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Total Distributions (1.07) (0.53) (0.95) (0.65) (1.44) (1.72) (1.51) (0.91) (0.40) --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................$ 24.09 $ 23.20 $ 21.22 $ 16.38 $ 21.37 $ 20.41 $ 22.55 $ 28.29 $ 23.41 $ 16.29
===================================================================================================================================
Total Return ............ 8.39% 11.85% 36.42% (20.93)% 12.55% (2.22)% (15.40)% 23.66% 47.44% 13.19%#
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ........ $167,730 $214,113 $181,789 $121,086 $146,873 $127,137 $119,385 $121,337 $82,197 $ 29,275
Ratio of Expenses to
Average Net Assets .. 0.72% 0.74% 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 ................ 2.51% 1.95% 2.22% 3.19% 3.44% 4.34% 2.24% 2.58% 1.92% 3.99%*
Portfolio Turnover Rate . 7.82% 10.75% 8.21% 4.41% 4.50% 10.86% 11.38% 12.55% 9.50% 11.81%*
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Annualized
#Non-annualized
See accompanying Notes to Financial Statements
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The
Emerging Markets
Portfolio
-----------------------
Year April 25
Ended to
Nov. 30, Nov. 30,
1995 1994
- -------------------------------------------------------------
<S> <C> <C>
Net Asset Value,
Beginning of Period ............ $ 11.30 $ 10.00
----------- ----------
Income From Investment
Operations
Net Investment Income (Loss) .. 0.06 (0.02)
Net Gain (Losses) on Securities
(Realized and Unrealized) .. (0.96) 1.32
----------- ----------
Total From Investment
Operations ............... (0.90) 1.30
- -------------------------------------------------------------
Less Distributions
Net Investment Income ......... (0.05) --
Net Realized Gains ............ -- --
Tax Return of Capital ......... -- --
----------- ----------
Total Distributions .......... (0.05) --
- -------------------------------------------------------------
Net Asset Value, End of Period .. $ 10.35 $ 11.30
=============================================================
Total Return .................... (7.96)% 13.00%#
- -------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $49,337 $ 15,731
Ratio of Expenses to Average Net
Assets ........................ 1.58%+ 2.43%*+
Ratio of Net Investment Income to
Average Net Assets ............ 0.98% (0.44)%*
Portfolio Turnover Rate ......... N/A*** N/A***
- -------------------------------------------------------------
</TABLE>
<PAGE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
The Continental Small Company Portfolio
--------------------------------------------------------------------------------------------------
Year Year Year Year Year Year Year April 15
Ended Ended Ended Ended Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1993 1992 1991 1990 1989 1988
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .......... $14.63 $12.62 $11.39 $14.18 $16.24 $16.15 $12.02 $10.00
------- ------- ------- ------- ------- ------- ------- -------
Income From Investment
Operations
Net Investment Income (Loss) . 0.29 0.18 0.23 0.28 0.27 0.25 0.12 0.17
Net Gain (Losses) on Securities
(Realized and Unrealized) .. (0.48) 2.10 1.46 (2.11) (1.66) 0.31 4.10 1.85
------- ------- ------- ------- ------- ------- ------- -------
Total From Investment
Operations ............... (0.19) 2.28 1.69 (1.83) (1.39) 0.56 4.22 2.02
- -----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ......... (0.29) (0.19) (0.44) (0.26) (0.29) (0.20) (0.09) --
Net Realized Gains ............ (0.02) (0.07) (0.02) (0.70) (0.38) (0.27) -- --
Tax Return of Capital ......... -- (0.01) -- -- -- -- -- --
------- ------- ------- ------- ------- ------- ------- -------
Total Distributions .......... (0.31) (0.27) (0.46) (0.96) (0.67) (0.47) (0.09) --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .$ 14.13 $ 14.63 $ 12.62 $ 11.39 $ 14.18 $ 16.24 $ 16.15 $ 12.02
===================================================================================================================================
Total Return ................. (1.33)% 18.19% 15.27% (13.85)% (9.11)% 3.50% 35.62% 20.01%#
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................ $314,116 $340,992 $266,175 $196,845 $214,054 $245,465 $199,065 $78,689
Ratio of Expenses to Average Net
Assets ...................... 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 ........... 1.69% 1.21% 1.61% 2.11% 1.68% 1.63% 1.41% 3.27%*
Portfolio Turnover Rate ........ 9.79% 10.22% 8.99% 6.35% 7.69% 6.24% 5.70% 0.26%*
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The Large Cap International Portfolio
----------------------------------------------------------------
Year Year Year Year July 15
Ended Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1993 1992 1991
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ............ $ 11.91 $ 11.26 $ 9.63 $ 10.64 $10.00
---------- ---------- ---------- ---------- -----------
Income From Investment
Operations
Net Investment Income ......... 0.15 0.09 0.15 0.11 0.06
Net Gains (Losses) on
Securities (Realized and
Unrealized) ................ 0.95 1.11 1.72 (1.04) 0.58
---------- ---------- ---------- ---------- -----------
Total From Investment
Operations ................. 1.10 1.20 1.87 (0.93) 0.64
- ------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ......... (0.18) (0.09) (0.24) (0.07) --
Net Realized Gains ............ (0.23) (0.46) -- (0.01) --
---------- ---------- ---------- ---------- -----------
Total Distributions ........... (0.41) (0.55) (0.24) (0.08) --
- ------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .. $ 12.60 $ 11.91 $ 11.26 $ 9.63 $10.64
======================================================================================================
Total Return .................... 9.37% 10.74% 19.55% (9.00)% 2.88%#
- ------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $67,940 $55,635 $78,472 $26,041 $4,360
Ratio of Expenses to Average Net
Assets** ...................... 0.57% 0.66% 0.55%(a) 0.50%(a) 0.50%*(a)
Ratio of Net Investment Income to
Average Net Assets ............ 1.84% 1.18% 1.94%(a) 1.75%(a) 1.96%*(a)
Portfolio Turnover Rate ......... 24.44% 33.15% 0.28% 0.20% 2.38%*
- ------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
The DFA
The DFA International International
High Book to Market Small Cap Value
Portfolio Portfolio
--------------------------------------- ---------------
Year Year June 10 Dec. 30, 1994
Ended Ended to to
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1993 1995
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ............ $ 11.44 $ 9.92 $ 10.00 $ 10.00
---------- ----------- ----------- ---------------
Income From Investment
Operations
Net Investment Income ......... 0.19 0.14 0.06 0.05
Net Gains (Losses) on
Securities (Realized and
Unrealized) ................ 0.60 1.52 (0.11) (0.32)
---------- ----------- ----------- ---------------
Total From Investment
Operations ................. 0.79 1.66 (0.05) (0.27)
- -----------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ......... (0.19) (0.14) (0.03) (0.04)
Net Realized Gains ............ (0.02) -- -- (0.01)
---------- ----------- ----------- ---------------
Total Distributions ........... (0.21) (0.14) (0.03) (0.05)
- -----------------------------------------------------------------------------------------------
Net Asset Value, End of Period .. $ 12.02 $ 11.44 $ 9.92 $ 9.68
===============================================================================================
Total Return .................... 6.95% 16.71% (0.50)%# (2.73)%#
- -----------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $172,017 $112,952 $63,235 $147,125
Ratio of Expenses to Average Net
Assets** ...................... 0.68% 0.69%(b) 0.65%*(b) 1.23%*(d)
Ratio of Net Investment Income to
Average Net Assets ............ 1.85% 1.39%(b) 1.40%*(b) 1.43%*(d)
Portfolio Turnover Rate ......... N/A*** 0.15%*(c) 0.41%* 1.62%*
- -----------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Represents the combined ratio for The DFA International High Book to
Market Portfolio and its pro-rata share of its Master Fund Series for the
year ended November 30, 1994 and subsequent periods.
*** Refer to the respective Master Fund Series.
# Non-annualized
(a) Had certain fees and expenses not been waived or reimbursed, the ratios
of expenses to average net assets for the periods ended November 30,
1993, 1992 and 1991 would have been 0.66%, 1.35% and 2.31%, respectively,
and the ratios of net investment income to average net assets for the
periods ended November 30, 1993, 1992 and 1991 would have been 1.83%,
0.90% and 0.15%, respectively.
(b) Had certain waivers not been in effect, the ratios of expenses to average
net assets for the periods ended November 30, 1994 and 1993 would have
been 0.73% and 0.82%, respectively, and the ratios of net investment
income to average net assets for the periods ended November 30, 1994 and
1993 would have been 1.38% and 1.23%, respectively.
(c) Portfolio turnover calculated for the period December 1, 1993 to February
15, 1994 (through date of Exchange transaction, see respective Master
Fund Series for rate subsequent to Exchange transaction).
(d) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
See accompanying Notes to Financial Statements
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
The DFA One-Year Fixed Income Portfolio
----------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1993 1992 1991
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ............ $ 10.05 $ 10.28 $ 10.35 $ 10.33 $ 10.19
---------- ---------- ----------- ---------- ----------
Income From Investment
Operations
Net Investment Income ......... 0.60 0.46 0.35 0.43 0.68
Net Gain (Losses) on Securities
(Realized and Unrealized) .. 0.17 (0.21) 0.11 0.06 0.16
---------- ---------- ----------- ---------- ----------
Total From Investment
Operations ............... 0.77 0.25 0.46 0.49 0.84
- -------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ......... (0.60) (0.46) (0.38) (0.44) (0.70)
Net Realized Gains ............ (0.01) (0.02) (0.15) (0.03) --
---------- ---------- ----------- ---------- ----------
Total Distributions ........ (0.61) (0.48) (0.53) (0.47) (0.70)
- -------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .. $ 10.21 $ 10.05 $ 10.28 $ 10.35 $ 10.33
=======================================================================================================
Total Return .................... 7.80% 2.48% 4.62% 5.64% 8.61%
- -------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $704,950 $592,226 $608,400 $561,879 $469,276
Ratio of Expenses to Average Net
Assets** ...................... 0.20% 0.21% 0.21% 0.21% 0.21%
Ratio of Net Investment Income to
Average Net Assets ............ 5.86% 4.47% 3.38% 4.81% 6.75%
Portfolio Turnover Rate ......... N/A*** N/A*** 61.95%(a) 125.56% 82.26%
- -------------------------------------------------------------------------------------------------------
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
Year Year Year Year Year
Ended Ended Ended Ended Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1990 1989 1988 1987 1986
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ............ $ 10.16 $ 10.12 $ 10.12 $ 10.27 $ 10.18
---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
Net Investment Income ......... 0.83 0.82 0.78 0.69 0.76
Net Gain (Losses) on Securities
(Realized and Unrealized) .. 0.04 0.03 (0.04) (0.08) 0.15
---------- ---------- ---------- ---------- ----------
Total From Investment
Operations ............... 0.87 0.85 0.74 0.61 0.91
- -----------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ......... (0.84) (0.81) (0.74) (0.68) (0.78)
Net Realized Gains ............ -- -- -- (0.08) (0.04)
---------- ---------- ---------- ---------- ----------
Total Distributions ........ (0.84) (0.81) (0.74) (0.76) (0.82)
- -----------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .. $ 10.19 $ 10.16 $ 10.12 $ 10.12 $ 10.27
=====================================================================================================
Total Return .................... 8.88% 9.53% 7.61% 6.14% 9.45%
- -----------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $412,907 $360,146 $341,551 $342,436 $332,018
Ratio of Expenses to Average Net
Assets** ...................... 0.21% 0.22% 0.22% 0.22% 0.23%
Ratio of Net Investment Income to
Average Net Assets ............ 8.27% 8.77% 7.70% 6.82% 7.42%
Portfolio Turnover Rate ......... 96.30% 0.00% 80.74% 162.18% 138.50%
- -----------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
(Adjusted to reflect a 900% stock dividend as of January 2, 1996)
**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 See accompanying Notes to
Financial Statements
(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
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The DFA Five-Year Government Portfolio
--------------------------------------------------
Year Year Year Year
Ended Ended Ended Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1993 1992
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ............ $ 9.75 $ 10.55 $ 10.88 $ 11.25
---------- ---------- ---------- ----------
Income From Investment
Operations
Net Investment Income ......... 0.59 0.48 0.47 0.57
Net Gain (Losses) on Securities
(Realized and Unrealized) .. 0.30 (0.80) 0.49 0.31
---------- ---------- ---------- ----------
Total From Investment
Operations ............... 0.89 (0.32) 0.96 0.88
- ----------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ......... (0.59) (0.48) (0.73) (0.76)
Net Realized Gains ............ -- -- (0.56) (0.49)
---------- ---------- ---------- ----------
Total Distributions ........ (0.59) (0.48) (1.29) (1.25)
- ----------------------------------------------------------------------------------------
Net Asset Value, End of Period .. $ 10.05 $ 9.75 $ 10.55 $ 10.88
========================================================================================
Total Return .................... 9.35% (3.13)% 9.46% 8.59%
- ----------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $300,921 $235,554 $164,504 $83,543
Ratio of Expenses to Average Net
Assets ........................ 0.28% 0.31% 0.31% 0.31%
Ratio of Net Investment Income to
Average Net Assets ............ 6.14% 5.08% 4.75% 5.82%
Portfolio Turnover Rate ......... 398.09% 52.39% 152.10% 218.60%
- ---------------------------------------------------------------------------------------
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
Year Year Year Year May 31
Ended Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1991 1990 1989 1988 1987
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ............ $ 10.64 $ 10.46 $ 10.42 $ 10.33 $ 10.00
---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
Net Investment Income ......... 0.81 0.76 0.85 0.62 0.38
Net Gain (Losses) on Securities
(Realized and Unrealized) .. 0.54 0.20 0.05 0.09 (0.05)
---------- ---------- ---------- ---------- ----------
Total From Investment
Operations ............... 1.35 0.96 0.90 0.71 0.33
- -----------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ......... (0.74) (0.78) (0.86) (0.58) --
Net Realized Gains ............ -- -- -- (0.04) --
---------- ---------- ---------- ---------- ----------
Total Distributions ........ (0.74) (0.78) (0.86) (0.62) --
- -----------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .. $ 11.25 $ 10.64 $ 10.46 $ 10.42 $ 10.33
=====================================================================================================
Total Return .................... 13.44% 9.72% 9.33% 7.13% 3.26%#*
- -----------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $ 56,971 $ 52,260 $ 53,039 $ 4,863 $ 4,258
Ratio of Expenses to Average Net
Assets ........................ 0.30% 0.30% 0.30% 0.28% 0.27%*
Ratio of Net Investment Income to
Average Net Assets ............ 7.16% 7.91% 8.49% 7.97% 7.50%*
Portfolio Turnover Rate ......... 223.18% 165.50% 312.59% 253.31% 100.85%*
- ----------------------------------------------------------------------------------------------------
</TABLE>
(Adjusted to reflect a 900% stock dividend as of January 2, 1996)
* Annualized
#Non-annualized
See accompanying Notes to Financial Statements
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The DFA Global Fixed Income Portfolio
-----------------------------------------------------------------
Year Year Year Year Year Nov. 6
Ended Ended Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1993 1992 1991 1990
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $ 9.81 $ 10.56 $ 10.36 $ 10.47 $ 10.02 $ 10.00
-------- -------- -------- -------- -------- --------
Income From Investment
Operations
Net Investment Income . 0.39 0.35 0.40 0.54 0.66 0.04
Net Gain (Losses) on
Securities (Realized
and Unrealized) .... 1.08 (0.65) 0.73 0.26 0.26 (0.02)
-------- -------- -------- -------- -------- --------
Total From
Investment
Operations ....... 1.47 (0.30) 1.13 0.80 0.92 0.02
- -----------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income . (0.77) (0.44) (0.45) (0.64) (0.47) --
Net Realized Gains .... -- (0.01) (0.48) (0.27) -- --
-------- -------- -------- -------- -------- --------
Total Distributions (0.77) (0.45) (0.93) (0.91) (0.47) --
- -----------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................ $ 10.51 $ 9.81 $ 10.56 $ 10.36 $ 10.47 $ 10.02
===============================================================================================
Total Return ............ 15.23% (2.91)% 11.42% 8.00% 11.00% 0.22%#
- -----------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ........... $208,166 $135,529 $101,528 $54,607 $31,647 $ 8,474
Ratio of Expenses to
Average Net Assets .... 0.46% 0.49% 0.52% 0.58% 0.67% 0.51%*
Ratio of Net Investment
Income to Average Net
Assets ................ 5.80% 5.75% 5.09% 5.52% 6.74% 6.92%*
Portfolio Turnover Rate . 130.41% 113.55% 139.57% 210.39% 194.25% 0.00%*
- -----------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
The DFA Intermediate Government Fixed Income Portfolio
-----------------------------------------------------------------
Year Year Year Year Year Oct. 22
Ended Ended Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1993 1992 1991 1990
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $ 10.22 $ 11.59 $ 11.20 $ 11.02 $ 10.27 $ 10.00
-------- -------- -------- -------- -------- --------
Income From Investment
Operations
Net Investment Income . 0.70 0.69 0.55 0.76 0.84 0.09
Net Gain (Losses) on
Securities (Realized
and Unrealized) .... 1.11 (1.22) 0.66 0.26 0.63 0.18
-------- -------- -------- -------- -------- --------
Total From
Investment
Operations ....... 1.81 (0.53) 1.21 1.02 1.47 0.27
- -----------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income . (0.70) (0.68) (0.73) (0.78) (0.72) --
Net Realized Gains .... (0.09) (0.16) (0.09) (0.06) -- --
-------- -------- -------- -------- -------- --------
Total Distributions (0.79) (0.84) (0.82) (0.84) (0.72) --
- -----------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................ $ 11.24 $ 10.22 $ 11.59 $ 11.20 $ 11.02 $ 10.27
===============================================================================================
Total Return ............ 18.04% (4.72)% 12.84% 9.70% 14.94% 2.63%#
- -----------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ........... $78,087 $60,827 $53,051 $40,160 $29,393 $25,567
Ratio of Expenses to
Average Net Assets .... 0.27% 0.29% 0.32% 0.29% 0.28% 0.23%*
Ratio of Net Investment
Income to Average Net
Assets ................ 6.44% 6.45% 6.41% 7.05% 7.86% 8.73%*
Portfolio Turnover Rate . 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
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION AND EXCHANGE:
At November 30, 1995, DFA Investment Dimensions Group Inc. (the "Fund")
consisted of twenty-four portfolios: The U.S. 9-10 Small Company Portfolio,
The U.S. 6-10 Small Company Portfolio, The U.S. Large Company Portfolio, The
U.S. Small Cap Value Portfolio, The U.S. Large Cap Value Portfolio, The
DFA/AEW Real Estate Securities Portfolio, The Japanese Small Company
Portfolio, The Pacific Rim Small Company Portfolio, The United Kingdom Small
Company Portfolio, The Emerging Markets Portfolio, The Continental Small
Company Portfolio, The Large Cap International Portfolio, The DFA
International High Book to Market Portfolio, The DFA International Small Cap
Value Portfolio, The DFA One-Year Fixed Income Portfolio, The DFA Five-Year
Government Portfolio, The DFA Global Fixed Income Portfolio, 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. These financial
statements relate solely to the Portfolios.
In February 1993, The U.S. 6-10 Small Company Portfolio, The U.S. Large
Company Portfolio and The DFA One-Year Fixed Income Portfolio, transferred
their investable assets for shares with equal values of corresponding series
of The DFA Investment Trust Company. In February 1994, The DFA International
High Book to Market Portfolio transferred its investable assets for shares
with an equal value of a corresponding series of The DFA Investment Trust
Company ("the Exchanges"). These portfolios, along with The U.S. Small Cap
Value Portfolio, The U.S. Large Cap Value Portfolio, and The Emerging Markets
Portfolio (collectively "the Feeder Funds") invest solely in a corresponding
series in The DFA Investment Trust Company: The U.S. 6-10 Small Company
Series, The U.S. Large Company Series, The U.S. Small Cap Value Series, The
U.S. Large Cap Value Series, The DFA One-Year Fixed Income Series, The DFA
International Value Series, and The Emerging Markets Series ("the Master
Funds"). At November 30, 1995, The U.S. 6-10 Small Company Portfolio, The
U.S. Large Company Portfolio, The U.S. Small Cap Value Portfolio, The U.S.
Large Cap Value Portfolio, The DFA One-Year Fixed Income Portfolio, The DFA
International High Book to Market Portfolio and The Emerging Markets
Portfolio owned approximately 84%, 100%, 98%, 66%, 99%, 28% and 99%
respectively, of the outstanding shares or net assets of its corresponding
Master Fund. The financial statements of the Master Funds are included
elsewhere in this report and should be read in conjunction with the financial
statements of the Feeder Funds.
The Exchanges are not expected to have any adverse tax effects on the
Portfolios. The transfer of a Portfolio's assets to a Series in exchange for
shares of beneficial interest in the Series is, in the opinion of counsel to
the Fund, expected to be a tax-free event, and, therefore, will not result in
the recognition of any taxable gain (or loss) for each Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies are consistently followed by the Fund in preparation of its
financial statements.
1. Security Valuation: Securities held by The U.S. 9-10 Small Company
Portfolio and The DFA/AEW Real Estate Securities Portfolio (the "Domestic
Equity Portfolios") which are listed on a securities exchange and for which
market quotations are readily available are valued at the last quoted sale
price of the day, or if there is no such reported sale, at the mean between
the most recent bid and asked prices. Securities held by The Japanese Small
Company Portfolio, The Pacific Rim Small Company Portfolio, The United
Kingdom Small Company Portfolio, The Continental Small Company Portfolio, The
Large Cap International Portfolio and The DFA International Small Cap Value
Portfolio (the "International Equity Portfolios") which are listed on a
securities exchange are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the
security is primarily traded.
<PAGE>
Unlisted securities for which market quotations are readily available are
valued at the mean between the most recent bid and asked prices. Securities
for which quotations are not readily available are valued in good faith at
fair value using methods determined by the Board of Directors.
Securities held by The DFA Five-Year Government Portfolio, The DFA Global
Fixed Income Portfolio and The DFA Intermediate Government Fixed Income
Portfolio (the "Fixed Income Portfolios"), are valued on the basis of prices
provided by a pricing service when such prices are believed to reflect the
fair market value of such securities. Securities for which quotations are not
readily available are valued in good faith at fair value using methods
determined by the Board of Directors.
Master Fund shares held by the Feeder Funds are valued at their respective
daily net asset values or for The Emerging Markets Portfolio, its investment
reflects its proportionate interest in the net assets of the corresponding
Master Fund.
2. Foreign Currency: Securities and other assets and liabilities of the
International Equity Portfolios and The DFA Global Fixed Income Portfolio
whose values are initially expressed in foreign currencies are translated to
U.S. dollars at the bid price of such currency against U.S. dollars last
quoted by a major bank. Dividend and interest income and certain expenses are
translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement. The DFA Global
Fixed Income Portfolio also enters into forward foreign currency contracts
solely for the purpose of hedging against fluctuations in currency exchange
rates. These contracts are also marked to market daily based on daily
exchange rates.
The International Equity Portfolios do not 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.
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.
<PAGE>
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 year ended November 30, 1995, 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 bear all of the ordinary operating expenses of
The U.S. Large Company Portfolio except for the administrative service fee.
With respect to The DFA International High Book to Market Portfolio, the
Advisor agreed to waive its advisory fees through February 15, 1994 to the
extent necessary to keep the cumulative annual expenses to not more than
0.65% of average net assets of the Portfolio.
For the year or period ended November 30, 1995, 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 DFA One-Year Fixed Income Portfolio .................... .10 of 1%
The DFA International High Book to Market Portfolio ........ .20 of 1%
(applied to the first $40 million of average net assets)
The Emerging Markets Portfolio ............................. .40 of 1%
In addition, pursuant to a Client Service Agreement with Reinhardt Werba
Bowen Advisory Services, ("RWBAS"), The DFA International High Book to Market
Portfolio pays to RWBAS a fee at the effective annual rate of .20% of the
average net assets of the portfolio in excess of $40 million.
Certain officers of the Portfolios are also officers, directors and
shareholders of the Advisor.
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the year or period ended November 30, 1995, the Portfolios made the
following purchases and sales of investment securities:
<TABLE>
<CAPTION>
Other
U.S. Government Investment
Securities Securities
------------------------- -------------------------
Purchases Sales Purchases Sales
----------- ---------- ----------- ----------
(000) (000) (000) (000)
<S> <C> <C> <C> <C>
The U.S. 9-10 Small Company Portfolio ......... $228,070 $194,585
The DFA/AEW Real Estate Securities Portfolio .. -- -- 12,207 234
The Japanese Small Company Portfolio .......... -- -- 88,033 24,154
The Pacific Rim Small Company Portfolio ....... -- -- 11,791 20,960
The United Kingdom Small Company Portfolio .... -- -- 16,343 77,433
The Continental Small Company Portfolio ....... -- -- 33,615 44,544
The Large Cap International Portfolio ......... -- -- 21,917 13,844
The DFA International Small Cap Value Portfolio -- -- 146,047 772
The DFA Five-Year Government Portfolio ........ $637,046 $876,857 -- --
The DFA Global Fixed Income Portfolio ......... 323,265 63,462 208,264 149,723
The DFA Intermediate Government Fixed Income
Portfolio .................................... 37,598 26,617 -- --
</TABLE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1995, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities
and foreign currencies for each Portfolio were as follows:
<TABLE>
<CAPTION>
Gross Unrealized Gross Unrealized
Appreciation Depreciation Net
---------------- ---------------- ----------
(000) (000) (000)
<S> <C> <C> <C>
The U.S. 9-10 Small Company Portfolio ................ $331,831 $(133,710) $198,121
The U.S. 6-10 Small Company Portfolio ................ 43,657 -- 43,657
The U.S. Large Company Portfolio ..................... 27,480 -- 27,480
The U.S. Small Cap Value Portfolio ................... 103,451 -- 103,451
The U.S. Large Cap Value Portfolio ................... 53,143 -- 53,143
The DFA/AEW Real Estate Securities Portfolio ......... 2,023 (3,085) (1,062)
The Japanese Small Company Portfolio ................. 34,407 (35,986) (1,579)
The Pacific Rim Small Company Portfolio .............. 37,707 (27,320) 10,387
The United Kingdom Small Company Portfolio ........... 44,018 (38,701) 5,317
The Emerging Markets Portfolio ....................... 2,973 (5,067) (2,094)
The Continental Small Company Portfolio .............. 66,113 (56,062) 10,051
The Large Cap International Portfolio ................ 14,754 (896) 13,858
The DFA International High Book to Market Portfolio .. 15,574 -- 15,574
The DFA International Small Cap Value Portfolio ...... 4,783 (10,964) (6,181)
The DFA One-Year Fixed Income Portfolio .............. 4,804 -- 4,804
The DFA Five-Year Government Portfolio ............... 2 (3) (1)
The DFA Global Fixed Income Portfolio ................ 5,351 -- 5,351
The DFA Intermediate Government Fixed Income Portfolio 3,467 (48) 3,419
</TABLE>
<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 Large Cap International Portfolio ............. -- -- 202 202
The DFA International High Book to Market Portfolio $ 17 -- 5 22
The DFA One-Year Fixed Income Portfolio ........... -- -- 5 5
The DFA Five Year Government Portfolio ............ -- 2,306 8,152 10,458
The DFA Global Fixed Income Portfolio ............. -- 3,448 -- 3,448
</TABLE>
F. COMPONENTS OF NET ASSETS AND SHARES AUTHORIZED:
<TABLE>
<CAPTION>
At November 30, 1995 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 ................ $664,476 $ 5,143 $ 57,734 -- $ 198,121 -- $925,474 300,000,000
The U.S. 6-10 Small Company
Portfolio ................ 137,710 (11) 5,288 -- 43,657 -- 186,644 100,000,000
The U.S. Large Company
Portfolio ................ 69,879 2 (250) -- 27,480 -- 97,111 200,000,000
The U.S. Small Cap Value
Portfolio ................ 505,697 (21) 823 -- 103,451 -- 609,950 100,000,000
The U.S. Large Cap Value
Portfolio ................ 229,343 15 (1,586) -- 53,143 -- 280,915 100,000,000
The DFA/AEW Real Estate
Securities Portfolio ..... 45,509 -- (1,012) -- (1,062) -- 43,435 100,000,000
The Japanese Small Company
Portfolio ................ 369,935 268 2,451 $ 46 (1,579) $ (8) 371,113 20,000,000
The Pacific Rim Small
Company Portfolio ........ 177,479 73 5,189 9 10,387 -- 193,137 20,000,000
The United Kingdom Small
Company Portfolio ........ 147,236 576 14,651 (32) 5,317 (18) 167,730 20,000,000
The Emerging Markets
Portfolio ................ 51,591 68 (169) (57) (2,094) (2) 49,337 100,000,000
The Continental Small
Company Portfolio ........ 287,836 569 15,157 466 10,051 37 314,116 50,000,000
The Large Cap International
Portfolio ................ 54,712 169 (678) (120) 13,858 (1) 67,940 150,000,000
The DFA International High
Book to Market Portfolio . 156,688 19 (264) -- 15,574 -- 172,017 100,000,000
The DFA International Small
Cap Value Portfolio ...... 153,041 78 10 (13) (6,181) 190 147,125 100,000,000
The DFA One-Year Fixed
Income Portfolio ......... 703,457 13 (3,324) -- 4,804 -- 704,950 100,000,000
The DFA Five-Year
Government Portfolio ..... 311,085 294 (10,457) -- (1) -- 300,921 100,000,000
The DFA Global Fixed Income
Portfolio ................ 203,161 (4,248) (3,453) 5,130 5,351 2,225 208,166 100,000,000
The DFA Intermediate
Government Fixed Income
Portfolio ................ 74,279 78 311 -- 3,419 -- 78,087 100,000,000
</TABLE>
<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 November 30, 1995.
2. Forward Foreign Currency Contracts: The DFA Global Fixed Income
Portfolio may enter into forward foreign currency contracts to hedge against
adverse changes in the relationship of the U.S. dollar to foreign currencies.
At November 30, 1995, the Portfolio had entered into the following contracts
and the related net unrealized gain is reflected in the accompanying
financial statements:
<TABLE>
<CAPTION>
Unrealized
Value at Foreign
Expiration Contract November 30, Exchange Gain
Date Currency Sold Amount 1995 (Loss)
------------ ------------------------------------ -------------- -------------- ---------------
<S> <C> <C> <C> <C>
12/11/95 11,624,740 Canadian Dollar $ 8,558,301 $ 8,559,005 $ (704)
12/11/95 897,652,778 Japanese Yen 8,797,930 8,853,503 (55,573)
12/11/95 8,138,872 Canadian Dollar 6,001,144 5,991,148 9,996
12/18/95 14,416,000 French Francs 2,955,370 2,892,057 63,313
12/18/95 5,336,799 British Pound Sterling 8,313,185 8,141,847 171,338
12/20/95 354,954,000 Japanese Yen 3,485,788 3,504,157 (18,369)
12/27/95 43,834,400 German Marks 31,139,242 30,282,267 856,975
12/27/95 93,582,081 French Francs 19,264,689 18,767,724 496,965
12/27/95 7,766,847 British Pound Sterling 12,130,106 11,885,779 244,327
12/27/95 24,554,515 Canadian Dollar 18,134,529 18,074,560 59,969
12/29/95 4,735,561,111 Japanese Yen 46,947,171 46,814,920 132,251
12/29/95 24,805,542 German Marks 17,346,775 17,148,434 198,341
12/29/95 23,273,358 Australian Dollar 17,431,745 17,253,643 178,102
------------ ------------ ----------
TOTALS $200,505,975 $198,169,044 $2,336,931
============ ============ ==========
</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.
<PAGE>
H. REIMBURSEMENT FEES:
Shares of the Japanese Small Company Portfolio, The Pacific Rim Small
Company Portfolio, The United Kingdom Small Company Portfolio, The Emerging
Markets Portfolio, The Continental Small Company Portfolio and the DFA
International Small Cap Value Portfolio are sold at a public offering price
which is equal to the current net asset value of such shares plus a
reimbursement fee. Reimbursement fees are recorded as an addition to paid in
capital.
On June 30, 1995, the reimbursement fees were reduced with respect to The
Japanese Small Company Portfolio, The Pacific Rim Small Company Portfolio,
The Emerging Markets Portfolio, The Continental Small Company Portfolio and
The DFA International Small Cap Value Portfolio, and eliminated with respect
to The United Kingdom Small Company Portfolio. The reimbursement fees for The
Japanese Small Company Portfolio and The Emerging Markets Portfolio are .50%
of the net asset value of their shares. The reimbursement fees for The
Pacific Rim Small Company Portfolio and The Continental Small Company
Portfolio are now 1.00% of the net asset value of their shares. The
reimbursement fee for The DFA International Small Cap Value Portfolio is now
.70% of the net asset value of its shares. Previously, the reimbursement fees
for The Japanese Small Company Portfolio and The DFA International Small Cap
Value Portfolio were 1% of the net asset value of their shares; the
reimbursement fees for The Pacific Rim Small Company Portfolio, The United
Kingdom Small Company Portfolio, The Emerging Markets Portfolio and The
Continental Small Company Portfolio were 1.5% of the net asset value of their
shares.
I. SECURITIES LENDING:
Loans of domestic securities are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on
loan. Loans of international securities are required at all times to be
secured by collateral at least equal to 105% of the market value of the
securities on loan. However, in the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. The market value of securities on loan
to brokers and the related collateral cash and indemnification received by
each Portfolio at November 30, 1995, is as follows:
Value Value of
of Securities Collateral and
on Loan Indemnification
--------------- ---------------
International Equity Portfolios
- -------------------------------
The Japanese Small Company Portfolio ... $106,605,194 $113,264,715
The Pacific Rim Small Company Portfolio.. 4,316,328 5,417,197
The Continental Small Company Portfolio.. 10,535,097 11,502,473
The Large Cap International Portfolio .. 4,664,994 4,947,280
Domestic Equity Portfolios
- --------------------------
The U.S. 9-10 Small Company Portfolio .. 41,731,985 45,027,082
J. SUBSEQUENT EVENTS:
Effective December 1, 1995, in addition to the existing fees reimbursed to
the U.S. Large Company Portfolio, the Advisor has agreed to waive its fee
and/or reimburse this Portfolio to the extent that the indirect expenses this
Portfolio bears as a result of its proportionate interest in the corresponding
Master Fund, on an annual basis, exceed .025 of 1% of this Portfolio's
average net assets.
On December 20, 1995, the Board of Directors of DFA Investment Dimensions
Group Inc. (the "Board") 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 is January 1, 1996, and the ex-date and payable dates are
January 2, 1996. This is 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.
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Board of Directors of
DFA Investment Dimensions Group Inc.:
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments of DFA Investment Dimensions Group
Inc. (comprising, respectively, The U.S. 9-10 Small Company, The U.S. 6-10
Small Company, The U.S. Large Company, The U.S. Small Cap Value, The U.S.
Large Cap Value, The DFA/AEW Real Estate Securities, The Japanese Small
Company, The Pacific Rim Small Company, The United Kingdom Small Company, The
Emerging Markets, The Continental Small Company, The Large Cap International,
The DFA International High Book To Market, The DFA International Small Cap
Value, The DFA One-Year Fixed Income, The DFA Five-Year Government, The DFA
Global Fixed Income and The DFA Intermediate Government Fixed Income
Portfolios) as of November 30, 1995, and the related statements of operations
for the year (or period) then ended, the statements of changes in net assets
for each of the two years (or periods) in the period then ended and, the
financial highlights for each of the three years (or periods) in the period
then ended. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits. The financial highlights of the DFA Investment Dimensions Group Inc.
for the years ended November 30, 1992 and each of the prior periods presented
were audited by other auditors, whose report dated January 19, 1993 expressed
an unqualified opinion thereon.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
investments owned as of November 30, 1995, by correspondence with the
custodians and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
each of the aforementioned portfolios constituting the DFA Investment
Dimensions Group Inc. as of November 30, 1995, and the results of their
operations for the year (or period) then ended, the changes in their net
assets for each of the two years (or periods) in the period then ended, and
their financial highlights for each of the three years (or periods) in the
period then ended, in conformity with generally accepted accounting
principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 19, 1996
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
U.S. 6-10 Small Company Series vs.
CRSP 6-10 Index
March 1993-November 1995
The following reflects the growth of a $10,000 investment.
U.S. 6-10 CRSP
Small Company 6-10
Series Index
------------- -----
9302 10000 10000
9303 10237 10313
9304 9927.843 10001.55
9305 10329.92 10457.62
9306 10288.6 10497.36
9307 10370.91 10622.28
9308 10721.45 11111.96
9309 11009.85 11431.99
9310 11247.67 11785.24
9311 10974.35 11422.25
9312 11289.31 11768.34
9401 11639.28 12174.35
9402 11548.49 12102.52
9403 10995.32 11442.94
9404 11018.41 11397.16
9405 10962.22 11294.59
9406 10646.51 11002.06
9407 10804.07 11192.4
9408 11322.67 11832.6
9409 11379.28 11875.2
9410 11424.8 11863.32
9411 11038.64 11404.21
9412 11177.73 11553.61
9501 11251.5 11573.25
9502 11620.55 11995.67
9503 11841.34 12251.18
9504 12234.47 12570.94
9505 12480.39 12794.7
9506 13119.38 13503.52
9507 13931.47 14365.05
9508 14336.88 14737.1
9509 14594.94 15052.48
9510 13844.76 14284.8
9511 14258.72 14791.91
Annualized One From
Total Return (%) Year March 1993
- ------------------------------------------------------------------------------
29.17 13.77
* The portfolio seeks to capture
premimum returns and diversification
benefits by investing in a broad
cross-section of small companies on a
market cap-weighted basis. The U.S. 6-10
Small Company Series provides access
to publicly traded U.S. Small
Companies with market capitalization
of approximately $500 million or
less.
* This portfolio's returns in fiscal
1995 reflected the performance of
decile 6-10 companies in the U.S.
Past performance is not predictive of
future performance.
CRSP 6-10 Index courtesy of the Center for Research in Security
Prices, University of Chicago.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
U.S. Large Company Series
vs. S&P 500 Index
March 1993-November 1995
The following reflects the growth of a $10,000 investment.
U.S.
Large Company S&P 500
Series Index
------------- -------
9302 10000 10000
9303 10212 10215
9304 9958.74 9964.73
9305 10221.65 10233.78
9306 10243.12 10267.55
9307 10202.15 10219.29
9308 10579.63 10608.65
9309 10508.74 10530.15
9310 10724.17 10743.91
9311 10621.22 10642.91
9312 10756.11 10773.82
9401 11108.91 11134.75
9402 10807.86 10720
9403 10349.6 10362.82
9404 10485.18 10497.54
9405 10651.9 10668.65
9406 10400.51 10405.13
9407 10736.45 10749.54
9408 11176.65 11187.05
9409 10912.88 10917.44
9410 11155.14 11167.45
9411 10759.13 10757.61
9412 10918.37 10914.67
9501 11196.79 11140
9502 11635.7 11632.95
9503 11977.79 11977.28
9504 12321.55 12325.82
9505 12815.65 12812.69
9506 13118.1 13113.79
9507 13551 13550.48
9508 13583.52 13587.07
9509 14158.1 14156.37
9510 14104.3 14106.82
9511 14713.61 14727.52
Annualized From
Total Return (%) One Year March 1993
- ------------------------------------------------------------------------------
36.75 15.08
* The portfolio provides access to U.S.
large companies in a portfolio
structured to approximate the
performance of the S&P 500 Index.
* This portfolio's returns in fiscal
1995 reflected the performance of S&P
500 companies.
Past performance is not predictive of
future performance.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
U.S. Small Cap Value Series
vs. Fama-French Small Cap Value Index
March 1993-November 1995
The following reflects the growth of a $10,000 investment.
U.S.
Small Cap Fama-French
Value Series Index
------------ ---------
9302 10000 10000
9303 10343 10372
9304 10123.73 10047.36
9305 10395.04 10456.28
9306 10405.44 10443.74
9307 10718.64 10588.9
9308 11073.43 10927.75
9309 11458.79 11125.54
9310 11844.95 11570.56
9311 11645.95 11386.59
9312 11880.04 11675.81
9401 12493.04 12229.24
9402 12461.81 12155.87
9403 12049.33 11652.62
9404 12133.67 11737.68
9405 12176.14 11698.95
9406 11954.53 11457.95
9407 12155.37 11740.96
9408 12578.38 12162.46
9409 12535.61 12110.16
9410 12356.35 11904.29
9411 11941.18 11509.07
9412 12064.17 11604.59
9501 12193.26 11792.58
9502 12623.68 12271.36
9503 12773.9 12413.71
9504 13226.1 12803.5
9505 13603.04 13076.22
9506 14141.72 13507.73
9507 14916.69 14050.74
9508 15389.55 14501.77
9509 15583.46 14743.95
9510 14830.78 14086.37
9511 15382.48 14482.2
Annualized From
Total Return (%) One Year March 1993
- ------------------------------------------------------------------------------
28.82 16.95
* Dimensional's multifactor portfolios
attempt to capture return premiums
associated with high book-to-market
ratios and small market capitalization.
The U.S. Small Cap Value Series
invests on a market cap-weighted basis
in companies that have a market cap of
approximately $500 million or less and
have book-to-market ratios in the upper
30% of publicly traded U.S. companies.
* This portfolio's returns in fiscal
1995 reflected the performance of small
cap high book-to-market U.S. companies.
Past performance is not predictive of
future performance.
Fama-French Small Cap Value Index courtesy of
the Fama-French and CRSP, University of
Chicago.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
U.S. Large Cap Value Series
vs. Fama-French Large Cap Value Index
March 1993-November 1995
The following reflects the growth of a $10,000 investment.
U.S.
Large Cap Fama-French
Value Series Index
------------- ----------
9302 10000 10000
9303 10298 10302
9304 10268.14 10247.4
9305 10379.03 10333.48
9306 10600.11 10500.88
9307 10750.63 10622.69
9308 11011.87 10979.61
9309 10820.26 10868.72
9310 10951.19 10906.76
9311 10849.34 10742.07
9312 11109.72 11018.14
9401 11428.57 11241.81
9402 10914.29 10748.29
9403 10472.26 10273.22
9404 10636.67 10418.07
9405 10564.34 10290.97
9406 10344.6 10097.5
9407 10802.87 10541.79
9408 11115.07 10821.15
9409 10790.51 10422.93
9410 11000.93 10620.96
9411 10508.09 10372.43
9412 10635.24 10403.55
9501 10879.85 10809.29
9502 11495.64 11311.92
9503 11671.53 11354.91
9504 12098.71 11718.26
9505 12729.05 12346.36
9506 13007.81 12550.08
9507 13577.56 12926.58
9508 13986.24 13163.13
9509 14470.17 13694.93
9510 13875.44 13395.01
9511 14634.43 13886.6
Annualized From
Total Return (%) One Year March 1993
- ------------------------------------------------------------------------------
39.27 14.85
* Dimensional's multifactor portfolios
attempt to capture return premiums
associated with high book-to-market
ratios and capitalization. The U.S.
Large Cap Value Series invests on a
market cap-weighted basis in
companies that have market caps of
approximately $500 million or larger
and book-to-market ratios in the upper
30% of publicly traded companies, and
is invested on a market cap-weighted
basis.
* This portfolio's returns in fiscal
1995 reflected the performance of large
cap high book-to-market U.S. companies.
Past performance is not predictive of
future performance.
Fama-French Large Cap Value Index courtesy of the
Fama-French and CRSP, University of Chicago.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
DFA One-Year Fixed Income Series vs.
One Month CD's
March 1993-November 1995
The following reflects the growth of a $10,000 investment.
DFA One-Year One
Fixed Income Month
Series CD's
------------- -----
9302 10000 10000
9303 10048 10024
9304 10097.24 10046.05
9305 10104.3 10066.14
9306 10148.76 10088.29
9307 10180.22 10110.48
9308 10229.09 10133.74
9309 10267.96 10155.02
9310 10289.52 10175.33
9311 10308.04 10198.73
9312 10343.09 10221.17
9401 10394.81 10243.66
9402 10376.09 10264.14
9403 10372.98 10288.78
9404 10367.8 10313.47
9405 10389.57 10344.41
9406 10424.89 10376.48
9407 10486.4 10408.65
9408 10527.3 10444.04
9409 10545.19 10478.5
9410 10579.99 10517.27
9411 10574.7 10555.13
9412 10607.48 10598.41
9501 10708.25 10646.1
9502 10809.98 10689.75
9503 10877 10738.92
9504 10948.79 10782.95
9505 11065.95 10834.71
9506 11129.02 10882.38
9507 11188 10931.36
9508 11245.06 10979.45
9509 11295.67 11024.47
9510 11355.53 11075.18
9511 11400 11122.81
Annualized One From
Total Return (%) Year March 1993
- ------------------------------------------------------------------------------
7.90 4.91
* Dimensional's Fixed Income Strategy
maximizes expected returns by
shifting maturities based on changes
in the yield curve. Using current
prices, the strategy creates a matrix
of expected returns from different
buy and sell strategies and
identifies the optimal maturity range
for the highest expected returns.
Issues which meet maturity and
quality levels are further evaluated
for business risk. Maturities are
shifted if sufficient premiums can be
documented. Investments are made in
high quality obligations, including
BAs, CDs, corporate debt obligations
and commercial paper of U.S. as well
as non-U.S. issuers (Yankees).
Average maturity is maintained under
one year with no individual issue
longer than two years
* This portfolio's returns in fiscal
1995 reflected the performance of
its strategy.
Past performance is not predictive of
future performance.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
DFA International Value Series
vs. EAFE Index
March 1994-November 1995
The following reflects the growth of a $10,000 investment.
DFA
International EAFE
Value Series Index
------------- --------
9402 10000 10000
9403 9733 9570
9404 10060.03 9981.51
9405 10119.38 9921.62
9406 10238.79 10060.52
9407 10438.45 10161.13
9408 10598.16 10405
9409 10228.28 10082.44
9410 10657.87 10425.24
9411 10099.4 9924.83
9412 10158.98 9984.38
9501 9756.68 9604.97
9502 9736.19 9576.16
9503 10311.61 10179.46
9504 10633.33 10566.28
9505 10572.72 10439.48
9506 10462.76 10262.01
9507 11051.82 10908.52
9508 10676.05 10493.99
9509 10740.11 10703.87
9510 10536.05 10414.87
9511 10825.79 10706.49
Annualized From
Total Return (%) One Year March 1994
- ------------------------------------------------------------------------------
7.19 4.64
* This portfolio invests in large non-U.S.
high book-to-market companies with
market capitalization greater than $500
million and book-to-market ratios is in
the upper 30% of large publicly traded
international companies. Country
weightings reflect the EAFE index
market capitalization weight, with Japan
limited to 38%.
* This portfolio's returns in fiscal
1995 reflected the performance of large,
high book-to-market international
companies.
Past performance is not predictive of
future performance.
EAFE Index courtesy of Morgan Stanley Capital
International.
- ------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
Emerging Markets Series
vs. MSCI Emerging Markets Free
Equal-Weighted Index
May 1994-November 1995
The following reflects the growth of a $10,000 investment.
MSCI
Emerging
Markets
Emerging Free
Markets Equal-Weighted
Series Index
---------- --------------
9404 10000 10000
9405 10330 10455
9406 10210.17 10245.9
9407 10969.81 10947.74
9408 11959.29 12330.44
9409 12089.64 12450.05
9410 11740.25 12296.91
9411 11370.43 11787.82
9412 10550.62 11164.25
9501 9570.47 10046.7
9502 9520.70 9808.59
9503 9940.56 10233.31
9504 10430.64 10974.2
9505 11170.17 11643.63
9506 11240.54 11626.16
9507 11690.16 11905.19
9508 11250.61 11305.17
9509 11040.23 11141.24
9510 10670.38 10771.35
9511 10625.56 10578.55
Annualized From
Total Return (%) One Year May 1994
- ------------------------------------------------------------------------------
-6.55 3.91
* This portfolio provides access to non-
U.S. large companies in "emerging
market" countries, including Argentina,
Brazil, Indonesia, Israel, Malaysia,
Mexico, Portugal, Thailand and Turkey.
Investment is based on market
capitalization, with investments
attempting to capture between 40% and
75% of the largest companies in each
country. The portfolio attempts to have
equal country-weighting.
* This portfolio's returns in fiscal 1995
reflected the performance of an equally-
weighted emerging markets country
portfolio.
Past performance is not predictive of
future performance.
MSCI Emerging Markets Free Equal-Weighted
Index is created by equal-weighting the
MSCI country returns for the 9 countries
that Dimensional is currently invested in.
Courtesy of Morgan Stanley Capital
International.
- ------------------------------------------------------------------------------
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF NET ASSETS
THE U.S. 6-10 SMALL COMPANY SERIES
NOVEMBER 30, 1995
Shares Value+
------ ------
COMMON STOCKS -- (99.5%)
*3 D Systems Corp. .................. 2,200 $ 44,550
*3D0 Co. ............................ 9,200 101,775
*A Plus Network, Inc. ............... 1,800 24,413
*AAON, Inc. ......................... 4,400 29,425
AAR Corp. .......................... 11,300 207,638
*ABC Rail Products Corp. ............ 2,400 52,950
ABM Industries, Inc. ............... 3,500 98,438
ABS Industries, Inc. ............... 1,400 12,075
*ABT Building Products Corp. ........ 5,000 75,625
ACC Corp. .......................... 2,500 53,750
ADAC Laboratories .................. 11,466 142,608
ADCO Technologies, Inc. ............ 1,300 9,344
*AEL Industries, Inc. Class A ....... 1,000 27,250
AEP Industries, Inc. ............... 3,000 67,875
*AER Energy Resources, Inc. ......... 7,000 18,813
*AFC Cable Systems, Inc. ............ 1,500 19,594
*AG Services America, Inc. .......... 1,700 14,450
*AMC Entertainment, Inc. ............ 1,300 28,194
*APS Holding Corp. Class A .......... 2,700 49,950
*ARI Holdings Corp. ................. 900 788
*ARI Network Services, Inc. ......... 6,800 13,600
*AST Research, Inc. ................. 13,013 119,557
*ATS Medical, Inc. .................. 3,000 26,250
Aames Financial Corp. .............. 6,200 196,850
Aaron Rents, Inc. Class A .......... 4,800 87,000
Aaron Rents, Inc. Class B .......... 4,800 85,200
*Abaxis, Inc. ....................... 4,400 27,775
Abington Savings Bank MA ........... 700 12,775
*Abiomed, Inc. ...................... 3,200 41,000
*Able Telcom Holding Corp. .......... 3,300 23,513
Abrams Industries, Inc. ............ 200 925
*Abraxas Petroleum Corp. ............ 2,400 15,750
*Accell International Corp. ......... 2,700 7,425
*Acceptance Insurance Companies,
Inc. ............................... 5,025 73,491
*Access Health Marketing, Inc. ...... 4,000 130,000
*Accustaff, Inc. .................... 2,200 65,450
*Ace Cash Express, Inc. ............. 200 1,900
Ackerley Communications, Inc. ...... 6,200 94,550
*Acme Electric Corp. ................ 3,000 25,125
*Acme Metals, Inc. .................. 3,100 47,856
*Acme United Corp. .................. 3,400 11,900
Acme-Cleveland Corp. ............... 7,000 159,250
Acordia, Inc. ...................... 5,200 145,600
*Actel Corp. ........................ 6,900 91,856
*Action Performance Companies,Inc..... 2,000 27,375
*Active Voice Corp. ................. 1,300 34,125
*Acuson Corp. ....................... 20,000 235,000
*Acx Technologies, Inc. ............. 15,000 243,750
*Acxiom Corp. ....................... 15,200 433,200
*Adage, Inc. ........................ 3,100 13,756
Adams Resources & Energy, Inc. ..... 1,300 8,694
*Addington Resources, Inc. .......... 11,100 167,194
*Adelphia Communications Corp.
Class A ............................ 6,000 47,250
*Adflex Solutions, Inc. ............. 2,000 56,250
*Advance Ross Corp. ................. 10,000 288,125
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*#Advanced Logic Research, Inc. ...... 5,200 $ 37,700
*Advanced Magnetics, Inc. ........... 6,000 153,000
*Advanced Marketing Services, Inc. .. 2,700 25,144
*Advanced Medical, Inc. ............. 6,500 19,906
*Advanced NMR Systems, Inc. ......... 13,692 20,324
*Advanced Polymer Systems, Inc. ..... 5,400 30,459
*Advanced Promotion Technologies,
Inc. (Private Placement) ........... 11,624 11,442
*Advanced Technology Labs, Inc. ..... 6,640 141,100
*Advanced Technology Materials, Inc... 3,500 36,094
*#Advanced Tissue Sciences, Inc. ..... 27,900 251,100
Advantage Bancorp, Inc. ............ 1,000 34,750
*Advantage Companies, Inc. .......... 1,000 17,750
*Advantage Health Corp. ............. 1,800 58,725
*Advest Group, Inc. ................. 4,300 38,700
Advo, Inc. ......................... 8,000 212,000
*Advocat, Inc. ...................... 3,000 31,125
*Aequitron Medical, Inc. ............ 2,200 17,325
*Aeroflex, Inc. ..................... 5,900 26,550
*Aerosonic Corp. DE ................. 1,000 1,500
*Aerovox, Inc. ...................... 2,600 14,950
*Aetrium, Inc. ...................... 1,400 28,875
*Affiliated Community Bancorp ....... 1,600 27,900
*Agouron Pharmaceuticals, Inc. ...... 3,300 99,000
*Agri-Nutrition Group, Ltd. ......... 1,600 3,050
*Air & Water Technologies Corp.
Class A ............................ 15,000 82,500
Air Express International Corp. .... 7,350 170,888
*Air Methods Corp. .................. 4,000 15,500
*Air-Cure Environmental ............. 2,200 8,250
#Airborne Freight Corp. ............. 10,500 295,313
*Airsensors, Inc. ................... 2,500 20,469
*Airways Corp. ...................... 2,600 25,025
*Akorn, Inc. ........................ 5,100 12,750
Alabama National Bancorporation .... 700 9,713
*Alamco, Inc. ....................... 2,300 19,550
Alamo Group, Inc. .................. 2,500 43,125
*Alantec Corp. ...................... 5,000 206,250
*#Alaska Air Group, Inc. ............. 6,100 110,563
Alatenn Resources, Inc. ............ 1,300 27,788
*Alba-Waldensian, Inc. .............. 3,700 33,069
Albank Financial Corp. ............. 6,700 200,163
*Alcide Corp. ....................... 1,400 40,250
*Aldila, Inc. ....................... 8,200 37,413
*Alexander Energy Co. ............... 6,100 25,163
Alfa Corp. ......................... 18,400 204,700
Alico, Inc. ........................ 2,100 45,938
*Alkermes, Inc. ..................... 8,200 49,200
*All American Semiconductor, Inc. ... 7,100 18,638
*Allcity Insurance Co. .............. 200 1,750
*Allegiant Physician Services, Inc. . 3,000 3,000
Allen Organ Co. Class B ............ 200 8,775
*#Alliance Entertainment Corp. ....... 15,700 149,150
*#Alliance Gaming Corp. .............. 3,700 13,181
*Alliance Pharmaceuticals Corp. ..... 12,900 153,188
*Alliant Techsystems, Inc. .......... 5,500 281,875
Allied Bankshares, Inc. ............ 900 10,125
Allied Capital Lending Corp. ....... 900 11,025
Allied Group, Inc. ................. 4,150 146,806
Allied Healthcare Products, Inc. ... 1,200 21,000
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Allied Holdings, Inc. .............. 5,000 $ 48,750
Allied Life Financial Corp. ........ 2,000 33,750
Allied Products Corp. .............. 9,500 198,313
*Allied Research Corp. .............. 2,200 8,800
*#Allied Waste Industries, Inc. ...... 13,200 94,875
*Allou Health & Beauty Care, Inc.
Class A ............................ 1,900 11,341
*Allstate Financial Corp. ........... 1,600 9,100
*Alltrista Corp. .................... 1,553 28,342
*Allwaste, Inc. ..................... 18,600 79,050
*Aloette Cosmetics, Inc. ............ 1,000 2,125
*Alpha Beta Technology, Inc. ........ 3,500 23,844
Alpha Industries, Inc. ............. 10,000 147,500
*Alpha Microsystems, Inc. ........... 1,000 1,219
*Alpha Technologies Group, Inc. ..... 7,500 68,906
*Alpharel, Inc. ..................... 5,600 29,750
Alpharma, Inc. Class A ............. 8,800 191,400
*Alpine Group, Inc. ................. 15,736 75,730
*Alpine Lace Brands, Inc. ........... 1,700 17,106
*Alteon, Inc. ....................... 8,300 76,775
*Alternative Resources Corp. ........ 3,100 91,450
*Altron, Inc. ....................... 3,600 106,200
*Amati Communications Corp. ......... 11,800 77,438
*Amax Gold, Inc. .................... 40,600 258,825
*Ambar, Inc. ........................ 200 1,538
Amcast Industrial Corp. ............ 5,800 107,300
Amcol International Corp. .......... 9,500 138,938
Amcore Financial, Inc. ............. 3,150 69,694
*AmeriLink Corp. .................... 700 5,775
*America Services Group, Inc. ....... 3,000 26,438
American Annuity Group, Inc. ....... 19,600 215,600
American Bancorpation Ohio ......... 200 4,450
American Bank of Connecticut ....... 500 11,750
American Bankers Insurance Group,
Inc................................. 12,100 439,381
*American Banknote Corp. ............ 5,300 7,950
American Biltrite, Inc. ............ 4,800 92,400
*American Biogenetic Sciences, Inc.
Class A............................. 5,200 14,138
*American Buildings Co. ............. 3,500 78,969
*#American Business Information, Inc. 9,000 165,375
American Business Products, Inc. ... 4,950 115,706
*American Claims Evaluation, Inc. ... 1,000 1,828
American Classic Voyages Co. ....... 6,900 73,744
American Eagle Group, Inc. ......... 4,000 38,500
American Ecology Corp. ............. 5,250 21,000
*American Educational Products, Inc. 1,900 3,088
American Federal Bank FSB
Greenville, SC ..................... 2,900 43,138
American Filtrona Corp. ............ 200 7,550
*American Freightways Corp. ......... 12,300 169,125
*American Healthcorp, Inc. .......... 5,000 45,313
American Heritage Life Investment
Corp. .............................. 6,300 126,788
*American Homepatient, Inc. ......... 3,000 84,375
*American Homestar Corp. ............ 3,000 58,313
American Indemnity Financial Corp. . 800 8,100
American List Corp. ................ 825 21,656
*American Management Systems, Inc. . 11,250 331,875
*American Medical Electronics, Inc.
(Escrow-Bonus) ...................... 4,400 0
*American Medical Electronics, Inc.
(Escrow-Earnings) .................. 4,400 0
*#American Medical Response, Inc. .... 7,700 220,413
*American Mobile Satellite Corp. .... 8,000 220,000
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*American Oilfield Divers, Inc. ..... 2,700 $17,719
*American Pacific Corp. ............. 4,100 23,575
*American Paging, Inc. .............. 4,000 29,000
*American Physicians Services
Group, Inc. ........................ 1,000 5,063
American Precision Industries, Inc. 15,200 180,500
American Recreation Centers, Inc. .. 4,300 27,950
*American Safety Razor Co. .......... 2,400 20,250
*American Science & Engineering,
Inc. ............................... 7,800 50,700
*American Shared Hospital Services .. 600 825
*American Software, Inc. Class A .... 7,000 43,750
American Studios, Inc. ............. 12,500 17,969
*American Superconductor Corp. ...... 4,700 57,575
*American Technical Ceramics Corp. ... 1,800 19,125
*American Telecasting, Inc. ......... 5,000 71,250
*American Travellers Corp. .......... 7,200 181,350
*American United Global, Inc. ....... 1,000 3,500
*American Waste Services, Inc.
Class A ............................ 10,000 25,000
*American White Cross, Inc. ......... 5,000 12,813
*American Woodmark Corp. ............ 660 2,970
Americana Bancorp, Inc. ............ 1,200 22,500
*Americredit Corp. .................. 13,300 171,238
*#Ameridata Technologies, Inc. ....... 8,100 86,063
*Amerihost Properties, Inc. ......... 4,000 25,000
*Ameriquest Technology, Inc. ........ 21,223 21,223
*Ameristar Casinos, Inc. ............ 8,100 54,675
*Ameriwood Industries International
Corp. .............................. 3,200 14,600
Ameron, Inc. ....................... 1,100 40,013
*Ames Department Stores, Inc. ....... 4,000 6,750
Amfed Financial, Inc. .............. 1,756 57,180
*Amistar Corp. ...................... 200 1,550
Ampco-Pittsburgh Corp. ............. 4,400 41,250
Amre, Inc. ......................... 11,200 141,400
*Amrep Corp. ........................ 3,900 21,938
Amresco, Inc. ...................... 13,600 164,050
*Amrion Corp. ....................... 2,500 26,875
*Amsco International, Inc. .......... 14,800 249,750
*Amserv, Inc. ....................... 200 450
Amtech Corp. ....................... 4,375 20,918
*Amtran, Inc. ....................... 2,300 30,331
Amtrol, Inc. ....................... 1,500 24,375
Amvestors Financial Corp. .......... 6,220 71,530
Amwest Insurance Group, Inc. ....... 3,900 68,250
*Amylin Pharmaceuticals, Inc. ....... 7,900 54,806
Analogic Corp. ..................... 3,800 80,275
Analysis & Technology, Inc. ........ 800 11,100
Analysts International Corp. ....... 3,700 111,000
*Anaren Microwave, Inc. ............. 2,000 15,000
Anchor Bancorp Wisconsin, Inc. ..... 1,500 52,875
*Anchor Gaming, Inc. ................ 4,500 91,125
Andover Bancorp, Inc. DE ........... 1,300 29,006
*Andrea Electronics Corp. ........... 1,500 20,063
*Andros, Inc. ....................... 5,000 79,375
*#Anergen, Inc. ...................... 3,800 15,438
Angelica Corp. ..................... 4,600 102,925
*Anika Research, Inc. ............... 2,280 6,840
*#Ann Taylor Stores Corp. ............ 9,200 117,300
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Antec Corp. ........................ 4,400 $ 63,250
Anthony Industries, Inc. ........... 7,115 159,198
*Anuhco, Inc. ....................... 3,800 28,975
*Apertus Technologies, Inc. ......... 5,600 56,000
*#Aphton Corp. ....................... 6,200 63,938
Apogee Enterprises, Inc. ........... 8,000 119,000
*Apogee, Inc. ....................... 1,900 18,881
Apple South, Inc. .................. 14,350 303,144
*Appliance Recycling Centers of
America, Inc. ...................... 2,100 12,731
*Applied Bioscience International,
Inc. ............................... 12,800 83,200
*#Applied Digital Access, Inc. ....... 5,000 60,000
*Applied Extrusion Technologies, Inc. 2,700 34,425
*Applied Innovation, Inc. ........... 5,600 52,500
*Applied Magnetics Corp. ............ 11,000 170,500
*Applied Microbiology, Inc. ......... 6,300 31,303
Applied Power, Inc. Class A ........ 7,600 247,950
*Applied Science & Technology, Inc. . 800 11,500
*Applied Signal Technologies, Inc. .. 5,000 24,063
Aptargroup, Inc. ................... 9,000 324,000
*Aquagenix, Inc. .................... 600 4,238
Aquarion Co. ....................... 1,800 42,075
Aquila Gas Pipeline Corp. .......... 200 2,300
*Arabian Shield Development Co. ..... 200 213
Arbor Drugs, Inc. .................. 13,500 270,000
*Arbor Health Care Co. .............. 3,400 60,775
*#Arch Communications Group, Inc. .... 5,100 127,500
*Arch Petroleum, Inc. ............... 8,600 16,931
Arctco, Inc. ....................... 8,900 124,044
*Arden Industrial Products, Inc. .... 1,400 7,350
*Argosy Gaming Corp. ................ 9,900 81,675
*Ark Restaurants Corp. .............. 1,600 12,200
Arkansas Best Corp. ................ 9,000 73,688
Armor All Products Corp. ........... 9,700 181,875
Arnold Industries, Inc. ............ 6,800 124,100
*Aronex Pharmaceuticals, Inc. ....... 5,100 14,981
*Arrhythmia Research Technology,
Inc. ............................... 1,100 5,913
*Arris Pharmaceutical Corp. ......... 6,000 63,750
*Arrow Automotive Industries, Inc. .. 4,800 27,900
Arrow Financial Corp. .............. 1,768 31,603
*Arrow Transportation Co. ........... 1,000 1,563
*Artisoft, Inc. ..................... 6,400 60,800
*Artistic Greetings, Inc. ........... 2,900 8,700
*Arts Way Manufacturing Co., Inc. ... 200 1,038
Arvin Industries, Inc. ............. 10,200 179,775
*Asante Technologies, Inc. .......... 1,700 18,913
*Aseco Corp. ........................ 2,000 33,250
Ashland Coal, Inc. ................. 4,600 100,050
*#Ashworth, Inc. ..................... 8,400 48,825
*Aspect Telecommunications Corp. .... 9,200 310,500
Aspen Bancshares, Inc. ............. 1,406 20,299
Associated Banc-Corp. .............. 7,012 276,974
*Astec Industries, Inc. ............. 10,400 113,750
*Astoria Financial Corp. ............ 2,300 100,194
Astro-Med, Inc. .................... 4,200 41,213
*Astronics Corp. .................... 1,200 3,713
*Astrosystems, Inc. ................. 3,400 19,550
*Astrotech International Corp. ...... 4,900 20,519
*Asyst Technologies, Inc. ........... 900 39,488
Atalanta Sosnoff Capital Corp. ..... 1,800 16,875
*#Atari Corp. ........................ 35,300 55,156
*Atchison Casting Corp. ............. 1,600 22,000
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Athena Neurosciences, Inc. ......... 14,400 $131,400
*Athey Products Corp. ............... 2,940 13,965
Atkinson (Guy F.) of California .... 2,700 28,519
*Atlantic American Corp. ............ 5,600 13,300
*Atlantic Beverage, Inc. ............ 2,000 3,250
*Atlantic Coast Airlines, Inc. ...... 5,000 44,063
*Atlantic Gulf Communities Corp. .... 4,800 31,800
*Atlantic Tele-Network, Inc. ........ 5,600 60,550
Atlantis Plastics, Inc. ............ 2,700 10,463
*Atlas Corp. ........................ 6,400 10,400
Atmos Energy Corp. ................. 6,900 144,038
*Atria Software, Inc. ............... 4,200 176,925
*Atrix Labs, Inc. ................... 3,900 27,300
*Atwood Oceanics, Inc. .............. 4,800 90,000
*Au Bon Pain, Inc. Class A .......... 2,600 23,725
*#Audiovox Corp. Class A ............. 3,600 23,400
Augat, Inc. ........................ 11,100 191,475
*#Aura Systems, Inc. ................. 18,975 104,955
*Aurora Electronics, Inc. ........... 8,775 18,647
*Auspex Systems, Inc. ............... 11,500 171,781
Authentic Fitness Corp. ............ 8,900 188,013
*Autocam Corp. ...................... 3,941 52,706
*#Autoimmune, Inc. ................... 9,200 96,600
*Autoinfo, Inc. ..................... 3,600 11,700
*#Autote Corp. Class A ............... 11,300 32,488
*Avatar Holdings, Inc. .............. 4,300 154,800
*Avecor Cardiovascular, Inc. ........ 1,500 23,438
Avemco Corp. ....................... 4,100 69,188
Aviall, Inc. ....................... 14,000 119,000
*Avondale Industries, Inc. .......... 6,600 98,588
*Aydin Corp. ........................ 3,000 46,500
*Aztar Corp. ........................ 17,000 148,750
Aztec Manufacturing Co. ............ 10,300 37,338
*#BBN Corp. .......................... 7,800 292,500
BEI Electronics, Inc. .............. 3,400 21,888
BGS Systems, Inc. .................. 2,600 93,925
BHA Group, Inc. Class A ............ 1,000 13,500
BHC Financial, Inc. ................ 1,400 25,813
*BI, Inc. ........................... 3,800 32,775
*BISYS Group, Inc. .................. 4,200 118,388
*BJ Services Co. .................... 4,200 103,425
BMC Industries, Inc. MN ............ 23,200 388,600
*BMC West Corp. ..................... 2,700 33,413
BMJ Financial Corp. ................ 5,000 72,500
*BPI Packaging Technologies, Inc. ... 5,800 14,138
BSB Bancorp, Inc. .................. 2,200 75,900
BT Financial Corp. ................. 100 3,538
*BTG, Inc. .......................... 1,200 15,150
*BTU International, Inc. ............ 2,800 24,150
*BUM International, Inc. ............ 3,000 4,500
BW/IP, Inc. Class A ................ 10,000 155,625
*Bachman Information Systems, Inc. .. 4,600 29,900
*Back Bay Restaurant Group, Inc. .... 2,000 10,750
Badger Meter, Inc. ................. 400 9,500
Badger Paper Mills, Inc. ........... 1,000 15,500
*Bailey Corp. ....................... 2,700 12,150
Bairnco Corp. ...................... 4,800 24,600
Baker (J.), Inc. ................... 6,700 42,294
*Baker (Michael) Corp. .............. 6,000 30,000
Balchem Corp. ...................... 1,350 11,813
Baldor Electric Co. ................ 12,390 280,324
*Baldwin Piano & Organ Co. .......... 2,000 25,250
*Baldwin Technology, Inc. Class A ... 9,400 49,350
Ballard Medical Products ........... 15,900 272,288
*Bally Entertainment Corp. .......... 33,500 406,188
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Bally Gaming International, Inc. ... 2,900 $ 26,100
*Baltek Corp. ....................... 1,500 12,938
*BancTec, Inc. ...................... 11,262 219,231
*Bancinsurance Corp. ................ 2,900 7,794
Bancorp Connecticut, Inc. .......... 1,000 18,125
BancorpSouth, Inc. ................. 2,300 50,888
Bangor Hydro-Electric Co. .......... 6,000 67,500
Bank of Granite Corp. .............. 200 5,600
Bank of New Hampshire Corp. ........ 2,800 112,525
BankAtlantic Bancorp, Inc. ......... 1,662 30,332
BankNorth Group, Inc. DE ........... 1,700 57,588
Bankers Corp. ...................... 10,440 179,438
Bankers First Corp. ................ 2,800 76,300
*Banner Aerospace, Inc. ............. 12,200 64,050
*Banyan System, Inc. ................ 7,900 97,269
Barefoot, Inc. ..................... 5,000 57,500
Barnes Group, Inc. ................. 3,900 151,125
Barnwell Industries, Inc. .......... 600 10,313
*Barr Laboratories, Inc. ............ 3,900 89,700
*Barra, Inc. ........................ 6,000 86,250
*Barrett Business Services, Inc. .... 5,400 75,600
*Barrett Resources Corp. ............ 11,800 292,050
*Barry (R.G.) Corp. ................. 4,088 90,958
*Base Ten Systems, Inc. Class A ..... 2,800 33,600
*Basin Exploration, Inc. ............ 4,900 22,050
Bassett Furniture Industries, Inc. . 5,000 112,188
Bay State Gas Co. .................. 6,500 176,313
Bay View Capital Corp. ............. 2,000 56,625
*Bayou Steel Corp. Class A .......... 4,200 18,375
*Bayport Restaurant Group, Inc. ..... 3,800 12,825
*Be Aerospace, Inc. ................. 7,300 65,700
Bearings, Inc. ..................... 2,200 84,425
Beauticontrol Cosmetics, Inc. ...... 2,000 18,750
*Beazer Homes USA, Inc. ............. 2,800 53,900
*Beeba's Creations, Inc. ............ 785 3,974
*Bel Fuse, Inc. ..................... 3,000 34,500
*Belden & Blake Corp. ............... 2,200 35,475
*Belding Heminway, Inc. Class A ..... 175 569
Bell Bancorp, Inc. ................. 3,200 103,600
*Bell Industries, Inc. .............. 8,255 187,801
*Bell Microproducts, Inc. ........... 2,300 21,850
*Bell Sports Corp. .................. 5,345 42,426
*Bellwethwer Exporation Co. ......... 4,500 23,063
*Belmac Corp. ....................... 360 1,125
*#Ben & Jerry's Homemade, Inc.
Class A ............................ 2,100 33,206
*Ben Franklin Retail Stores, Inc. ... 4,964 17,995
*Benchmark Electronics, Inc. ........ 800 19,500
*Benihana, Inc. ..................... 1,000 10,563
*#Benson Eyecare Corp. ............... 1,667 14,378
*Benson Financial Corp. ............. 700 11,725
*Benton Oil & Gas Co. ............... 12,400 181,350
Berkshire Gas Co. .................. 1,000 16,250
*Berlitz International, Inc. ........ 4,610 72,608
Berry Petroleum Corp. Class A ...... 13,400 142,375
*Bertuccis, Inc. .................... 2,400 12,150
*Bet Holdings, Inc. Class A ......... 6,700 156,613
*Bettis Corp. ....................... 6,200 32,550
#Big B, Inc. ........................ 7,100 70,113
*Big O Tires, Inc. .................. 2,000 27,375
Bindley Western Industries, Inc. ... 6,500 116,188
Binks Manufacturing Co. ............ 1,598 39,151
*Bio Dental Technologies Corp. ...... 3,100 10,075
*Bio Technology General Corp. ....... 18,800 67,563
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Bio-Logic Systems Corp. ............ 2,100 $ 10,106
*Bio-Rad Laboratories, Inc. Class A . 1,000 41,250
*Biocircuits Corp. .................. 3,700 7,169
*#Biocraft Laboratories, Inc. ........ 8,000 113,000
*Biocryst Pharmaceuticals, Inc. ..... 3,800 37,525
*Biomagnetic Technologies, Inc. ..... 1,800 2,081
*Biomatrix, Inc. .................... 2,700 33,413
*Biosafety Systems, Inc. ............ 700 2,056
*Biospecifics Technologies Corp. .... 800 2,800
*Biospherics, Inc. .................. 2,000 20,125
*Biosys, Inc. ....................... 6,314 14,404
*Biowhittaker, Inc. ................. 4,300 28,488
*Bird Corp. ......................... 2,500 15,469
Birmingham Steel Corp. ............. 7,400 110,075
*Biscayne Apparel, Inc. ............. 1,433 1,433
*Black Box Corp. .................... 7,000 118,125
*Black Hawk Gaming &
Development, Inc. .................. 500 2,938
Black Hills Corp. .................. 9,600 237,600
Blair Corp. ........................ 2,800 87,150
Blanch (E.W.) Holdings, Inc. ....... 6,400 138,400
Blessings Corp. .................... 6,000 58,500
Blimpie International .............. 1,900 22,088
*Bliss & Laughlin Industries, Inc. .. 200 1,675
Blount International, Inc. Class A . 3,450 103,931
*Blyth Holdings, Inc. ............... 5,200 12,513
*Boca Research, Inc. ................ 2,200 63,800
*Bombay Co., Inc. ................... 18,300 123,525
*Bon-Ton Stores, Inc. ............... 8,000 44,000
*Books-a-Million, Inc. .............. 3,500 49,875
*Boole & Babbage, Inc. .............. 3,000 109,125
*Boomtown, Inc. ..................... 5,900 36,138
*Borg-Warner Security Corp. ......... 13,700 160,975
*Borland International, Inc. ........ 17,200 305,300
*Borror Corp. ....................... 3,100 11,044
Boston Acoustics, Inc. ............. 3,400 70,125
Boston Bancorp ..................... 2,400 88,950
*Boston Technology, Inc. ............ 17,000 242,250
*Bowmar Instrument Corp. ............ 11,700 27,788
Bowne & Co., Inc. .................. 7,900 158,000
*Box Energy Corp. Class B ........... 8,800 76,450
#Bradlees, Inc. ..................... 3,000 4,875
*Bradley Pharmaceuticals, Inc.
Class A ............................ 1,500 1,688
Braintree Savings Bank MA .......... 600 10,800
Brandon Systems Corp. .............. 1,200 26,850
*Brauns Fashions Corp. .............. 1,000 2,313
Brenco, Inc. ....................... 11,200 118,300
*Brendle's, Inc. .................... 4,100 1,602
Brenton Banks, Inc. ................ 200 4,000
*Brewer (C.) Homes, Inc. Class A .... 5,600 25,900
Bridgford Foods Corp. .............. 2,505 24,737
*Brightpoint, Inc. .................. 1,250 22,344
*Brite Voice Systems, Inc. .......... 2,300 37,663
Broad National Bancorporation ...... 200 2,075
*Broadband Technologies, Inc. ....... 2,600 45,175
*Broadway & Seymour, Inc. ........... 3,500 64,750
*Brock Control Systems, Inc. ........ 2,400 23,400
*Brock Exploration Corp. ............ 1,100 3,575
*Brockway Standard Holdings Corp. ... 1,200 19,050
#Brooke Group, Ltd. ................. 6,800 52,700
*Brooklyn Bancorp, Inc. ............. 2,400 96,300
*Brookstone, Inc. ................... 3,400 29,325
*Brooktree Corp. .................... 8,100 103,781
*Brooktrout Technology, Inc. ........ 2,000 48,250
*Brothers Gourmet Coffees, Inc. ..... 2,100 8,138
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Brown & Sharpe Manufacturing Co.
Class A ............................ 2,200 $ 22,275
*Brown (Tom), Inc. .................. 3,900 49,725
Brown Group, Inc. .................. 10,000 140,000
Brush Wellman, Inc. ................ 8,100 141,750
Bryn Mawr Bank Corp. ............... 200 9,550
*Buckle, Inc. ....................... 1,900 33,488
*Buffets, Inc. ...................... 15,400 202,125
*Bugaboo Creek Steak House, Inc. .... 2,100 18,900
*Builders Transport, Inc. ........... 1,800 15,300
*Bull Run Corp. GA .................. 21,300 62,569
*Burlington Coat Factory Warehouse
Corp. .............................. 20,600 236,900
*Burr Brown Corp. ................... 12,450 350,156
*Bush Boake Allen, Inc. ............. 5,000 153,750
Bush Industries, Inc. Class A ...... 2,400 40,200
*Business Records Corp. Holding Co. 3,500 130,813
*Butler International, Inc. ......... 1,000 4,656
Butler Manufacturing Co. ........... 2,100 71,663
*Buttrey Food & Drug Stores Co. ..... 3,500 24,938
*C-COR Electronics, Inc. ............ 10,400 267,800
*C-TEC Corp. ........................ 3,000 87,000
*CAI Wireless Systems, Inc. ......... 5,115 43,478
CBT Corp. .......................... 200 4,375
*CCA Industries, Inc. ............... 2,700 3,966
CCB Financial Corp. ................ 6,650 330,838
CCH, Inc. Class A .................. 3,300 180,675
*CDI Corp. .......................... 13,100 242,350
*CE Software Holdings, Inc. ......... 600 2,025
*CEM Corp. .......................... 3,800 49,400
*CFI Proservices, Inc. .............. 900 11,475
CFSB Bancorp, Inc. ................. 1,210 25,108
CFW Communications Co. ............. 2,500 45,313
CFX Corp. .......................... 2,823 44,462
*CIS Technologies, Inc. DE .......... 13,500 52,734
CKE Restaurants, Inc. .............. 11,000 191,125
CMAC Investment Corp. .............. 3,200 149,600
*CMC Industries, Inc. ............... 1,200 5,325
*CMG Information Services, Inc. ..... 900 67,163
*CMI Corp. Class A .................. 18,100 92,763
CML Group, Inc. .................... 23,500 143,938
CNB Bancshares, Inc. ............... 4,244 111,405
*#CNS Income ......................... 6,900 106,088
*CPAC, Inc. ......................... 1,756 24,145
CPB, Inc. .......................... 1,300 43,225
*CPI Aerostructures, Inc. ........... 200 234
CPI Corp. .......................... 9,800 204,575
CSB Financial Corp. ................ 500 8,750
*CSF Holdings, Inc. Class B ......... 3,250 127,969
*CSP, Inc. .......................... 2,800 25,200
*CSS Industries, Inc. ............... 3,400 71,188
*CTL Credit, Inc. ................... 1,400 19,950
CTS Corp. .......................... 1,500 54,188
CU Bancorp ......................... 1,800 17,213
CVB Financial Corp. ................ 2,395 35,027
*Cable Design Techologies Corp. ..... 1,900 81,938
*Cablemaxx, Inc. .................... 5,000 35,313
Cabot Oil & Gas Corp. Class A ...... 11,400 161,025
*Cache, Inc. ........................ 5,025 17,745
*Caci International, Inc. Class A ... 1,000 11,875
*Cade Industries, Inc. .............. 1,500 984
*Cadiz Land, Inc. ................... 8,400 44,100
Cadmus Communications Corp. ........ 6,500 186,063
*Caere Corp. ........................ 5,300 49,025
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Cagle's, Inc. Class A .............. 2,250 $ 34,031
*Cairn Energy USA, Inc. ............. 6,100 75,869
*#Caldor Corp. ....................... 9,700 40,013
*#Calgene, Inc. ...................... 14,300 74,181
Calgon Carbon Corp. ................ 21,200 249,100
*California Amplifier, Inc. ......... 2,400 68,550
California Bancshares, Inc. ........ 2,000 53,250
*California Culinary Academy, Inc. .. 200 1,325
California Financial Holding Corp. . 4,000 83,750
*#California Micro Devices Corp. ..... 3,400 32,725
*#California Microwave, Inc. ......... 5,500 118,250
California State Bank .............. 1,900 27,075
California Water Service Co. ....... 2,500 83,125
*Callon Petroleum Co. ............... 3,200 30,400
Calmat Co. ......................... 11,600 200,100
*Calprop Corp. ...................... 7,700 6,256
*Calumet Bancorp, Inc. .............. 1,100 30,663
*Cambex Corp. ....................... 5,200 39,325
Cambrex Corp. ...................... 3,300 122,100
*Cambridge Neuroscience, Inc. ....... 2,300 17,825
*#Cambridge Soundworks, Inc. ......... 600 3,150
*Cambridge Technology Partners
Massachusetts, Inc. ................ 2,700 134,663
Camco International, Inc. .......... 6,900 162,150
*Campo Eletronics, Appliances &
Computers, Inc. .................... 3,200 12,800
*Candela Laser Corp. ................ 1,000 4,375
*Candies, Inc. ...................... 1,600 4,100
*Cannon Express, Inc. Class A ....... 900 9,563
*Cannon Express, Inc. Class B ....... 900 6,638
*Cannondale Corp. ................... 1,400 20,125
*Cantel Industries, Inc. Class B .... 2,000 19,500
*Canterbury Educational Services,
Inc. ............................... 4,800 11,700
*Canyon Resources Corp. ............. 11,800 23,231
Cape Cod Bank & Trust Co. .......... 500 20,250
Capital Guarantee Corp. ............ 2,600 57,525
*Capital Pacific Holdings, Inc. ..... 1,000 2,375
Capital Re Corp. ................... 8,100 243,000
Capitol American Financial Corp. ... 13,000 266,500
Capitol Bancorp, Ltd. .............. 900 9,450
Capitol Transamerica Corp. ......... 2,000 39,250
*Capstone Pharmacy Services, Inc. ... 3,200 18,800
*Capsure Holdings Corp. ............. 7,300 103,113
Caraustar Industries, Inc. ......... 8,200 164,000
*Cardinal Realty Services, Inc. ..... 700 11,988
*Care Group, Inc. ................... 3,400 9,031
*Career Horizons, Inc. .............. 1,200 33,750
*Carlisle Plastics, Inc. Class A .... 7,100 31,063
*Carmike Cinemas, Inc. Class A ...... 4,000 98,000
#Carolina First Corp. ............... 1,102 17,357
Carpenter Technology Corp. ......... 4,200 181,650
*Carr-Gottstein Foods Co. ........... 1,554 8,353
*#Carrington Laboratories, Inc. ...... 3,400 77,988
*Carson Pirie Scott & Co. ........... 3,300 65,588
Carter-Wallace, Inc. ............... 18,500 210,438
*Carver Corp. WA .................... 3,800 5,938
Cascade Corp. ...................... 5,400 77,625
Cascade Natural Gas Corp. .......... 3,950 64,681
Casey's General Stores, Inc. ....... 11,800 272,138
Cash America International, Inc. ... 14,200 78,100
*Casino America, Inc. ............... 8,000 46,000
*Casino Data Systems ................ 3,500 59,500
*Casino Magic Corp. ................. 12,300 54,581
*Casino Resource Corp. .............. 3,000 9,000
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Castech Aluminum Group, Inc. ....... 5,200 $ 79,300
Castle (A.M.) & Co. ................ 18,750 459,375
*Catalina Lighting, Inc. ............ 5,000 25,000
*Catalina Marketing Corp. ........... 5,000 288,750
*Catalyst Semiconductor, Inc. ....... 4,000 31,000
*Catalytica, Inc. ................... 7,500 31,875
*Catellus Development Corp. ......... 42,500 249,688
Cathay Bancorp, Inc. ............... 1,100 17,600
*Catherines Stores Corp. ............ 2,400 19,650
Cato Corp. Class A ................. 11,000 77,688
Cavalier Homes, Inc. ............... 1,625 30,875
*Cedar Group, Inc. .................. 5,800 40,238
*Cel-Sci Corp. ...................... 1,000 3,000
*Celadon Group, Inc. ................ 1,600 14,400
*Celebrity, Inc. .................... 2,500 14,375
*Celestial Seasonings, Inc. ......... 1,600 31,000
*Celex Group, Inc. .................. 2,000 16,125
*#Celgene Corp. ...................... 4,800 46,200
*Cell Genesys, Inc. ................. 6,800 55,675
*Cellpro, Inc. ...................... 5,600 70,000
*Cellstar Corp. ..................... 3,700 96,431
*Cellular Communications, Inc.
Class A ............................ 2,900 139,200
*Cellular Technical Services Co.,
Inc. ............................... 2,633 57,268
*#Celtrix Pharmaceuticals, Inc. ...... 5,000 9,531
Cenfed Financial Corp. ............. 1,200 27,450
Cenit Bancorp, Inc. ................ 200 7,375
*Centennial Bancorp ................. 1,333 16,829
*Centennial Cellular Corp. Class A .. 6,100 115,138
*Centennial Technologies, Inc. ...... 1,000 16,500
Center Banks, Inc. ................. 200 2,875
Center Financial Corp. ............. 6,200 111,600
*Centex Construction Products, Inc. . 5,000 70,000
*Centigram Communications Corp. ..... 2,600 55,575
Central & Southern Holding Co. ..... 1,500 13,594
*Central Co-Operative Bank
Somerville, MA ..................... 900 11,475
Central Hudson Gas & Electric Corp. 7,000 212,625
Central Louisiana Electric Co., Inc. 5,300 135,813
Central Maine Power Co. ............ 16,200 218,700
Central Reserve Life Corp. ......... 1,800 17,213
*Central Sprinkler Corp. ............ 2,500 84,688
*Central Tractor Farm & Country,
Inc. ............................... 2,100 19,688
Central Vermont Public Service
Corp. .............................. 5,250 70,875
Century Bancorp Income Class A ..... 1,000 10,250
*Century Communications Corp.
Class A............................. 11,300 96,050
*#Cephalon, Inc. ..................... 10,300 287,113
*Ceradyne, Inc. ..................... 11,800 64,163
*Cerberonics, Inc. Class A .......... 200 1,388
*Cerplex Group, Inc. ................ 6,000 43,125
*Chad Therapeutics .................. 2,450 37,975
*Champion Enterprises, Inc. ......... 10,400 312,000
#Champion Industries, Inc. .......... 1,000 22,625
Champion Parts, Inc. ............... 1,800 900
*Champps Entertainment, Inc. ........ 1,000 10,500
Chaparral Steel Co. ................ 11,200 117,600
*Charming Shoppes, Inc. ............. 50,000 117,188
*Chart House Enterprises, Inc. ...... 4,700 30,550
Chart Industries, Inc. ............. 5,000 36,875
Charter Federal Savings Bank ....... 2,100 32,288
*Charter Medical Corp. .............. 4,500 82,125
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Charter One Financial, Inc. ........ 28,760 $916,725
Charter Power Systems, Inc. ........ 4,300 105,888
*Chattem, Inc. ...................... 2,500 11,250
*Check Technology Corp. ............. 2,400 19,800
*Checkers Drive-In Restaurant, Inc. . 25,100 34,905
*Checkmate Electronics, Inc. ........ 1,000 15,000
*#Checkpoint System, Inc. ............ 9,700 299,488
*Cheesecake Factory, Inc. ........... 2,100 47,513
Chemed Corp. ....................... 2,500 97,188
*Chemfab Corp. ...................... 3,700 75,388
*Chempower, Inc. .................... 1,800 6,919
*Chemtrak, Inc. ..................... 2,700 5,063
*Cherry Corp. Class A ............... 3,600 36,450
*Cherry Corp. Class B ............... 3,600 36,450
*Chesapeake Energy Corp. ............ 200 8,500
Chesapeake Utilities Corp. ......... 1,500 22,313
Chester Valley Bancorp ............. 210 4,016
*Chic by His, Inc. .................. 4,400 23,650
Chicago Rivet & Machine Co. ........ 700 21,088
*#Chicos Fas, Inc. ................... 4,000 19,750
*Children's Comprehensive Services,
Inc. ............................... 4,300 14,513
*Children's Discovery Centers of
America, Inc. Class A .............. 1,200 9,750
*#Chips & Technologies, Inc. ......... 10,100 107,313
Chittenden Corp. ................... 3,306 95,461
*#Chock Full O' Nuts Corp. ........... 10,130 58,248
*Cholestech Corp. ................... 4,500 14,625
*Christiana Companies, Inc. ......... 12,300 292,125
*Chromcraft Revington, Inc. ......... 1,000 24,250
*#Chronimed, Inc. .................... 4,850 72,144
Church & Dwight Co., Inc. .......... 11,700 213,525
*Ciber, Inc. ........................ 1,200 37,050
*#Cidco, Inc. ........................ 2,800 74,900
Cilcorp, Inc. ...................... 5,200 213,850
*Cimco, Inc. ........................ 1,200 11,475
*Cincinnati Microwave, Inc. ......... 7,300 50,188
*Cinergi Pictures Entertainment, Inc. 2,800 10,675
*Ciprico, Inc. ...................... 600 7,425
*Circon Corp. ....................... 5,190 113,856
*Circuit Systems, Inc. .............. 2,100 11,944
*Citation Computer System, Inc. ..... 1,500 6,000
*Citation Corp. ..................... 2,700 43,875
*Citation Insurance Group ........... 2,400 10,650
Citfed Bancorp, Inc. ............... 2,100 71,925
Citicasters, Inc. Class A .......... 5,400 171,788
Citizens Bancorp MD ................ 6,400 215,200
Citizens Banking Corp. ............. 6,400 201,600
*Citizens, Inc. Class A ............. 11,000 96,250
City Holding Co. ................... 220 5,143
City National Corp. ................ 20,200 277,750
*Civic Bancorp ...................... 1,800 13,613
Claire's Stores, Inc. .............. 11,100 216,450
Clarcor, Inc. ...................... 8,500 185,938
*Clark (Dick) Productions, Inc. ..... 3,300 30,525
*Clean Harbors, Inc. ................ 6,900 20,700
Cleveland Cliffs, Inc. ............. 3,400 133,025
*Cliffs Drilling Co. ................ 2,500 35,000
*Clintrials Research, Inc. .......... 1,800 31,500
*Clothestime, Inc. .................. 8,000 12,750
Co-Operative Bank of Concord, MA ... 3,000 54,375
Coachmen Industries, Inc. .......... 7,400 143,375
*Coast Distribution System .......... 4,700 27,613
*#Coast Savings Financial, Inc. ...... 5,400 161,325
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Coastal Bancorp, Inc. .............. 4,000 $ 67,750
*Coastal Physician Group, Inc. ...... 9,500 134,188
*Coastcast Corp. .................... 3,000 31,500
Cobancorp, Inc. .................... 206 3,966
*Cobra Electronic Corp. ............. 1,000 2,625
*Cobra Industries ,Inc. ............. 2,200 1,925
Coca Cola Bottling Co.
Consolidated ....................... 1,900 64,363
*Cocensys, Inc. ..................... 6,700 46,481
*Coda Energy, Inc. .................. 15,200 114,950
*Code Alarm, Inc. ................... 1,500 11,250
#Coeur d'Alene Mines Corp. ID ....... 7,700 139,563
*Cognitronics Corp. ................. 3,800 22,563
*Coherent Communications Systems
Corp. .............................. 9,200 143,750
*Coherent, Inc. ..................... 8,400 354,900
*Coho Energy, Inc. .................. 10,000 46,875
Cohu, Inc. ......................... 8,200 235,750
*Cold Metal Products, Inc. .......... 4,200 19,425
*Cole National Corp. Class A ........ 5,000 70,000
Collagen Corp. ..................... 5,600 102,900
Collective Bancorp, Inc. ........... 9,149 242,449
*Collins & Aikman Corp. ............. 5,000 31,875
*Collins Industries, Inc. ........... 6,600 12,788
Colonial Bancgroup, Inc. ........... 3,600 105,750
*#Colonial Data Technologies Corp. ... 6,200 98,425
Colonial Gas Co. ................... 8,050 169,050
*Columbia Laboratories, Inc. ........ 10,100 70,700
*Columbus Energy Corp. .............. 1,300 7,638
*Comarco, Inc. ...................... 2,800 37,975
*Comdata Holding Corp. .............. 3,866 92,301
*Comdial Corp. ...................... 3,600 37,350
Commerce Bancorp, Inc. ............. 5,835 130,558
*Commercial Bancshares, Inc. ........ 200 2,900
Commercial Federal Corp. ........... 6,438 235,792
Commercial Intertech Corp. ......... 4,500 79,875
Commercial Metals Co. .............. 7,600 178,600
*Commnet Cellular, Inc. ............. 5,300 143,431
Commonwealth Energy System ......... 2,100 94,500
*Communication Cable, Inc. .......... 1,112 12,858
*Communications Central, Inc. ....... 2,300 11,500
Communications Systems, Inc. ....... 9,000 145,125
Community Bank System, Inc. ........ 2,500 82,813
Community Bankshares, Inc. NH ...... 800 14,900
Community First Bankshares, Inc. ... 2,300 47,725
Community Psychiatric Centers ...... 21,800 242,525
*Competitive Technologies, Inc. ..... 1,400 12,338
*Compression Laboratories, Inc. ..... 8,800 64,350
*Comptek Research, Inc. ............. 7,900 82,950
*Compucom Systems, Inc. ............. 10,000 82,500
Computer Data Systems, Inc. ........ 5,700 81,225
*Computer Horizons Corp. ............ 11,925 417,375
*Computer Identics Corp. ............ 4,200 9,450
Computer Language Research, Inc. ... 9,600 114,000
*Computer Network Technology Corp. . 11,100 67,294
*Computer Outsourcing Services, Inc. 700 3,019
*Computer Products, Inc. ............ 12,200 151,738
Computer Task Group, Inc. .......... 1,900 36,813
*Computer Telephone Corp. Class 1 ... 3,000 48,000
*Computervision Corp. ............... 23,700 296,250
*Computrac, Inc. .................... 2,400 5,250
*Comshare, Inc. ..................... 6,000 145,500
*Comstock Resources, Inc. ........... 4,900 23,734
*Comtech Telecommunications Corp. .. 1,000 2,500
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Comverse Tecnology, Inc. ........... 9,900 $224,606
*Condor Services, Inc. .............. 1,000 3,750
*Conductus, Inc. .................... 2,000 13,000
*Cone Mills Corp. NC ................ 15,000 168,750
*Conmed Corp. ....................... 8,850 276,563
Connecticut Energy Corp. ........... 3,800 76,475
Connecticut Natural Gas Corp. ...... 2,900 67,063
Connecticut Water Services, Inc. ... 1,400 38,850
*Consep, Inc. ....................... 4,300 12,631
Conservative Savings Corp. ......... 700 9,538
*Consilium, Inc. .................... 4,000 52,500
*Conso Products Co. ................. 1,500 24,188
*Consolidated Graphics, Inc. ........ 1,100 26,675
*Consolidated Products, Inc. ........ 5,457 89,017
*Consolidated Stainless, Inc. ....... 800 7,200
Consolidated Tokoma Land Co. ....... 1,700 26,988
*Consumer Portfolio Services, Inc. .. 200 3,775
Consumers Water Co. ................ 4,100 71,750
*Continental Can, Inc. DE ........... 1,000 18,125
Continental Homes Holding Corp. .... 3,600 66,150
*Continental Waste Industries, Inc. . 1,200 22,350
*Control Data Systems, Inc. ......... 8,300 141,619
*Convest Energy Corp. ............... 1,000 3,125
*Convex Computer Corp. .............. 11,600 55,100
Cooker Restaurant Corp. ............ 3,500 37,188
*Cooper Companies, Inc. ............. 4,800 30,600
*Copart, Inc. ....................... 4,400 103,675
*Copley Pharmaceutical, Inc. ........ 7,500 112,500
*Copytele, Inc. ..................... 10,300 100,425
*Cor Therapeutics, Inc. ............. 10,700 115,694
*Coram Healthcare Corp. ............. 16,000 88,000
*Corcom, Inc. ....................... 700 4,638
Core Industries, Inc. .............. 5,200 71,500
*Core, Inc. ......................... 1,000 9,375
*Cornerstone Financial Corp. ........ 800 6,975
*Cornerstone Imaging, Inc. .......... 3,000 52,500
*Cornerstone Natural Gas, Inc. ...... 2,500 5,938
*Corrpro Companies, Inc. ............ 1,200 6,750
*Cortech, Inc. ...................... 7,100 11,981
*Corvas International, Inc. ......... 3,300 9,900
*Corvel Corp. ....................... 1,000 32,500
*Cosmetic Centers, Inc. Class A ..... 1,100 7,975
*Cosmetic Centers, Inc. Class B ..... 200 1,450
Cotton States Life Insurance Co. ... 250 2,375
Courier Corp. ...................... 800 20,200
*Covenant Transport, Inc. Class A ... 2,200 28,325
*Coventry Corp. ..................... 10,000 195,625
Craftmade International, Inc. ...... 2,000 15,125
*#Craig (Jenny), Inc. ................ 11,900 113,050
*Craig Corp. ........................ 1,000 9,375
*#Cray Research, Inc. ................ 12,800 307,200
*Creative Biomolecules, Inc. ........ 7,900 47,400
*Creative Technologies Corp. ........ 1,000 2,156
*Credence Systems Corp. ............. 11,250 336,797
*#Cree Research, Inc. ................ 6,000 112,500
*Criticare Systems, Inc. ............ 3,000 9,375
*Crop Growers Corp. ................. 1,600 20,800
Cross (A.T.) Co. Class A ........... 8,900 141,844
Cross Timbers Oil Co. .............. 8,000 137,000
*Crosscomm Corp. .................... 2,300 27,600
*Crossman Communities, Inc. ......... 4,000 67,000
*Crown Books Corp. .................. 2,700 33,750
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Crown Central Petroleum Corp.
Class A ............................ 1,400 $ 19,775
*Crown Central Petroleum Corp.
Class B ............................ 1,500 20,250
Crown Crafts, Inc. ................. 5,100 62,475
*Crown Resources Corp. .............. 6,600 28,463
*Crown-Andersen, Inc. ............... 1,000 7,813
*Cruise America, Inc. ............... 2,600 14,300
*Cryenco Sciences, Inc. Class A ..... 2,400 11,400
*Cryolife, Inc. ..................... 900 11,475
*Cryomedical Sciences, Inc. ......... 12,300 29,213
*Crystal Oil Co. .................... 1,200 35,700
Cubic Corp. ........................ 1,600 38,200
*Culbro Corp. ....................... 2,200 110,550
Cullen Frost Bankers, Inc. ......... 5,030 253,386
Culp, Inc. ......................... 16,818 168,180
Cupertino National Bancorp ......... 220 2,888
*Curative Technologies, Inc. ........ 7,000 89,688
Curtiss-Wright Corp. ............... 1,300 61,913
*Custom Chrome, Inc. ................ 1,000 24,500
*Customedix Corp. ................... 1,100 2,063
*Cyberonics, Inc. ................... 4,100 27,163
*Cyberoptics Corp. .................. 1,900 64,600
*Cycare Systems, Inc. ............... 3,400 95,200
*Cygne Designs, Inc. ................ 5,000 7,188
*Cygnus, Inc. ....................... 4,100 64,319
*Cypros Pharmaceutical Corp. ........ 6,000 22,875
*Cypros Pharmaceuticals Corp.
(Private Placement) ................ 2,700 9,264
*Cyrk, Inc. ......................... 4,500 45,000
*Cytel Corp. ........................ 8,000 34,500
*#Cytogen Corp. ...................... 12,800 68,000
*Cytotherapeutics, Inc. ............. 7,400 91,113
*Cytrx Corp. ........................ 19,000 19,000
*D&N Financial Corp. ................ 2,700 31,894
*DAIG Corp. ......................... 3,000 62,625
*DBA Systems, Inc. .................. 1,700 8,606
*DDL Electronics, Inc. .............. 6,500 18,688
*DEP Corp. Class A .................. 1,900 2,375
*DEP Corp. Class B .................. 6,200 9,300
*DH Technology, Inc. ................ 3,750 83,906
*DIY Home Warehouse, Inc. ........... 10,000 45,625
*DM Management Co. .................. 2,000 4,000
*DMX, Inc. .......................... 13,000 35,750
*DNA Plant Technology Corp. ......... 17,300 12,975
*DNX Corp. .......................... 3,800 13,300
*DR Horten, Inc. .................... 17,549 177,684
*DRCA Medical Corp. ................. 2,100 7,219
*DS Bancor, Inc. .................... 764 18,718
*DSP Group, Inc. .................... 1,900 22,800
*DSP Technology, Inc. ............... 1,000 6,625
DT Industries, Inc. ................ 5,000 66,250
*DVI, Inc. .......................... 5,500 72,875
*Daily Journal Corp. ................ 200 7,100
*Dairy Mart Convenience Stores, Inc.
Class A ............................ 1,600 10,500
*Daka International, Inc. ........... 1,100 31,213
Dallas Semiconductor Corp. ......... 18,700 402,050
*Damark International, Inc. Class A . 3,700 24,744
Dames & Moore, Inc. ................ 13,300 174,563
Daniel Industries, Inc. ............ 5,200 68,900
*Danskin, Inc. ...................... 2,400 11,550
*Darling International, Inc. ........ 1,000 23,625
Dart Group Corp. Class A ........... 700 65,013
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Data Broadcasting Corp. ............ 3,245 $ 45,633
*Data General Corp. ................. 18,000 218,250
*Data I/O Corp. ..................... 3,700 29,369
*Data Measurement Corp. ............. 200 3,563
*Data Race, Inc. .................... 1,800 8,269
*Data Research Association, Inc. .... 1,000 17,438
*Data Systems & Software, Inc. ...... 1,800 15,075
*Data Translation, Inc. ............. 8,400 161,700
*Data Transmission Network Corp. .... 700 30,625
*Dataflex Corp. ..................... 3,400 17,000
*Datakey, Inc. ...................... 1,000 5,500
*Datamarine International, Inc. ..... 200 1,300
*Datametrics Corp. .................. 4,100 35,106
*Datapoint Corp. .................... 4,200 5,775
*Dataram Corp. ...................... 1,100 7,838
*Datascope Corp. .................... 10,800 273,375
*Dataware Technologies, Inc. ........ 4,000 45,000
*Datawatch Corp. .................... 2,400 12,525
*Datron Systems, Inc. ............... 1,800 34,650
*Datum, Inc. ........................ 1,600 15,900
*Davco Restaurants, Inc. ............ 3,000 36,375
*Dave and Busters, Inc. ............. 2,200 32,450
*Davel Communications Group, Inc. ... 700 8,750
Davis Water & Waste Industries,
Inc. ............................... 5,500 86,625
*Davox Corp. ........................ 5,000 53,438
*#Daw Technologies, Inc. ............. 5,000 30,625
*Dawson Geophysical Co. ............. 4,100 41,513
*Daxor Corp. ........................ 4,400 29,150
*Day Runner, Inc. ................... 1,200 33,450
*De Soto, Inc. ...................... 2,700 10,800
DeKalb Genetics Corp. Class B ...... 2,000 89,750
Deb Shops, Inc. .................... 4,800 17,550
*Deckers Outdoor Corp. .............. 1,800 12,150
Decorator Industries, Inc. ......... 900 7,425
*Deeptech International, Inc. ....... 6,100 25,163
Defiance, Inc. ..................... 7,600 56,525
*Deflecta-Shield Corp. .............. 1,000 5,500
*Del Electronics Corp. .............. 1,423 9,250
Del Laboratories, Inc. ............. 9,066 177,920
*Delaware Ostego Corp. .............. 200 1,950
Delchamps, Inc. .................... 1,000 17,500
*Delphi Financial Group, Inc.
Class A ............................ 1,300 25,838
*Delphi Information Systems, Inc. ... 5,000 5,938
Delta & Pine Land Co. .............. 4,800 181,200
Delta Natural Gas Co., Inc. ........ 1,400 24,763
Delta Woodside Industries, Inc. .... 11,000 71,500
*Designs, Inc. ...................... 12,450 99,600
*Detection Systems, Inc. ............ 2,800 18,900
*Detrex Corp. ....................... 500 2,406
*Detroit Diesel Corp. ............... 10,000 182,500
*Devcon International Corp. ......... 2,000 15,125
*Devlieg-Bullard, Inc. .............. 6,500 15,438
Devon Energy Corp. ................. 14,700 354,638
*Devon Group, Inc. .................. 1,400 53,550
*Devry, Inc. ........................ 11,200 298,200
*Dewolfe Companies, Inc. ............ 200 1,125
Dexter Corp. CT .................... 12,100 294,938
Diagnostic Products Corp. .......... 5,000 179,375
*Diagnostic Retrieval Systems, Inc.
Class A ............................ 500 3,938
*#Dial Page, Inc. .................... 5,600 89,250
*Dialogic Corp. ..................... 8,500 270,938
*Diametrics Medical, Inc. ........... 5,700 39,900
*Diana Corp. ........................ 1,550 22,669
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Dianon Systems, Inc. ............... 3,300 $ 12,581
*Digi International, Inc. ........... 4,100 95,069
*Digicon, Inc. ...................... 4,500 27,000
*Digital Biometrics, Inc. ........... 5,000 31,250
*Digital Link Corp. ................. 1,800 32,850
*Digital Microwave Corp. ............ 6,300 77,175
*Digital Sound Corp. ................ 7,900 15,553
*Digital Systems International, Inc. 6,500 88,156
*Dimac Corp. ........................ 1,300 35,263
*Dimark, Inc. ....................... 2,500 35,000
*Dime Financial Corp. ............... 2,300 27,600
#Dimon, Inc. ........................ 19,150 330,338
*Diodes, Inc. ....................... 1,800 24,750
*Dionex Corp. ....................... 2,400 135,000
*Discount Auto Parts, Inc. .......... 10,300 285,825
*Discovery Zone, Inc. ............... 200 653
Dixie Yarns, Inc. .................. 4,381 17,250
*Dixon Ticonderoga Co. .............. 1,700 10,200
*Dolco Packaging Corp. .............. 200 4,000
Donegal Group, Inc. ................ 1,800 33,525
Donnelly Corp. Class A ............. 3,000 42,375
*Donnkenny, Inc. .................... 1,400 46,288
*Dorsey Trailers, Inc. .............. 3,000 20,250
*Doubletree Corp. ................... 2,500 52,813
Douglas & Lomason Co. .............. 2,600 29,575
*Dovatron International, Inc. ....... 3,000 99,375
Downey Financial Corp. ............. 7,400 168,350
*Dravo Corp. ........................ 3,800 45,600
*Dress Barn, Inc. ................... 13,400 122,275
*Drew Industries, Inc. .............. 3,200 48,800
*#Drexler Technology Corp. ........... 3,300 44,138
Dreyer's Grand Ice Cream, Inc. ..... 8,300 273,900
*Drug Emporium, Inc. ................ 5,300 21,863
*Drypers Corp. ...................... 1,500 2,766
*Dual Drilling Co. .................. 5,000 50,938
*Duckwall-Alco Stores, Inc. ......... 800 7,800
*Ducommun, Inc. ..................... 4,800 49,200
Duff & Phelps Credit Rating Co. .... 2,566 39,452
*Duplex Products, Inc. .............. 4,300 32,788
*Dura Pharmaceuticals, Inc. ......... 5,100 147,900
*#Duracraft Corp. .................... 3,300 77,138
*Durakon Industries, Inc. ........... 5,200 71,500
*#Duramed Pharmaceuticals, Inc. ...... 3,200 51,600
Duriron Co., Inc. .................. 11,400 323,475
Duty Free International, Inc. ...... 15,000 202,500
*Dwyer Group, Inc. .................. 300 825
Dyersburg Corp. .................... 5,700 27,075
Dynamics Corp. of America .......... 7,500 174,375
*Dynamics Research Corp. ............ 4,471 26,267
*Dynatech Corp. ..................... 8,400 123,900
*E for M Corp. ...................... 1,200 14,325
E'town Corp. ....................... 1,200 35,250
*E-Z-Em, Inc. Class A ............... 2,450 24,500
*E-Z-Em, Inc. Class B ............... 5,874 54,335
*EA Engineering Science &
Technology, Inc. ................... 5,625 22,148
*ECC International Corp. ............ 8,500 87,125
*ECCS, Inc. ......................... 800 1,350
*EFI Electronics Corp. .............. 800 863
*EIS International, Inc. ............ 5,200 80,275
*ELXSI Corp. ........................ 2,200 12,513
EMC Insurance Group, Inc. .......... 6,300 80,325
*EP Technologies, Inc. .............. 5,000 63,125
*ERLY Industries, Inc. .............. 300 2,156
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*ERO, Inc. .......................... 3,000 $ 18,375
*ESCO Electronics Corp. Trust
Receipts ........................... 8,700 69,600
ESELCO, Inc. ....................... 206 4,944
*ESSEF Corp. ........................ 1,500 23,813
*EZ Serve Corp. ..................... 17,000 23,375
Eagle Bancshares, Inc. ............. 200 7,125
*Eagle Finance Corp. ................ 2,000 27,750
Eagle Financial Corp. .............. 2,200 60,500
*Eagle Food Centers, Inc. ........... 8,100 14,681
*#Eagle Hardware & Garden, Inc. ...... 9,400 71,088
*Earth Technology Corp. ............. 3,500 20,781
Eastern Bancorp, Inc. .............. 1,100 29,700
Eastern Co. ........................ 5,600 63,000
*Eastern Environment Services, Inc. . 1,000 1,813
Eastern Utilities Associates ....... 8,900 204,700
*Eateries, Inc. ..................... 1,500 3,891
Eaton Vance Corp. .................. 1,800 52,425
*Ecogen, Inc. ....................... 21,700 28,481
Ecology & Environment, Inc.
Class A ............................ 500 3,875
*Ecoscience Corp. ................... 6,000 3,375
*Edelbrock Corp. .................... 2,000 29,250
Edison Brothers Stores, Inc. ....... 11,000 20,625
*Edison Control Corp. ............... 1,000 5,000
*Edisto Resources Corp. ............. 7,600 38,000
*Editek, Inc. ....................... 1,700 5,313
*Edmark Corp. ....................... 1,200 49,050
*Edo Corp. .......................... 3,400 16,575
*#Education Alternatives, Inc. ....... 5,000 24,063
*Educational Development Corp. ...... 900 20,138
*Educational Insights, Inc. ......... 2,800 10,850
*Effective Management Systems, Inc.... 1,400 7,350
*Egghead, Inc. ...................... 7,800 61,425
Ekco Group, Inc. ................... 8,800 52,800
*El Chico Restaurants, Inc. ......... 2,900 26,463
Elcor Corp. ........................ 6,000 125,250
Eldorado Bancorp CA ................ 770 12,705
*Electric & Gas Technology, Inc. .... 4,900 14,394
*Electric Fuel Corp. ................ 3,500 28,000
*Electro Rent Corp. ................. 6,000 122,250
*Electro Scientific Industries, Inc. 4,500 127,125
*Electroglas, Inc. .................. 200 11,775
*Electromagnetic Sciences, Inc. ..... 11,500 124,344
*Electronic Associates, Inc. ........ 4,400 22,550
*Electronic Fab Technology, Inc. .... 5,000 20,000
*Electronic Retailing System
International, Inc. ................ 2,300 6,613
Electronic Tele Communications,
Inc. Class A ....................... 1,000 3,125
*Elek-Tek, Inc. ..................... 4,000 13,250
*Eljer Industries, Inc. ............. 2,100 16,538
Ellett Brothers, Inc. .............. 3,000 24,563
*Eltron International, Inc. ......... 2,000 75,250
*Embrex, Inc. ....................... 2,300 13,800
*Emcare Holdings, Inc. .............. 1,600 36,900
*Emcon .............................. 3,200 12,400
*Emisphere Technologies, Inc. ....... 3,000 21,375
*Emmis Broadcasting Corp. Class A ... 1,600 43,200
*#Empi, Inc. ......................... 2,000 37,375
Empire District Electric Co. ....... 6,800 130,900
*Emulex Corp. ....................... 4,450 55,347
*Encad, Inc. ........................ 1,100 20,556
*Encore Computer Corp. .............. 6,800 13,069
*Encore Wire Corp. .................. 3,200 33,200
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Endosonics Corp. ................... 5,000 $ 71,563
Energen Corp. ...................... 6,600 153,450
*Energy Biosystems Corp. ............ 6,000 53,250
*Energy Research Corp. .............. 1,500 17,250
*Energy Ventures, Inc. .............. 4,400 92,400
Energy West, Inc. .................. 200 1,688
Energynorth, Inc. .................. 2,400 41,700
Engineered Support Systems, Inc. ... 200 1,238
*Engineering Measurements Co. ....... 1,000 2,563
Engle Homes, Inc. .................. 2,800 23,625
Enhance Financial Services Group,
Inc. ............................... 9,900 238,838
Ennis Business Forms, Inc. ......... 6,600 82,500
*Ensys Environmental Products, Inc. . 1,000 2,875
*Envirogen, Inc. .................... 3,000 9,188
*Environmental Elements Corp. ....... 6,400 11,200
*Environmental Technologies Corp. ... 1,200 11,925
*Envirotest Systems Corp. Class A ... 7,200 18,900
*Envoy Corp. ........................ 2,000 30,000
*#Enzo Biochem, Inc. ................. 10,395 202,703
*Enzon, Inc. ........................ 10,200 23,906
*#Epitope, Inc. ...................... 4,800 56,400
*Equinox Systems, Inc. .............. 2,000 15,625
*Equitex, Inc. ...................... 1,000 1,625
*Equitrac Corp. ..................... 1,500 8,531
*Equity Marketing, Inc. ............. 2,200 29,838
*Equity Oil Co. ..................... 14,200 78,100
*Ernst Home Center, Inc. ............ 6,800 18,700
*Escalade, Inc. ..................... 3,335 13,965
Eskimo Pie Corp. ................... 1,600 30,000
*Esmor Correctional Services, Inc. .. 900 8,100
Espey Manufacturing & Electronics
Corp. .............................. 1,700 22,525
*Essex Corp. ........................ 1,000 2,625
Essex County Gas Co. ............... 200 5,050
*Esterline Technologies Corp. ....... 3,000 64,500
*Ethan Allen Interiors, Inc. ........ 3,700 81,400
*Evans & Sutherland Computer Corp. .. 3,800 92,150
*Evans Systems, Inc. ................ 600 2,213
*Evans, Inc. ........................ 1,000 1,438
Evergreen Bancorp, Inc. DE ......... 900 19,913
*Evergreen Media Corp. Class A ...... 6,900 167,325
*Evergreen Resources, Inc. .......... 2,300 9,919
*Exabyte Corp. ...................... 10,700 133,750
*Exar Corp. ......................... 8,100 172,125
*Excalibur Technologies Corp. ....... 4,600 104,650
Excel Industries, Inc. ............. 7,600 93,100
*Excel Technology, Inc. ............. 3,300 21,656
Executive Risk, Inc. ............... 3,800 98,800
*Executive Telecard, Ltd. ........... 5,384 37,352
*Executone Information Systems, Inc. 18,400 51,175
*Exide Electronics Group, Inc. ...... 1,352 20,280
Expeditors International of
Washington ......................... 4,800 121,200
*Express America Holdings Corp. ..... 2,400 12,300
*Express Scripts, Inc. Class A ...... 900 37,688
*Ezcorp, Inc. Class A Non-Voting .... 4,900 21,438
F & M Bancorporation, Inc. ......... 1,000 26,625
F & M National Corp. ............... 3,177 58,377
FCB Financial Corp. ................ 200 3,425
*FDP Corp. .......................... 3,500 27,344
FFLC Bancorp ....................... 500 9,750
FFY Financial Corp. ................ 1,100 23,169
*FLIR Systems, Inc. ................. 1,000 12,875
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*FM Properties, Inc. ................ 5,700 $ 9,619
FMC Gold Co. ....................... 33,400 137,775
*FNB Rochester Corp. ................ 1,400 11,725
*FPA Corp. .......................... 2,000 2,000
*FPA Medical Management, Inc. ....... 3,000 19,125
*FRP Properties, Inc. ............... 2,500 44,063
*FSI International, Inc. ............ 10,400 208,000
Fab Industries, Inc. ............... 5,600 165,550
*Fabri-Centers of America, Inc.
Class A ............................ 9,200 134,550
*Fabri-Centers of America, Inc.
Class B ............................ 9,200 109,250
Facelifters Home Systems, Inc. ..... 1,300 13,650
*Failure Group, Inc. ................ 4,300 27,950
Fair, Isaac & Co., Inc. ............ 2,000 57,250
*Fairchild Corp. Class A ............ 6,000 45,750
*Fairfield Communities, Inc. ........ 2,100 15,225
*Falcon Building Products, Inc.
Class A ............................ 3,000 27,375
Falcon Products, Inc. .............. 5,500 77,000
Family Bancorp ..................... 1,650 29,288
*Family Golf Centers, Inc. .......... 1,000 16,063
Fansteel, Inc. ..................... 4,000 27,500
*Farah, Inc. ........................ 8,000 50,000
Farmer Brothers Co. ................ 200 27,500
*Farr Co. ........................... 2,300 17,250
Farrel Corp. ....................... 2,400 9,000
*Fastcomm Communications Corp. ...... 5,700 34,200
Fay's, Inc. ........................ 10,175 69,953
*Featherlite Manufacturing, Inc. .... 1,200 6,300
*Fed One Bancorp .................... 600 9,225
Fedders Corp. ...................... 10,000 52,500
Fedders Corp. Class A .............. 8,750 36,094
Federal Screw Works ................ 1,800 41,400
*Ferrofluidics Corp. ................ 2,231 26,772
*Fiberstars, Inc. ................... 700 2,625
*Fibreboard Corp. ................... 2,400 52,500
Fidelity Bancorp, Inc. Delaware .... 700 10,850
Fidelity Federal Bancorp ........... 1,000 14,750
Fidelity Financial Bankshares Corp. 210 2,940
Fidelity National Financial, Inc. .. 6,950 109,463
*Fieldcrest Cannon, Inc. ............ 1,000 20,125
*Fifty-Off Stores, Inc. ............. 5,600 6,475
*Figgie International, Inc. Class A . 6,800 79,900
*Figgie International, Inc. Class B . 3,500 38,500
*Filenes Basement Corp. ............. 12,200 43,081
*Filenet Corp. ...................... 3,200 136,000
*Financial Benefit Group, Inc.
Class A ............................ 4,200 19,294
*Financial Federal Corp. ............ 2,700 58,050
Financial Trust Corp. .............. 3,200 97,600
*Financing for Science International,
Inc. ............................... 1,100 5,019
*Finish Line, Inc. Class A .......... 2,700 23,625
First Albany Companies, Inc. ....... 1,795 16,379
*#First Alert, Inc. .................. 9,600 100,800
First American Financial Corp. ..... 5,000 114,375
First Bancorp ...................... 200 5,450
*First Cash, Inc. ................... 1,500 5,813
First Central Financial Corp. ...... 9,300 63,356
First Citizens Bancshares, Inc. NC . 3,400 180,625
*First Citizens Financial Corp. ..... 1,155 22,523
First Commercial Corp. ............. 8,557 275,428
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
First Commonwealth Financial Corp.... 5,000 $ 85,625
*First Defiance Financial Corp. ..... 2,159 22,130
First Essex Bancorp ................ 2,300 26,881
First Federal Capital Corp. ........ 1,100 19,938
First Federal Savings & Loan
Association of East Hartford, CT ... 1,500 29,063
First Federal Savings Bank of
Colorado (Lakewood) ................. 1,800 65,475
First Financial Bancorp ............ 200 6,825
First Financial Bankshares, Inc. ... 200 6,275
First Financial Corp. WI ........... 16,100 366,275
First Financial Holdings, Inc. ..... 3,000 58,500
First Franklin Corp. ............... 200 3,300
*First Georgia Holdings, Inc. ....... 200 1,775
First Harrisburg Bancor, Inc. ...... 220 3,039
First Home Savings Bank FSB
Pennsville, NJ ..................... 200 3,700
First Indiana Corp. ................ 5,366 141,528
First Liberty Financial Corp. ...... 1,200 26,250
*First Merchants Acceptance Corp. ... 2,000 40,250
First Merchants Corp. .............. 300 7,913
First Michigan Bank Corp. .......... 7,425 209,756
First Midwest Bancorp, Inc. ........ 5,500 160,875
First Mississippi Corp. ............ 13,600 346,800
First Mutual Savings Bank .......... 220 2,833
First National Bancorp GA .......... 4,700 141,588
First Northern Savings Bank S.A.
Green Bay, WI ...................... 1,100 17,050
First Oak Brook Bancshares, Inc.
Class A ............................ 700 14,656
*First Pacific Networks, Inc. ....... 9,700 15,005
First Palm Beach Bancorp, Inc. ..... 1,100 25,300
*First Republic Bancorp, Inc. ....... 4,682 52,673
*First Savings Bancorp, Inc. North
Carolina ........................... 700 13,475
First Source Corp. ................. 3,637 85,924
First State Financial Services, Inc. 1,000 13,688
*#First Team Sports, Inc. ............ 1,650 25,781
First United Bancorp ............... 2,700 22,233
First Western Bancorp, Inc. ........ 1,950 53,381
*FirstFed Financial Corp. DE ........ 6,400 98,400
FirstFederal Financial Services
Corp. .............................. 1,220 29,738
Firstbank of Illinois Co. .......... 2,100 63,525
Firstfed Bancshares, Inc. .......... 1,000 22,500
*#Firstmiss Gold, Inc. ............... 15,135 296,078
*Fischer Imaging Corp. .............. 2,200 23,925
Fisher Scientific International,
Inc. ............................... 8,000 261,000
Flag Financial Corp. ............... 200 3,000
*Flagstar Companies, Inc. ........... 21,900 87,600
Flamemaster Corp. .................. 200 638
Flexsteel Industries, Inc. ......... 6,200 70,913
Florida First Bancorp, Inc. ........ 200 1,538
Florida Public Utilities Co. ....... 500 9,438
Florida Rock Industries, Inc. ...... 4,300 113,950
*Flow International Corp. ........... 14,400 123,300
Fluke Corp. ........................ 4,800 164,400
*Fluoroscan Imaging Systems, Inc. ... 700 5,294
*Foamex International, Inc. ......... 5,300 37,431
*Foilmark, Inc. ..................... 1,600 10,400
*Foodarama Supermarkets, Inc. ....... 1,500 16,500
*Foodbrands America, Inc. ........... 3,300 37,744
*Foodmaker, Inc. .................... 28,000 147,000
Foothill Independent Bancorp ....... 1,155 9,529
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Foremost Corp. of America .......... 4,800 $234,000
Forest City Enterprises, Inc.
Class A ............................ 2,300 77,338
Forest City Enterprises, Inc.
Class B ............................ 1,700 56,950
*#Forest Oil Corp. ................... 17,700 47,016
*Forschner Group, Inc. .............. 4,800 58,200
Fort Wayne National Corp. .......... 5,100 160,650
*Fortune Petroleum Corp. ............ 3,700 17,113
*Fossil, Inc. ....................... 2,600 24,213
Foster (L.B.) Co. Class A .......... 20,900 94,050
*Fountain Oil, Inc. ................. 4,200 16,275
*Fountain Powerboat Industries, Inc. 600 3,225
*Fourth Shift Corp. ................. 1,900 6,413
*Foxmeyer Health Corp. .............. 13,584 353,184
*Framingham Savings Bank MA ......... 5,500 23,375
Franklin Bank National Associaton
Southfield, MI ...................... 1,200 14,175
Franklin Electric Co., Inc. ........ 3,300 103,125
*Franklin Electric Publishers, Inc. . 4,700 192,700
*Franklin Quest Co. ................. 8,700 164,213
Frederick's of Hollywood, Inc.
Class A ............................ 3,966 18,343
Frederick's of Hollywood, Inc.
Class B ............................ 7,933 35,699
Freds, Inc. Class A ................ 2,100 16,013
#Fremont General Corp. .............. 12,595 434,528
*Fresenius USA, Inc. ................ 9,200 158,700
*Fresh America Corp. ................ 700 5,731
*Fresh Choice, Inc. ................. 1,100 7,631
*Fretter, Inc. ...................... 4,284 1,205
Friedman Industries, Inc. .......... 12,379 46,421
*Friedmans, Inc. Class A ............ 1,300 30,063
Frisch's Restaurants, Inc. ......... 27,746 254,918
Frontier Adjusters of America, Inc. 1,000 2,875
Frontier Insurance Group, Inc. ..... 5,835 194,014
Frozen Food Express Industries,
Inc. ............................... 7,207 65,313
*Fruehauf Trailer Corp. ............. 8,000 13,000
Fuller (H.B.) Co. .................. 2,800 90,650
Fulton Financial Corp. ............. 9,060 197,055
*#Funco, Inc. ........................ 2,300 9,200
*Fuqua Enterprises, Inc. ............ 3,600 74,700
Furon Co. .......................... 3,900 69,713
*Fusion Systems Corp. ............... 1,500 46,500
*Future Healthcare, Inc. ............ 3,400 5,311
G & K Services, Inc. Class A ....... 13,000 299,000
*G-III Apparel Group, Ltd. .......... 3,685 8,867
GBC Bancorp ........................ 1,000 17,250
*GBC Technologies, Inc. ............. 3,000 25,313
*GC Companies, Inc. ................. 1,600 53,600
*GMIS, Inc. ......................... 2,300 29,900
*GNI Group, Inc. .................... 2,400 16,200
*GRC International, Inc. ............ 9,100 275,275
*GTI Corp. .......................... 5,600 84,700
*GTS Duratek, Inc. .................. 1,700 23,800
*GZA Geoenvironmental
Technologies, Inc. ................. 1,700 5,525
Gainsco, Inc. ...................... 10,052 103,033
*Galey & Lord, Inc. ................. 6,000 62,250
*Galileo Electro-Optics Corp. ....... 3,900 40,950
Gallagher (Arthur J.) & Co. ........ 7,800 255,450
*Galoob (Lewis) Toys, Inc. DE ....... 9,600 109,200
Gamma Biologicals, Inc. ............ 5,500 24,063
*Gander Mountain, Inc. .............. 4,300 26,069
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Gantos, Inc. ....................... 1,650 $ 3,661
Garan, Inc. ........................ 7,400 127,650
*Gardner Denver Machinery, Inc. ..... 1,000 16,500
*Garnet Resources Corp. ............. 4,500 5,906
*Gasonics International, Inc. ....... 5,250 94,500
*Gaylord Container Corp. Class A .... 6,000 55,500
*#Geerling & Wade, Inc. .............. 700 4,594
*Gehl Co. ........................... 2,500 17,969
*Gelman Sciences, Inc. .............. 11,475 268,228
Gencorp, Inc. ...................... 16,000 188,000
*Genelabs Technologies, Inc. ........ 9,800 37,363
*Genemedicine, Inc. ................. 4,800 31,650
General Binding Corp. .............. 7,200 160,200
*General Datacomm Industries, Inc. .. 7,700 152,075
*General Host Corp. ................. 10,069 47,828
General Housewares Corp. ........... 3,100 31,000
General Magnaplate Corp. ........... 200 1,125
General Parametrics Corp. .......... 5,121 15,523
General Physics Corp. .............. 3,200 10,800
*Genesco, Inc. ...................... 11,035 46,899
Genesee Corp. Class B .............. 200 9,050
*#Genesis Health Ventures, Inc. ...... 7,200 234,900
*Geneva Steel Co. Class A ........... 2,600 18,850
*Genicom Corp. ...................... 4,300 20,425
*Genlyte Group, Inc. ................ 8,900 58,406
*Genome Therapeutics Corp. .......... 6,300 52,763
Genovese Drug Stores, Inc.
Class A ............................ 1,210 14,520
Genrad, Inc. ....................... 12,000 106,500
*Gensia, Inc. ....................... 12,900 57,244
*Genta, Inc. ........................ 4,500 8,719
*Gentex Corp. ....................... 24,300 528,525
*Genus, Inc. ........................ 5,600 46,550
*Genzyme Transgenics Corp. .......... 1,320 5,528
Geodynamics Corp. .................. 4,100 45,613
George Mason Bankshares, Inc. ...... 1,000 25,250
*Georgia-Bonded Fibres, Inc. ........ 200 638
*Geotek Communications, Inc. ........ 25,000 176,563
*Geoworks ........................... 2,300 40,538
Gerber Scientific, Inc. ............ 14,200 241,400
*Geriatric & Medical Companies, Inc... 4,400 11,138
*#Gerrity Oil and Gas Corp. .......... 7,200 30,600
Getty Petroleum Corp. .............. 5,100 75,863
*Giant Cement Holding, Inc. ......... 2,000 21,125
*Giant Group, Ltd. .................. 5,300 33,788
Giant Industries, Inc. ............. 7,900 84,925
*Gibraltar Packaging Group, Inc. .... 1,000 3,688
*Gibraltar Steel Corp. .............. 2,000 24,625
Gibson Greetings, Inc. ............. 9,700 144,288
Giddings & Lewis, Inc. ............. 17,100 268,256
*Giga-Tronics, Inc. ................. 1,600 13,400
Gilbert Associates, Inc. Class A ... 1,300 19,338
*#Gilead Sciences, Inc. .............. 10,000 260,000
*Gish Biomedical, Inc. .............. 1,900 15,794
Glacier Bancorp, Inc. .............. 1,220 24,858
*Glacier Water Services, Inc. ....... 300 5,888
Gleason Corp. ...................... 3,600 120,150
*Global Industrial Technologies, Inc. 11,700 207,675
*Global Natural Resources, Inc. ..... 19,000 185,250
*Global Village Communication, Inc. . 3,200 73,200
*#Globalink, Inc. .................... 3,000 24,000
*Go Video, Inc. ..................... 3,100 5,231
Golden Enterprises, Inc. ........... 5,000 40,625
Golden Poultry Co., Inc. ........... 2,783 24,177
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Golden Star Resources, Ltd. ........ 10,000 $ 51,875
*Goldwyn (Samuel) Co. ............... 3,300 13,200
*Golf Enterprises, Inc. ............. 3,000 25,125
*Good Guys, Inc. .................... 6,800 69,700
GoodMark Foods, Inc. ............... 7,800 144,300
*Goodrich Petroleum Corp. ........... 8,400 7,875
Goodys Family Clothing, Inc. ....... 9,700 107,913
Gorman-Rupp Co. .................... 11,575 173,625
*Gottschalks, Inc. .................. 5,800 38,425
Goulds Pumps, Inc. ................. 9,600 228,600
*Government Technology Services,
Inc. ............................... 4,000 16,000
Graco, Inc. ........................ 6,800 243,950
*Gradco Systems, Inc. ............... 4,700 11,750
*Graff Pay-per-View, Inc. ........... 6,500 30,875
*Graham-Field Health Products, Inc. . 6,500 21,938
*Grancare, Inc. ..................... 13,605 207,476
Granite Construction, Inc. ......... 6,400 177,200
Granite State Bankshares, Inc. ..... 800 13,200
*Grant Geophysical, Inc. ............ 3,100 7,847
Graphic Industries, Inc. ........... 2,900 30,813
*Great Country Bank of Ansonia, CT .. 1,000 5,375
Great Southern Bancorp, Inc. ....... 200 4,675
*Greater New York Savings Bank NY .. 6,500 77,594
Green (A.P.) Industries, Inc. ...... 5,550 107,531
Green Mountain Power Corp. ......... 19,300 533,163
Greenbrier Companies, Inc. ......... 8,000 87,000
Greenfield Industries, Inc. DE ..... 3,000 92,625
*Greenman Brothers, Inc. ............ 7,900 96,775
*Greenwich Air Services, Inc. ....... 200 3,650
Greiner Engineering, Inc. .......... 4,900 44,100
Grey Advertising, Inc. ............. 200 38,800
*Greyhound Lines, Inc. .............. 12,700 53,181
*Griffon Corp. ...................... 51,500 437,750
*Grist Mill & Co. ................... 5,900 53,469
*Grossmans, Inc. .................... 9,900 12,066
*Ground Round Restaurants, Inc. ..... 5,500 15,297
*Groundwater Technology, Inc. ....... 2,400 33,900
*Group 1 Software, Inc. ............. 3,000 35,250
*Group Technologies Corp. ........... 3,000 12,000
Grovebank for Savings .............. 200 4,725
*Grow Biz International, Inc. ....... 200 1,813
*Gryphon Holdings, Inc. ............. 100 1,713
Guaranty National Corp. ............ 5,500 79,750
Guardsman Products, Inc. ........... 12,000 156,000
*Guest Supply, Inc. ................. 6,000 129,000
Guilford Mills, Inc. ............... 6,700 154,100
*Gulfmark International, Inc. ....... 1,700 39,100
*Gulfsouth Medical Supply, Inc. ..... 2,700 64,800
*Gull Laboratories, Inc. ............ 3,000 15,000
*Gundle/SLT Environmental, Inc. ..... 7,200 43,200
*Gupta Corp. ........................ 2,400 15,900
*HCC Insurance Holdings, Inc. ....... 4,500 150,188
*HD Vest, Inc. ...................... 2,200 5,638
*HEI, Inc. .......................... 1,500 8,625
HF Financial Corp. ................. 200 6,200
*HMG Worldwide Corp. ................ 2,500 5,625
HMI Industries, Inc. ............... 5,400 66,150
*HMN Financial, Inc. ................ 1,200 18,600
*HPSC, Inc. ......................... 2,600 13,325
*HS Resources, Inc. ................. 5,000 66,875
HUBCO, Inc. ........................ 4,530 89,751
*Ha-Lo Industries, Inc. ............. 1,700 33,788
Hach Co. ........................... 2,125 33,336
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Hadco Corp. ........................ 6,100 $186,050
*Haemonetics Corp. .................. 19,700 349,675
Haggar Corp. ....................... 1,700 29,963
*Hahn Automotive Warehouse, Inc. .... 2,000 12,250
Hallwood Energy Corp. .............. 200 3,100
*Hallwood Group, Inc. ............... 950 9,263
*Halsey Drug Co., Inc. .............. 5,604 20,315
*Hamburger Hamlet Restaurants, Inc.... 2,300 1,725
*Hampshire Group, Ltd. .............. 1,400 17,675
*Hampton Industries, Inc. ........... 2,846 14,230
Hancock Fabrics, Inc. .............. 12,900 124,163
Hancock Holding Co. ................ 3,200 116,800
*Handex Environmental Recovery, Inc... 3,100 15,500
Handleman Co. ...................... 15,200 95,000
Handy & Harman ..................... 9,100 141,050
*Hanger Orthopedic Group, Inc. ...... 4,100 11,275
*Hanover Direct, Inc. ............... 55,600 90,350
*#Happiness Express, Inc. ............ 3,000 13,500
*Harcor Energy, Inc. ................ 2,900 7,069
*Harding Lawson Associates Group,
Inc. ............................... 5,000 35,000
*Harken Energy Corp. ................ 11,700 19,013
Harleysville Group, Inc. ........... 9,000 259,875
Harleysville National Corp PA ...... 200 5,425
*Harlyn Products, Inc. .............. 2,900 5,075
Harman International Industries,
Inc. ............................... 3,465 152,027
Harmon Industries, Inc. ............ 5,100 85,425
*Harolds Stores, Inc. ............... 1,996 23,703
Harper Group, Inc. ................. 5,100 87,019
*Harris & Harris Group, Inc. ........ 4,800 25,500
*Harry's Farmers Market, Inc.
Class A ............................ 1,600 6,500
*Hartmarx Corp. ..................... 14,700 66,150
*Harvard Industries, Inc. ........... 1,300 34,694
*#Harvey Entertainment Co. ........... 2,000 16,250
Harvey's Casino Resorts ............ 3,700 55,500
Hastings Manufacturing Co. ......... 350 7,241
Hathaway Corp. ..................... 2,700 6,413
*Hauser Chemical Research, Inc. ..... 4,200 19,950
Haven Bancorp, Inc. ................ 900 22,331
Haverfield Corp. ................... 220 3,108
Haverty Furniture Co., Inc. ........ 5,300 76,188
Haverty Furniture Co., Inc. Class A 200 2,900
Hawkeye Bancorp .................... 8,000 209,500
Hawkins Chemical, Inc. ............. 3,188 25,504
*Hawthorne Financial Corp. .......... 700 3,369
Hayes Wheels International, Inc. ... 8,800 235,400
Health Images, Inc. ................ 3,100 24,025
*Health Management Systems, Inc. .... 4,200 150,150
*Health Management, Inc. ............ 5,200 69,875
*Health O Meter Products, Inc. ...... 3,600 14,850
*Health Professionals, Inc. ......... 12,500 2,734
*Health Risk Management, Inc. ....... 1,600 12,600
*Health-Chem Corp. .................. 15,400 24,063
*Healthcare Imaging Services, Inc. .. 1,200 975
*Healthcare Services Group, Inc. .... 9,200 79,350
*Healthdyne Information Enterprises,
Inc. ............................... 10,100 14,514
*Healthdyne Technologies, Inc. ...... 9,572 102,899
*Healthdyne, Inc. ................... 10,100 79,538
*Healthwise America, Inc. ........... 1,100 33,963
*Heart Technology, Inc. ............. 7,000 192,063
*Heartland Express, Inc. ............ 6,875 206,250
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Hechinger Co. Class A .............. 14,900 $ 67,050
Hechinger Co. Class B .............. 5,800 27,550
*Hecla Mining Co. ................... 24,000 174,000
*Hector Communications Corp. ........ 1,200 8,775
*Heftel Broadcasting Corp. Class A .. 1,100 17,050
Heico Corp. ........................ 1,210 22,234
*Hein-Werner Corp. .................. 2,914 13,295
*Heist (C.H.) Corp. ................. 2,100 14,963
Helene Curtis Industries, Inc. ..... 3,000 86,625
*Helian Health Group, Inc. .......... 2,200 11,825
Helix Technology Corp. ............. 14,800 497,650
Henry Jack & Associates, Inc. ...... 2,300 55,056
Herbalife International, Inc. ...... 15,000 112,500
Heritage Financial Services, Inc. .. 1,000 19,125
*Heritage Media Corp. Class A ....... 7,100 185,488
*Hexcel Corp. ....................... 5,000 47,500
*Hi-Lo Automotive, Inc. ............. 8,700 48,938
*Hi-Shear Industries, Inc. .......... 5,500 38,500
*#Hi-Shear Technology Corp. .......... 1,300 11,538
*Hi-Tech Pharmacal, Inc. ............ 3,500 28,219
Hibernia Savings Bank .............. 200 3,525
*High Plains Corp. .................. 8,880 46,620
Hilb Rogal Hamilton Co. ............ 6,500 91,000
*Hilite Industries, Inc. ............ 1,000 11,000
*Hinsdale Financial Corp. ........... 1,250 27,188
*Hirsch International Corp. Class A . 875 12,250
*Hitox Corp. ........................ 2,500 7,813
Hoenig Group, Inc. ................. 3,900 15,356
*Hogan Systems, Inc. ................ 12,000 108,750
*Holiday RV Superstores, Inc. ....... 3,000 8,531
Hollinger International, Inc. Class
A ................................... 1,700 19,975
#Holly Corp. ........................ 2,100 46,200
*Hollywood Casino Corp. Class A ..... 15,000 80,625
*Hologic, Inc. ...................... 1,600 66,800
*Holopak Technologies, Inc. ......... 3,500 20,125
*Holophane Corp. .................... 1,500 45,188
*Holson Burnes Group, Inc. .......... 2,400 9,000
Home Beneficial Corp. Class B ...... 5,200 127,400
Home Federal Bancorp ............... 200 5,075
Home Financial Corp ................ 5,000 74,375
Home Port Bancorp, Inc. ............ 900 10,575
*Home State Holdings, Inc. .......... 5,000 41,875
*#Home Theater Products
International, Inc. ................ 4,000 2,250
*Homecorp, Inc. ..................... 200 3,350
*Homeowners Group, Inc. ............. 1,700 2,603
*Hometown Bancorp., Inc. ............ 200 2,725
*Hometown Buffet, Inc. .............. 2,300 24,725
*#Hondo Oil and Gas Co. .............. 5,300 83,475
Hooper Holmes, Inc. ................ 3,400 27,200
Horizon Bancorp, Inc. .............. 200 7,550
Horizon Financial Corp. ............ 3,938 52,671
*Hornbeck Offshore Services, Inc. ... 5,800 104,763
*Horsehead Resource Development
Co., Inc. .......................... 16,500 88,430
*Hospital Staffing Services, Inc. ... 1,200 2,100
*Hosposable Products, Inc. .......... 200 1,550
*Hovnanian Enterprises, Inc.
Class A ............................ 6,050 40,838
*Hovnanian Enterprises, Inc.
Class B ............................ 1,150 7,763
Howell Corp. ....................... 4,700 59,338
Howell Industries, Inc. ............ 1,600 38,800
*#Howtek, Inc. ....................... 3,600 31,050
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Hudson Foods, Inc. Class A ......... 6,100 $ 97,600
Hudson General Corp. ............... 1,700 53,763
Huffy Corp. ........................ 6,700 71,188
Hughes Supply, Inc. ................ 5,100 133,875
*Hugoton Energy Corp. ............... 3,100 26,350
*Human Genome Sciences, Inc. ........ 4,200 113,400
Hunt Manufacturing Co. ............. 7,600 114,000
Huntco, Inc. Class A ............... 1,500 26,438
*Hurco Companies, Inc. .............. 3,300 18,975
*Hutchinson Technology, Inc. ........ 2,400 117,600
*Hycor Biomedical, Inc. ............. 5,600 25,200
*Hyde Athletic Industries, Inc.
Class A ............................ 1,100 4,469
*Hyde Athletic Industries, Inc.
Class B ............................ 1,500 5,813
Hydron Technologies, Inc. .......... 9,800 20,213
*Hyperion Software Corp. ............ 2,000 89,250
*#I-Stat Corp. ....................... 4,400 152,350
*ICF Kaiser International, Inc. ..... 7,100 23,963
ICN Pharmaceuticals, Inc. .......... 14,511 293,848
*ICO, Inc. .......................... 3,500 18,594
*ICOS Corp. ......................... 12,800 88,000
*ICU Medical, Inc. .................. 3,500 41,344
*IDEC Pharmaceuticals Corp. ......... 4,900 67,375
*#IDM Environmental Corp. ............ 1,200 5,025
*IEC Electronics Corp. .............. 1,500 13,781
*IFR Systems, Inc. .................. 3,700 35,150
*IGEN, Inc. ......................... 2,900 17,400
*IGI, Inc. .......................... 8,700 91,350
*IHOP Corp. ......................... 4,100 106,088
*II-VI, Inc. ........................ 1,000 12,313
*ILC Technology, Inc. ............... 2,900 30,269
IMCO Recycling, Inc. ............... 7,700 174,213
*IMP, Inc. .......................... 10,500 89,906
*IPC Information Systems, Inc. ...... 300 4,463
*IPL Systems, Inc. Class A .......... 1,800 5,625
*IQ Software Corp. .................. 1,700 22,525
*ITI Technologies, Inc. ............. 3,600 89,550
*IVI Publishing, Inc. ............... 5,000 70,313
IWC Resources Corp. ................ 2,900 56,913
*Ibah, Inc. ......................... 7,100 31,063
*Identix, Inc. ...................... 13,400 135,675
Ideon Group, Inc. .................. 6,900 56,063
*Ikos Systems, Inc. ................. 1,500 17,719
*Illinois Superconductor Corp. ...... 700 12,250
*Image Entertainment, Inc. .......... 6,200 41,075
*Image Industries, Inc. ............. 4,000 45,000
*#Imatron, Inc. ...................... 11,000 23,031
*Imclone Systems, Inc. .............. 2,800 15,225
*Imclone Systems, Inc. (Private
Placement) ......................... 7,000 34,256
*Immucor, Inc. ...................... 3,900 41,438
*Immulogic Pharmaceutical Corp. ..... 7,800 97,013
*#Immune Response Corp. DE ........... 6,700 26,381
*Immunogen, Inc. .................... 5,700 8,728
*Immunomedics, Inc. ................. 13,700 68,500
*Imo Industries, Inc. ............... 7,700 54,863
*Impact Systems, Inc. ............... 4,100 9,097
*Imperial Bancorp ................... 5,475 125,925
*Imperial Credit Industries, Inc. ... 5,795 97,428
Imperial Holly Corp. ............... 5,100 33,150
*#In Focus Systems, Inc. ............. 8,000 270,000
*In Home Health, Inc. ............... 6,400 16,000
*Inacom Corp. ....................... 3,700 49,488
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Inbrand Corp. ...................... 4,000 $ 71,000
*Incontrol, Inc. .................... 2,400 29,100
*Incstar Corp. ...................... 6,500 26,000
*Incyte Pharmaceuticals, Inc. ....... 4,000 71,000
*Indenet, Inc. ...................... 1,100 4,211
Independence Holding Co. ........... 2,500 9,688
Independent Bank Corp. MA .......... 5,800 40,600
Independent Bank East .............. 1,050 28,744
Independent Insurance Group, Inc. .. 3,400 91,375
Indiana Energy, Inc. ............... 11,300 268,375
Indiana Federal Corp. .............. 1,500 29,063
Industrial Acoustics Co., Inc. ..... 200 2,125
*Industrial Holdings, Inc. .......... 200 750
*Industrial Scientific Corp. ........ 700 14,525
*Industrial Training Corp. .......... 1,000 10,188
*Information International, Inc. .... 1,100 11,138
*Information Resources, Inc. ........ 10,000 120,625
*Infrasonics, Inc. .................. 7,100 44,375
Ingles Market, Inc. Class A ........ 900 9,731
*Inmac Corp. ........................ 5,000 48,438
*Innerdyne, Inc. .................... 8,200 19,988
*Innodata Corp. ..................... 900 4,163
*Innoserv Technologies, Inc. ........ 200 500
*Innovative Gaming Corp of America .. 1,000 9,063
Innovex, Inc. ...................... 10,800 180,225
*Inphynet Medical Management, Inc. .. 5,000 90,000
*Insignia Financial Group, Inc.
Class A ............................ 500 14,938
*Insilco Corp. ...................... 1,800 58,838
*Insite Vision, Inc. ................ 5,700 13,003
Insituform East, Inc. .............. 1,700 7,225
*Insituform Technologies, Inc.
Class A ............................ 9,110 105,334
*Inso Corp. ......................... 400 16,100
Insteel Industries, Inc. ........... 3,770 24,976
Instron Corp. ...................... 11,200 141,400
*Insurance Auto Auctions, Inc. ...... 4,300 46,225
Integon Corp. ...................... 6,300 107,100
*Integrated Circuit Systems, Inc. ... 5,600 78,750
*Integrated Health Services, Inc. ... 6,200 137,175
*Integrated Systems, Inc. ........... 6,000 228,750
*Integrated Waste Services, Inc. .... 2,400 3,825
*Intellicall, Inc. .................. 5,700 19,950
Intelligent Electronics, Inc. ...... 15,528 100,932
Inter-Regional Financial Group, Inc. 2,400 94,500
*Inter-Tel, Inc. .................... 4,400 73,150
Intercargo Corp. ................... 3,100 28,675
*Intercel, Inc. ..................... 900 14,288
Interchange Financial Services
Corp. Saddle Brook ................. 400 8,200
*Interco, Inc. ...................... 18,100 151,588
Intercontinental Bank .............. 1,000 29,813
*#Interdigital Communications Corp. .. 18,900 160,650
Interface Systems, Inc. ............ 3,400 22,100
Interface, Inc. Class A ............ 13,000 212,063
*Interferon Sciences, Inc. .......... 8,900 18,495
*Interferon Sciences, Inc. (Private
Placement) ......................... 7,000 13,092
*Interfilm, Inc. .................... 2,500 938
*Intergraph Corp. ................... 20,000 345,000
*Intergrated Process Equipment Corp... 5,000 152,813
*Interim Services, Inc. ............. 2,300 73,888
*Interlake Corp. .................... 17,000 31,875
*Interleaf, Inc. .................... 9,000 105,750
*Interlinq Software Corp. ........... 3,200 10,000
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*#Intermagnetics General Corp. ....... 10,693 $240,593
*Intermedia Communications of
Florida, Inc. ...................... 5,600 76,300
*Intermet Corp. ..................... 14,800 178,525
International Aluminum Corp. ....... 900 25,763
*International Dairy Queen, Inc.
Class A ............................ 7,100 160,638
*International Imaging Materials,
Inc. ................................ 1,800 45,675
*International Jensen, Inc. ......... 2,300 16,100
*International Lottery & Totalizer
Systems, Inc. ...................... 6,900 11,105
International Multifoods Corp. ..... 9,000 210,375
*International Remote Imaging
Systems, Inc. ...................... 2,800 20,475
*International Research & Development
Corp. ............................... 4,600 575
International Shipholding Corp. .... 3,375 64,969
*International Technology Corp. ..... 15,300 40,163
*International Thoroughbred
Breeders, Inc. ..................... 3,300 12,788
*Interneuron Pharmaceuticals, Inc. .. 2,500 44,844
*Interneuron Pharmaceuticals, Inc.
(Private Placement) ................ 16,931 273,330
*Interphase Corp. ................... 2,200 31,075
*Interpoint Corp. WA ................ 3,000 35,250
*Interpool, Inc. .................... 5,000 84,375
*Interpore International ............ 1,000 4,750
*Intersolv, Inc. .................... 5,700 62,344
Interstate Johnson Lane, Inc. ...... 1,300 13,163
Interstate Power Co. ............... 2,400 74,700
*#Intertan, Inc. ..................... 2,800 23,450
*Intervisual Books, Inc. Class A .... 1,000 2,688
*Intervoice, Inc. ................... 9,300 205,181
Interwest Bancorp, Inc. ............ 1,300 24,375
Invacare Corp. ..................... 4,000 106,000
*Investment Technology Group, Inc. .. 7,400 66,600
*Investors Financial Services Corp. . 503 9,871
*Investors Financial Services Corp.
Class A ............................ 96 1,884
Investors Title Co. ................ 800 8,500
*#Iomega Corp. ....................... 16,000 682,000
*Ionics, Inc. ....................... 8,600 371,950
Iroquois Bancorp ................... 400 5,450
Irwin Financial Corp. .............. 1,000 39,125
Isco, Inc. ......................... 43,935 453,080
*Isis Pharmaceuticals, Inc. ......... 11,900 137,594
*#Isolyser Co., Inc. ................. 4,800 77,400
*Isomedix, Inc. ..................... 4,900 69,825
*Itron, Inc. ........................ 4,900 136,588
*Iwerks Entertainment, Inc. ......... 4,024 24,144
*J & J Snack Foods Corp. ............ 4,600 55,775
JLG Industries, Inc. ............... 10,400 292,500
*JP Foodservice, Inc. ............... 3,100 48,631
*JPE, Inc. .......................... 800 8,400
JSB Financial, Inc. ................ 5,400 173,475
*Jabil Circuit, Inc. ................ 5,000 102,813
Jackpot Enterprises, Inc. .......... 4,654 63,411
Jaclyn, Inc. ....................... 1,700 7,119
*Jaco Electronics, Inc. ............. 1,173 14,149
*Jacobs Engineering Group, Inc. ..... 10,000 241,250
Jacobson Stores, Inc. .............. 2,900 26,100
*Jacor Communications, Inc. ......... 10,100 171,700
*Jan Bell Marketing, Inc. ........... 18,800 49,350
*Jason, Inc. ........................ 7,187 52,106
*Jean Philippe Fragrances, Inc. ..... 2,250 19,828
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Jeffbanks, Inc. .................... 500 $ 11,438
Jefferson Bankshares, Inc. ......... 5,800 134,850
*Jefferson Savings Bancorp, Inc. .... 3,000 78,750
*Jennifer Convertibles, Inc. ........ 1,300 3,088
John Alden Financial Corp. ......... 10,000 206,250
*Johnson Worldwide Associates, Inc.
Class A ............................ 1,200 27,150
Johnston Industries, Inc. .......... 10,800 87,750
*Johnstown American Industries, Inc... 5,200 27,625
*Jones Intercable, Inc. ............. 1,000 12,750
*Jones Intercable, Inc. Class A ..... 15,200 197,600
Jones Medical Industries, Inc. ..... 8,000 166,000
*Joseph A. Bank Clothiers, Inc. ..... 1,400 3,063
Juno Lighting, Inc. ................ 7,400 117,475
*Just Toys, Inc. .................... 2,100 3,019
*Just for Feet, Inc. ................ 3,100 105,594
Justin Industries, Inc. ............ 13,600 147,900
K Swiss, Inc. Class A .............. 2,200 25,850
*K-Tron International, Inc. ......... 6,200 40,300
*K-V Pharmaceutical Co. Class A ..... 1,800 15,750
*K-V Pharmaceutical Co. Class B ..... 1,900 16,863
KCS Energy, Inc. ................... 3,200 44,000
*KLLM Transport Services, Inc. ...... 2,766 29,907
Kahler Realty Corp. ................ 1,700 21,569
*Kaiser Ventures, Inc. .............. 9,700 109,125
Kaman Corp. Class A ................ 9,400 106,925
*Kaneb Services, Inc. ............... 9,800 18,375
*Kasler Holding Co. ................. 17,700 101,775
Katy Industries, Inc. .............. 3,600 35,550
Kaufman (H.W.) Financial Group,
Inc. ............................... 2,420 19,360
Kaydon Corp. ....................... 6,900 205,275
*Kaye Group, Inc. ................... 3,000 22,875
*Keane, Inc. ........................ 5,500 151,938
*Kelley Oil & Gas Corp. ............. 10,600 12,588
Kellwood Co. ....................... 8,500 164,688
*#Kenetech Corp. ..................... 20,000 63,750
*Kent Electronics Corp. ............. 7,950 431,288
*Kentucky Electric Steel, Inc. ...... 2,000 18,500
*Kentucky Medical Insurance Co.
Class A ............................ 800 9,650
*Kenwin Shops, Inc. ................. 400 963
*Kerr Group, Inc. ................... 6,300 55,913
*Kevlin Corp. ....................... 200 856
*Kewaunee Scientific Corp. .......... 1,500 4,781
*Key Energy Group, Inc. ............. 1,000 5,500
*Key Production Co., Inc. ........... 3,700 19,888
*Key Technology, Inc. ............... 3,000 43,500
*Key Tronic Corp. ................... 13,000 142,188
*Keystone Consolidated Industries,
Inc. ............................... 5,600 71,400
Keystone Heritage Group, Inc. ...... 1,600 50,600
Kimball International, Inc. Class B 500 13,031
*Kimmins Environmental Service Corp. 8,100 20,250
*Kinark Corp. ....................... 600 1,688
*Kinder-Care Learning Centers, Inc. . 15,000 184,688
Kinetic Concepts, Inc. ............. 27,000 303,750
*Kinnard Investment, Inc. ........... 2,500 9,375
*Kirby Corp. ........................ 1,500 26,813
*Kit Manufacturing Co. .............. 2,700 30,375
*Kleinert's, Inc. ................... 2,000 32,500
Knape & Vogt Manufacturing Co. ..... 700 12,688
*Knogo North America, Inc. .......... 5,400 35,100
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Knowledgeware, Inc. (Escrow) ........ 6,600 $ 0
*Koala Corp. ......................... 200 2,150
Kollmorgen Corp. .................... 3,900 37,538
*Kopin Corp. ......................... 3,700 62,438
*Koss Corp. .......................... 1,000 7,125
*Kronos, Inc. ........................ 1,400 61,775
*Krug International Corp. ............ 848 2,650
*Krystal Co. ......................... 4,900 34,300
Kuhlman Corp. ....................... 11,699 134,539
Kulicke & Soffa Industries, Inc. .... 5,400 152,550
Kysor Industrial Corp. .............. 1,700 39,100
*#L.A. Gear, Inc. ..................... 9,200 14,950
*LAT Sportswear, Inc. ................ 200 525
LCS Industries, Inc. ................ 1,760 27,940
*LDI Corp. ........................... 3,100 9,688
LSB Bancshares, Inc. NC ............. 900 17,888
LSB Industries, Inc. ................ 9,100 35,263
LSI Industries, Inc. ................ 10,867 162,326
*LTX Corp. ........................... 13,500 167,906
*LXE, Inc. ........................... 2,400 18,900
*La Jolla Pharmceutical Co. .......... 4,800 19,500
La-Z-Boy Chair Co. .................. 1,900 60,563
*LaBarge, Inc. ....................... 11,600 40,600
LaCrosse Footwear, Inc. ............. 3,000 31,125
Labone, Inc. ........................ 3,300 44,550
Laclede Gas Co. ..................... 7,000 147,875
*Laclede Steel Co. ................... 2,700 19,069
Ladd Furniture, Inc. ................ 2,666 35,491
Lafayette American Bank & Trust Co.... 2,000 18,000
Laidlaw, Inc. Class B Non-Voting .... 5,500 50,875
*Lakeland Industries, Inc. ........... 1,000 3,563
*Lamson & Sessions Co. ............... 11,100 77,700
*Lance, Inc. ......................... 8,800 144,100
*Lancer Corp. ........................ 3,900 53,625
*Lancit Media Productions, Ltd. ...... 4,300 54,019
*Landair Services, Inc. .............. 3,000 37,125
Landauer, Inc. ...................... 5,900 115,788
Landmark Bancorp La Habra ........... 200 3,500
*Landmark Graphics Corp. ............. 3,800 75,525
*#Landrys Seafood Restaurants, Inc. ... 7,200 112,500
*Lands' End, Inc. .................... 20,000 295,000
*Landstar Systems, Inc. .............. 2,600 66,625
*Larizza Industries, Inc. ............ 6,900 43,988
*Lasermaster Technologies, Inc. ...... 4,500 26,438
*Laserscope .......................... 2,800 5,775
*Lattice Semiconductor Corp. ......... 7,350 236,119
Laurel Bancorp, Inc. ................ 200 2,950
Lawson Products, Inc. ............... 3,500 83,563
Lawter International, Inc. .......... 18,000 195,750
Lawyers Title Corp. ................. 3,800 65,075
*Layne, Inc. ......................... 2,900 25,556
*Lazare Kaplan International, Inc. ... 7,700 51,013
Leader Financial Corp. .............. 100 3,775
*Learning Co. ........................ 4,700 284,938
Learonal, Inc. ...................... 5,200 146,250
*Leasing Solutions, Inc. ............. 2,500 39,531
*Lechters, Inc. ...................... 5,100 35,700
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Lectec Corp. ........................ 1,102 $ 10,331
Legg Mason, Inc. .................... 3,400 101,150
Lennar Corp. ........................ 12,900 285,413
Lesco, Inc. ......................... 6,225 85,594
*Leslie Building Products, Inc. ...... 3,200 7,200
*Leslie's Poolmart ................... 1,874 26,236
*Level One Communications, Inc. ...... 2,500 53,125
*Levitz Furniture, Inc. .............. 10,000 32,500
Libbey, Inc. ........................ 3,000 67,875
Liberty Bancorp, Inc. Delaware ...... 1,100 29,150
Liberty Bancorp, Inc. Oklahoma ...... 4,300 161,788
Liberty Homes, Inc. Class A ......... 200 2,450
*Liberty Technologies, Inc. .......... 2,000 9,250
*Lidak Pharmaceuticals Class A ....... 11,000 46,406
Life Partners Group, Inc. ........... 11,100 137,363
*Life Quest Medical, Inc. ............ 1,000 2,938
Life Re Corp. ....................... 4,500 96,188
Life Technologies, Inc. ............. 2,800 70,000
*Life USA Holdings, Inc. ............. 7,400 63,825
*Lifecore Biomedical, Inc. ........... 4,800 64,500
*Lifeline Systems, Inc. .............. 2,500 29,531
*Lifetime Hoan Corp. ................. 2,420 21,326
*Ligand Pharmaceuticals, Inc.
Class B ............................. 3,021 25,112
Lillian Vernon Corp. ................ 4,300 62,350
Lilly Industry, Inc. Class A ........ 11,100 144,300
Lincoln Telecommunications Co. ...... 4,800 92,400
*Lindal Cedar Homes, Inc. ............ 4,482 21,570
Lindberg Corp. ...................... 8,200 54,838
*Lindsay Manufacturer Co. ............ 2,100 75,600
*#Liposome Co., Inc. .................. 11,700 196,706
Liqui Box Corp. ..................... 2,500 74,688
Litchfield Financial Corp. .......... 810 10,986
*Littlefield, Adams & Co. ............ 900 2,025
*Littlefuse, Inc. .................... 6,000 200,250
*Liuski International, Inc. .......... 1,800 5,400
*Living Centers of America, Inc. ..... 2,658 83,395
*Lodgenet Entertainment Corp. ........ 3,000 32,250
*Logic Devices, Inc. ................. 3,600 29,700
#Logicon, Inc. ....................... 5,500 154,688
*Lojack Corp. ........................ 10,600 99,375
*Lomak Petroleum, Inc. ............... 5,000 43,438
*Lomas Financial Corp. ............... 9,000 234
Lone Star Industries, Inc. .......... 6,000 149,250
*Lone Star Technologies, Inc. ........ 9,300 81,375
*Longhorn Steaks, Inc. ............... 3,300 52,800
*Lottery Enterprises, Inc. ........... 200 150
*Louis Dreyfus Natural Gas Corp. ..... 16,000 218,000
Loyola Capital Corp. ................ 5,200 195,650
Luby's Cafeterias, Inc. ............. 4,700 103,400
Lufkin Industries, Inc. ............. 1,200 24,150
Lukens, Inc. DE ..................... 5,900 180,688
*Lumex, Inc. ......................... 4,300 39,238
*Lunar Corp. ......................... 1,500 64,875
*Lund International Holdings, Inc. ... 1,300 17,550
*Luria & Son, Inc. ................... 1,800 10,575
*Lydall, Inc. DE ..................... 13,800 360,525
*Lynch Corp. ......................... 2,500 158,125
M A R C, Inc. ....................... 1,018 14,888
*M-Wave, Inc. ........................ 1,000 7,000
MAF Bancorp, Inc. ................... 1,100 27,706
*MAI Systems Corp. ................... 1,416 9,912
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*MAIC Holdings, Inc. ................. 2,425 $ 76,691
#MDC Holdings, Inc. .................. 7,700 51,013
*MDL Information Systems, Inc. ....... 1,600 37,000
*MDT Corp. ........................... 7,100 35,056
MDU Resources Group, Inc. ........... 5,700 114,713
*MFRI, Inc. .......................... 1,900 13,894
*MGI Pharma, Inc. .................... 11,400 53,438
*MI Schottenstein Homes, Inc. ........ 3,500 39,813
*MK Gold Corp. ....................... 7,800 23,400
*MLX Corp. ........................... 1,000 10,063
MMI Companies, Inc. ................. 3,300 77,550
*MRS Technology, Inc. ................ 2,200 7,425
*MRV Communications, Inc. ............ 1,200 31,650
*MS Carriers, Inc. ................... 9,300 175,538
*MTI Technology Corp. ................ 3,900 6,825
MTS Systems Corp. ................... 2,400 83,700
MacDermid, Inc. ..................... 200 11,050
*MacFrugals Bargain Close-outs, Inc. 10,000 131,250
MacNeal-Schwendler Corp. ............ 4,000 62,500
*Macheezmo Mouse Restaurants, Inc. .. 800 2,100
Madison Gas & Electric Co. .......... 2,700 89,100
*Magainin Pharmaceuticals, Inc. ...... 6,700 59,463
Magna Bancorp ....................... 2,000 58,500
Magna Group, Inc. ................... 8,400 204,750
*Magnetek, Inc. ...................... 12,100 99,825
*Magnetic Technologies Corp. ......... 1,100 4,538
*Mail Boxes, Etc. .................... 3,800 56,050
*Main Street & Main, Inc. ............ 1,450 5,030
Maine Public Service Co. ............ 2,700 56,700
*Mallon Resources Corp. .............. 1,400 2,450
*Manatron, Inc. ...................... 1,102 3,168
Manitowoc Co., Inc. ................. 2,900 85,188
*Manugistic Group, Inc. .............. 2,000 34,500
*Mapinfo Corp. ....................... 1,100 20,900
Marble Financial Corp. .............. 2,000 35,250
*#Marcam Corp. ........................ 6,200 104,625
Marcus Corp. ........................ 11,850 274,031
*Marine Drilling Companies, Inc. ..... 23,000 93,438
*Mariner Health Group, Inc. .......... 7,100 94,519
*Marisa Christina, Inc. .............. 1,700 28,794
Maritrans, Inc. ..................... 3,300 17,325
Mark Twain Bancshares, Inc. ......... 5,450 203,694
*Mark VII, Inc. ...................... 3,400 55,250
*Markel Corp. ........................ 2,200 159,225
Marsh Supermarkets, Inc. Class A .... 1,800 24,750
Marsh Supermarkets, Inc. Class B .... 1,300 16,900
*Marshall Industries ................. 7,800 274,950
*Martek Biosciences Corp. ............ 4,100 75,338
*Marten Transport, Ltd. .............. 2,800 44,100
Maryland Federal Bancorp ............ 1,000 30,438
Masland Corp. ....................... 5,000 72,188
Massbank Corp. Reading, MA .......... 1,350 42,188
*#Mastec, Inc. ........................ 5,000 51,250
*Matec Corp. DE ...................... 3,000 12,375
*Material Sciences Corp. ............. 8,850 117,263
*Mathsoft, Inc. ...................... 2,000 10,500
*Matlack Systems, Inc. ............... 7,500 66,563
*#Matrix Pharmaceutical, Inc. ......... 5,400 82,350
*Matrix Service Co. .................. 3,700 15,956
*Matthews Studio Equipment Group ..... 2,500 4,727
*Mattson Technology, Inc. ............ 2,600 58,175
*Maverick Tube Corp. ................. 3,000 19,125
*Max & Ermas Restaurants, Inc. ....... 1,237 8,118
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Maxco, Inc. ......................... 1,900 $ 15,200
*Maxicare Health Plans, Inc. ......... 11,500 250,125
*Maxim Group, Inc. ................... 1,400 17,150
*Maxtor Corp. ........................ 8,400 53,288
*Maxwell Laboratories, Inc. .......... 1,746 15,059
*Maxxam, Inc. ........................ 4,000 152,500
*#Maxxim Medical, Inc. ................ 5,500 87,313
Maybelline, Inc. .................... 5,600 151,200
*Maynard Oil Co. ..................... 2,400 14,700
*Mays (J.W.), Inc. ................... 200 1,525
*McAfee Associates, Inc. ............. 4,950 236,363
*McClain Industries, Inc. ............ 266 1,363
McDonald & Co. Investment, Inc. ..... 3,600 63,000
*McFarland Energy, Inc. .............. 6,100 45,750
McGrath Rent Corp. .................. 4,150 76,256
*McWhorter Technologies, Inc. ........ 4,400 66,550
Measurex Corp. ...................... 9,200 257,600
*Medalist Industries, Inc. ........... 1,900 12,588
*Medalliance, Inc. ................... 3,800 14,013
*Medar, Inc. ......................... 4,900 39,200
*Medarex, Inc. ....................... 3,500 22,969
*Medco Research, Inc. ................ 3,800 40,375
Medex, Inc. ......................... 3,000 31,875
Medford Savings Bank MA ............. 2,800 62,300
*Media Arts Group, Inc. .............. 1,900 5,938
*#Media Logic, Inc. ................... 1,000 7,875
*Medic Computer Systems, Inc. ........ 8,400 534,450
*Medical Action Industries, Inc. ..... 2,100 3,347
*Medical Graphics Corp. .............. 1,000 5,625
*Medical Management, Inc. ............ 1,200 7,350
*Medical Resource Companies America . 800 1,950
*Medical Technology System, Inc. ..... 800 1,350
*Medicalcontrol, Inc. ................ 800 4,200
*Medicore, Inc. ...................... 1,100 4,538
Medicus Systems Corp. ............... 2,600 23,400
*Medimmune, Inc. ..................... 8,000 103,000
*Medisense, Inc. ..................... 5,400 138,375
*Medquist Inc. ....................... 900 6,300
*Medstone International, Inc. ........ 2,100 19,688
Medusa Corp. ........................ 6,000 149,250
*Megacards, Inc. ..................... 333 208
*Megatest Corp. ...................... 200 4,725
*Mego Financial Corp. ................ 3,600 24,975
*Melamine Chemicals, Inc. ............ 3,300 28,875
*Mem Co., Inc. ....................... 2,700 8,606
*Mens Warehouse, Inc. ................ 3,750 107,813
Mentor Corp. MN ..................... 9,900 202,331
*Mercer International, Inc. .......... 5,600 120,050
Merchants Bancorp, Inc. ............. 500 14,000
*Merchants Bancshares, Inc. .......... 200 2,825
Merchants Group, Inc. ............... 1,300 22,425
Merchants New York Bancorp, Inc. .... 400 12,700
Mercury Air Group, Inc. ............. 1,000 8,500
*Mercury Interactive Corp. ........... 3,000 70,125
*Meridian Data, Inc. ................. 4,200 44,888
Meridian Diagnostics, Inc. .......... 7,935 80,342
Meridian Insurance Group, Inc. ...... 1,000 15,375
*Meridian Sports, Inc. ............... 1,600 9,300
*Meris Laboratories, Inc. ............ 1,600 2,100
*Merisel, Inc. ....................... 14,900 67,981
*Merit Medical Systems, Inc. ......... 2,700 15,694
*Merix Corp. ......................... 1,200 43,800
Merrill Corp. ....................... 3,650 63,419
Merrimac Industries, Inc. ........... 700 7,875
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Mesa Airlines, Inc. ................. 20,600 $187,975
*Mesa, Inc. .......................... 31,300 101,725
Mesaba Holdings, Inc. ............... 2,600 17,875
*Mestek, Inc. ........................ 5,500 60,500
*Met-Coil Systems Corp. .............. 1,000 1,375
Met-Pro Corp. ....................... 9,450 128,756
*Metatec Corp. Class A ............... 2,100 21,131
Methode Electronics, Inc. Class A ... 16,500 243,375
*Metricom, Inc. ...................... 5,300 84,800
*Metrocall, Inc. ..................... 3,000 72,750
*Metrologic Instruments, Inc. ........ 1,000 9,625
*Metromedia International Group, Inc. 7,100 127,800
*Metropolitan Bancorp Washington ..... 1,500 19,594
*Metrotrans Corp. .................... 800 5,900
*Meyer (Fred), Inc. DE ............... 7,900 182,688
*Miami Subs Corp. .................... 9,600 18,000
*Michael Anthony Jewelers, Inc. ...... 4,500 11,813
Michael Foods, Inc. ................. 15,700 182,513
*#Michaels Stores, Inc. ............... 4,300 70,413
*Micom Communications Corp. .......... 3,333 33,122
*Micrel, Inc. ........................ 1,700 28,688
*Micrion Corp. ....................... 800 9,500
*Micro Bio-Medics, Inc. .............. 1,500 19,313
*Microage, Inc. ...................... 5,450 45,984
*Microcom, Inc. ...................... 9,100 228,638
*Microdyne Corp. ..................... 5,600 114,100
*Microfluidics International Corp. ... 1,000 2,063
*Micrografx, Inc. .................... 5,100 59,925
*Microlog Corp. ...................... 1,500 9,000
*Micron Electronics, Inc. ............ 2,600 38,350
*Micronics Computers, Inc. ........... 5,200 17,225
*Micropolis Corp. .................... 8,400 26,775
*Micros Systems, Inc. ................ 2,300 97,175
*Microsemi Corp. ..................... 5,200 57,525
*Microtek Medical, Inc. .............. 1,400 9,625
*Microtel International, Inc. ........ 9,800 8,575
*Microtest, Inc. ..................... 3,200 48,800
*Microtouch Systems, Inc. ............ 1,600 24,200
Mid Am, Inc. ........................ 3,751 62,360
Mid America Banccorp ................ 2,241 40,343
Mid-Atlantic Realty Trust ........... 666 5,661
*MidAmerican Waste System, Inc. ...... 10,200 40,800
MidSouth Insurance Co. .............. 4,320 65,880
Midconn Bank Kensington, CT ......... 900 12,375
*Middleby Corp. ...................... 1,100 8,525
Middlesex Water Co. ................. 2,300 41,400
*Midisoft Corp. ...................... 900 3,488
Midland Co. ......................... 2,600 128,863
Midland Financial Group, Inc. ....... 1,100 12,238
Midwest Grain Products, Inc. ........ 2,500 29,844
*Mikasa, Inc. ........................ 6,200 85,250
*Mikohn Gaming Corp. ................. 3,900 13,650
*Miller Building Systems, Inc. ....... 1,400 4,550
*Miltope Group, Inc. ................. 11,000 35,063
Mine Safety Appliances Co. .......... 1,600 69,400
*Minnesota Educational Computing
Corp. ............................... 2,600 85,150
Minntech Corp. ...................... 1,300 24,375
*Mission West Properties, Inc. ....... 1,600 8,400
Mississippi Chemical Corp. .......... 4,600 102,925
Mobile Gas Service Corp. ............ 2,000 45,000
*Mobley Environmental Services, Inc.
Class A .............................. 1,000 1,063
Modern Controls, Inc. ............... 4,700 48,763
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Mohawk Industries, Inc. ............. 12,900 $224,138
*Molecular Biosystems, Inc. .......... 3,134 21,155
*Molecular Dynamics, Inc. ............ 2,000 9,875
*Molten Metal Technology, Inc. ....... 200 7,375
*Monaco Coach Corp. .................. 900 9,225
*#Monaco Finance, Inc. Class A ........ 1,300 7,678
*Monarch Casino and Resort, Inc. ..... 3,800 18,525
Monarch Machine Tool Co. ............ 2,300 30,475
*Mondavi (Robert) Corp. Class A ...... 2,700 86,738
*Monro Muffler Brake, Inc. ........... 1,102 16,186
*Monterey Pasta Co. .................. 2,700 15,863
*Moog, Inc. Class A .................. 1,200 17,700
*Moore Medical Corp. ................. 700 8,050
*Moore Products Co. .................. 1,600 28,600
Morgan Keegan, Inc. ................. 8,100 100,238
*Morgan Products, Ltd. ............... 6,400 38,400
*Morningstar Group, Inc. ............. 6,000 48,000
*#Morrison Knudsen Corp. .............. 17,700 106,200
Moscom Corp. ........................ 2,700 16,875
Mosinee Paper Corp. ................. 5,170 125,373
*Mother's Work, Inc. ................. 500 6,781
*Motor Car Parts & Accessories, Inc.... 600 8,888
*Motor Club of America ............... 2,500 16,094
*Mountain Parks Financial Corp. ...... 1,000 22,125
*Mountasia Entertainment
International, Inc. ................. 1,500 7,547
*Moviefone, Inc. Class A ............. 1,100 5,638
Mueller (Paul) Co. .................. 2,200 69,438
*Mueller Industries, Inc. ............ 14,200 326,600
*Multi Color Corp. ................... 1,000 3,000
*Multicare Companies, Inc. ........... 3,500 73,063
*Munsingwear, Inc. ................... 200 1,450
*Musicland Stores Corp. .............. 13,700 87,338
*Mutual Savings Bank FSB
Bay City, MI ........................ 900 5,288
*Mycogen Corp. ....................... 7,700 99,619
Myers (L.E.) Co. Group .............. 1,700 25,713
Myers Industries, Inc. .............. 7,685 122,960
*Mylex Corp. ......................... 5,900 111,363
*NAB Asset Corp. ..................... 200 1,025
NAC RE Corp. ........................ 3,500 115,500
*NAI Technologies, Inc. .............. 4,087 6,386
NBT Bancorp ......................... 1,682 27,965
*NBTY, Inc. .......................... 4,800 26,700
NCH Corp. ........................... 3,300 178,613
*NCI Building Systems, Inc. .......... 1,000 22,625
*NMR of America, Inc. ................ 2,400 8,700
NN Ball & Roller, Inc. .............. 1,900 42,988
*NPC International, Inc. ............. 300 2,363
*NPS Pharmaceuticals, Inc. ........... 1,400 10,413
NS Bancorp, Inc. .................... 2,200 85,388
*NS Group, Inc. ...................... 6,300 14,175
*NSA International, Inc. ............. 1,900 6,413
NSC Corp. ........................... 5,700 10,688
*NTN Communications, Inc. ............ 5,000 22,188
*NTN Communications, Inc. (Private
Placement) .......................... 6,300 24,806
NUI Corp. ........................... 4,700 77,550
NYMAGIC, Inc. ....................... 5,100 84,788
Nacco Industries, Inc. Class A ...... 3,600 205,200
*Nantucket Industries, Inc. .......... 1,500 4,406
*Napco Security Systems, Inc. ........ 4,850 18,491
Nash Finch Co. ...................... 3,300 63,938
Nashua Corp. ........................ 1,600 25,200
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Nathans Famous, Inc. ................ 1,900 $ 7,184
*National Auto Credit, Inc. .......... 11,600 195,750
National Bancorp of Alaska, Inc. .... 2,200 143,000
*National Beverage Corp. ............. 1,900 10,688
*National City Bancorp ............... 1,331 25,123
National City Bankshares, Inc. ...... 210 9,739
National Computer Systems, Inc. ..... 4,100 85,588
*#National Convenience Stores, Inc. ... 1,700 45,688
#National Data Corp. ................. 4,650 113,344
*National Dentex Corp. ............... 100 2,188
*National Education Corp. ............ 14,800 116,550
National Gas & Oil Co. .............. 10,160 102,869
*National Home Centers, Inc. ......... 4,000 12,000
*National Home Health Care Corp. ..... 900 4,838
*National Insurance Group ............ 3,000 16,500
*National Media Corp. ................ 2,800 50,400
*National Mercantile Bancorp. ........ 200 325
*National Patent Development Corp. ... 2,000 18,375
National Penn Bancshares, Inc. ...... 210 5,696
*National Picture and Frame Co. ...... 2,000 18,250
National Presto Industries, Inc. .... 3,000 124,875
National RE Corp. ................... 4,300 141,363
*National Record Mart, Inc. .......... 1,000 1,813
National Sanitary Supply Co. ........ 200 2,675
*National Standard Co. ............... 11,000 123,750
*National Techteam, Inc. ............. 4,900 28,175
*National Vision Association, Ltd. ... 8,200 25,625
*National Western Life Insurance Co.
Class A ............................. 1,000 54,375
*Natural Alternatives International,
Inc. ................................ 3,400 28,900
*Natural Microsystems Corp. .......... 600 17,025
*Natural Wonders, Inc. ............... 3,000 8,625
Natures Sunshine Products, Inc. ..... 12,906 287,159
*Nautica Enterprises, Inc. ........... 4,725 166,556
*Navarre Corp. ....................... 600 4,125
*Navigators Group, Inc. .............. 1,600 30,400
#Nelson (Thomas), Inc. ............... 3,750 60,938
*Neogen Corp. ........................ 900 5,456
*Neoprobe Corp. ...................... 5,900 89,238
*Neorx Corp. ......................... 5,325 32,948
*Neostar Retail Group, Inc. .......... 5,010 52,918
*Netframe Systems, Inc. .............. 5,400 31,388
*Netrix Corp. ........................ 3,700 18,500
*Network Computing Devices, Inc. ..... 6,500 54,844
*Network Equipment Technologies, Inc... 10,100 334,563
*Network General Corp. ............... 3,600 151,425
*Network Imaging Corp. ............... 6,800 31,238
*Network Peripherals, Inc. ........... 7,000 96,250
*Network Six, Inc. ................... 1,100 4,331
*Networth, Inc. ...................... 1,500 62,719
*Neurex Co. .......................... 6,500 39,813
*Neurobiological Technologies, Inc. .. 800 3,300
*Neurogen Corp. ...................... 4,200 87,150
New Brunswick Scientific Co., Inc. .. 2,200 14,713
New England Business Services, Inc.... 7,000 158,375
New Hampsire Thrift BancShares, Inc... 200 2,063
*New Image Industries, Inc. .......... 3,300 5,981
New Jersey Resources Corp. .......... 5,400 150,525
*New Jersey Steel Corp. .............. 1,700 16,788
*New Mexico & Arizona Land Co. ....... 1,650 19,388
*New World Communication Group,
Inc. Class A ........................ 9,500 167,438
*New World Power Corp. ............... 5,000 10,313
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
New York Bancorp, Inc. .............. 4,985 $100,946
Newcor, Inc. ........................ 4,750 38,000
*Newfield Exploration Co. ............ 6,400 189,600
Newmil Bancorp, Inc. ................ 3,500 23,625
*Newpark Resources, Inc. ............. 5,250 94,828
Newport Corp. ....................... 10,200 81,600
*Nexstar Pharmaceuticals, Inc. ....... 1,496 17,578
*Nexthealth, Inc. .................... 3,400 14,025
*Nichols Research Corp. .............. 3,100 70,913
*Noble Drilling Corp. ................ 31,075 229,178
*Noel Group, Inc. .................... 10,100 61,863
Noland Co. .......................... 200 3,700
*Norand Corp. ........................ 1,500 22,500
*Nord Resources Corp. ................ 8,900 18,913
*Norstan, Inc. ....................... 3,000 73,500
*Nortek, Inc. ........................ 3,500 33,250
*North American Biologicals, Inc. .... 10,486 99,617
North American Mortgage Co. ......... 6,000 135,750
*North American Recycling System,
Inc. ................................ 2,000 1,624
North American Watch Corp. .......... 1,200 22,575
North Carolina Natural Gas Corp. .... 1,900 43,700
North Fork Bancorporation, Inc. ..... 16,267 378,208
North Side Savings Bank NY .......... 578 16,979
*North Star Universal, Inc. .......... 4,300 25,531
Northbay Financial Corp. ............ 1,100 16,569
Northern Technologies International . 1,700 8,925
*Northfield Laboratories, Inc. ....... 5,600 92,400
Northland Cranberries, Inc. Class A . 1,400 26,600
*Northstar Health Services, Inc. ..... 1,000 6,500
Northwest Natural Gas Co. ........... 2,700 89,944
*Northwest Teleproductions, Inc. ..... 200 800
Northwestern Public Service Co. ..... 2,300 61,525
*Northwestern Steel & Wire Co. ....... 10,300 84,331
*Norton McNaughton, Inc. ............. 4,000 52,500
Norwich Financial Corp. ............. 2,400 31,500
*Norwood Promotional Products, Inc. .. 200 3,450
*Novacare, Inc. ...................... 29,400 172,725
*Novametrix Medical Systems, Inc. .... 7,600 38,475
*Noven Pharmaceuticals, Inc. ......... 9,200 93,150
*Novitron Internarional, Inc. ........ 3,900 16,575
*Nu Horizons Electronics Corp. ....... 6,118 98,270
*Nu-Kote Holding, Inc. Class A ....... 6,600 127,875
*Nuclear Metals, Inc. ................ 6,500 78,000
*Nuclear Support Services, Inc. ...... 500 719
*Nuevo Energy Co. .................... 4,900 109,025
*Numar Corp. ......................... 1,700 18,488
*Numerex Corp. Class A ............... 2,000 13,375
*Nutramax Products, Inc. ............. 3,600 34,650
*Nview Corp. ......................... 2,000 8,375
*Nycor, Inc. ......................... 1,000 4,938
*Nycor, Inc. Class A ................. 3,100 15,113
*O Charleys, Inc. .................... 1,450 17,219
*O Reilly Automotive, Inc. ........... 1,700 50,575
*O'Brien Environmental Energy, Inc.
Class A ............................. 3,600 675
O'Sullivan Corp. .................... 13,400 140,700
*O'Sullivan Industries Holdings, Inc. 3,400 21,675
*O.I. Corp. .......................... 1,600 4,600
OEA, Inc. ........................... 6,000 162,750
*OEC Medical Systems, Inc. ........... 3,700 37,000
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*OESI Power Corp. .................... 1,000 $ 156
*OHM Corp. ........................... 7,200 58,500
OM Group, Inc. ...................... 2,300 70,150
*OMI Corp. ........................... 14,000 85,750
*OTR Express, Inc. ................... 200 900
*Oak Hill Sportswear Corp. ........... 800 1,600
*Oak Industries, Inc. ................ 10,700 258,138
*Oceaneering International, Inc. ..... 12,000 117,000
*Odetics, Inc. Class A ............... 300 2,850
*#Odwalla, Inc. ....................... 1,000 18,625
*Offshore Logistics, Inc. ............ 4,700 57,281
Oglebay Norton Co. .................. 2,200 80,575
Oil-Dri Corp. of America ............ 4,000 60,000
*Old America Stores, Inc. ............ 1,800 14,738
*Old Dominion Freight Lines, Inc. .... 3,800 40,375
*#Olympic Financial, Ltd. ............. 8,100 166,050
*Olympic Steel, Inc. ................. 4,000 35,750
*#Omega Environmental, Inc. ........... 12,700 50,800
*On Assignment, Inc. ................. 1,000 29,375
OnbanCorp, Inc. ..................... 2,800 92,925
*Oncogene Science, Inc. .............. 6,500 43,469
*Oncor, Inc. ......................... 12,500 73,438
*One Price Clothing Stores, Inc. ..... 4,100 16,913
One Valley Bancorp of West
Virginia ............................ 3,800 121,363
Oneida, Ltd. ........................ 2,700 46,913
*Oneita Industries, Inc. ............. 4,220 30,068
Oneok, Inc. ......................... 10,300 242,050
*Opinion Research Corp. .............. 800 5,000
*Opta Food Ingredients, Inc. ......... 3,500 44,188
*Opti, Inc. .......................... 2,100 21,263
Optical Coating Laboratory, Inc. .... 3,600 47,700
*Optical Data Systems, Inc. .......... 3,800 77,900
*Option Care, Inc. ................... 4,000 16,750
Orange & Rockland Utilities, Inc. ... 2,700 95,513
*Orange Co., Inc. .................... 5,200 41,600
*Orbit International Corp. ........... 3,000 2,813
*Orbital Sciences Corp. .............. 4,500 70,875
*Orchard Supply Hardware Stores Corp. . 2,000 43,250
*Oregon Metallurgical Corp. .......... 4,200 44,888
Oregon Steel Mills, Inc. ............ 10,800 148,500
*#Organogenesis, Inc. ................. 4,075 76,406
Oriole Homes Corp. Class A
Convertible ......................... 800 4,400
Oriole Homes Corp. Class B .......... 1,100 5,913
Orion Capital Corp. ................. 4,400 183,700
*Orphan Medical, Inc. ................ 285 1,639
*Ortel Corp. ......................... 2,200 25,300
*Orthologic Corp. .................... 3,000 37,875
*Orthopedic Technology, Inc. ......... 1,400 11,375
*Osborn Communications Corp. ......... 8,100 64,800
Oshkosh B'Gosh, Inc. Class A ........ 4,700 72,850
Oshkosh B'Gosh, Inc. Class B ........ 600 10,650
Oshkosh Truck Corp. Class B ......... 2,300 33,350
*Oshman's Sporting Goods, Inc. ....... 2,900 39,150
*Osmonics, Inc. ...................... 8,250 148,500
*Osteotech, Inc. ..................... 3,000 19,313
Otter Tail Power Co. ................ 3,400 119,850
#Outboard Marine Corp. ............... 16,000 328,000
*Outlet Communications, Inc.
Class A ............................. 200 9,338
*Outlook Group Corp. ................. 1,900 14,250
Owens & Minor, Inc. ................. 15,375 199,875
Owosso Corp. ........................ 1,200 10,500
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Oxford Industries, Inc. ............. 5,600 $105,000
*Oxford Resources Corp. Class A ...... 1,100 28,188
*Oxis International, Inc. ............ 8,400 11,813
*P&F Industries, Inc. Class A ........ 200 513
*PAM Transportation Services, Inc. ... 1,000 7,125
PCA International, Inc. ............. 2,300 21,419
*PCI Services, Inc. .................. 2,500 25,156
*PHP Healthcare Corp. ................ 3,000 81,750
*PLM International, Inc. ............. 4,600 17,250
*PMR Corp. ........................... 1,300 6,663
*PMT Services, Inc. .................. 1,300 36,319
*PRI Automation, Inc. ................ 1,400 56,350
*PSC, Inc. ........................... 3,300 33,825
PXRE Corp. .......................... 3,700 91,113
*#Pacific Crest Capital, Inc. ......... 1,060 7,818
*Pacific Physician Services, Inc. .... 5,200 85,150
*Pacific Rehabilitation & Sports
Medicine, Inc. ...................... 1,400 9,844
*Pacific Rim Holding Corp. ........... 3,700 9,828
Pacific Scientific Co. .............. 16,000 406,000
*Pacific Sunwear of California, Inc. . 2,000 19,875
*Pages, Inc. ......................... 1,700 4,038
*Pairgain Technologies, Inc. ......... 2,900 145,363
*Palfed, Inc. ........................ 2,000 25,125
*Pamida Holdings Corp. ............... 1,000 3,875
Pamrapo Bancorp, Inc. ............... 1,300 30,388
*Panaco, Inc. ........................ 5,000 22,344
Panatech Research and
Development Corp. ................... 1,400 6,038
Pancho's Mexican Buffet, Inc. ....... 5,000 14,375
*Papa John's International, Inc. ..... 2,200 94,188
*Par Technology Corp. ................ 6,000 54,000
*Paragon Trade Brands, Inc. .......... 1,000 20,875
*Parallel Petroleum Corp. ............ 2,800 4,725
*Parcplace Systems, Inc. ............. 2,500 27,500
*Paris Business Forms, Inc. .......... 200 1,188
Park Electrochemical Corp. .......... 8,200 249,075
*Park-Ohio Industries, Inc. .......... 7,034 91,002
*Parker Drilling Co. ................. 31,700 162,463
*Parkervision, Inc. .................. 3,500 28,219
Parkvale Financial Corp. ............ 1,562 40,612
*Patlex Corp. ........................ 690 3,623
Patrick Industries, Inc. ............ 2,000 26,500
*Patten Corp. ........................ 7,005 33,274
*Patterson Dental Co. ................ 3,500 89,688
*Patterson Energy, Inc. .............. 500 5,750
*Paul Harris Stores, Inc. ............ 5,000 7,969
*Paxar Corp. ......................... 23,946 308,305
*Payco American Corp. ................ 3,000 25,500
*Payless Cashways, Inc. .............. 20,000 85,000
*Peak Technologies Group, Inc. ....... 1,600 43,600
*Pediatric Services of America, Inc. . 1,000 18,500
Peerless Manufacturing Co. .......... 200 2,088
*Penederm, Inc. ...................... 2,800 20,300
Penn Engineering & Manufacturing
Corp. ............................... 2,500 206,250
*Penn National Gaming, Inc. .......... 900 13,613
*Penn Traffic Co. .................... 3,400 44,200
*Penn Treaty American Corp. .......... 3,600 56,700
Penn Virginia Corp. ................. 1,100 35,750
#Penncorp Financial Group, Inc. ...... 5,400 149,850
Pennsylvania Enterprises, Inc. ...... 1,200 44,700
*Penril Datacomm Networks, Inc. ...... 3,700 34,919
*Pentech International, Inc. ......... 5,300 14,409
Penwest, Ltd. ....................... 2,100 55,125
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Peoples Bancorp ..................... 200 $ 4,250
Peoples Bank of Connecticut ......... 16,300 342,300
*Peoples Choice TV Corp. ............. 5,350 114,356
#Peoples Heritage Financial Group,
Inc. ................................ 6,680 140,280
*Peoples Savings Bank of
Brockton, MA ........................ 1,000 7,875
Peoples Savings Financial Corp. ..... 900 17,325
*Peoples Telephone Co., Inc. ......... 6,350 17,859
*Perceptron, Inc. .................... 900 31,838
*Performance Food Group Co. .......... 200 4,800
*Perfumania, Inc. .................... 3,200 17,200
*Perini Corp. ........................ 2,700 24,975
*Perseptive Biosystems, Inc. ......... 6,400 60,000
*Pet Food Warehouse, Inc. ............ 3,700 12,256
*Petco Animal Supplies, Inc. ......... 1,700 46,113
*Petrie Stores Corp. ................. 10,500 30,188
*Petrocorp, Inc. ..................... 3,400 25,075
Petroleum Heat & Power Co., Inc.
Class A ............................. 5,000 38,750
Petrolite Corp. ..................... 6,700 168,338
*#Pharmaceutical Marketing Services,
Inc. ................................ 5,800 77,938
*Pharmaceutical Resources, Inc. ...... 7,300 58,400
*Pharmchem Laboratories, Inc. ........ 2,800 13,475
*Pharmos Corp. (Private Placement) ... 9,000 12,403
Philadelphia Suburban Corp. ......... 5,200 100,100
Phillips-Van Heusen Corp. ........... 12,600 130,725
Phoenix Duff & Phelps Corp. ......... 7,700 51,975
*Phoenix Network, Inc. ............... 4,400 17,050
Phoenix Resource Companies, Inc. .... 4,200 72,450
*Phoenix Technologies, Ltd. .......... 5,500 67,375
*Photo Control Corp. ................. 1,000 3,688
*Photronics, Inc. .................... 4,600 144,900
*#Physician Computer Network, Inc. .... 15,000 99,375
*Physician Sales & Service, Inc. ..... 8,400 160,650
*#Physicians Clinical Laboratory, Inc. 1,200 524
*Physicians Insurance Co. of Ohio
Class A ............................. 1,000 19,500
Piccadilly Cafeterias, Inc. ......... 2,900 30,088
#Piedmont Natural Gas Co. ............ 12,700 298,450
Pier 1 Imports, Inc. DE ............. 19,740 214,673
Pikeville National Corp. ............ 200 4,100
Pilgrim Pride Corp. ................. 12,600 85,050
*Pillowtex Corp. ..................... 6,000 75,000
*Pinkertons, Inc. .................... 2,000 40,000
Pinnacle Financial Services, Inc. ... 200 3,600
*#Pinnacle Micro, Inc. ................ 1,000 27,500
*Pinnacle Systems, Inc. .............. 1,400 45,850
Pioneer Financial Services, Inc. .... 3,700 61,513
Pioneer Standard Electronics, Inc. .. 16,312 236,524
Piper Jaffray Companies, Inc. ....... 8,100 103,275
Pitt-Des Moines, Inc. ............... 2,400 91,800
*Pittencrieff Communications, Inc. ... 2,900 11,419
Pittston Co. Minerals Group ......... 4,400 58,300
*Plains Resources, Inc. .............. 5,900 43,881
*Planar Systems, Inc. ................ 6,000 93,000
*Plantronics, Inc. ................... 1,000 35,500
*Platinum Software Corp. ............. 2,600 17,388
*Platinum Technology, Inc. ........... 14,695 247,060
*Playboy Enterprises, Inc. Class B ... 6,100 49,563
*Players International, Inc. ......... 13,350 176,053
*Playtex Products, Inc. .............. 20,200 143,925
Plenum Publishing Corp. ............. 1,200 43,950
*Plexus Corp. ........................ 4,400 73,150
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Ply-Gem Industries, Inc. DE ......... 4,100 $ 74,825
Poe & Brown, Inc. ................... 3,400 84,575
*Polk Audio, Inc. .................... 500 4,813
*Pollo Tropical, Inc. ................ 5,200 21,450
*Polymedica Industries, Inc. ......... 2,100 14,700
*Polyvision Corp. .................... 5,396 10,792
*Pomeroy Computer Resource, Inc. ..... 1,100 16,225
*Pool Energy Services Co. ............ 8,700 78,844
Pope & Talbot, Inc. ................. 5,300 78,175
*#Porta Systems Corp. ................. 4,400 4,950
*Portec, Inc. ........................ 7,610 73,246
Portsmouth Bank Shares, Inc. ........ 1,560 22,815
*Positive Response Television, Inc. .. 700 5,775
*Positron Corp. ...................... 700 1,859
*Possis Medical, Inc. ................ 5,800 102,950
Poughkeepsie Savings Bank FSBNY ..... 5,000 23,750
*Powell Industries, Inc. ............. 4,200 30,975
Pratt & Lambert United, Inc. ........ 3,400 118,788
*Pratt Hotel Corp. ................... 1,300 3,738
Pre-Paid Legal Services, Inc. ....... 7,100 60,350
*Precision Standard, Inc. ............ 3,800 4,750
Premier Bancorp, Inc. ............... 18,800 441,800
Premier Financial Services, Inc. .... 2,600 23,075
*Premiere Radio Networks, Inc. ....... 1,200 19,650
*President Casinos, Inc. ............. 11,000 26,469
Presidential Life Corp. ............. 16,900 165,831
*Presley Companies Class A ........... 5,600 7,700
*Price Communications Corp. .......... 4,250 34,000
*Pride Petroleum Services, Inc. ...... 14,700 146,081
*Prima Energy Corp. .................. 1,600 21,800
*Primark Corp. ....................... 8,400 232,050
Prime Bancorp, Inc. ................. 605 12,176
*Prime Hospitality Corp. ............. 14,700 141,488
*Prime Medical Services, Inc. ........ 5,900 40,378
Primesource Corp. ................... 4,581 29,204
*Printronix, Inc. .................... 3,750 67,500
*Procept, Inc. ....................... 1,300 4,469
*Procyte Corp. ....................... 8,000 19,250
Production Operators Corp. .......... 2,600 78,325
*Professional Sports Care
Management, Inc. .................... 1,500 9,844
*#Proffitts, Inc. ..................... 4,250 114,219
*Progress Financial Corp. ............ 1,000 5,688
*Progress Software Corp. ............. 2,000 62,750
Progressive Bank, Inc. .............. 1,000 29,000
*Progroup, Inc. ...................... 1,500 6,000
*Project Software & Development, Inc. . 1,800 58,388
*Proler International Corp. .......... 8,500 63,750
*Pronet, Inc. ........................ 1,500 45,938
*Protein Design Labs, Inc. ........... 6,100 115,138
*Proteon, Inc. ....................... 6,100 47,275
*Protocol Systems, Inc. .............. 4,100 43,306
Providence & Worcester Railroad Co.... 800 5,600
Providence Energy Corp. ............. 5,300 86,788
Provident Bancorp, Inc. ............. 3,100 134,075
Provident Bankshares Corp. .......... 5,565 168,341
*Proxim, Inc. ........................ 2,800 39,375
*#Proxima Corp. ....................... 1,700 30,388
*Psicor, Inc. ........................ 2,200 38,225
*Psychemedics Corp. .................. 3,900 22,425
Public Service Co. of North
Carolina ............................ 4,900 80,238
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Publicker Industries, Inc. .......... 200 $ 325
Pulaski Furniture Corp. ............. 1,300 22,263
Pulse Bancorp, Inc. ................. 800 13,500
*Pure Tech International, Inc.
(Private Placement) ................. 10,000 20,813
*Pure World, Inc. .................... 3,100 7,944
*Purepac, Inc. ....................... 5,000 36,250
*Pyxis Corp. ......................... 10,300 155,788
*Q Logic Corp. ....................... 4,450 35,600
*QMS, Inc. ........................... 6,500 28,438
*Quad Systems Corp. .................. 1,600 13,200
Quaker Chemical Corp. ............... 2,800 45,500
*Quaker Fabric Corp. ................. 4,000 37,000
Quaker State Corp. .................. 14,900 201,150
*Quality Dining, Inc. ................ 3,000 71,625
Quality Food Centers, Inc. .......... 9,700 195,213
*Quality Systems, Inc. ............... 1,800 45,113
Quanex Corp. ........................ 3,300 64,763
*Quantum Health Resources, Inc. ...... 9,100 84,175
*#Quantum Restaurant Group, Inc. ...... 3,000 36,750
*#Quarterdeck Office Systems, Inc. .... 10,100 323,200
Queens County Bancorp ............... 1,200 48,450
*Quest Medical, Inc. ................. 8,109 89,199
*Quickresponse Services, Inc. ........ 2,200 55,825
*Quickturn Design Systems, Inc. ...... 5,400 55,013
*Quidel Corp. ........................ 8,500 48,875
*Quiksilver, Inc. .................... 2,900 91,713
*Quipp, Inc. ......................... 200 2,000
Quixote Corp. ....................... 7,700 61,600
*R & B, Inc. ......................... 3,500 23,188
RCSB Financial, Inc. ................ 4,100 98,400
*RF Monolithics, Inc. ................ 2,000 14,125
RLI Corp. ........................... 5,000 120,000
*RMI Titanium Co. .................... 6,100 46,513
*RPC Energy Services, Inc. ........... 22,800 182,400
RS Financial Corp. .................. 1,400 55,125
*Racotek, Inc. ....................... 9,400 54,050
*Radius, Inc. ........................ 5,819 12,184
*Rag Shops, Inc. ..................... 2,300 4,816
*Ragan (Brad), Inc. .................. 3,800 129,200
*Railtex, Inc. ....................... 1,800 36,900
*Rainbow Technologies, Inc. .......... 2,800 63,700
*#Rally's Hamburgers, Inc. ............ 6,200 10,075
*Ramapo Financial Corp. .............. 3,200 12,700
*Ramsay Health Care, Inc. ............ 3,500 12,031
*Ramsay Managed Care, Inc. ........... 913 2,111
*#Ramtron International Corp. ......... 8,800 50,050
Raritan Bancorp, Inc. DE ............ 200 4,400
*Rational Software Corp. ............. 5,000 87,813
Rauch Industries, Inc. .............. 1,500 14,719
Raven Industries, Inc. .............. 9,150 147,544
*Rawlings Sporting Goods, Inc. ....... 1,500 11,250
*#Raymond Corp. ....................... 5,843 119,782
Raymond James Financial, Inc. ....... 4,000 90,500
*Readicare, Inc. ..................... 11,400 33,488
*Reading Co. Class A ................. 2,000 18,250
*Recoton Corp. ....................... 9,066 160,922
*Recovery Engineering, Inc. .......... 200 2,925
*#Reddi Brake Supply Corp. ............ 6,600 16,088
*Redman Industries, Inc. ............. 1,400 39,200
*Redwood Empire Bancorp .............. 500 4,250
*Reeds Jewelers, Inc. ................ 220 2,393
Refac Technology Development Corp. ... 7,000 49,000
*Reflectone, Inc. .................... 1,000 14,375
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Regal Beloit Corp. .................. 10,200 $224,400
*Regal Cinemas, Inc. ................. 2,300 98,325
*Regency Health Services, Inc. ....... 6,600 70,950
*Regeneron Pharmaceuticals, Inc. ..... 5,900 66,375
*#Regional Acceptance Corp. ........... 3,000 26,250
Regis Corp. ......................... 3,100 72,850
*Rehabcare Corp. ..................... 1,800 30,825
*Rehabilicare, Inc. .................. 1,800 5,625
Reinsurance Group America, Inc. ..... 1,200 37,050
*Reliability, Inc. ................... 1,700 14,238
Reliance Steel and Aluminum Co. ..... 4,400 82,500
*Renal Treatment Centers, Inc. ....... 4,300 173,075
*Reno Air, Inc. ...................... 3,300 22,688
*Rentrak Corp. ....................... 4,500 27,141
*Repligen Corp. ...................... 6,100 7,816
*Reptron Electronics, Inc. ........... 1,900 32,894
Republic Automotive Parts, Inc. ..... 4,100 52,275
Republic Bancorp, Inc. .............. 8,466 97,884
*Republic Environmental Systems, Inc... 2,200 8,250
Republic Gypsum Co. ................. 13,300 171,238
Republic Savings Financial Corp. .... 1,500 8,438
*Res-Care, Inc. ...................... 3,200 54,000
*Research Industries Corp. ........... 5,000 138,125
*Resound Corp. ....................... 3,100 24,025
*Resource Bancshares Mortgage
Group, Inc. ......................... 5,800 80,113
*#Respironics, Inc. ................... 10,600 206,700
*Response Oncology, Inc. ............. 2,380 32,725
*Retirement Care Association, Inc. ... 4,200 53,288
*Retix, Inc. ......................... 7,000 16,188
*Rex Stores Corp. .................... 5,600 98,000
*Rexall Sundown, Inc. ................ 2,900 55,644
*Rexel, Inc. ......................... 17,900 241,650
*#Rexene Corp. ........................ 7,400 72,150
*Rexhall Industries, Inc. ............ 1,000 5,000
*Rexon, Inc. ......................... 5,600 613
*Rexworks, Inc. ...................... 1,000 2,625
*Rhodes, Inc. ........................ 3,200 32,800
*Ribi Immunochem Research, Inc. ...... 19,400 78,813
Richfood Holdings, Inc. ............. 13,955 388,996
*Riddell Sports, Inc. ................ 655 2,088
*Riggs National Corp. ................ 13,800 193,200
*Right Management Consultants, Inc. .. 1,800 48,375
*Right Start, Inc. ................... 1,900 8,431
*Rightchoice Managed Care, Inc.
Class A ............................ 700 8,838
*Ringer Corp. ........................ 6,500 10,156
*Rio Hotel & Casino, Inc. ............ 10,700 133,081
Riser Foods, Inc. Class A ........... 3,500 52,500
Rival Co. ........................... 2,600 54,600
River Forest Bancorp ................ 6,800 164,050
*River Oaks Furniture, Inc. .......... 2,400 17,400
*Riverside Group, Inc. ............... 1,000 4,625
Riverside National Bank CA .......... 1,000 13,688
*#Roadmaster Industries, Inc. ......... 16,900 48,588
Roanoke Electric Steel Corp. ........ 1,200 17,850
Robbins & Myers, Inc. ............... 3,900 124,800
*Roberds, Inc. ....................... 2,300 23,863
*Roberts Pharmaceutical Corp. ........ 7,400 124,875
*Robertson-Ceco Corp. ................ 6,418 38,508
Robinson Nugent, Inc. ............... 4,000 29,750
*Robotic Vision Systems, Inc. ........ 5,800 151,888
*Rock Bottom Restaurants, Inc. ....... 1,700 26,350
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Rock-Tenn Co. Class A ............... 2,800 $ 44,800
*Rocky Mountain Chocolate Factory .... 200 2,500
*Rocky Shoes & Boots, Inc. ........... 2,000 13,500
*Rodman & Renshaw Capital Group, Inc. . 1,300 2,275
*Rogers Corp. ........................ 10,000 242,500
*#Rohr, Inc. .......................... 13,000 190,125
*Rollins Environmental Services, Inc. . 24,300 72,900
Rollins Truck Leasing Corp. ......... 11,700 117,000
Roper Industries, Inc. .............. 6,000 216,750
Ross Stores, Inc. ................... 12,000 230,250
*Ross Systems, Inc. .................. 6,500 19,500
*Rotech Medical Corp. ................ 6,700 192,625
Roto-Rooter, Inc. ................... 3,600 112,950
*Rotonics Manufacturing, Inc. ........ 2,500 4,063
*Rottlund, Inc. ...................... 1,000 6,625
Rouge Steel Co. Class A ............. 2,600 56,550
Rowe Furniture Corp. ................ 5,412 26,384
*Royal Appliance Manufacturing Co. ... 7,200 22,500
Royal Bancshares of Pennsylvania
Class A ............................. 2,312 22,831
*Royal Grip, Inc. .................... 1,100 4,675
Ruddick Corp. ....................... 17,600 189,200
*Rule Industries, Inc. ............... 2,700 40,163
*Rural/Metro Corp. ................... 1,600 39,000
Russ Berrie & Co., Inc. ............. 12,800 174,400
Ryan Beck & Co. ..................... 200 1,500
*Ryans Family Steak Houses, Inc. ..... 21,400 159,163
Rykoff-Sexton, Inc. ................. 8,750 167,344
Ryland Group, Inc. .................. 7,800 96,525
*Rymer Foods, Inc. ................... 5,400 4,050
*#S&K Famous Brands, Inc. ............. 1,900 14,250
S&T Bancorp, Inc. ................... 2,200 56,650
*SBE, Inc. ........................... 900 11,813
*SBS Technologies, Inc. .............. 1,100 8,663
SCOR U.S. Corp. ..................... 8,200 125,050
*SCS/COMPUTE, Inc. ................... 2,700 6,919
SEI Corp. ........................... 3,800 80,750
SFFED Corp. ......................... 3,500 109,375
*SFX Broadcasting, Inc. Class A ...... 1,200 34,500
SI Handling, Inc. ................... 1,050 7,088
SJW Corp. ........................... 600 20,850
SKI, Ltd. ........................... 1,000 13,750
SL Industries, Inc. ................. 9,200 71,300
*#SLM International, Inc. ............. 5,200 7,800
*SPS Technologies, Inc. .............. 2,600 117,975
*SPSS, Inc. .......................... 200 3,713
SPX Corp. ........................... 6,300 101,588
*SSE Telecom, Inc. ................... 1,100 9,625
*STB Systems, Inc. ................... 900 9,394
*Safeguard Health Enterprises, Inc. .. 6,900 80,213
*Safeguard Scientifics, Inc. ......... 20,700 1,024,650
*Safeskin Corp. ...................... 1,800 33,750
*Safety 1st, Inc. .................... 1,400 28,000
*Safety Components International,
Inc. ................................ 1,500 23,625
*Safetytek Corp. ..................... 1,000 15,750
*Saga Communications, Inc.
Class A ............................. 1,625 24,375
*Sahara Gaming Corp. ................. 1,200 3,300
Saint Ives Laboratories Corp. ....... 3,500 51,625
Saint John Knits, Inc. .............. 200 9,375
Saint Joseph Light & Power Co. ...... 27,200 853,400
Saint Mary Land & Exploration Co. ... 1,800 24,413
Saint Paul Bancorp, Inc. ............ 7,350 183,750
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Salant Corp. DE ..................... 5,900 $ 21,388
Salem Corp. ......................... 2,950 60,844
*Salick Health Care, Inc.
Redeemable Shares ................... 2,850 104,381
*Salton/Maxim Housewares, Inc. ....... 1,200 3,675
*Sam & Libby, Inc. ................... 3,400 4,144
*San Filippo (John B.) & Son, Inc. ... 3,000 27,000
*San Francisco Co. Class A ........... 400 1,800
Sanderson Farms, Inc. ............... 4,200 45,675
Sands Regent Casino Hotel ........... 2,000 11,500
Sandwich Co-Operative Bank MA ....... 200 3,625
Sandy Corp. ......................... 1,000 12,625
*Sangstat Medical Corp. .............. 1,900 14,844
*#Sanifill, Inc. ...................... 7,100 237,850
*Sanmina Corp. ....................... 3,400 175,100
*Santa Cruz Operation, Inc. .......... 17,000 103,063
*Santa Monica Bank CA ................ 1,000 12,500
*Satcon Technology Corp. ............. 1,400 13,038
*Satellite Technology Management,
Inc. ................................ 2,300 37,663
Savannah Foods & Industries, Inc. ... 10,500 129,938
*Savoy Pictures Entertainment, Inc. .. 9,800 58,800
Sbarro, Inc. ........................ 8,100 181,238
*Scan-Optics, Inc. ................... 14,900 40,975
Schawk, Inc. Class A ................ 3,200 21,600
*Schieb (Earl), Inc. ................. 7,900 55,300
*Schuler Homes, Inc. ................. 12,300 110,700
Schult Homes Corp. .................. 1,100 18,975
Schultz Sav-O Stores, Inc. .......... 3,000 45,375
*Sciclone Pharmaceuticals, Inc. ...... 9,400 49,350
*Science Dynamics Corp. .............. 1,700 1,142
*Scientific Games Holdings Corp. ..... 1,800 60,750
*Scientific Software-Intercomp, Inc. . 3,500 9,188
Scientific Technologies, Inc. ....... 2,600 41,275
*Scios-Nova, Inc. .................... 14,087 54,587
Scope Industries, Inc. .............. 3,500 111,781
*Score Board, Inc. ................... 5,600 28,700
Scotsman Industries, Inc. ........... 3,000 49,500
*Scott's Liquid Gold, Inc. ........... 3,400 9,775
*Scotts Co. Class A .................. 11,300 228,119
Seacoast Banking Corp. Class A ...... 700 16,975
*Seacor Holdings, Inc. ............... 1,200 27,450
Seafield Capital Corp. .............. 1,700 60,988
Sealright Co., Inc. ................. 2,800 31,500
*Seattle Filmworks, Inc. ............. 1,400 26,775
Seaway Food Town, Inc. .............. 200 3,275
Second Bancorp, Inc. ................ 300 8,625
Security Connecticut Corp. .......... 2,200 56,100
*Seda Specialty Packaging Corp. ...... 2,000 25,625
*Seeq Technology, Inc. DE ............ 11,500 46,719
*Seitel, Inc. ........................ 1,800 45,000
Selas Corp. of America .............. 1,400 11,550
Selective Insurance Group, Inc. ..... 6,000 226,500
*Selfix, Inc. ........................ 1,000 5,375
*Semiconductor Packaging Materials
Co., Inc. ........................... 2,300 21,850
*Semtech Corp. ....................... 1,000 25,375
*Seneca Foods Corp. .................. 200 3,475
*Seneca Foods Corp. Class A .......... 200 3,188
*Sepracor, Inc. ...................... 9,100 144,463
*Sequa Corp. Class A ................. 2,000 58,250
*Sequent Computer Systems, Inc. ...... 6,200 98,038
*Sequoia Systems, Inc. ............... 6,100 31,072
*Sequus Pharmaceuticals, Inc. ........ 11,400 141,075
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*#Seragen, Inc. ....................... 6,600 $ 37,125
*Serv-Tech, Inc. ..................... 2,600 17,063
*Servico, Inc. ....................... 1,600 21,600
*Servotronics, Inc. .................. 954 4,412
Sevenson Environmental Services,
Inc. ................................ 1,300 22,913
*Shaman Pharmaceuticals .............. 5,200 36,075
*Shared Technologies, Inc. ........... 2,600 9,588
*Sharper Image Corp. ................. 5,900 36,875
*Shaw Group, Inc. .................... 1,700 16,363
*Sheffield Medical Technologies, Inc. 1,500 5,531
Shelby Williams Industries, Inc. .... 3,300 42,075
*Sheldahl, Inc. ...................... 10,300 201,494
Shelter Components, Inc. ............ 2,425 39,709
*Sherwood Group, Inc. ................ 5,000 42,500
*Shiloh Industries, Inc. ............. 2,600 29,250
*Shoe Carnival, Inc. ................. 3,000 12,188
*Sholodge, Inc. ...................... 3,600 33,300
*#Shoney's, Inc. ...................... 16,600 178,450
Shopko Stores, Inc. ................. 19,400 220,675
Shoreline Financial Corp. ........... 1,000 19,188
*Shorewood Packaging Corp. ........... 7,700 108,763
*Show Biz Pizza Time, Inc. ........... 7,400 94,350
Showboat, Inc. ...................... 6,800 183,600
*Showscan Corp. ...................... 4,000 26,000
*#Shuffle Master, Inc. ................ 1,800 24,300
*Sierra Health Services, Inc. ........ 5,921 193,913
*Sierra On-Line, Inc. ................ 3,200 109,600
*Sierra Semiconductor Corp. .......... 13,600 249,900
Sierra Tahoe Bancorp ................ 200 2,288
*Sifco Industries, Inc. .............. 8,800 39,050
*Sight Resource Corp. ................ 1,000 7,500
*Sigma Designs, Inc. ................. 8,700 52,200
*Signal Apparel Co., Inc. Class A .... 4,200 26,250
*Signal Technology Corp. ............. 2,700 15,356
*Silicon Valley Bancshares ........... 4,200 93,450
*Siliconix, Inc. ..................... 4,000 157,500
*#Silver King Communications, Inc. .... 1,300 45,338
*Silverado Foods, Inc. ............... 1,100 3,713
Simmons First National Corp.
Class A ............................. 200 5,850
*Simmons Outdoor Corp. ............... 1,000 10,313
Simpson Industries, Inc. ............ 7,650 72,675
*Simula, Inc. ........................ 3,450 70,294
*Sinter Metals, Inc. Class A ......... 1,000 10,625
*Sirena Apparel Group, Inc. .......... 700 4,025
*Sithe Energies, Inc. ................ 22,500 143,438
Sizzler International, Inc. ......... 16,200 62,775
Skyline Corp. ....................... 3,400 63,750
Skywest, Inc. ....................... 5,100 70,444
*Sloane's Supermarkets, Inc. ......... 900 3,375
Smart & Final Food, Inc. ............ 12,150 233,888
Smith (A.O.) Corp. .................. 5,900 140,125
*Smith Environmental Technologies
Corp. ............................... 2,900 12,506
*Smithfield Foods, Inc. .............. 6,600 204,600
Snyder Oil Corp. .................... 12,100 140,663
*Sodak Gaming, Inc. .................. 3,000 58,500
*Sofamor/Danek Group, Inc. ........... 9,500 218,500
*Softdesk, Inc. ...................... 3,000 67,875
*Softech, Inc. ....................... 1,600 6,100
*Softnet Systems, Inc. (Private
Placement) .......................... 2,536 22,539
*Software Publishing Corp. ........... 5,000 16,875
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Software Spectrum, Inc. ............. 1,900 $ 37,644
*Somatix Therapies Corp. ............. 6,100 30,500
*Somatogen, Inc. ..................... 8,200 112,750
Somerset Group, Inc. ................ 200 3,550
*Sonic Corp. ......................... 6,000 129,750
*Sonic Solutions ..................... 1,500 11,156
*Sound Advice, Inc. .................. 1,900 3,800
South Jersey Industries, Inc. ....... 3,448 73,701
*#Southdown, Inc. ..................... 12,400 234,050
Southeastern Michigan Gas
Enterprises, Inc. ................... 2,371 42,085
Southern California Water Co. ....... 3,900 73,613
*Southern Electronics Corp. .......... 2,750 $ 14,266
*Southern Energy Homes, Inc. ......... 3,750 67,031
#Southern Indiana Gas & Electric Co. .. 3,200 106,800
*Southern Union Co. .................. 5,990 143,011
*Southwall Technologies, Inc. ........ 3,500 14,438
Southwest Bancorp, Inc. ............. 1,500 26,250
Southwest Bancshares, Inc. DE ....... 900 24,638
Southwest Gas Corp. ................. 6,300 113,400
Southwest National Corp. ............ 200 6,800
Southwest Securities Group, Inc ..... 1,600 16,400
Southwest Water Co. ................. 1,000 9,313
Southwestern Energy Co. ............. 6,600 85,800
*Southwestern Life Corp. ............. 19,200 749
Sovereign Bancorp, Inc. ............. 19,307 203,930
*Spacelabs Medical, Inc. ............. 3,000 79,500
*Spaghetti Warehouse, Inc. ........... 3,400 16,575
Span-American Medical System, Inc. . . 1,700 9,881
Spartan Motors, Inc. ................ 8,900 99,013
Spartech Corp. ...................... 5,600 37,800
*Sparton Corp. ....................... 7,700 31,763
*Spec's Music, Inc. .................. 5,300 11,925
*Special Devices, Inc. ............... 2,900 44,406
*Specialty Chemical Resources, Inc. .. 2,600 6,825
*Specialty Equipment Co., Inc. ....... 3,300 34,238
*Specialty Paperboard, Inc. .......... 1,600 20,200
*Spectran Corp. ...................... 3,200 17,200
*Spectranetics Corp. ................. 7,302 22,362
*Spectrian Corp. ..................... 1,500 35,438
*Spectrum Control, Inc. .............. 4,200 14,438
*Spectrum Holobyte, Inc. ............. 10,400 89,050
*Speizman Industries, Inc. ........... 1,800 5,288
*Spire Corp. ......................... 3,200 8,200
*Sport Chalet, Inc. .................. 1,400 3,675
Sport Supply Group, Inc. ............ 1,250 9,063
*#Sportmart, Inc. ..................... 1,300 10,238
*Sports & Recreation, Inc. ........... 9,900 69,300
*Sports Authority, Inc. .............. 200 4,225
*Spreckels Industries, Inc. Class A .. 1,200 16,725
*Staar Surgical Co. .................. 3,700 43,475
*Stac Electronics .................... 9,300 111,600
*Stacey's Buffet, Inc. ............... 3,700 2,197
*Staff Builders, Inc. ................ 8,300 24,900
Stage II Apparel Corp. .............. 1,700 5,100
*Standard Brands Paint Co. ........... 5,100 5,100
*Standard Commercial Corp. ........... 2,311 26,864
*Standard Management Corp. ........... 2,000 9,750
*Standard Microsystems Corp. ......... 8,800 181,500
Standard Motor Products, Inc.
Class A ............................. 3,900 58,500
Standard Pacific Corp. DE ........... 12,200 70,150
Standard Products Co. ............... 6,700 108,038
Standard Register Co. ............... 4,500 92,531
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Standex International Corp. ......... 4,400 $160,050
*Stanford Telecommunications, Inc. ... 6,900 128,513
*Stanley Furniture, Inc. ............. 200 1,650
Stant Corp. ......................... 10,000 90,000
*Starcraft Corp. ..................... 200 963
Starret Housing Corp. ............... 3,900 29,494
Starrett (L.S.) Co. Class A ......... 1,400 32,725
*Starsight Telecast, Inc. ............ 8,400 35,700
*Starter Corp. ....................... 5,300 35,775
State Auto Financial Corp. .......... 400 9,200
*State of the Art, Inc. .............. 5,200 52,650
*Station Casinos, Inc. ............... 200 3,000
*Steck-Vaughn Publishing Corp. ....... 1,000 7,250
Steel Technologies, Inc. ............ 3,100 27,125
*Steel of West Virginia, Inc. ........ 4,400 44,000
*Stein Mart, Inc. .................... 6,200 78,275
Stepan Co. .......................... 6,400 99,200
Stephan Co. ......................... 1,700 26,988
*Sterile Concepts Holdings, Inc. ..... 900 12,600
*Steris Corp. ........................ 7,000 284,375
Sterling Bancorp .................... 3,900 42,900
Sterling Bancshares ................. 200 3,450
*Sterling Chemicals, Inc. ............ 16,700 139,863
*Sterling Electronics Corp. .......... 4,800 80,400
*Sterling Financial Corp. WA ......... 220 2,970
*Stevens Graphics Corp. Class A ...... 4,000 27,750
Stewart Information Services Corp. .. 1,500 33,188
Stifel Financial Corp. .............. 1,600 9,400
*Stimsonite Corp. .................... 500 4,563
*Stokely USA, Inc. ................... 10,100 56,813
Stone & Webster, Inc. ............... 7,200 266,400
*Strategic Distribution, Inc. ........ 6,400 40,400
Strawbridge & Clothier Class A ...... 4,200 93,450
Stride Rite Corp. ................... 300 2,625
*Strouds, Inc. ....................... 1,700 6,853
*Structural Dynamics Research Corp. ... 8,700 177,806
*Struthers Industries, Inc. .......... 2,100 4,594
*Stuart Entertainment, Inc. .......... 1,000 6,750
Student Loan Corp. .................. 5,600 198,100
Sturm Ruger & Co., Inc. ............. 8,500 248,625
*Submicron Systems Corp. ............. 4,600 46,575
*Sudbury, Inc. ....................... 3,200 25,200
Suffolk Bancorp ..................... 1,000 36,000
*Sugen, Inc. ......................... 1,700 18,488
*Sulcus Computer Corp. ............... 5,800 11,963
Sullivan Dental Products, Inc. ...... 5,800 53,288
Sumitomo Bank of California ......... 3,900 93,600
*Summa Four, Inc. .................... 1,300 19,825
*Summagraphics Corp. ................. 1,500 2,859
Summit Bancorp, Inc. WA ............. 3,378 97,751
*Summit Care Corp. ................... 1,400 31,500
Summit Family Restaurants, Inc. ..... 2,900 15,044
*Summit Technology, Inc. ............. 6,400 305,600
*Sun Coast Plastics, Inc. ............ 1,600 13,400
*Sun Sportswear, Inc. ................ 2,300 8,050
Sun Television and Appliances, Inc. . 8,600 48,375
*Sunair Electronics, Inc. ............ 3,000 7,500
*Sunbelt Company, Inc. ............... 200 1,575
*Sunbelt Nursery Group, Inc. ......... 2,600 7,963
*Suncoast Savings & Loan
Association FSA ..................... 800 5,088
*Sundance Homes, Inc. ................ 4,300 11,019
*Sunrise Bancorp CA .................. 1,300 3,331
*Sunrise Leasing Corp. ............... 1,700 5,313
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Sunrise Medical, Inc. ............... 7,200 $124,200
*#Sunshine Mining and Refining Co. .... 3,000 4,875
Super Food Services, Inc. ........... 7,300 93,075
*Superconductor Technologies, Inc. ... 1,200 5,925
*Supercuts, Inc. ..................... 6,800 56,950
Superior Surgical Manufacturing
Co., Inc. ........................... 39,800 358,200
*Supertex, Inc. ...................... 31,300 324,738
*Suprema Specialties, Inc. ........... 1,000 5,000
*Supreme Industries, Inc. ............ 2,300 18,544
*Supreme International Corp. ......... 700 11,463
*Surgical Laser Technologies, Inc. ... 2,500 2,813
*Surgical Technologies, Inc. ......... 1,000 1,531
*Survival Technology, Inc. ........... 1,200 10,950
Susquehanna Bancshares, Inc. ........ 3,875 112,859
*Swift Energy Corp. .................. 6,820 74,168
*Swift Transportation, Inc. .......... 7,200 119,700
*Swing-n-Slide Corp. ................. 4,800 19,800
*Swisher International, Inc. ......... 200 900
*Sybron Chemicals, Inc. .............. 1,100 13,613
*Sylvan Foods Holdings, Inc. ......... 2,469 27,005
*Sylvan Learning Systems, Inc. ....... 1,800 43,650
*Symix Systems, Inc. ................. 1,000 11,125
*Symmetricom, Inc. ................... 9,800 147,000
*Syms Corp. .......................... 9,900 75,488
Synalloy Corp. DE ................... 14,400 297,900
*Synbiotics Corp. .................... 2,300 6,038
*Syncor International Corp. DE ....... 4,200 29,925
*Synetic, Inc. ....................... 7,100 186,375
*Syntellect, Inc. .................... 4,500 15,188
*#Syquest Technology, Inc. ............ 3,100 33,131
*Syratech Corp. ...................... 300 6,188
*Systemed, Inc. ...................... 17,976 105,609
*Systemix, Inc. ...................... 2,800 40,600
*#Systems & Computer Technology Corp.... 16,700 308,950
*Systemsoft Corp. .................... 2,000 26,750
*T Cell Sciences, Inc. ............... 6,900 23,719
*T-HQ, Inc. .......................... 200 775
*TBC Corp. ........................... 8,950 63,769
TCBY Enterprises, Inc. .............. 7,900 33,575
*TCC Industries, Inc. ................ 1,100 2,750
*TCI International, Inc. ............. 1,600 14,800
*TCSI Corp. .......................... 3,800 66,263
*TFC Enterprises, Inc. ............... 3,200 22,200
*TII Industries, Inc. ................ 1,760 15,290
#TJ International, Inc. .............. 8,800 155,100
*TMBR/Sharp Drilling, Inc. ........... 1,300 10,969
TNP Enterprises, Inc. ............... 3,200 58,800
TNT Freightways Corp. ............... 6,600 129,525
*TPI Enterprises, Inc. ............... 6,100 20,969
TR Financial Corp. .................. 3,900 97,013
*TRC Companies, Inc. ................. 4,600 27,025
*TRM Copy Centers Corp. .............. 4,000 38,750
*TRO Learning, Inc. .................. 2,400 19,500
*TSF Communications Corp. ............ 2,400 30,300
TSI, Inc. MN ........................ 2,100 25,463
TSR, Inc. ........................... 200 1,175
*TSX Corp. ........................... 3,500 71,313
Tab Products Co. DE ................. 2,400 16,200
*Taco Cabana Inc. .................... 9,200 50,600
*Talley Industries, Inc. ............. 2,800 22,050
*Tandy Brand Accessories, Inc. ....... 2,100 14,438
*Tandy Crafts, Inc. .................. 5,600 42,000
*Tanknology Environmental, Inc. ....... 5,700 12,825
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Target Technologies, Inc. ........... 900 $ 6,694
*Target Therapeutics, Inc. ........... 1,400 109,725
*Targeted Genetics Corp. ............. 5,000 25,938
Tasty Baking Co. .................... 3,700 49,488
*Tatham Off-Shore, Inc. .............. 5,000 5,625
*Team, Inc. .......................... 2,300 5,463
*Tech Data Corp. ..................... 7,600 128,725
*Tech-Sym Corp. ...................... 2,700 80,663
Tech/Ops Sevcon, Inc. ............... 2,800 30,100
Technalysis Corp. ................... 500 6,188
*Techne Corp. ........................ 2,700 63,113
*Technical Communications Corp. ...... 1,000 8,750
Technitrol, Inc. .................... 4,200 81,900
*Technol Medical Products, Inc. ...... 6,000 105,375
*Technology Solutions Corp. .......... 5,000 85,000
*Tejas Gas Corp. ..................... 3,960 195,030
*Tejas Power Corp. ................... 5,200 41,600
Tejon Ranch Co. ..................... 9,100 133,088
*Tekelec ............................. 4,200 67,725
*Telco Systems, Inc. ................. 5,800 56,188
*Telebit Corp. ....................... 5,300 23,519
Telxon Corp. ........................ 4,700 110,450
*Temtex Industries, Inc. ............. 700 3,150
Tennant Co. ......................... 2,200 55,000
*#Terex Corp. ......................... 4,500 20,813
*Tesoro Petroleum Corp. .............. 9,800 82,075
*Tetra Tech, Inc. .................... 4,250 98,813
*Tetra Technologies, Inc. ............ 6,200 102,300
*Texas Biotechnology Corp. ........... 3,500 5,906
Texas Industries, Inc. .............. 7,700 394,625
*Texas Meridian Resources Corp. ...... 2,100 25,988
*Texfi Industries, Inc. .............. 3,800 10,925
*Thackeray Corp. ..................... 3,600 15,750
*Theragenics Corp. ................... 4,400 24,475
*#Theratech, Inc. UT .................. 3,000 55,875
*Theratx, Inc. ....................... 8,600 116,100
*Thermedics, Inc. .................... 12,900 282,188
*Thermo Fibertek, Inc. ............... 29,550 583,613
*Thermo Power Corp. .................. 7,600 104,500
*Thermo Process Systems, Inc. ........ 4,300 55,900
Thermo Remediation, Inc. ............ 2,100 29,400
*Thermo Voltek Corp. ................. 1,200 19,500
*Thermwood Corp. ..................... 1,000 2,313
Thiokol Corp. ....................... 7,400 250,675
*Thomas Group, Inc. .................. 1,800 27,000
Thomas Industries, Inc. ............. 1,900 38,713
Thomaston Mills, Inc. ............... 1,000 13,125
Thor Industries, Inc. ............... 4,000 66,500
Thorn Apple Valley, Inc. ............ 4,000 66,000
*Three-Five Systems, Inc. ............ 3,100 67,038
*#Timberland Co. Class A .............. 3,000 57,750
Timberline Software Corp. ........... 1,400 12,513
*Tipperary Corp. ..................... 4,500 19,125
*Titan Corp. ......................... 7,500 51,563
Titan Holdings, Inc. ................ 1,510 20,574
Titan Wheel International, Inc. ..... 6,400 109,600
Toastmaster, Inc. ................... 2,300 10,063
*#Todays Man, Inc. .................... 4,900 22,356
*Todd Shipyards Corp. ................ 4,200 25,200
Todd-AO Corp. Class A ............... 220 1,733
*Todhunter International, Inc.
(Private Placement) ................ 3,600 25,110
*Tokheim Corp. ....................... 3,100 20,538
*Tokos Medical Corp. ................. 5,300 43,063
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*#Toll Brothers, Inc. ................. 13,400 $242,875
Tompkins County Trust Co. ........... 220 6,243
*#Top Source Technologies, Inc. ....... 10,600 85,463
*Topps, Inc. ......................... 20,000 101,250
*Tops Appliance City, Inc. ........... 2,900 9,788
*Toreador Royalty Corp. .............. 1,500 3,750
Toro Co. ............................ 3,700 117,013
Tower Air, Inc. ..................... 9,000 62,438
*Tower Automotive, Inc. .............. 1,100 16,638
*Tracor, Inc. ........................ 2,700 40,500
*Tractor Supply Co. .................. 5,000 98,125
*Trak Auto Corp. ..................... 3,300 51,975
*Trans World Entertainment Corp. ..... 3,900 10,238
*TransNet Corp. ...................... 2,000 7,063
*Transaction Network Services, Inc. .. 500 12,063
*Transcend Services, Inc. ............ 200 975
*Transcisco Industries, Inc. ......... 1,100 3,163
*Transmation, Inc. ................... 1,000 6,125
Transmedia Network, Inc. ............ 5,650 57,913
Transport Financial Bancorp, Inc. ... 2,100 35,831
Transport Leasing International,
Inc. ................................ 1,700 6,269
Transtechnology Corp. ............... 3,000 36,000
*Transworld Bancorp .................. 200 2,875
*Travel Ports of America, Inc. ....... 1,500 4,313
Treadco, Inc. ....................... 3,000 17,625
Tredegar Industries, Inc. ........... 1,300 41,275
*Tremont Corp. DE .................... 4,700 78,138
*Trend-Lines, Inc. Class A ........... 600 7,050
#Trenwick Group, Inc. ................ 3,000 154,125
*Tri-Lite, Inc. ...................... 29 16
*Triad Guaranty, Inc. ................ 200 5,350
*Triad Systems Corp. ................. 4,500 25,031
*Triangle Pacific Corp. .............. 6,500 103,594
*Tricord Systems, Inc. ............... 5,200 15,925
*Trident Microsystems, Inc. .......... 2,300 81,075
*Tridex Corp. ........................ 1,500 11,719
*Trimark Holdings, Inc. .............. 1,700 12,325
*Trimble Navigation, Ltd. ............ 5,200 105,300
*Trimedyne, Inc. ..................... 3,800 10,450
*Trinitec Systems, Inc. Class A ...... 1,400 7,175
Trion, Inc. ......................... 2,300 11,788
*Triple S Plastics, Inc. ............. 700 4,725
*Tripos, Inc. ........................ 2,000 15,500
*Triquint Semiconductor, Inc. ........ 200 3,325
*Trism, Inc. ......................... 1,100 8,525
*Tristar Corp. ....................... 1,000 6,875
True North Communications, Inc. ..... 12,600 258,300
*Truevision, Inc. .................... 3,800 27,788
Trust Company of New Jersey ......... 7,700 102,506
Trustco Bank Corp. NY ............... 8,184 178,002
Tseng Laboratories, Inc. ............ 5,900 57,156
*Tuboscope Vetco International, Inc. . 8,400 49,350
*Tucker Drilling Co., Inc. ........... 500 3,844
*Tuesday Morning Corp. ............... 3,600 20,250
*Tultex Corp. ........................ 14,900 70,775
*Turner Corp. ........................ 2,600 24,050
Tuscarora Plastics, Inc. ............ 3,500 83,125
Twin Disc, Inc. ..................... 1,400 32,025
*Tyco Toys, Inc. ..................... 15,800 86,900
*Tyler Corp. ......................... 7,900 27,650
U.S. Bancorp, Inc. .................. 1,000 31,375
*UNC, Inc. ........................... 12,600 70,875
UNR Industries, Inc. ................ 18,300 163,556
*URS Corp. ........................... 5,000 34,375
*US Can Corp. ........................ 8,800 113,300
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*US Delivery Systems, Inc. ........... 1,200 $ 28,200
*US Servis, Inc. ..................... 2,500 10,938
*US Trust Corp. ...................... 2,900 137,750
*USA Truck, Inc. ..................... 1,900 21,256
*USData Corp. ........................ 3,450 64,688
*USMX, Inc. .......................... 5,900 11,063
*UST Corp. ........................... 7,900 117,513
USX-Delhi Group ..................... 5,000 51,250
*Ultimate Electronics, Inc. .......... 1,100 9,213
*Ultra Pacific, Inc. ................. 1,700 6,481
*Ultrak, Inc. ........................ 2,600 13,325
*Ultralife Batteries, Inc. ........... 3,000 65,250
Uni-Marts, Inc. ..................... 2,500 22,813
Unico American Corp. ................ 3,000 18,188
Unifirst Corp. ...................... 6,200 98,425
*Uniflex, Inc. ....................... 900 8,213
Uniforce Temporary Personnel, Inc. .. 2,700 25,988
*Unigene Laboratories, Inc. .......... 5,100 8,288
*Unilab Corp. ........................ 11,900 35,700
*Unimed, Inc. ........................ 2,800 18,550
*Union Corp. DE ...................... 3,900 66,300
*Union Switch & Signal, Inc. ......... 5,900 40,563
*#Uniphase Corp. ...................... 3,000 105,375
*Unique Mobility, Inc. ............... 4,000 16,000
*Uniroyal Technology Corp. ........... 5,200 16,900
*Unit Corp. .......................... 5,400 20,925
Unit Instruments, Inc. .............. 2,100 29,400
*United American Healthcare Corp. .... 3,700 39,313
United Bankshares, Inc. WV .......... 1,500 45,563
United Carolina Bancshares Corp. .... 6,300 235,463
United Cities Gas Co. ............... 4,950 82,913
*United Foods, Inc. Class A .......... 1,000 2,000
*United Guardian, Inc. ............... 1,000 2,250
United Illuminating Co. ............. 5,600 208,600
United Industrial Corp. ............. 5,300 25,175
*United Insurance Companies, Inc. .... 14,000 241,500
*United Meridian Corp. ............... 5,600 93,100
United National Bancorp ............. 212 6,996
*United Retail Group, Inc. ........... 5,500 26,125
*United States Alcohol Testing
America, Inc. ....................... 13,200 27,225
*#United States Bioscience, Inc. ...... 22,400 84,000
*United States Energy Corp. .......... 2,100 8,334
United States Facilities Corp. ...... 5,700 124,688
*#United States Filter Corp. .......... 6,000 132,000
*United States Home Corp. ............ 2,600 67,600
*United States Homecare Corp. ........ 3,800 9,500
*United States Long Distance Corp. ... 3,300 43,106
United Stationers, Inc. ............. 222 4,967
*United Video Satellite Group, Inc.
Class A ............................. 200 5,600
*United Waste Systems, Inc. .......... 2,400 96,300
United Water Resources, Inc. ........ 13,300 161,263
United Wisconsin Services, Inc. ..... 3,100 70,913
*Unitel Video, Inc. .................. 600 3,113
Unitil Corp. ........................ 200 4,050
Unitog Co. .......................... 1,500 36,938
*Unitrode Corp. ...................... 3,800 108,775
Univar Corp. ........................ 8,700 106,575
*Universal Electronics, Inc. ......... 2,700 19,575
Universal Forest Products, Inc. ..... 8,200 72,775
*Universal Health Services, Inc.
Class B ............................. 5,500 226,875
*Universal Hospital Services, Inc. ... 2,200 21,175
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Universal International, Inc. ....... 1,500 $ 7,500
*Universal Seismic Association, Inc. . 1,700 4,834
*Universal Standard Medical Labs,
Inc. ................................ 1,700 8,181
*Uno Restaurant Corp. ................ 7,000 48,125
Upper Peninsula Energy Corp. ........ 1,000 19,250
*Uranuim Resources, Inc. ............. 2,000 11,000
*Urban Outfitters, Inc. .............. 1,700 38,463
*#Uromed Corp. ........................ 10,000 100,625
*Utah Medical, Inc. .................. 3,000 44,063
*Utilx Corp. ......................... 2,900 6,163
*V Band Systems, Inc. ................ 1,000 1,469
*V Mark Software, Inc. ............... 1,538 10,189
*VTEL Corp. .......................... 4,000 79,750
VWR Scientific Products Corp. ....... 3,300 39,188
*Valence Technology, Inc. ............ 12,100 54,450
*Vallen Corp. ........................ 4,200 91,875
Valley Forge Corp. .................. 100 1,800
Valley Resources, Inc. .............. 1,500 15,938
Vallicorp Holdings, Inc. ............ 3,200 43,200
Valmont Industries, Inc. ............ 3,200 81,600
*Value City Department Stores, Inc. .. 12,800 86,400
Value Line, Inc. .................... 3,500 122,938
*Valuevision International, Inc.
Class A ............................. 10,800 60,075
*Vans, Inc. .......................... 5,000 36,406
*Varco International, Inc. ........... 13,400 122,275
*Vari L Co., Inc. .................... 500 6,750
*Variflex, Inc. ...................... 3,900 31,200
*Varitronic Systems, Inc. ............ 900 8,775
#Varlen Corp. ........................ 1,100 28,738
Varsity Spirit Corp. ................ 200 2,850
*Vaughn Communications, Inc. ......... 1,100 10,038
*Vectra Technologies, Inc. ........... 2,700 7,594
*#Ventritex, Inc. ..................... 5,000 108,438
*Ventura County National Bancorp ..... 2,564 9,615
Venture Stores, Inc. ................ 10,400 37,700
*Venturian Corp. ..................... 200 1,125
Vermont Financial Services Corp. .... 2,000 63,500
*Vermont Teddy Bear, Inc. ............ 200 800
Versa Technologies, Inc. ............ 1,100 15,675
*Versar, Inc. ........................ 600 2,138
*Vertex Communications Corp. ......... 1,600 24,800
*Vertex Pharmaceuticals, Inc. ........ 6,400 130,000
Vesta Insurance Group, Inc. ......... 1,800 80,550
*Veterinary Centers of America, Inc. . 1,400 21,350
*Vical, Inc. ......................... 7,000 65,188
*Vicorp Restaurants, Inc. ............ 3,100 35,456
Victoria Bankshares, Inc. ........... 2,000 65,500
*Video Display Corp. ................. 700 2,669
*Video Lottery Technologies, Inc. .... 1,400 5,600
*Videonics, Inc. ..................... 1,100 13,338
*Vie de France Corp. ................. 5,500 18,563
*Viewlogic Systems, Inc. ............. 3,900 43,144
Vintage Petroleum, Inc. ............. 6,200 127,100
Virco Manufacturing Corp. ........... 1,464 14,823
Virginia Beach Federal Financial
Corp. ............................... 2,000 15,875
Virginia First Financial Corp. ...... 400 4,350
*Vision Sciences, Inc. ............... 2,000 5,125
*Visx, Inc. DE ....................... 2,500 85,938
Vital Signs, Inc. ................... 4,000 80,500
*Vitalink Pharmacy Services, Inc. .... 1,000 19,063
*Vitesse Semiconductor, Inc. ......... 8,800 98,450
*Vitronics Corp. ..................... 3,000 7,500
*Volt Information Sciences, Inc. ..... 2,000 52,500
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Volunteer Capital Corp. ............. 1,800 $ 18,450
WD-40 Co. ........................... 2,000 80,000
*#WHX Corp. ........................... 20,300 223,300
WICOR, Inc. ......................... 8,500 261,375
WLR Foods, Inc. ..................... 8,700 141,375
*WMS Industries, Inc. ................ 9,600 176,400
*WPI Group, Inc. ..................... 2,300 7,475
*WRT Energy Corp. .................... 3,700 2,948
Wabash National Corp. ............... 5,000 140,000
Wackenhut Corp. Class A ............. 1,100 18,700
Wackenhut Corp. Class B Non-Voting ... 1,025 15,119
*Wahlco Environmental System, Inc. ... 5,400 10,800
*Wainoco Oil Corp. ................... 8,100 23,288
Walbro Corp. ........................ 6,000 118,500
*Walker Interactive Systems, Inc. .... 7,400 55,500
*#Wall Data, Inc. ..................... 1,900 29,688
*Wall Street Deli, Inc. .............. 1,500 10,500
Walshire Assurance Co. .............. 1,050 17,391
*Warner Insurance Services, Inc. ..... 5,300 7,288
*Warrantech Corp. .................... 5,200 26,650
Warren Bancorp, Inc. ................ 1,000 10,688
Washington Energy Co. ............... 9,400 172,725
*Washington Homes, Inc. .............. 2,400 12,000
Washington National Corp. ........... 7,300 180,675
Washington Savings Bank FSB
Waldorf, MD ......................... 1,100 6,050
*Washington Scientific Industries,
Inc. ................................ 1,000 4,250
#Waterhouse Investor Services, Inc. .. 6,250 123,438
Waters Instruments, Inc. ............ 200 863
Watkins-Johnson Co. ................. 4,900 222,338
Watsco, Inc. Class A ................ 900 14,850
Watts Industries, Inc. Class A ...... 8,600 176,300
*Waxman Industries, Inc. ............. 1,800 1,463
Webb (Del) Corp. .................... 6,700 135,675
Webster Financial Corp. ............. 1,184 30,636
*Wedco Technology, Inc. .............. 1,155 13,138
*Weirton Steel Corp. ................. 16,700 73,063
*Weitek Corp. ........................ 6,000 20,625
*Welcome Home, Inc. .................. 1,000 2,469
*Wellcare Management Group, Inc. ..... 1,000 21,125
*Wells-Gardner Electronics Corp. ..... 1,600 6,000
Werner Enterprises, Inc. ............ 5,200 109,850
Wesbanco, Inc. ...................... 1,000 27,125
West Coast Bancorp .................. 990 16,706
West, Inc. .......................... 9,900 237,600
Westamerica Bancorporation .......... 4,800 196,200
*Westbridge Capital Corp. ............ 1,100 6,600
Westco Bancorp, Inc. ................ 800 21,900
Westcorp, Inc. ...................... 17,330 337,935
*Westcott Communications, Inc. ....... 5,800 81,925
Westerfed Financial Corp. ........... 900 14,288
Western Bank Coos Bay, OR ........... 1,259 23,449
*Western Beef, Inc. .................. 2,700 15,863
Western Gas Resources, Inc. ......... 6,100 99,125
*Western Micro Technology, Inc. ...... 1,000 5,688
*Western Publishing Group, Inc. ...... 6,400 57,200
*Western Waste Industries ............ 10,400 191,100
*Western Water Co. ................... 800 20,700
*Westmoreland Coal Co. ............... 3,800 9,500
*Weston (Roy F.), Inc. Class A ....... 3,000 16,875
Westwood One, Inc. .................. 13,800 194,063
*Wet Seal, Inc. Class A .............. 1,700 14,556
*Whitehall Corp. ..................... 200 7,025
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Whitney Holdings Corp. .............. 6,600 $203,775
*Whittaker Corp. ..................... 1,700 30,175
*Whole Foods Market, Inc. ............ 7,800 113,100
*Wholesome & Hearty Foods, Inc. ...... 2,100 19,163
Wiley (John) & Sons, Inc. Class A ... 400 13,000
*Williams Clayton Energy, Inc. ....... 2,300 5,463
*Williams Controls, Inc. ............. 6,700 18,634
*Williams-Sonoma, Inc. ............... 7,625 151,547
Wilshire Oil Co. of Texas ........... 3,975 23,850
*Wind River Systems, Inc. ............ 1,700 49,194
#Windmere Corp. ...................... 7,400 44,400
Winnebago Industries, Inc. .......... 8,300 64,325
*Winstar Communications, Inc. ........ 6,200 86,800
Winthrop Resources Corp. ............ 1,600 26,900
Wireless Telecom Group, Inc. ........ 1,650 28,463
*#Wisconsin Pharmacal Co. ............. 2,100 8,138
Wiser Oil Co. ....................... 2,300 28,750
Wolohan Lumber Co. .................. 2,200 19,663
*Wolverine Tube, Inc. ................ 3,600 121,950
Wolverine World Wide, Inc. .......... 4,975 156,713
*Wonderware Corp. .................... 3,000 79,125
Woodhead Industries, Inc. ........... 2,100 33,469
Workingmens Capital Holdings, Inc. .. 200 3,500
*World Acceptance Corp. .............. 12,300 146,063
World Fuel Services Corp. ........... 4,704 67,032
*Worldcorp, Inc. ..................... 12,200 122,000
*Worldtex, Inc. ...................... 8,800 49,500
Worthington Foods, Inc. ............. 1,500 24,000
Wyle Laboratories, Inc. ............. 3,200 126,000
*Wyman-Gordon Co. .................... 13,900 205,894
Wynns International, Inc. ........... 4,750 136,563
X-Rite, Inc. ........................ 6,400 95,200
*Xicor, Inc. ......................... 5,400 41,344
*#Xircom, Inc. ........................ 6,700 83,331
*#Xoma Corp. .......................... 9,000 19,406
*Xpedite Systems, Inc. ............... 1,300 18,850
*Xylogics, Inc. ...................... 2,000 141,000
*Xytronyx, Inc. ...................... 1,100 1,788
Yankee Energy Systems, Inc. ......... 4,700 108,688
*Yellow Corp. ........................ 6,000 71,625
*Yes Clothing Co. .................... 1,500 3,188
York Financial Corp. ................ 1,210 20,116
*York Research Corp. ................. 5,000 28,906
*Younkers, Inc. ...................... 2,500 63,125
*Youth Services International, Inc. .. 2,000 30,625
*Zale Corp. .......................... 14,000 232,750
*Zemex Corp. ......................... 1,428 12,317
*#Zenith Electronics Corp. ............ 18,000 139,500
Zenith National Insurance Corp. ..... 8,500 188,063
Zero Corp. .......................... 4,800 76,200
*Zing Technologies, Inc. ............. 1,500 22,875
*#Zitel Corp. ......................... 3,000 33,188
*Zoll Medical Corp. .................. 1,800 16,200
*Zoltek Companies, Inc. .............. 300 4,219
Zurn Industries, Inc. ............... 7,800 191,100
*Zycad Corp. ......................... 5,800 36,975
*Zygo Corp. .......................... 750 21,563
*Zytec Corp. ......................... 800 7,300
-------------
TOTAL COMMON STOCKS
(Cost $182,185,010) .................. 220,940,925
-------------
PREFERRED STOCKS -- (0.0%)
Phoenix Duff & Phelps Corp.
Class A (Cost $25,085) .............. 770 19,250
-------------
RIGHTS/WARRANTS -- (0.0%)
*Advanced NMR Systems, Inc.
Warrants 08/30/00 ................... 696 0
*American Satellite Network, Inc.
Warrants 06/30/99 .................. 2,525 0
*BJ Services Co. Warrants 01/15/15 .. 1,020 4,973
*Envoy Corp. Contingent Payment
Rights ............................. 2,000 0
*Jamesway Corp. Warrants 01/28/10 .. 559 56
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- ------------
<S> <C> <C>
*Krug International Corp. Warrants 01/31/98 ............................................. 169 $ 42
*Millicom, Inc. Contingent Value Rights ................................................. 10,100 0
*Sound Advice, Inc. Warrants 06/14/99 ................................................... 478 0
*Statesman Group, Inc. Contingent Payment Rights ........................................ 9,765 0
------------
TOTAL RIGHTS/WARRANTS (Cost $5,704) ...................................................... 5,071
------------
Face
Amount
--------
(000)
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Securities Corp. 5.65%, 12/01/95 (Collateralized by U.S.
Treasury Notes 6.125%, 05/31/97) (Cost $780,000) ...................................... $ 780 780,000
------------
TOTAL INVESTMENTS -- (99.9%) (Cost $182,995,799) ......................................... 221,745,246
------------
OTHER ASSETS AND LIABILITIES -- (0.1%)
Other Assets ........................................................................... 298,883
Liabilities ............................................................................ (60,281)
--------------
238,602
--------------
NET ASSETS -- (100.0%) Applicable to 19,710,548 Outstanding $.01 Par Value Shares
(Unlimited Number of Shares Authorized) ................................................. $221,983,848
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE ................................. $ 11.26
==============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
<PAGE>
STATEMENT OF NET ASSETS
THE U.S. LARGE COMPANY SERIES
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
COMMON STOCKS -- (99.5%)
*#AMR Corp. ..................... 1,800 $ 137,925
AT & T Corp. .................. 34,219 2,258,454
Abbott Laboratories ........... 17,100 694,687
Advanced Micro Devices, Inc. .. 2,300 47,150
Aetna Life & Casualty Co. ..... 2,500 183,438
#Ahmanson (H.F.) & Co. ......... 2,500 66,875
Air Products & Chemicals, Inc. 2,500 138,750
*Airtouch Communications, Inc. . 10,700 311,637
Alberto-Culver Co. Class B .... 200 6,450
Albertson's Inc. .............. 5,500 169,125
Alcan Aluminum, Ltd. .......... 4,900 162,312
Alco Standard Corp. ........... 2,200 95,700
Alexander & Alexander Services,
Inc. ........................ 900 19,687
Allergan, Inc. ................ 1,200 37,200
AlliedSignal, Inc. ............ 6,100 288,225
Allstate Corp. ................ 9,838 403,357
Alltel Corp. .................. 4,200 123,900
Aluminium Co. of America ...... 3,800 222,300
*Alza Corp. .................... 1,600 36,800
*Amdahl Corp. .................. 2,600 24,700
#Amerada Hess Corp. ............ 2,100 99,750
American Brands, Inc. ......... 4,200 175,350
American Electric Power Co.,
Inc. ........................ 4,100 154,262
American Express Co. .......... 10,500 446,250
#American General Corp. ........ 4,500 152,437
American Greetings Corp.
Class A ..................... 1,600 43,700
American Home Products Corp. .. 6,600 602,250
American International Group,
Inc. ........................ 10,300 924,425
American Stores Co. ........... 3,300 86,625
Ameritech Corp. ............... 12,000 660,000
*Amgen, Inc. ................... 5,600 278,250
Amoco Corp. ................... 10,800 731,700
Amp, Inc. ..................... 4,640 186,180
*Andrew Corp. .................. 750 32,531
Anheuser-Busch Companies, Inc. 5,400 357,750
Apple Computer, Inc. .......... 2,600 99,287
*Applied Materials, Inc. ....... 4,000 194,250
Archer-Daniels Midland Co. .... 11,692 201,687
*Armco, Inc. ................... 2,300 13,225
Armstrong World Industries,
Inc. ......................... 900 53,887
Asarco, Inc. .................. 1,100 38,912
Ashland, Inc. ................. 1,400 48,825
Atlantic Richfield Co. ........ 3,500 379,313
Autodesk, Inc. ................ 1,200 42,450
Automatic Data Processing, Inc. 3,100 246,837
Avery Dennison Corp. .......... 1,200 57,150
Avon Products, Inc. ........... 1,400 101,675
Baker Hughes, Inc. ............ 3,100 63,162
Ball Corp. .................... 600 17,175
*Bally Entertainment Corp. ..... 1,200 14,550
#Baltimore Gas & Electric Co. .. 3,050 81,206
Banc One Corp. ................ 8,502 324,139
Bank of Boston Corp. .......... 2,400 111,300
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Bank of New York Co., Inc. .... 4,000 $ 188,500
BankAmerica Corp. ............. 8,156 518,926
Bankers Trust New York Corp. .. 1,800 116,775
Bard (C.R.), Inc. ............. 1,300 37,537
Barnett Banks, Inc. ........... 2,200 132,275
Barrick Gold Corp. ............ 7,800 205,725
Bausch & Lomb, Inc. ........... 1,400 50,575
Baxter International, Inc. .... 6,100 256,200
Becton Dickinson & Co. ........ 1,600 111,600
Bell Atlantic Corp. ........... 9,500 598,500
Bellsouth Corp. ............... 21,600 839,700
Bemis Co., Inc. ............... 1,300 33,962
Beneficial Corp. .............. 1,200 60,900
*Bethlehem Steel Corp. ......... 2,500 35,000
*Beverly Enterprises ........... 2,000 23,250
*Biomet, Inc. .................. 2,500 46,094
Black & Decker Corp. .......... 2,000 74,750
Block (H.&R.), Inc. ........... 2,400 106,800
Boatmen's Bancshares, Inc. .... 2,800 108,150
Boeing Co. .................... 7,400 539,275
Boise Cascade Corp. ........... 1,200 44,700
*Boston Scientific Corp. ....... 3,300 133,650
Briggs & Stratton Corp. ....... 800 33,300
Bristol Myers Squibb Co. ...... 11,000 882,750
Brown Group, Inc. ............. 400 5,600
Brown-Forman Corp. Class B .... 900 34,312
Browning-Ferris Industries,
Inc. ......................... 4,700 141,587
*Brunos, Inc. .................. 0
Brunswick Corp. ............... 2,200 47,025
Burlington Northern Santa Fe
Corp. ....................... 3,089 249,051
Burlington Resources, Inc. .... 2,800 107,800
CIGNA Corp. ................... 1,700 187,000
CPC International, Inc. ....... 3,100 213,125
CSX Corp. ..................... 2,200 192,775
*CUC International, Inc. ....... 3,800 144,400
*Cabletron Systems, Inc. ....... 1,500 124,500
Campbell Soup Co. ............. 5,500 307,312
Capital Cities ABC, Inc. ...... 3,300 407,962
Carolina Power & Light Co. .... 3,400 111,775
Caterpillar, Inc. ............. 4,400 270,050
Centex Corp. .................. 800 26,300
Central & South West Corp. .... 4,100 110,187
Ceridian Corp. ................ 800 33,600
Champion International Corp. .. 2,100 98,962
Charming Shoppes, Inc. ........ 2,200 5,156
Chase Manhattan Corp. ......... 3,700 225,238
Chemical Banking Corp. ........ 5,298 317,880
Chevron Corp. ................. 14,100 696,187
Chrysler Corp. ................ 8,400 435,750
Chubb Corp. ................... 2,000 194,500
Cincinnati Milacron, Inc. ..... 600 15,675
Cinergy Corp. ................. 3,418 100,831
Circuit City Stores, Inc. ..... 2,200 63,800
*Cisco Sytems, Inc. ............ 5,900 496,706
Citicorp ...................... 9,000 636,750
Clorox Co. .................... 1,100 83,325
Coastal Corp. ................. 2,200 73,150
#Coca-Cola Co. ................. 27,300 2,067,975
Colgate-Palmolive Co. ......... 3,000 219,750
*Columbia Gas System, Inc. ..... 1,000 43,250
Columbia/HCA Healthcare Corp. . 9,455 488,114
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Comcast Corp. Class A Special . 4,200 $ 82,687
Community Psychiatric Centers . 900 10,012
*Compaq Computer Corp. ......... 5,700 282,150
Computer Associates
International, Inc. ......... 5,250 343,875
*Computer Sciences Corp. ....... 1,300 94,575
Conagra, Inc. ................. 5,350 213,331
Conrail, Inc. ................. 1,700 118,787
Consolidated Edison Co. of New
York, Inc. ................... 5,100 147,262
Consolidated Freightways, Inc. 800 21,000
Consolidated Natural Gas Co. .. 2,000 88,750
Cooper Industries, Inc. ....... 2,300 83,950
Cooper Tire & Rubber Co. ...... 1,800 44,325
Coors (Adolph) Co. Class B .... 1,000 20,375
Corestates Financial Corp. .... 3,000 116,250
Corning, Inc. ................. 4,900 147,612
Crane Co. ..................... 500 17,062
*Cray Research, Inc. ........... 500 12,000
*Crown Cork & Seal Co., Inc. ... 1,900 79,562
#Cummins Engine Co., Inc. ...... 700 27,475
Cyprus Amax Minerals Co., Inc. 2,100 57,750
*DSC Communications Corp. ...... 2,500 98,906
Dana Corp. .................... 2,100 61,425
Darden Restaurants, Inc. ...... 3,400 39,525
*Data General Corp. ............ 1,000 12,125
Dayton-Hudson Corp. ........... 1,700 123,462
Dean Witter, Discover & Co. ... 3,566 181,866
Deere & Co. ................... 5,700 187,387
Delta Air Lines, Inc. ......... 1,000 77,625
Deluxe Corp. .................. 1,600 44,200
#Detroit Edison Co. ............ 3,200 104,400
Dial Corp. .................... 2,100 56,700
*Digital Equipment Corp. ....... 3,200 188,400
Dillard Department Stores, Inc.
Class A ..................... 2,300 66,412
#Disney (Walt) Co. ............. 11,200 673,400
Dominion Resources, Inc. VA ... 3,850 152,556
Donnelley (R.R.) & Sons Co. ... 3,300 126,637
Dover Corp. ................... 2,400 93,300
Dow Chemical Co. .............. 5,800 411,075
Dow Jones & Co., Inc. ......... 1,900 72,913
Dresser Industries, Inc. ...... 3,900 92,137
DuPont (E.I.) de Nemours & Co. 12,000 798,000
Duke Power Co. ................ 4,500 201,937
Dun & Bradstreet Corp. ........ 3,800 237,025
E G & G, Inc. ................. 1,300 25,025
Eastern Enterprises ........... 300 9,750
Eastman Chemical Co. .......... 1,625 106,641
Eastman Kodak Co. ............. 7,400 503,200
Eaton Corp. ................... 1,800 98,100
Echlin, Inc. .................. 1,400 51,100
Echo Bay Mines, Ltd. .......... 2,500 25,937
Ecolab, Inc. .................. 1,300 37,375
Emerson Electric Co. .......... 4,900 382,200
Engelhard Corp. ............... 3,037 70,990
Enron Corp. ................... 5,500 206,250
Enserch Corp. ................. 1,500 23,250
Entergy Corp. ................. 4,800 133,800
Exxon Corp. ................... 26,900 2,081,387
*FMC Corp. ..................... 600 44,325
FPL Group, Inc. ............... 4,000 173,500
*Federal Express Corp. ......... 1,100 82,225
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Federal Home Loan Mortgage
Corp. ....................... 3,800 $ 292,600
Federal National Mortgage
Association ................. 6,000 657,000
Federal Paper Board Co., Inc. . 1,000 52,000
*#Federated Department Stores,
Inc. ........................ 3,900 113,587
First Bank System, Inc. ....... 2,900 149,712
First Chicago Corp. ........... 1,800 125,100
#First Data Corp. .............. 2,500 177,500
First Fidelity Bancorp ........ 1,600 117,400
First Interstate Bancorp ...... 1,500 201,000
First Union Corp. ............. 3,600 196,650
Fleet Financial Group, Inc. ... 3,200 133,600
Fleetwood Enterprises, Inc. ... 800 19,200
Fleming Companies, Inc. ....... 900 20,812
Fluor Corp. ................... 1,800 117,000
Ford Motor Co. ................ 23,300 658,225
Foster Wheeler Corp. .......... 600 23,700
*Freeport McMoran Copper &
Gold, Inc. Class B .......... 3,000 81,375
*Fruit of The Loom, Inc. Class A 1,300 25,187
GTE Corp. ..................... 21,000 895,125
Gannett Co., Inc. ............. 2,900 176,900
Gap, Inc. ..................... 3,000 135,750
General Dynamics Corp. ........ 1,200 71,550
General Electric Co. .......... 36,400 2,447,900
General Mills, Inc. ........... 3,400 187,425
General Motors Corp. .......... 16,100 780,850
General Public Utilities Corp. 2,400 75,900
General RE Corp. .............. 1,900 284,287
General Signal Corp. .......... 1,200 38,700
Genuine Parts Co. ............. 2,550 102,956
Georgia-Pacific Corp. ......... 2,000 155,500
Giant Food, Inc. Class A ...... 1,400 45,150
Giddings & Lewis, Inc. ........ 900 14,119
Gillette Co. .................. 9,700 503,187
Golden West Financial Corp. ... 1,200 61,350
Goodrich (B.F.) Co. ........... 500 35,062
Goodyear Tire & Rubber Co. .... 3,400 144,075
Grace (W.R.) & Co. ............ 2,200 133,650
Grainger (W.W.), Inc. ......... 1,000 66,875
Great Atlantic & Pacific Tea
Co., Inc. ................... 700 15,312
Great Lakes Chemical Corp. .... 1,500 106,687
Great Western Financial Corp. . 3,000 76,500
Halliburton Co. ............... 2,400 104,100
Handleman Co. ................. 600 3,750
Harcourt General, Inc. ........ 1,423 57,276
Harland (John H.) Co. ......... 500 10,312
Harnischfeger Industries, Inc. 900 30,488
*Harrahs Entertainment, Inc. ... 2,200 54,725
Harris Corp. .................. 700 40,337
Hasbro, Inc. .................. 1,750 53,375
Heinz (H.J.) Co. .............. 8,100 258,188
Helmerich & Payne, Inc. ....... 400 10,900
Hercules, Inc. ................ 2,300 126,212
Hershey Foods Corp. ........... 1,700 104,975
Hewlett-Packard Co. ........... 11,000 911,625
Hilton Hotels Corp. ........... 1,000 64,625
Home Depot, Inc. .............. 10,366 459,991
Homestake Mining Co. .......... 2,900 47,850
Honeywell, Inc. ............... 2,900 138,112
Household International, Inc. . 2,200 137,500
Houston Industries, Inc. ...... 2,900 132,675
ITT Corp. ..................... 2,500 306,563
Illinois Tool Works, Inc. ..... 2,400 152,100
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Inco, Ltd. .................... 2,600 $ 92,625
Ingersoll-Rand Co. ............ 2,400 92,100
Inland Steel Industries, Inc. . 1,100 28,737
Intel Corp. ................... 17,800 1,082,463
*Intergraph Corp. .............. 800 13,800
International Business Machines
Corp. ....................... 12,400 1,198,150
International Flavors &
Fragrances, Inc. ............ 2,500 127,812
International Paper Co. ....... 5,400 205,875
Interpublic Group of Companies,
Inc. ........................ 1,800 69,075
#James River Corp. of Virginia . 1,600 50,400
Jefferson-Pilot Corp. ......... 850 60,350
Johnson & Johnson ............. 14,000 1,212,750
Johnson Controls, Inc. ........ 700 48,475
Jostens, Inc. ................. 800 19,800
#K Mart Corp. .................. 9,900 76,725
Kaufman & Broad Home Corp. .... 600 7,800
Kellogg Co. ................... 4,600 351,325
Kerr-McGee Corp. .............. 1,300 75,238
Keycorp ....................... 4,900 180,688
Kimberly Clark Corp. .......... 3,400 261,375
*King World Productions, Inc. .. 600 23,775
Knight Ridder, Inc. ........... 1,100 70,950
*Kroger Co. .................... 2,600 87,100
Laidlaw, Inc. Class B
Non-Voting ................... 5,000 46,250
Lilly (Eli) & Co. ............. 6,000 597,000
Limited, Inc. ................. 7,600 135,850
Lincoln National Corp. ........ 2,200 102,850
Liz Claiborne, Inc. ........... 1,500 44,063
Lockheed Martin Corp. ......... 4,404 323,144
Loews Corp. ................... 1,200 184,200
Longs Drug Stores Corp. ....... 300 11,925
Loral Corp. ................... 3,700 125,338
Louisiana Land & Exploration
Co. ......................... 600 23,400
#Louisiana-Pacific Corp. ....... 2,400 64,800
Lowe's Companies, Inc. ........ 3,600 113,400
Luby's Cafeterias, Inc. ....... 500 11,000
MBNA Corp. .................... 3,200 129,200
MCI Communications Corp. ...... 14,700 392,306
Mallinckrodt Group, Inc. ...... 1,500 51,188
Manor Care, Inc. .............. 1,450 47,306
Marriott International, Inc. .. 2,600 96,850
Marsh & McLennan Companies,
Inc. ........................ 1,500 130,125
Masco Corp. ................... 3,500 103,250
Mattel, Inc. .................. 4,800 134,400
May Department Stores Co. ..... 5,400 235,575
Maytag Corp. .................. 2,400 48,900
McDermott International, Inc. . 1,300 23,563
McDonalds Corp. ............... 15,000 669,375
McDonnell Douglas Corp. ....... 2,300 204,988
McGraw-Hill Companies, Inc. ... 1,200 100,500
Mead Corp. .................... 1,300 74,263
Medtronic, Inc. ............... 5,000 274,375
Mellon Bank Corp. ............. 3,100 165,850
Melville Corp. ................ 2,400 74,700
Mercantile Stores Co., Inc. ... 600 27,900
Merck & Co., Inc. ............. 26,800 1,658,250
Meredith Corp. ................ 700 27,563
Merrill Lynch & Co., Inc. ..... 3,700 205,813
Micron Technology, Inc. ....... 4,600 251,850
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
Shares Value+
------ ------
*Microsoft Corp. ............... 12,700 $1,105,694
Millipore Corp. ............... 800 29,800
Minnesota Mining &
Manufacturing Co. ........... 9,000 589,500
Mobil Corp. ................... 8,700 908,063
Monsanto Co. .................. 2,600 297,700
Moore Corp., Ltd. ............. 2,300 41,113
Morgan (J.P.) & Co., Inc. ..... 4,100 321,850
Morgan Stanley Group, Inc. .... 1,800 155,250
#Morrison Knudsen Corp. ........ 600 3,600
Morton International, Inc. .... 3,200 110,800
Motorola, Inc. ................ 12,800 784,000
NBD Bancorp, Inc. ............. 3,450 132,394
Nacco Industries, Inc. Class A 100 5,700
Nalco Chemical Co. ............ 1,500 45,938
National City Corp. ........... 3,200 103,600
*National Semiconductor Corp. .. 2,600 55,575
National Service Industries,
Inc. ......................... 1,000 32,500
NationsBank Corp. ............. 5,824 415,688
*Navistar International Corp. .. 1,450 15,769
New York Times Class A ........ 2,100 61,950
Newell Co. .................... 3,400 89,675
Newmont Mining Corp. .......... 1,723 74,304
Niagra Mohawk Power Corp. ..... 3,000 29,625
Nicor, Inc. ................... 900 22,838
Nike, Inc. Class B ............ 2,200 127,600
Noram Energy Corp. ............ 2,700 21,263
Nordstrom, Inc. ............... 1,900 74,813
Norfolk Southern Corp. ........ 2,900 228,375
Northern States Power Co. MN .. 1,300 61,100
Northern Telecom, Ltd. ........ 5,500 222,063
Northrop Grumman Corp. ........ 1,000 61,500
Norwest Corp. ................. 6,900 227,700
*Novell, Inc. .................. 8,100 136,181
Nucor Corp. ................... 2,000 99,750
Nynex Corp. ................... 9,200 456,550
#Occidental Petroleum Corp. .... 7,000 154,875
Ogden Corp. ................... 1,200 25,500
#Ohio Edison Co. ............... 3,300 75,075
Oneok, Inc. ................... 400 9,400
*Oracle Systems Corp. .......... 9,450 428,203
*Oryx Energy Co. ............... 2,100 27,563
Outboard Marine Corp. ......... 300 6,150
*Owens-Corning Fiberglas Corp. . 900 39,938
PECO Energy Co. ............... 4,800 139,200
#PNC Bank Corp. ................ 5,100 149,175
PPG Industries, Inc. .......... 4,500 204,188
Paccar, Inc. .................. 760 33,440
#PacifiCorp .................... 6,200 121,675
Pacific Enterprises ........... 2,000 53,500
Pacific Gas & Electric Co. .... 9,100 250,250
Pacific Telesis Group ......... 9,300 279,000
Pall Corp. .................... 2,600 70,525
#Panhandle Eastern Corp. ....... 3,100 87,963
Parker-Hannifin Corp. ......... 1,500 55,125
Penney (J.C.) Co., Inc. ....... 4,800 225,000
Pennzoil Co. .................. 1,000 39,625
Peoples Energy Corp. .......... 700 21,350
Pep Boys -- Manny, Moe & Jack . 1,400 37,100
#Pepsico, Inc. ................. 17,100 944,775
Perkin Elmer Corp. ............ 1,100 39,600
Pfizer, Inc. .................. 13,600 788,800
Pharmacia & Upjohn, Inc. ...... 5,365 192,469
Phelps Dodge Corp. ............ 1,600 108,600
Philip Morris Companies, Inc. . 18,200 1,597,050
Phillips Petroleum Co. ........ 5,700 189,525
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Pioneer Hi-Bred International,
Inc. ........................ 1,800 $ 103,050
Pitney Bowes, Inc. ............ 3,200 143,200
Pittston Co. Services Group ... 700 21,350
Placer Dome, Inc. ............. 5,300 131,175
Polaroid Corp. ................ 800 36,900
Potlatch Corp. ................ 600 24,225
Praxair, Inc. ................. 3,000 87,375
Premark International, Inc. ... 1,300 66,300
*Price/Costco, Inc. ............ 4,165 69,503
Procter & Gamble Co. .......... 14,900 1,286,988
Providian Corp. ............... 2,200 88,275
Public Service Enterprise
Group, Inc. ................. 5,200 154,050
Pulte Corp. ................... 700 21,525
Quaker Oats Co. ............... 3,000 104,250
Ralston Purina Group .......... 2,300 147,200
Raychem Corp. ................. 900 46,800
Raytheon Co. .................. 5,600 249,200
Reebok International, Ltd. .... 1,600 41,600
Republic New York Corp. ....... 1,200 75,600
Reynolds Metals Co. ........... 1,500 86,625
Rite Aid Corp. ................ 1,900 59,375
Roadway Services, Inc. ........ 700 35,175
Rockwell International Corp. .. 4,800 235,200
Rohm & Haas Co. ............... 1,600 96,400
*Rowan Companies, Inc. ......... 2,000 15,000
Royal Dutch Petroleum Co. ..... 11,500 1,476,313
Rubbermaid, Inc. .............. 3,500 96,250
Russell Corp. ................. 700 18,638
*Ryans Family Steak Houses, Inc. 1,300 9,669
#Ryder System, Inc. ............ 1,700 40,588
SBC Communications, Inc. ...... 13,100 707,400
SCE Corp. ..................... 9,800 153,125
Safeco Corp. .................. 1,400 99,663
Safety Kleen Corp. ............ 1,300 18,525
*Saint Jude Medical, Inc. ...... 1,800 71,213
Saint Paul Companies, Inc. .... 1,700 95,200
#Salomon, Inc. ................. 2,400 87,300
*Santa Fe Energy Resources, Inc. 2,100 19,425
Santa Fe Pacific Corp. ........ 2,803 33,636
Sara Lee Corp. ................ 10,300 332,175
Schering-Plough Corp. ......... 8,200 470,475
Schlumberger, Ltd. ............ 5,100 323,850
Scientific-Atlanta, Inc. ...... 1,500 23,813
Scott Paper Co. ............... 3,400 194,225
Seagram Co., Ltd. ............. 8,200 299,300
Sears, Roebuck & Co. .......... 8,400 330,750
Service Corp. International ... 1,950 79,219
Shared Medical Systems Corp. .. 700 30,231
Shawmut National Corp. ........ 2,600 97,500
Sherwin-Williams Co. .......... 1,800 71,325
*#Shoney's, Inc. ............... 700 7,525
Sigma-Aldrich Corp. ........... 1,200 59,250
*Silicon Graphics, Inc. ........ 3,500 127,750
Snap-On, Inc. ................. 1,000 44,250
Sonat, Inc. ................... 1,700 54,825
#Southern Co. .................. 14,400 329,400
Southwest Airlines Co. ........ 3,200 80,000
Springs Industries, Inc.
Class A ..................... 600 25,200
Sprint Corp. .................. 7,400 296,000
Stanley Works ................. 800 40,500
Stone Container Corp. ......... 2,114 33,031
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Stride Rite Corp. ............. 1,000 $ 8,750
#Sun Company, Inc. ............. 1,600 44,400
*Sun Microsystems .............. 2,200 185,350
Suntrust Banks, Inc. .......... 2,600 177,450
Supervalu, Inc. ............... 1,600 51,600
Sysco Corp. ................... 3,800 116,375
TJX Companies, Inc. ........... 1,600 26,600
TRW, Inc. ..................... 1,300 97,338
*Tandem Computers, Inc. ........ 2,400 30,000
Tandy Corp. ................... 1,515 72,152
Tektronix, Inc. ............... 900 48,488
*Tele-Communications, Inc.
Class A ..................... 12,300 228,319
Teledyne, Inc. ................ 1,300 31,525
*Tellabs, Inc. ................. 2,000 79,000
Temple-Inland, Inc. ........... 1,300 58,988
*Tenet Healthcare Corp. ........ 4,400 78,650
Tenneco, Inc. ................. 3,900 187,200
Texaco, Inc. .................. 5,700 421,800
Texas Instruments, Inc. ....... 4,000 231,500
Texas Utilities Co. ........... 4,900 188,650
Textron, Inc. ................. 2,000 153,250
Thomas & Betts Corp. .......... 400 29,350
Time Warner, Inc. ............. 8,360 334,400
Times Mirror Co. Class A ...... 2,400 78,000
Timken Co. .................... 500 20,188
Torchmark Corp. ............... 1,550 65,875
*Toys 'R' Us, Inc. ............. 6,000 139,500
Transamerica Corp. ............ 1,400 107,275
Travelers Group, Inc. ......... 6,852 407,694
Tribune Co. ................... 1,300 83,850
Trinova Corp. ................. 800 24,600
Tyco International, Ltd. ...... 3,600 112,950
UNUM Corp. .................... 1,700 92,013
US Bancorp .................... 2,150 72,966
US Healthcare, Inc. ........... 3,600 164,025
US West, Inc. ................. 10,100 315,625
*US West, Inc. Media Group
Class ....................... 20,200 363,600
*USAir Group, Inc. ............. 1,400 18,725
USF&G Corp. ................... 2,300 39,675
USLIFE Corp. .................. 750 21,656
UST, Inc. ..................... 4,300 140,288
USX-Marathon Group, Inc. ...... 6,300 115,763
USX-US Steel Group ............ 1,620 52,853
Unicom Corp., Inc. ............ 4,500 144,000
Unilever NV ................... 3,500 465,063
Union Camp Corp. .............. 1,400 68,775
Union Carbide Corp. ........... 3,100 122,838
Union Electric Co. ............ 2,300 92,288
Union Pacific Corp. ........... 4,300 291,325
*Unisys Corp. .................. 3,800 24,700
United Healthcare Corp. ....... 3,700 232,638
United States Surgical Corp. .. 1,100 27,638
United Technologies Corp. ..... 2,600 243,750
Unocal Corp. .................. 5,500 147,813
VF Corp. ...................... 1,300 67,600
*Varity Corp. .................. 1,000 38,750
*Viacom, Inc. Class B .......... 6,221 300,163
WMX Technologies, Inc. ........ 10,400 306,800
Wachovia Corp. ................ 3,800 171,000
Wal-Mart Stores, Inc. ......... 49,600 1,190,400
Walgreen Co. .................. 5,500 160,188
Warner-Lambert Co. ............ 2,900 258,825
Wells Fargo & Co. ............. 900 189,225
Wendy's International, Inc. ... 2,300 47,438
*Western Atlas, Inc. ........... 1,300 62,238
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
THE U.S. LARGE COMPANY SERIES
CONTINUED
Shares Value+
------ ------
<S> <C> <C>
Westinghouse Electric Corp. ............................................................. 7,900 $ 133,313
Westvaco Corp. ......................................................................... 2,150 58,856
Weyerhaeuser Co. ....................................................................... 4,500 203,625
Whirlpool Corp. ........................................................................ 1,500 83,250
Whitman Corp. .......................................................................... 2,400 52,800
Williamette Industries, Inc. ............................................................ 1,200 72,900
#Williams Companies, Inc. ............................................................... 2,300 96,600
Winn-Dixie Stores, Inc. ................................................................ 1,600 102,600
#Woolworth Corp. ........................................................................ 2,800 42,000
Worthington Industries, Inc. ............................................................ 2,075 40,981
Wrigley (Wm.) Jr. Co. .................................................................. 2,600 122,525
Xerox Corp. ............................................................................ 2,300 315,388
Yellow Corp. ........................................................................... 800 9,550
Zurn Industries, Inc. .................................................................. 200 4,900
-----------
TOTAL COMMON STOCKS (Cost $68,158,757) .................................................... 96,600,848
-----------
Face
Amount
--------
(000)
TEMPORARY CASH INVESTMENTS -- (0.1%)
Repurchase Agreement, PNC Securities Corp. 5.65%, 12/01/95 (Collateralized by U.S.
Treasury Notes, 6.125%, 05/31/97) (Cost $140,000) ...................................... $ 140 140,000
-----------
TOTAL INVESTMENTS -- (99.6%) (Cost $68,298,757) .......................................... 96,740,848
-----------
OTHER ASSETS AND LIABILITIES -- (0.4%)
Other Assets ............................................................................ 407,035
Liabilities ............................................................................. (29,506)
-----------
377,529
-----------
NET ASSETS -- (100.0%) Applicable to 7,203,088 Outstanding $.01 Par Value Shares
(Unlimited Number of Shares Authorized) ................................................. $97,118,377
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE ................................. $ 13.48
===========
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
<PAGE>
STATEMENT OF NET ASSETS
THE U.S. SMALL CAP VALUE SERIES
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
COMMON STOCKS -- (98.2%)
AAR Corp. ......................... 87,800 $1,613,325
*ACX Technologies, Inc. ............ 127,400 2,070,250
*AEL Industries, Inc. Class A ...... 12,700 346,075
AEP Industries, Inc. .............. 13,050 295,256
*AG Services America, Inc. ......... 2,900 24,650
*ARI Holdings Corp. ................ 7,700 6,738
*AST Research, Inc. ................ 64,906 596,324
*Accell International Corp. ........ 27,600 75,900
*Acceptance Insurance Companies,
Inc. .............................. 32,200 470,925
Aceto Corp. ....................... 19,400 329,800
*Acme Metals, Inc. ................. 45,300 699,319
*Acme United Corp. ................. 7,100 24,850
Acme-Cleveland Corp. .............. 15,300 348,075
*Adage, Inc. ....................... 22,800 101,175
*Addington Resources, Inc. ......... 3,000 45,188
*Advance Ross Corp. ................ 3,200 92,200
*#Advanced Logic Research, Inc. ..... 50,800 368,300
*Advanced Marketing Services, Inc. . 24,200 225,363
*Advanced NMR Systems, Inc. ........ 16,933 25,135
*Advanced Technology Labs, Inc. .... 100,827 2,142,574
Advantage Bancorp, Inc. ........... 11,700 406,575
*Advest Group, Inc. ................ 37,700 339,300
*Aequitron Medical, Inc. ........... 15,400 121,275
*Aeroflex, Inc. .................... 49,900 224,550
*Aerosonic Corp. DE ................ 3,200 4,800
*Aerovox, Inc. ..................... 39,100 224,825
*Affiliated Community Bancorp ...... 6,800 118,575
*Air & Water Technologies Corp.
Class A ........................... 100,000 550,000
*Air Methods Corp. ................. 29,700 115,088
#Airborne Freight Corp. ............ 73,900 2,078,438
*Airways Corp. ..................... 14,600 140,525
*Alamco, Inc. ...................... 25,900 220,150
*#Alaska Air Group, Inc. ............ 57,800 1,047,625
*Alba-Waldensian, Inc. ............. 3,800 33,963
Albank Financial Corp. ............ 40,300 1,203,963
*Aldila, Inc. ...................... 45,000 205,313
*Alexander Energy Co. .............. 6,000 24,000
Alfa Corp. ........................ 10,000 111,250
*Alkermes, Inc. .................... 78,000 468,000
*Allegiant Physician Services, Inc. 32,800 32,800
Allied Group, Inc. ................ 29,500 1,043,563
Allied Life Financial Corp. ....... 20,000 337,500
Allied Products Corp. ............. 18,400 384,100
*Allied Research Corp. ............. 21,700 86,800
*#Allied Waste Industries, Inc. ..... 57,900 416,156
*Allou Health & Beauty Care, Inc.
Class A ........................... 4,900 29,094
*Allstate Financial Corp. .......... 20,900 118,869
*Aloette Cosmetics, Inc. ........... 5,300 11,263
Alpha Industries, Inc. ............ 24,200 356,950
*Alpha Microsystems, Inc. .......... 19,400 23,644
*Alpha Technologies Group, Inc. .... 3,200 29,400
*Ambar, Inc. ....................... 20,700 159,131
Amcast Industrial Corp. ........... 50,000 925,000
Amcore Financial, Inc. ............ 24,800 548,700
*America Services Group, Inc. ...... 18,000 158,625
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
*America West Airlines, Inc. Class B 24,800 $ 443,300
American Annuity Group, Inc. ...... 500 5,500
American Bankers Insurance Group,
Inc................................ 43,700 1,586,856
*American Banknote Corp. ........... 85,900 128,850
American Biltrite, Inc. ........... 6,600 127,050
American Eagle Group, Inc. ........ 22,500 216,563
American Ecology Corp. ............ 36,000 144,000
American Heritage Life Investment
Corp. ............................. 52,400 1,054,550
American Indemnity Financial Corp. 7,900 79,988
American Media, Inc. Class A ...... 6,500 28,438
American Medical Electronics, Inc.
(Escrow-Bonus) .................... 20,800 0
*American Mobile Satellite Corp. ... 120,000 3,300,000
*American Oilfield Divers, Inc. .... 3,900 25,594
*American Pacific Corp. ............ 62,900 361,675
American Recreation Centers, Inc. . 17,700 115,050
*American Software, Inc. Class A ... 8,600 53,750
*American Travellers Corp. ......... 82,400 2,075,450
*American Vanguard Corp. ........... 6,400 32,800
*American Waste Services, Inc.
Class A ........................... 104,800 262,000
*American White Cross, Inc. ........ 55,200 141,450
*American Woodmark Corp. ........... 35,010 157,545
Americana Bancorp, Inc. ........... 8,850 165,938
*Americredit Corp. ................. 51,000 656,625
*Ameriquest Technology, Inc. ....... 20,430 20,430
*Ameriwood Industries International
Corp. ............................. 16,400 74,825
Ameron, Inc. ...................... 17,500 636,563
Amfed Financial, Inc. ............. 22,678 738,452
Ampco-Pittsburgh Corp. ............ 41,400 388,125
*Amrep Corp. ....................... 32,892 185,018
Amresco, Inc. ..................... 15,000 180,938
*Amsco International, Inc. ......... 102,700 1,733,063
Amtech Corp. ...................... 12,000 57,375
Amvestors Financial Corp. ......... 41,100 472,650
Amwest Insurance Group, Inc. ...... 8,500 148,750
Analogic Corp. .................... 53,400 1,128,075
Analysis & Technology, Inc. ....... 9,500 131,813
*Anaren Microwave, Inc. ............ 17,200 129,000
Anchor Bancorp Wisconsin, Inc. .... 20,625 727,031
Andover Bancorp, Inc. DE .......... 18,500 412,781
*Andover Togs, Inc. ................ 3,600 5,625
*Andros, Inc. ...................... 7,600 120,650
Angelica Corp. .................... 42,200 944,225
*#Ann Taylor Stores Corp. ........... 139,400 1,777,350
*Anuhco, Inc. ...................... 9,900 75,488
*Apertus Technologies, Inc. ........ 17,700 177,000
*Applied Extrusion Technologies,
Inc. .............................. 22,800 290,700
*Applied Magnetics Corp. ........... 113,600 1,760,800
*Applied Signal Technologies, Inc. . 45,000 216,563
Aquila Gas Pipeline Corp. ......... 10,000 115,000
Arkansas Best Corp. ............... 141,000 1,154,438
*Arrow Automotive Industries, Inc. . 12,400 72,075
Arrow Financial Corp. ............. 4,759 85,067
*Artistic Greetings, Inc. .......... 24,000 72,000
Arvin Industries, Inc. ............ 104,200 1,836,525
Ashland Coal, Inc. ................ 71,900 1,563,825
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
*Astec Industries, Inc. ............ 43,600 $ 476,875
*Astoria Financial Corp. ........... 2,000 87,125
*Astrosystems, Inc. ................ 27,100 155,825
*Astrotech International Corp. ..... 39,200 164,150
*Athey Products Corp. .............. 7,140 33,915
Atkinson (Guy F.) of California ... 53,200 561,925
*Atlantic Gulf Communities Corp. ... 12,000 79,500
*Atlantic Tele-Network, Inc. ....... 53,800 581,713
Atlantis Plastics, Inc. ........... 28,200 109,275
*Atlas Corp. ....................... 11,600 18,850
*Atwood Oceanics, Inc. ............. 38,800 727,500
*Au Bon Pain, Inc. Class A ......... 12,000 109,500
*#Audiovox Corp. Class A ............ 40,000 260,000
Augat, Inc. ....................... 80,700 1,392,075
*Aurora Electronics, Inc. .......... 55,000 116,875
*Autoinfo, Inc. .................... 32,700 106,275
*Avatar Holdings, Inc. ............. 22,400 806,400
Aviall, Inc. ...................... 152,500 1,296,250
*Avondale Industries, Inc. ......... 85,900 1,283,131
*Aydin Corp. ....................... 22,300 345,650
*Aztar Corp. ....................... 171,700 1,502,375
Aztec Manufacturing Co. ........... 22,500 81,563
BEI Electronics, Inc. ............. 28,600 184,113
*BF Enterprises, Inc. .............. 2,300 12,075
*BI, Inc. .......................... 25,400 219,075
BMJ Financial Corp. ............... 6,900 100,050
*BPI Packaging Technologies, Inc. .. 1,000 2,438
BSB Bancorp, Inc. ................. 18,000 621,000
BT Financial Corp. ................ 10,395 367,723
*Bachman Information Systems, Inc. . 52,100 338,650
*Back Bay Restaurant Group, Inc. ... 22,600 121,475
Badger Meter, Inc. ................ 4,900 116,375
Badger Paper Mills, Inc. .......... 7,400 114,700
Bairnco Corp. ..................... 59,300 303,913
Baker (J.), Inc. .................. 106,818 674,289
*Baker (Michael) Corp. ............. 50,000 250,000
Baldwin & Lyons, Inc. Class B ..... 1,600 25,600
*Baldwin Piano & Organ Co. ......... 20,000 252,500
*Baldwin Technology, Inc. Class A .. 108,100 567,525
*Bally Entertainment Corp. ......... 187,000 2,267,375
*Baltek Corp. ...................... 4,500 38,813
*BancTec, Inc. ..................... 95,357 1,859,462
Bank of New Hampshire Corp. ....... 12,200 490,288
BankAtlantic Bancorp, Inc. ........ 625 11,406
BankNorth Group, Inc. DE .......... 24,200 819,775
Bankers Corp. ..................... 46,240 794,750
Bankers First Corp. ............... 15,200 414,200
*Banner Aerospace, Inc. ............ 132,300 694,575
*Barry (R.G.) Corp. ................ 14,400 320,400
*Basin Exploration, Inc. ........... 78,600 353,700
Bassett Furniture Industries, Inc. 15,650 351,147
Bay View Capital Corp. ............ 30,500 863,531
*Bayou Steel Corp. Class A ......... 45,300 198,188
*Be Aerospace, Inc. ................ 126,100 1,134,900
Bearings, Inc. .................... 11,400 437,475
*Beazer Homes USA, Inc. ............ 26,100 502,425
*Beeba's Creations, Inc. ........... 3,679 18,625
*Bel Fuse, Inc. .................... 22,500 258,750
*Belden & Blake Corp. .............. 14,200 228,975
Bell Bancorp, Inc. ................ 41,000 1,327,375
*Bell Industries, Inc. ............. 27,477 625,102
*Bellwethwer Exporation Co. ........ 59,600 305,450
*#Ben & Jerry's Homemade, Inc.
Class A ............................ 19,900 314,669
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
*Ben Franklin Retail Stores, Inc. .. 47,331 $ 171,575
*#Benson Eyecare Corp. .............. 16,761 144,564
*Berlitz International, Inc. ....... 79,100 1,245,825
*Bertuccis, Inc. ................... 33,700 170,606
Bindley Western Industries, Inc. .. 40,400 722,150
Binks Manufacturing Co. ........... 12,518 306,691
*Bird Corp. ........................ 13,900 86,006
Birmingham Steel Corp. ............ 110,000 1,636,250
*Biscayne Apparel, Inc. ............ 32,870 32,870
*Black Hawk Gaming &
Development, Inc. ................. 6,000 35,250
Blair Corp. ....................... 7,000 217,875
*Bon-Ton Stores, Inc. .............. 45,700 251,350
*Boomtown, Inc. .................... 66,500 407,313
*#Borland International, Inc. ....... 36,000 639,000
*Borror Corp. ...................... 25,100 89,419
Bowl America, Inc. Class A ........ 10,000 78,750
Bowne & Co., Inc. ................. 69,216 1,384,320
#Bradlees, Inc. .................... 62,100 100,913
*Brauns Fashions Corp. ............. 22,200 51,338
Brenton Banks, Inc. ............... 650 13,000
*Brite Voice Systems, Inc. ......... 2,000 32,750
*Brock Exploration Corp. ........... 8,900 28,925
*Brockway Standard Holdings Corp. .. 20,000 317,500
*Brookstone, Inc. .................. 44,500 383,813
*Brooktree Corp. ................... 50,500 647,031
*Brothers Gourmet Coffees, Inc. .... 6,200 24,025
*Brown & Sharpe Manufacturing Co.
Class A ........................... 17,900 181,238
Brown Group, Inc. ................. 26,000 364,000
Brush Wellman, Inc. ............... 99,900 1,748,250
*Buffton Corp. ..................... 12,200 24,400
*Builders Transport, Inc. .......... 18,700 158,950
*Bull Run Corp. GA ................. 37,900 111,331
*Burlington Coat Factory Warehouse
Corp. ............................. 189,200 2,175,800
*Burr Brown Corp. .................. 46,200 1,299,375
*Butler International, Inc. ........ 23,200 108,025
*Buttrey Food & Drug Stores Co. .... 52,400 373,350
CFX Corp. ......................... 24,827 391,025
CML Group, Inc. ................... 12,000 73,500
CPB, Inc. ......................... 19,600 651,700
CPI Corp. ......................... 88,100 1,839,088
*CSF Holdings, Inc. Class B ........ 40,500 1,594,688
*CSP, Inc. ......................... 11,000 99,000
*CSS Industries, Inc. .............. 17,900 374,781
*CTL Credit, Inc. .................. 14,100 200,925
CTS Corp. ......................... 22,400 809,200
CU Bancorp ........................ 18,700 178,819
*Cablemaxx, Inc. ................... 44,600 314,988
Cabot Oil & Gas Corp. Class A ..... 109,700 1,549,513
Cadmus Communications Corp. ....... 10,700 306,288
*#Caldor Corp. ...................... 111,100 458,288
California Financial Holding Corp. 20,430 427,753
Calmat Co. ........................ 182,800 3,153,300
*Calumet Bancorp, Inc. ............. 6,500 181,188
*Cambridge Soundworks, Inc. ........ 20,000 105,000
*Campo Eletronics, Appliances &
Computers, Inc. ................... 43,900 175,600
Cape Cod Bank & Trust Co. ......... 5,600 226,800
Capital Guarantee Corp. ........... 3,500 77,438
*Capital Pacific Holdings, Inc. .... 5,000 11,875
Capital Re Corp. .................. 90,600 2,718,000
Capitol American Financial Corp. .. 100,000 2,050,000
Capitol Bancorp, Ltd. ............. 10,900 114,450
*Capsure Holdings Corp. ............ 109,600 1,548,100
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
*Care Group, Inc. .................. 33,700 $ 89,516
*Carlisle Plastics, Inc. Class A ... 79,100 351,006
*Carmike Cinemas, Inc. Class A ..... 34,600 847,700
#Carolina First Corp. .............. 22,102 348,107
Carpenter Technology Corp. ........ 56,600 2,447,950
*Carr-Gottstein Foods Co. .......... 48,157 258,844
*Carson Pirie Scott & Co. .......... 2,600 51,675
Carter-Wallace, Inc. .............. 212,500 2,417,188
*Carver Corp. WA ................... 12,900 20,156
Cash America International, Inc. .. 75,600 415,800
Castle (A.M.) & Co. ............... 19,650 481,425
*Catalina Lighting, Inc. ........... 22,900 114,500
*Catherines Stores Corp. ........... 46,000 376,625
Cato Corp. Class A ................ 72,000 513,000
*Celebrity, Inc. ................... 10,000 57,500
*Cell Genesys, Inc. ................ 25,500 208,781
Cenfed Financial Corp. ............ 17,800 407,175
Cenit Bancorp, Inc. ............... 4,900 180,688
*Centennial Cellular Corp. Class A . 6,500 122,688
Center Financial Corp. ............ 27,200 489,600
*Centigram Communications Corp. .... 26,500 566,438
Central & Southern Holding Co. .... 14,700 133,219
*Central Co-Operative Bank
Somerville, MA .................... 4,500 57,375
Central Reserve Life Corp. ........ 17,700 169,256
*Central Sprinkler Corp. ........... 17,200 582,650
*#Cephalon, Inc. .................... 83,600 2,330,350
*Ceradyne, Inc. .................... 11,100 60,356
Champion Parts, Inc. .............. 12,100 6,050
Chaparral Steel Co. ............... 156,400 1,642,200
*Charming Shoppes, Inc. ............ 68,700 161,016
*Chart House Enterprises, Inc. ..... 62,300 404,950
Charter One Financial, Inc. ....... 168,920 5,384,183
Charter Power Systems, Inc. ....... 12,000 295,500
*Check Technology Corp. ............ 7,600 62,700
*Checkers Drive-In Restaurant, Inc. 76,300 106,105
*Chemfab Corp. ..................... 10,700 218,013
*Chempower, Inc. ................... 7,300 28,059
*Cherry Corp. Class A .............. 13,300 134,663
*Cherry Corp. Class B .............. 16,400 166,050
Chesapeake Utilities Corp. ........ 15,900 236,513
Chester Valley Bancorp ............ 578 11,054
*Chic by His, Inc. ................. 61,300 329,488
Chicago Rivet & Machine Co. ....... 1,100 33,138
*#Chips & Technologies, Inc. ........ 5,700 60,563
Chittenden Corp. .................. 24,656 711,942
*#Chock Full O' Nuts Corp. .......... 48,823 280,732
*Cimco, Inc. ....................... 11,000 105,188
*Cincinnati Microwave, Inc. ........ 22,000 151,250
*Circon Corp. ...................... 26,500 581,344
*Circuit Systems, Inc. ............. 8,300 47,206
*Citadel Holding Corp. ............. 1,000 2,250
*Citation Computer System, Inc. .... 8,700 34,800
*Citation Insurance Group .......... 24,300 107,831
Citfed Bancorp, Inc. .............. 16,900 578,825
Citizens Bancorp MD ............... 32,300 1,086,088
Citizens Banking Corp. ............ 3,000 94,500
City National Corp. ............... 98,500 1,354,375
*Civic Bancorp ..................... 18,700 141,419
*Clean Harbors, Inc. ............... 42,000 126,000
Cleveland Cliffs, Inc. ............ 2,000 78,250
*Cliffs Drilling Co. ............... 17,300 242,200
*Clothestime, Inc. ................. 88,000 140,250
Co-Operative Bank of Concord, MA .. 20,400 369,750
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
*Coast Distribution System ......... 21,200 $ 124,550
*#Coast Savings Financial, Inc. ..... 83,500 2,494,563
Coastal Bancorp, Inc. ............. 11,600 196,475
*Cobra Electronic Corp. ............ 24,700 64,838
Coca Cola Bottling Co.
Consolidated ...................... 9,700 328,588
*Code Alarm, Inc. .................. 9,200 69,000
#Coeur d'Alene Mines Corp. ID ...... 4,200 76,125
*Coherent, Inc. .................... 36,800 1,554,800
*Coho Energy, Inc. ................. 59,600 279,375
Collective Bancorp, Inc. .......... 30,800 816,200
*Collins Industries, Inc. .......... 12,500 24,219
Commerce Bancorp, Inc. ............ 12,600 281,925
Commercial Federal Corp. .......... 52,863 1,936,107
Commercial Metals Co. ............. 81,300 1,910,550
*Communication Cable, Inc. ......... 14,420 166,731
*Communications Central, Inc. ...... 12,000 60,000
Community Bankshares, Inc. NH ..... 6,600 122,925
Community First Bankshares, Inc. .. 16,700 346,525
Community Psychiatric Centers ..... 153,500 1,707,688
Computer Data Systems, Inc. ....... 18,700 266,475
*Computer Horizons Corp. ........... 2,250 78,750
Computer Task Group, Inc. ......... 21,900 424,313
*Comshare, Inc. .................... 14,250 345,563
*Comstock Resources, Inc. .......... 14,000 67,813
*Comtech Telecommunications Corp. .. 8,700 21,750
*Concord Fabrics, Inc. Class A ..... 9,200 35,650
*Condor Services, Inc. ............. 4,500 16,875
*Conmed Corp. ...................... 641 20,031
*Continental Can, Inc. DE .......... 14,200 257,375
Continental Homes Holding Corp. ... 45,348 833,270
*Control Data Systems, Inc. ........ 81,800 1,395,713
*Convest Energy Corp. .............. 10,000 31,563
*Convex Computer Corp. ............. 74,300 352,925
*Cooperative Bankshares, Inc. ...... 3,500 75,688
*Coram Healthcare Corp. ............ 22,300 122,650
Core Industries, Inc. ............. 43,900 603,625
*Core, Inc. ........................ 7,400 69,375
*Cornerstone Financial Corp. ....... 7,000 61,031
*Corrpro Companies, Inc. ........... 3,100 17,438
*Cortech, Inc. ..................... 50,200 84,713
Courier Corp. ..................... 7,700 194,425
*Craig Corp. ....................... 18,900 177,188
*#Cray Research, Inc. ............... 45,000 1,080,000
*Criticare Systems, Inc. ........... 28,700 89,688
*Crosscomm Corp. ................... 29,200 350,400
*Crown Books Corp. ................. 20,300 253,750
*Crown Central Petroleum Corp.
Class A ........................... 19,500 275,438
*Crown Central Petroleum Corp.
Class B ........................... 25,700 346,950
Crown Crafts, Inc. ................ 20,100 246,225
*Crown-Andersen, Inc. .............. 6,200 48,438
*Cruise America, Inc. .............. 32,000 176,000
Cubic Corp. ....................... 34,000 811,750
*Culbro Corp. ...................... 18,700 939,675
Cullen Frost Bankers, Inc. ........ 16,700 841,263
Curtiss-Wright Corp. .............. 20,200 962,025
*Customedix Corp. .................. 15,000 28,125
*Cycare Systems, Inc. .............. 14,800 414,400
*Cygne Designs, Inc. ............... 53,900 77,481
*Cyrk, Inc. ........................ 39,900 399,000
*D&N Financial Corp. ............... 20,000 236,250
*DBA Systems, Inc. ................. 18,100 91,631
*DM Management Co. ................. 18,400 36,800
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
*DS Bancor, Inc. ................... 12,101 $ 296,475
DT Industries, Inc. ............... 50,000 662,500
*DVI, Inc. ......................... 11,800 156,350
*Dairy Mart Convenience Stores, Inc.
Class A ........................... 9,000 59,063
*Damark International, Inc. Class A 31,200 208,650
Daniel Industries, Inc. ........... 95,400 1,264,050
*Danskin, Inc. ..................... 29,600 142,450
Dart Group Corp. Class A .......... 5,600 520,100
*Data Broadcasting Corp. ........... 33,870 476,297
*Data General Corp. ................ 168,200 2,039,425
*Data I/O Corp. .................... 25,900 205,581
*Data Race, Inc. ................... 17,600 80,850
*Data Systems & Software, Inc. ..... 24,900 208,538
*Data Translation, Inc. ............ 9,000 173,250
*Dataflex Corp. .................... 21,600 108,000
*Datakey, Inc. ..................... 10,900 59,950
*Dataram Corp. ..................... 15,200 108,300
*Datron Systems, Inc. .............. 10,200 196,350
*Datum, Inc. ....................... 11,200 111,300
*Dave and Busters, Inc. ............ 2,140 31,565
Davis Water & Waste Industries,
Inc. .............................. 12,100 190,575
*Dawson Geophysical Co. ............ 900 9,113
*Daxor Corp. ....................... 20,800 137,800
*De Soto, Inc. ..................... 38,500 154,000
DeKalb Genetics Corp. Class B ..... 25,000 1,121,875
Deb Shops, Inc. ................... 75,300 275,316
Decorator Industries, Inc. ........ 1,000 8,250
Defiance, Inc. .................... 27,700 206,019
Del Laboratories, Inc. ............ 8,000 157,000
*Delaware Ostego Corp. ............. 1,102 10,745
Delchamps, Inc. ................... 42,900 750,750
*Delphi Financial Group, Inc.
Class A ........................... 10,000 198,750
Delta Woodside Industries, Inc. ... 191,300 1,243,450
*Designs, Inc. ..................... 33,000 264,000
*Detection Systems, Inc. ........... 10,800 72,900
*Detrex Corp. ...................... 2,800 13,475
*Devcon International Corp. ........ 18,600 140,663
Dexter Corp. CT ................... 52,000 1,267,500
*Dianon Systems, Inc. .............. 20,000 76,250
*Digicon, Inc. ..................... 54,100 324,600
*Digital Systems International, Inc. 31,100 421,794
*Dime Financial Corp. .............. 20,400 244,800
Dixie Yarns, Inc. ................. 50,700 199,631
Donegal Group, Inc. ............... 21,500 400,438
Donnelly Corp. Class A ............ 40,000 565,000
*Dotronix, Inc. .................... 1,000 1,875
Douglas & Lomason Co. ............. 17,200 195,650
Downey Financial Corp. ............ 72,700 1,653,925
*Dress Barn, Inc. .................. 39,623 361,560
*Drug Emporium, Inc. ............... 58,500 241,313
*Drypers Corp. ..................... 5,900 10,878
*Dual Drilling Co. ................. 80,800 823,150
*Duplex Products, Inc. ............. 60,900 464,363
Duty Free International, Inc. ..... 51,700 697,950
Dyersburg Corp. ................... 63,400 301,150
Dynamics Corp. of America ......... 17,200 399,900
*Dynamics Research Corp. ........... 23,740 139,473
*Dynatech Corp. .................... 57,800 852,550
*E for M Corp. ..................... 18,500 220,844
*E-Z-Em, Inc. Class A .............. 20,500 205,000
*E-Z-Em, Inc. Class B .............. 775 7,169
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
*EA Engineering Science &
Technology, Inc. .................. 18,525 $ 72,942
*ECC International Corp. ........... 13,200 135,300
EMC Insurance Group, Inc. ......... 33,600 428,400
*ESCO Electronics Corp. Trust
Receipts .......................... 88,400 707,200
Eagle Bancshares, Inc. ............ 4,200 149,625
Eagle Financial Corp. ............. 17,237 474,018
*Eagle Food Centers, Inc. .......... 62,100 112,556
*#Eagle Hardware & Garden, Inc. ..... 40,600 307,038
Eastern Bancorp, Inc. ............. 10,400 280,800
Eastern Co. ....................... 12,400 139,500
Eaton Vance Corp. ................. 19,323 562,782
Ecology & Environment, Inc.
Class A ........................... 14,100 109,275
*Ecoscience Corp. .................. 29,000 16,313
Edison Brothers Stores, Inc. ...... 44,500 83,438
*Edisto Resources Corp. ............ 102,200 511,000
*Edo Corp. ......................... 18,600 90,675
*Egghead, Inc. ..................... 130,500 1,027,688
Ekco Group, Inc. .................. 83,300 499,800
*El Chico Restaurants, Inc. ........ 3,200 29,200
Eldorado Bancorp CA ............... 13,310 219,615
*Electric & Gas Technology, Inc. ... 3,000 8,813
*Electro Rent Corp. ................ 39,000 794,625
*Electro Scientific Industries, Inc. 20,600 581,950
*Electromagnetic Sciences, Inc. .... 27,800 300,588
*Electronic Fab Technology, Inc. ... 9,100 36,400
*Emcon ............................. 39,600 153,450
*Emisphere Technologies, Inc. ...... 17,000 121,125
*Emulex Corp. ...................... 11,750 146,141
Energen Corp. ..................... 116,300 2,703,975
Engineered Support Systems, Inc. .. 6,900 42,694
Engle Homes, Inc. ................. 27,200 229,500
Enhance Financial Services Group,
Inc. .............................. 141,100 3,404,038
*Ensys Environmental Products, Inc. 45,000 129,375
*Environmental Elements Corp. ...... 18,200 31,850
Enviroq Corp. ..................... 2,420 0
*Envirotest Systems Corp. Class A .. 44,800 117,600
*Equinox Systems, Inc. ............. 10,000 78,125
*Equitrac Corp. .................... 13,100 74,506
*Equity Oil Co. .................... 97,200 534,600
*Ernst Home Center, Inc. ........... 94,100 258,775
Espey Manufacturing & Electronics
Corp. ............................. 2,900 38,425
*Esterline Technologies Corp. ...... 23,100 496,650
*Ethan Allen Interiors, Inc. ....... 80,000 1,760,000
*Evans & Sutherland Computer Corp. 52,100 1,263,425
*Evans Systems, Inc. ............... 6,700 24,706
*Evans, Inc. ....................... 17,800 25,588
Evergreen Bancorp, Inc. DE ........ 18,600 411,525
*Evergreen Resources, Inc. ......... 21,700 93,581
*Exabyte Corp. ..................... 400 5,000
Excel Industries, Inc. ............ 72,500 888,125
*Executone Information Systems,
Inc. .............................. 78,600 218,606
*Express America Holdings Corp. .... 29,400 150,675
*Ezcorp, Inc. Class A Non-Voting ... 40,000 175,000
*FDP Corp. ......................... 7,000 54,688
FFLC Bancorp ...................... 6,300 122,850
*FFY Financial Corp. ............... 6,000 126,375
*FNB Rochester Corp. ............... 8,400 70,350
*FPA Corp. ......................... 20,100 20,100
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
Fab Industries, Inc. .............. 2,081 $ 61,520
*Fabri-Centers of America, Inc.
Class A ........................... 35,700 522,113
*Fabri-Centers of America, Inc.
Class B ........................... 35,700 423,938
*Failure Group, Inc. ............... 28,100 182,650
*Fairchild Corp. Class A ........... 78,900 601,613
Family Bancorp .................... 17,850 316,838
Fansteel, Inc. .................... 36,100 248,188
*Farah, Inc. ....................... 50,400 315,000
Farmer Brothers Co. ............... 84 11,550
*Farr Co. .......................... 15,700 117,750
Farrel Corp. ...................... 20,800 78,000
Fay's, Inc. ....................... 21,400 147,125
Federal Screw Works ............... 2,000 46,000
*Fidelity Bancorp, Inc. Delaware ... 6,300 97,650
*Fieldcrest Cannon, Inc. ........... 12,600 253,575
*Fifty-Off Stores, Inc. ............ 42,600 49,256
*Figgie International, Inc. Class A 59,800 702,650
*Figgie International, Inc. Class B 17,700 194,700
*Filenes Basement Corp. ............ 91,000 321,344
*Financial Benefit Group, Inc.
Class A ........................... 38,850 178,467
First Albany Companies, Inc. ...... 5,250 47,906
First American Financial Corp. .... 80,800 1,848,300
*First Cash, Inc. .................. 15,500 60,063
First Citizens Bancshares, Inc. NC 24,200 1,285,625
*First Citizens Financial Corp. .... 10,133 197,594
First Essex Bancorp ............... 26,100 305,044
First Federal Alabama FSB Jasper .. 3,300 62,700
First Federal Capital Corp. ....... 42,040 761,975
First Federal Savings & Loan
Association of East Hartford, CT .. 3,300 63,938
First Financial Corp. WI .......... 12,000 273,000
First Financial Corp. of Western
Maryland .......................... 9,300 203,438
First Financial Holdings, Inc. .... 18,900 368,550
First Indiana Corp. ............... 27,899 735,836
First Liberty Financial Corp. ..... 12,400 271,250
First Mississippi Corp. ........... 40,100 1,022,550
First Northern Savings Bank S.A.
Green Bay, WI ..................... 22,600 350,300
First Oak Brook Bancshares, Inc.
Class A ........................... 10,000 209,375
*First Republic Bancorp, Inc. ...... 32,828 369,315
*First Southeast Financial Corp. ... 9,600 182,400
First State Financial Services,
Inc. .............................. 10,300 140,981
*FirstFed Financial Corp. DE ....... 79,400 1,220,775
Firstbank of Illinois Co. ......... 1,200 36,300
Firstfed Bancshares, Inc. ......... 15,000 337,500
*#Firstmiss Gold, Inc. .............. 28,409 555,751
*Fischer Imaging Corp. ............. 21,600 234,900
Flexsteel Industries, Inc. ........ 56,700 648,506
Florida Rock Industries, Inc. ..... 52,500 1,391,250
*Foodarama Supermarkets, Inc. ...... 2,400 26,400
*Foodbrands America, Inc. .......... 88,200 1,008,788
Foothill Independent Bancorp ...... 15,700 129,525
*Forschner Group, Inc. ............. 58,000 703,250
Foster (L.B.) Co. Class A ......... 42,300 190,350
*Four Kids Entertainment, Inc. ..... 17,000 60,563
*Foxmeyer Health Corp. ............. 106,987 2,781,662
Freds, Inc. Class A ............... 63,500 484,188
#Fremont General Corp. ............. 133,060 4,590,570
*Fresh Choice, Inc. ................ 45,000 312,188
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
*Fretter, Inc. ..................... 19,500 $ 5,484
*Freymiller Trucking, Inc. ......... 4,500 446
Friedman Industries, Inc. ......... 22,655 84,956
Frisch's Restaurants, Inc. ........ 42,340 389,003
*Fuqua Enterprises, Inc. ........... 9,700 201,275
Furon Co. ......................... 9,900 176,963
*G-III Apparel Group, Ltd. ......... 26,900 64,728
GBC Bancorp ....................... 48,200 831,450
*GBC Technologies, Inc. ............ 50,400 425,250
*GNI Group, Inc. ................... 19,800 133,650
*GZA Geoenvironmental Technologies,
Inc. .............................. 15,500 50,375
*Galileo Electro-Optics Corp. ...... 28,900 303,450
Gamma Biologicals, Inc. ........... 20,300 88,813
*Gantos, Inc. ...................... 4,250 9,430
Garan, Inc. ....................... 33,000 569,250
*Garnet Resources Corp. ............ 50,600 66,413
*Gehl Co. .......................... 26,800 192,625
*General Host Corp. ................ 93,084 442,149
General Housewares Corp. .......... 17,700 177,000
*General Microwave Corp. ........... 400 3,150
General Parametrics Corp. ......... 15,900 48,197
General Physics Corp. ............. 22,900 77,288
*Genesco, Inc. ..................... 138,000 586,500
*Genicom Corp. ..................... 37,100 176,225
*Genlyte Group, Inc. ............... 75,700 496,781
*Genus, Inc. ....................... 25,800 214,463
Geodynamics Corp. ................. 9,900 110,138
George Mason Bankshares, Inc. ..... 10,000 252,500
*#Gerrity Oil and Gas Corp. ......... 102,600 436,050
Getty Petroleum Corp. ............. 700 10,413
*Giant Group, Ltd. ................. 23,100 147,263
Giant Industries, Inc. ............ 49,900 536,425
*Gibraltar Packaging Group, Inc. ... 28,400 104,725
#Gibson Greetings, Inc. ............ 120,700 1,795,413
Giddings & Lewis, Inc. ............ 50,000 784,375
*Giga-Tronics, Inc. ................ 5,300 44,388
Gilbert Associates, Inc. Class A .. 31,200 464,100
*Gish Biomedical, Inc. ............. 17,500 145,469
Gleason Corp. ..................... 17,700 590,738
*Global Industrial Technologies,
Inc. .............................. 125,320 2,224,430
Golden Poultry Co., Inc. .......... 74,950 651,128
*Good Guys, Inc. ................... 69,300 710,325
*Goodrich Petroleum Corp. .......... 26,800 25,125
*Gottschalks, Inc. ................. 50,200 332,575
*Government Technology Services,
Inc. .............................. 35,500 142,000
*Gradco Systems, Inc. .............. 60,000 150,000
*Graham Corp. ...................... 2,300 31,050
*Graham-Field Health Products, Inc. 59,100 199,463
Granite Construction, Inc. ........ 58,100 1,608,644
Granite State Bankshares, Inc. .... 8,900 146,850
*Grant Geophysical, Inc. ........... 21,600 54,675
Graphic Industries, Inc. .......... 41,000 435,625
*Great Country Bank of Ansonia, CT . 16,900 90,838
*Greater New York Savings Bank NY . 58,500 698,344
Green (A.P.) Industries, Inc. ..... 15,200 294,500
Greenbrier Companies, Inc. ........ 10,000 108,750
*Greenman Brothers, Inc. ........... 23,100 282,975
Greiner Engineering, Inc. ......... 27,200 244,800
*Greyhound Lines, Inc. ............. 53,200 222,775
*Grossmans, Inc. ................... 202,300 246,553
*Ground Round Restaurants, Inc. .... 62,400 173,550
*Groundwater Technology, Inc. ...... 30,000 423,750
Grovebank for Savings ............. 6,400 151,200
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
Guaranty National Corp. ........... 46,900 $ 680,050
Guilford Mills, Inc. .............. 79,300 1,823,900
*Gulfmark International, Inc. ...... 11,100 255,300
*Gundle/SLT Environmental, Inc. .... 61,800 370,800
HF Financial Corp. ................ 6,400 198,400
*HMG Worldwide Corp. ............... 28,200 63,450
HMI Industries, Inc. .............. 9,000 110,250
*HMN Financial, Inc. ............... 12,000 186,000
*HPSC, Inc. ........................ 21,500 110,188
*HS Resources, Inc. ................ 66,000 882,750
*Hadco Corp. ....................... 43,900 1,338,950
Haggar Corp. ...................... 600 10,575
*Hallwood Group, Inc. .............. 2,075 20,231
*Hamburger Hamlet Restaurants, Inc... 17,800 13,350
*Hampshire Group, Ltd. ............. 7,200 90,900
*Hampton Industries, Inc. .......... 9,790 48,950
*Handex Environmental Recovery,
Inc. .............................. 49,800 249,000
Handleman Co. ..................... 197,436 1,233,975
*Hanger Orthopedic Group, Inc. ..... 37,300 102,575
*Harding Lawson Associates Group,
Inc. .............................. 20,400 142,800
Harleysville Group, Inc. .......... 50,200 1,449,525
*Harlyn Products, Inc. ............. 22,200 38,850
*Harry's Farmers Market, Inc.
Class A ........................... 9,600 39,000
*Hartmarx Corp. .................... 40,000 180,000
Harvey's Casino Resorts ........... 21,000 315,000
Hastings Manufacturing Co. ........ 850 17,584
Hathaway Corp. .................... 18,400 43,700
*Hauser Chemical Research, Inc. .... 62,700 297,825
*Haven Bancorp, Inc. ............... 1,000 24,813
Haverty Furniture Co., Inc. ....... 66,100 950,188
Hawkeye Bancorp ................... 12,000 314,250
*Hawthorne Financial Corp. ......... 10,400 50,050
Hayes Wheels International, Inc. .. 119,500 3,196,625
Health Images, Inc. ............... 50,900 394,475
*Health O Meter Products, Inc. ..... 35,900 148,088
*Health Risk Management, Inc. ...... 13,600 107,100
*Healthcare Services Group, Inc. ... 42,700 368,288
Hechinger Co. Class A ............. 118,900 535,050
Heico Corp. ....................... 9,790 179,891
*Hein-Werner Corp. ................. 10,641 48,550
*Heist (C.H.) Corp. ................ 16,800 119,700
Helene Curtis Industries, Inc. .... 12,000 346,500
*Helian Health Group, Inc. ......... 14,800 79,550
*Herley Industries, Inc. ........... 15,400 102,025
*Hexcel Corp. ...................... 11,100 105,450
*Hi-Lo Automotive, Inc. ............ 69,300 389,813
*Hi-Shear Industries, Inc. ......... 22,700 158,900
*Hitox Corp. ....................... 9,100 28,438
Hoenig Group, Inc. ................ 12,000 47,250
*Holiday RV Superstores, Inc. ...... 14,200 40,381
*Hologic, Inc. ..................... 9,800 409,150
*Holopak Technologies, Inc. ........ 8,200 47,150
*Holson Burnes Group, Inc. ......... 43,400 162,750
Home Beneficial Corp. Class B ..... 56,100 1,374,450
Home Federal Bancorp .............. 8,900 225,838
Home Federal Financial Corp. ...... 5,566 94,622
Home Financial Corp ............... 37,200 553,350
Home Port Bancorp, Inc. ........... 7,500 88,125
*Homecorp, Inc. .................... 3,200 53,600
*Homeowners Group, Inc. ............ 21,600 33,075
*Hometown Bancorp., Inc. ........... 800 10,900
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
Hooper Holmes, Inc. ............... 38,800 $ 310,400
*Hospital Staffing Services, Inc. .. 20,200 35,350
*Hosposable Products, Inc. ......... 600 4,650
*Hovnanian Enterprises, Inc.
Class A ............................ 115,284 778,167
Howell Corp. ...................... 21,300 268,913
Howell Industries, Inc. ........... 1,600 38,800
Hudson Foods, Inc. Class A ........ 48,350 773,600
Hudson General Corp. .............. 2,500 79,063
Huffy Corp. ....................... 3,000 31,875
Hughes Supply, Inc. ............... 38,900 1,021,125
*Hurco Companies, Inc. ............. 9,700 55,775
*Hycor Biomedical, Inc. ............ 12,000 54,000
*Hyde Athletic Industries, Inc.
Class A ........................... 12,100 49,156
*Hyde Athletic Industries, Inc.
Class B ........................... 28,300 107,894
ICN Pharmaceuticals, Inc. ......... 8,605 174,251
*ICO, Inc. ......................... 62,300 330,969
*IFR Systems, Inc. ................. 17,000 161,500
*Image Industries, Inc. ............ 35,000 393,750
*Immulogic Pharmaceutical Corp. .... 45,900 570,881
*Imo Industries, Inc. .............. 20,900 148,913
*Imperial Bancorp .................. 56,679 1,303,617
*Imperial Credit Industries, Inc. .. 1,350 22,697
Imperial Holly Corp. .............. 43,400 282,100
*In Home Health, Inc. .............. 49,000 122,500
*Inacom Corp. ...................... 41,300 552,388
*Inco Homes Corp. .................. 27,940 25,757
*Incstar Corp. ..................... 18,200 72,800
Independence Holding Co. .......... 56,200 217,775
Independent Bank Corp. MA ......... 61,200 428,400
Independent Bank East ............. 8,400 229,950
Independent Insurance Group, Inc. . 31,600 849,250
Indiana Federal Corp. ............. 18,850 365,219
Industrial Acoustics Co., Inc. .... 700 7,438
*Information International, Inc. ... 7,100 71,888
*Information Resources, Inc. ....... 17,600 212,300
*Infrasonics, Inc. ................. 90,000 562,500
Ingles Market, Inc. Class A ....... 40,900 442,231
*Inmac Corp. ....................... 32,000 310,000
*Innoserv Technologies, Inc. ....... 13,700 34,250
Insituform East, Inc. ............. 16,900 71,825
Insteel Industries, Inc. .......... 37,600 249,100
*Insurance Auto Auctions, Inc. ..... 45,100 484,825
*Integrated Waste Services, Inc. ... 33,200 52,913
*Intellicall, Inc. ................. 46,700 163,450
Intelligent Electronics, Inc. ..... 11,505 74,783
Inter-Regional Financial Group,
Inc. .............................. 36,500 1,437,188
*Interco, Inc. ..................... 41,000 343,375
Interface Systems, Inc. ........... 16,700 108,550
Interface, Inc. Class A ........... 116,600 1,902,038
*Intergraph Corp. .................. 196,100 3,382,725
*Interlinq Software Corp. .......... 32,000 100,000
International Aluminum Corp. ...... 33,600 961,800
*International Jensen, Inc. ........ 35,000 245,000
*International Lottery & Totalizer
Systems, Inc. ..................... 18,400 29,613
International Multifoods Corp. .... 74,500 1,741,438
*International Research &
Development Corp. ................. 18,600 2,325
International Shipholding Corp. ... 29,375 565,469
*International Technology Corp. .... 207,200 543,900
*International Thoroughbred
Breeders, Inc. .................... 19,700 76,338
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
*Interphase Corp. .................. 15,200 $ 214,700
Interstate Bakeries Corp. DE ...... 119,300 2,669,338
*#Intertan, Inc. .................... 60,100 503,338
*Investors Financial Services Corp. 5,408 106,132
*Investors Financial Services Corp.
Class A ........................... 1,040 20,401
Investors Title Co. ............... 8,699 92,431
*#Iomega Corp. ...................... 64,875 2,765,297
*Isomedix, Inc. .................... 4,000 57,000
*Iwerks Entertainment, Inc. ........ 40,000 240,000
*J & J Snack Foods Corp. ........... 54,200 657,175
JSB Financial, Inc. ............... 47,600 1,529,150
Jackpot Enterprises, Inc. ......... 29,800 406,025
Jaclyn, Inc. ...................... 11,400 47,738
*Jaco Electronics, Inc. ............ 8,946 107,911
*Jacobs Jay, Inc. .................. 31,300 87,053
Jacobson Stores, Inc. ............. 24,500 220,500
*Jan Bell Marketing, Inc. .......... 182,900 480,113
*Jefferson Savings Bancorp, Inc. ... 21,600 567,000
John Alden Financial Corp. ........ 78,500 1,619,063
Johnston Industries, Inc. ......... 5,100 41,438
*Joseph A. Bank Clothiers, Inc. .... 10,000 21,875
*Just Toys, Inc. ................... 14,000 20,125
Justin Industries, Inc. ........... 94,200 1,024,425
K Swiss, Inc. Class A ............. 30,400 357,200
*K-Tron International, Inc. ........ 6,300 40,950
*KLLM Transport Services, Inc. ..... 18,700 202,194
*Kaiser Ventures, Inc. ............. 37,400 420,750
Kaman Corp. Class A ............... 65,900 749,613
*Kasler Holding Co. ................ 5,900 33,925
Katy Industries, Inc. ............. 17,100 168,863
Keithley Instruments, Inc. ........ 500 14,438
Kellwood Co. ...................... 164,918 3,195,286
Kenan Transport Co. ............... 200 4,175
*#Kenetech Corp. .................... 6,000 19,125
*Kentucky Electric Steel, Inc. ..... 14,000 129,500
*Kentucky Medical Insurance Co.
Class A ........................... 8,500 102,531
*Kerr Group, Inc. .................. 15,900 141,113
*Kevlin Corp. ...................... 700 2,997
*Kewaunee Scientific Corp. ......... 700 2,231
*Key Energy Group, Inc. ............ 40,000 220,000
*Key Production Co., Inc. .......... 40,700 218,763
*Key Tronic Corp. .................. 26,500 289,844
*Kinark Corp. ...................... 1,000 2,813
*Kinder-Care Learning Centers, Inc. 92,700 1,141,369
Kinetic Concepts, Inc. ............ 3,900 43,875
*Kinnard Investment, Inc. .......... 6,000 22,500
*Kit Manufacturing Co. ............. 10,600 119,250
Knape & Vogt Manufacturing Co. .... 14,200 257,375
*Knogo North America, Inc. ......... 17,300 112,450
*Krystal Co. ....................... 19,200 134,400
LCS Industries, Inc. .............. 13,200 209,550
*LDI Corp. ......................... 54,100 169,063
LSB Industries, Inc. .............. 11,500 44,563
LSI Industries, Inc. .............. 13,230 197,623
*LTX Corp. ......................... 30,700 381,831
*Laclede Steel Co. ................. 8,700 61,444
Ladd Furniture, Inc. .............. 38,327 510,228
Lafayette American Bank & Trust
Co. ............................... 1,050 9,450
Laidlaw, Inc. Class B Non-Voting .. 25,960 240,130
*Lamson & Sessions Co. ............. 28,300 198,100
*Lancer Corp. ...................... 7,200 99,000
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
*Laserscope ........................ 40,000 $ 82,500
Lawyers Title Corp. ............... 37,112 635,543
*Layne, Inc. ....................... 29,600 260,850
*Lazare Kaplan International, Inc. . 11,300 74,863
*Lechters, Inc. .................... 32,000 224,000
Lennar Corp. ...................... 150,350 3,326,494
Liberty Bancorp, Inc. Delaware .... 6,300 166,950
Liberty Bancorp, Inc. Oklahoma .... 55,700 2,095,713
Life Re Corp. ..................... 43,000 919,125
*Lifeline Systems, Inc. ............ 19,500 230,344
*Ligand Pharmaceuticals, Inc.
Class B ........................... 25,497 211,944
Lillian Vernon Corp. .............. 900 13,050
*Lindal Cedar Homes, Inc. .......... 8,000 38,500
Lindberg Corp. .................... 15,600 104,325
*Littlefield, Adams & Co. .......... 12,000 27,000
*Liuski International, Inc. ........ 19,000 57,000
*Live Entertainment, Inc. .......... 6,740 24,433
*Lodgenet Entertainment Corp. ...... 31,500 338,625
*Lomas Financial Corp. ............. 89,700 2,332
*Longhorn Steaks, Inc. ............. 19,500 312,000
Loyola Capital Corp. .............. 45,700 1,719,463
Lufkin Industries, Inc. ........... 27,500 553,438
Lukens, Inc. DE ................... 25,000 765,625
*Lumex, Inc. ....................... 19,400 177,025
*Luria & Son, Inc. ................. 23,900 140,413
*Lynch Corp. ....................... 2,300 145,475
M A R C, Inc. ..................... 3,335 48,774
*M-Wave, Inc. ...................... 7,000 49,000
MAF Bancorp, Inc. ................. 22,320 562,185
#MDC Holdings, Inc. ................ 83,288 551,783
*MDT Corp. ......................... 28,900 142,694
*MFRI, Inc. ........................ 10,900 79,706
*MI Schottenstein Homes, Inc. ...... 36,700 417,463
*MK Gold Corp. ..................... 30,900 92,700
MMI Companies, Inc. ............... 1,100 25,850
*MRS Technology, Inc. .............. 12,000 40,500
*MS Carriers, Inc. ................. 22,600 426,575
*MTI Technology Corp. .............. 12,000 21,000
MTS Systems Corp. ................. 35,800 1,248,525
Magna Bancorp ..................... 900 26,325
Magna Group, Inc. ................. 18,700 455,813
Marble Financial Corp. ............ 27,100 477,638
*Marietta Corp. .................... 13,700 122,444
*Marine Drilling Companies, Inc. ... 100,000 406,250
*Mariner Health Group, Inc. ........ 126,000 1,677,375
Maritrans, Inc. ................... 53,700 281,925
*Mark VII, Inc. .................... 9,900 160,875
Marsh Supermarkets, Inc. Class A .. 16,900 232,375
Marsh Supermarkets, Inc. Class B .. 17,500 227,500
Maryland Federal Bancorp .......... 18,100 550,919
Massbank Corp. Reading, MA ........ 11,400 356,250
*#Mastec, Inc. ...................... 12,700 130,175
*Matec Corp. DE .................... 5,200 21,450
*Matlack Systems, Inc. ............. 30,300 268,913
*Matrix Service Co. ................ 73,200 315,675
*Maverick Tube Corp. ............... 44,000 280,500
*Maxco, Inc. ....................... 10,000 80,000
*Maxtor Corp. ...................... 38,600 244,869
*Maxwell Laboratories, Inc. ........ 10,030 86,509
*#Maxxam, Inc. ...................... 31,200 1,189,500
*Maxxim Medical, Inc. .............. 48,800 774,700
*Maynard Oil Co. ................... 19,400 118,825
McDonald & Co. Investment, Inc. ... 1,700 29,750
*McFarland Energy, Inc. ............ 3,200 24,000
McGrath Rent Corp. ................ 31,700 582,488
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
McRae Industries, Inc. Class A .... 1,000 $ 7,750
*Medalist Industries, Inc. ......... 16,500 109,313
*Medalliance, Inc. ................. 39,500 145,656
Medex, Inc. ....................... 29,900 317,688
Medford Savings Bank MA ........... 3,800 84,550
*#Media Logic, Inc. ................. 20,100 158,288
*Medical Graphics Corp. ............ 9,300 52,313
*Mediq, Inc. ....................... 5,700 23,513
*Medstone International, Inc. ...... 14,500 135,938
*Melamine Chemicals, Inc. .......... 20,000 175,000
*Mem Co., Inc. ..................... 5,300 16,894
*Mental Health Management, Inc. .... 712 1,869
Merchants Bancorp, Inc. ........... 10,000 280,000
Merchants Group, Inc. ............. 13,400 231,150
*Meridian Data, Inc. ............... 20,000 213,750
Meridian Insurance Group, Inc. .... 27,900 428,963
*Meris Laboratories, Inc. .......... 12,000 15,750
*Merisel, Inc. ..................... 127,800 583,088
Merrimac Industries, Inc. ......... 6,700 75,375
*Mesa Airlines, Inc. ............... 186,200 1,699,075
Mesaba Holdings, Inc. ............. 27,100 186,313
*Mestek, Inc. ...................... 13,500 148,500
Metrobank ......................... 7,260 206,910
*Metromedia International Group,
Inc. .............................. 60,000 1,080,000
*Michael Anthony Jewelers, Inc. .... 68,800 180,600
Michael Foods, Inc. ............... 122,000 1,418,250
*#Michaels Stores, Inc. ............. 5,800 94,975
*Microage, Inc. .................... 47,200 398,250
*Microcom, Inc. .................... 13,800 346,725
*Micron Electronics, Inc. .......... 9,500 140,125
*Micronics Computers, Inc. ......... 85,200 282,225
*Micropolis Corp. .................. 60,100 191,569
Mid America Banccorp .............. 35,933 646,786
*MidAmerican Waste System, Inc. .... 109,600 438,400
MidSouth Insurance Co. ............ 3,000 45,750
Midconn Bank Kensington, CT ....... 7,300 100,375
Middlesex Water Co. ............... 7,500 135,000
Midland Co. ....................... 5,600 277,550
*Mikohn Gaming Corp. ............... 13,000 45,500
*Miller Building Systems, Inc. ..... 7,400 24,050
*Miltope Group, Inc. ............... 24,900 79,369
Mine Safety Appliances Co. ........ 25,500 1,106,063
*Mobley Environmental Services,
Inc. Class A ...................... 10,500 11,156
Monarch Machine Tool Co. .......... 16,700 221,275
*Moog, Inc. Class A ................ 18,600 274,350
*Moog, Inc. Class B ................ 3,400 52,275
*Moore Medical Corp. ............... 2,400 27,600
*Moore Products Co. ................ 3,700 66,138
*Morgan Products, Ltd. ............. 37,400 224,400
*#Morrison Knudsen Corp. ............ 93,000 558,000
*Moviefone, Inc. Class A ........... 2,000 10,250
Mueller (Paul) Co. ................ 2,100 66,281
*Mueller Industries, Inc. .......... 64,000 1,472,000
*Multi Color Corp. ................. 7,600 22,800
*Munsingwear, Inc. ................. 8,700 63,075
*Musicland Stores Corp. ............ 145,500 927,563
*Mutual Savings Bank FSB Bay City,
MI ................................ 3,300 19,388
Myers (L.E.) Co. Group ............ 10,300 155,788
NAC RE Corp. ...................... 17,200 567,600
*NAI Technologies, Inc. ............ 26,700 41,719
NBT Bancorp ....................... 20,097 334,113
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
*NMR of America, Inc. .............. 11,800 $ 42,775
NS Bancorp, Inc. .................. 30,200 1,172,138
*NS Group, Inc. .................... 83,600 188,100
*NSA International, Inc. ........... 14,700 49,613
NSC Corp. ......................... 71,200 133,500
NYMAGIC, Inc. ..................... 60,400 1,004,150
*Nantucket Industries, Inc. ........ 6,500 19,094
*Napco Security Systems, Inc. ...... 17,900 68,244
Nash Finch Co. .................... 46,400 899,000
Nashua Corp. ...................... 27,900 439,425
*Nathans Famous, Inc. .............. 21,200 80,163
*National Auto Credit, Inc. ........ 114,746 1,936,339
*National City Bancorp ............. 22,005 415,344
*#National Convenience Stores, Inc. . 36,000 967,500
*National Education Corp. .......... 39,800 313,425
*National Home Centers, Inc. ....... 54,500 163,500
*National Home Health Care Corp. ... 8,600 46,225
*National Insurance Group .......... 8,000 44,000
*National Mercantile Bancorp. ...... 2,400 3,900
*National Patent Development Corp. . 20,875 191,789
National Presto Industries, Inc. .. 24,300 1,011,488
*National Record Mart, Inc. ........ 1,500 2,719
*National Standard Co. ............. 8,100 91,125
*National Western Life Insurance Co.
Class A ........................... 12,400 674,250
*Natural Wonders, Inc. ............. 31,100 89,413
*Navigators Group, Inc. ............ 2,100 39,900
*Netframe Systems, Inc. ............ 15,000 87,188
*Netrix Corp. ...................... 73,800 369,000
*Network Computing Devices, Inc. ... 63,400 534,938
New Brunswick Scientific Co., Inc. 16,100 107,669
*New Image Industries, Inc. ........ 11,200 20,300
New Jersey Resources Corp. ........ 79,212 2,208,035
*New Jersey Steel Corp. ............ 20,700 204,413
*New Mexico & Arizona Land Co. ..... 7,920 93,060
Newcor, Inc. ...................... 13,800 110,400
Newmil Bancorp, Inc. .............. 28,000 189,000
Newport Corp. ..................... 28,100 224,800
*Nexstar Pharmaceuticals, Inc. ..... 40,568 476,674
*Nexthealth, Inc. .................. 35,300 145,613
*Nichols Research Corp. ............ 9,100 208,163
*Noble Drilling Corp. .............. 13,975 103,066
*Noel Group, Inc. .................. 6,200 37,975
Noland Co. ........................ 2,000 37,000
*Nord Resources Corp. .............. 71,900 152,788
*Nortek, Inc. ...................... 57,100 542,450
North American Watch Corp. ........ 16,300 306,644
North Fork Bancorporation, Inc. ... 71,339 1,658,632
North Side Savings Bank NY ........ 21,537 632,649
*North Star Universal, Inc. ........ 40,300 239,281
Northbay Financial Corp. .......... 11,432 172,195
Norwich Financial Corp. ........... 22,500 295,313
*Novacare, Inc. .................... 216,100 1,269,588
*Nuclear Support Services, Inc. .... 5,700 8,194
*Nuevo Energy Co. .................. 86,100 1,915,725
*Nview Corp. ....................... 19,600 82,075
*Nycor, Inc. ....................... 11,700 57,769
*Nycor, Inc. Class A ............... 24,000 117,000
O'Sullivan Corp. .................. 21,900 229,950
*O.I. Corp. ........................ 16,100 46,288
*OEC Medical Systems, Inc. ......... 37,000 370,000
*OMI Corp. ......................... 234,300 1,435,088
*OTR Express, Inc. ................. 15,000 67,500
*Offshore Logistics, Inc. .......... 12,000 146,250
Oglebay Norton Co. ................ 9,600 351,600
Oil-Dri Corp. of America .......... 29,300 439,500
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
*Old America Stores, Inc. .......... 36,000 $ 294,750
*Old Dominion Freight Lines, Inc. .. 61,000 648,125
*Olympic Steel, Inc. ............... 65,000 580,938
OnbanCorp, Inc. ................... 63,200 2,097,450
*Oncogene Science, Inc. ............ 56,300 376,506
*One Price Clothing Stores, Inc. ... 65,400 269,775
Oneida, Ltd. ...................... 44,600 774,925
*Oneita Industries, Inc. ........... 30,800 219,450
Optical Coating Laboratory, Inc. .. 31,900 422,675
*Option Care, Inc. ................. 43,500 182,156
*Orange Co., Inc. .................. 57,100 456,800
*Orbit International Corp. ......... 22,300 20,906
*Orchard Supply Hardware Stores
Corp. ............................. 55,000 1,189,375
*Oregon Metallurgical Corp. ........ 40,300 430,706
Oregon Steel Mills, Inc. .......... 152,661 2,099,089
Oriole Homes Corp. Class B ........ 17,400 93,525
Orion Capital Corp. ............... 48,300 2,016,525
*Oroamerica, Inc. .................. 40,000 167,500
*Osborn Communications Corp. ....... 6,300 50,400
Oshkosh B'Gosh, Inc. Class A ...... 46,300 717,650
Oshkosh Truck Corp. Class B ....... 11,200 162,400
*Oshman's Sporting Goods, Inc. ..... 23,300 314,550
#Outboard Marine Corp. ............. 141,700 2,904,850
*Outlook Group Corp. ............... 28,100 210,750
Oxford Industries, Inc. ........... 26,000 487,500
*PCI Services, Inc. ................ 35,100 353,194
*PLM International, Inc. ........... 9,900 37,125
PXRE Corp. ........................ 60,700 1,494,738
*Pacific Rim Holding Corp. ......... 42,200 112,094
Pacific Scientific Co. ............ 19,200 487,200
*Pacific Sunwear of California, Inc. 21,000 208,688
*Pages, Inc. ....................... 11,800 28,025
*Palfed, Inc. ...................... 17,000 213,563
Pamrapo Bancorp, Inc. ............. 4,700 109,863
Pancho's Mexican Buffet, Inc. ..... 27,100 77,913
*Par Technology Corp. .............. 29,000 261,000
*Paragon Trade Brands, Inc. ........ 1,200 25,050
Park Electrochemical Corp. ........ 19,400 589,275
*Park-Ohio Industries, Inc. ........ 6,000 77,625
*Parker Drilling Co. ............... 56,000 287,000
Parkvale Financial Corp. .......... 11,077 288,002
Patrick Industries, Inc. .......... 36,800 487,600
*Patten Corp. ...................... 85,994 408,472
*Payless Cashways, Inc. ............ 239,900 1,019,575
*Penn Treaty American Corp. ........ 26,300 414,225
Penn Virginia Corp. ............... 14,100 458,250
*Penril Datacomm Networks, Inc. .... 30,400 286,900
#Peoples Heritage Financial Group,
Inc. .............................. 76,000 1,596,000
Peoples Savings Financial Corp. ... 8,700 167,475
*Peoples Telephone Co., Inc. ....... 68,300 192,094
*Perfumania, Inc. .................. 36,000 193,500
*Perini Corp. ...................... 28,000 259,000
*Petrocorp, Inc. ................... 33,700 248,538
*Pharmchem Laboratories, Inc. ...... 22,200 106,838
Philadelphia Suburban Corp. ....... 48,882 940,979
Phillips-Van Heusen Corp. ......... 73,000 757,375
*Photo Control Corp. ............... 4,200 15,488
*Photronics, Inc. .................. 5,550 174,825
Piccadilly Cafeterias, Inc. ....... 46,400 481,400
Pilgrim Pride Corp. ............... 113,500 766,125
*Pinkertons, Inc. .................. 600 12,000
Pioneer Financial Services, Inc. .. 27,800 462,175
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
Piper Jaffray Companies, Inc. ..... 17,996 $ 229,449
Pitt-Des Moines, Inc. ............. 10,200 390,150
*Plains Resources, Inc. ............ 51,300 381,544
Ply-Gem Industries, Inc. DE ....... 17,600 321,200
*Polk Audio, Inc. .................. 4,900 47,163
*Polymedica Industries, Inc. ....... 41,840 292,880
*Pool Energy Services Co. .......... 58,658 531,588
Pope & Talbot, Inc. ............... 105,500 1,556,125
*#Porta Systems Corp. ............... 25,500 28,688
Portsmouth Bank Shares, Inc. ...... 23,737 347,154
Poughkeepsie Savings Bank FSB NY .. 23,000 109,250
*Powell Industries, Inc. ........... 49,000 361,375
Pre-Paid Legal Services, Inc. ..... 8,900 75,650
Premier Bancorp, Inc. ............. 40,000 940,000
Premier Financial Services, Inc. .. 18,400 163,300
*President Casinos, Inc. ........... 37,000 89,031
Presidential Life Corp. ........... 181,700 1,782,931
*Presley Companies Class A ......... 83,300 114,538
*Pride Petroleum Services, Inc. .... 69,900 694,631
*Primark Corp. ..................... 75,500 2,085,688
Prime Bancorp, Inc. ............... 14,370 289,196
Primesource Corp. ................. 5,254 33,494
*Printronix, Inc. .................. 15,000 270,000
*Procyte Corp. ..................... 69,100 166,272
*#Proffitts, Inc. ................... 68,500 1,840,938
*Progress Financial Corp. .......... 12,400 70,525
Progressive Bank, Inc. ............ 11,900 345,100
*Progroup, Inc. .................... 9,900 39,600
*Proler International Corp. ........ 21,300 159,750
Providence & Worcester Railroad
Co. ............................... 4,800 33,600
Provident Bankshares Corp. ........ 28,585 864,696
*Psicor, Inc. ...................... 16,300 283,213
Pulaski Furniture Corp. ........... 11,700 200,363
Pulse Bancorp, Inc. ............... 15,500 261,563
*QMS, Inc. ......................... 62,600 273,875
*Quad Systems Corp. ................ 9,800 80,850
Quaker Chemical Corp. ............. 10,500 170,625
*Quaker Fabric Corp. ............... 43,000 397,750
Quaker State Corp. ................ 43,400 585,900
Quanex Corp. ...................... 20,500 402,313
*#Quarterdeck Office Systems, Inc. .. 71,900 2,300,800
*Quest Medical, Inc. ............... 12,360 135,960
*Quiksilver, Inc. .................. 1,800 56,925
Quixote Corp. ..................... 12,000 96,000
*R & B, Inc. ....................... 30,100 199,413
RCSB Financial, Inc. .............. 61,600 1,478,400
RLI Corp. ......................... 31,650 759,600
*RPC Energy Services, Inc. ......... 18,100 144,800
RS Financial Corp. ................ 10,500 413,438
*Radius, Inc. ...................... 32,950 68,989
*Rag Shops, Inc. ................... 32,800 68,675
*#Rally's Hamburgers, Inc. .......... 55,100 89,538
*Ramsay Health Care, Inc. .......... 46,000 158,125
*Ramsay Managed Care, Inc. ......... 7,306 16,891
Raritan Bancorp, Inc. DE .......... 1,050 23,100
Rauch Industries, Inc. ............ 13,600 133,450
*#Raymond Corp. ..................... 3,969 81,365
*Readicare, Inc. ................... 14,000 41,125
*Reading Co. Class A ............... 22,336 203,816
*Redwood Empire Bancorp ............ 11,700 99,450
Refac Technology Development Corp. 10,200 71,400
*Regeneron Pharmaceuticals, Inc. ... 47,000 528,750
*Repligen Corp. .................... 30,200 38,694
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
Republic Automotive Parts, Inc. ... 13,500 $ 172,125
Republic Bancorp, Inc. ............ 26,136 302,198
*Republic Environmental Systems,
Inc. .............................. 18,980 71,175
Republic Savings Financial Corp. .. 2,300 12,938
*Rexel, Inc. ....................... 74,500 1,005,750
*Rexene Corp. ...................... 45,300 441,675
*Rexhall Industries, Inc. .......... 4,500 22,500
*Rexon, Inc. ....................... 34,400 3,763
*Rhodes, Inc. ...................... 28,200 289,050
Richardson Electronics, Ltd. ...... 41,400 377,775
*Riddell Sports, Inc. .............. 35,000 111,563
*Riggs National Corp. .............. 170,100 2,381,400
Riser Foods, Inc. Class A ......... 36,900 553,500
*Riverside Group, Inc. ............. 3,200 14,800
*#Roadmaster Industries, Inc. ....... 41,200 118,450
Roanoke Electric Steel Corp. ...... 14,700 218,663
Robinson Nugent, Inc. ............. 21,200 157,675
*Rocky Shoes & Boots, Inc. ......... 20,000 135,000
*Rodman & Renshaw Capital Group,
Inc. .............................. 17,300 30,275
*#Rohr, Inc. ........................ 110,300 1,613,138
*Rollins Environmental Services,
Inc. .............................. 178,634 535,902
Rollins Truck Leasing Corp. ....... 115,000 1,150,000
Ross Stores, Inc. ................. 60,092 1,153,015
Rouge Steel Co. Class A ........... 17,000 369,750
*Royal Appliance Manufacturing Co. . 17,000 53,125
*Royal Grip, Inc. .................. 6,400 27,200
Russ Berrie & Co., Inc. ........... 169,300 2,306,713
*Ryans Family Steak Houses, Inc. ... 29,300 217,919
Rykoff-Sexton, Inc. ............... 100,875 1,929,234
Ryland Group, Inc. ................ 72,064 891,792
*Rymer Foods, Inc. ................. 15,300 11,475
*#S&K Famous Brands, Inc. ........... 19,600 147,000
*SBE, Inc. ......................... 7,400 97,125
SCOR U.S. Corp. ................... 114,500 1,746,125
SFFED Corp. ....................... 34,700 1,084,375
SJW Corp. ......................... 400 13,900
SKI, Ltd. ......................... 19,900 273,625
*#SLM International, Inc. ........... 44,000 66,000
*SPS Technologies, Inc. ............ 42,300 1,919,363
SPX Corp. ......................... 101,700 1,639,913
*Safeguard Scientifics, Inc. ....... 10,500 519,750
Saint Ives Laboratories Corp. ..... 20,700 305,325
Saint Paul Bancorp, Inc. .......... 85,700 2,142,500
Salem Corp. ....................... 6,600 136,125
*San Filippo (John B.) & Son, Inc. . 38,700 348,300
Sanderson Farms, Inc. ............. 10,500 114,188
Sands Regent Casino Hotel ......... 36,000 207,000
*Santa Monica Bank CA .............. 37,000 462,500
Savannah Foods & Industries, Inc. . 3,278 40,360
*Savoy Pictures Entertainment, Inc. 98,200 589,200
*Schieb (Earl), Inc. ............... 17,500 122,500
*Schuler Homes, Inc. ............... 800 7,200
Schultz Sav-O Stores, Inc. ........ 10,200 154,275
*Scientific Software-Intercomp, Inc. 22,200 58,275
*Scios-Nova, Inc. .................. 203,000 786,625
Scope Industries, Inc. ............ 2,400 76,650
*Score Board, Inc. ................. 32,500 166,563
Seaboard Corp. .................... 100 24,869
*Seacor Holdings, Inc. ............. 35,000 800,625
Seafield Capital Corp. ............ 18,400 660,100
*Secom General Corp. ............... 14,400 38,700
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
Security Connecticut Corp. ........ 22,200 $ 566,100
*Seda Specialty Packaging Corp. .... 9,600 123,000
Selas Corp. of America ............ 15,000 123,750
Selective Insurance Group, Inc. ... 82,100 3,099,275
*Selfix, Inc. ...................... 4,900 26,338
*Sequa Corp. Class A ............... 39,500 1,150,438
*Serv-Tech, Inc. ................... 36,900 242,156
*Shaman Pharmaceuticals ............ 35,800 248,363
*Sharper Image Corp. ............... 21,500 134,375
Shelby Williams Industries, Inc. .. 8,000 101,000
*Shiloh Industries, Inc. ........... 17,200 193,500
*Shoe Carnival, Inc. ............... 97,000 394,063
*Sholodge, Inc. .................... 6,100 56,425
Shopko Stores, Inc. ............... 258,800 2,943,850
*Show Biz Pizza Time, Inc. ......... 94,400 1,203,600
Showboat, Inc. .................... 46,300 1,250,100
*Sifco Industries, Inc. ............ 22,600 100,288
*Sigma Designs, Inc. ............... 11,300 67,800
*Signal Technology Corp. ........... 28,400 159,750
*Silicon Valley Bancshares ......... 26,700 594,075
*Simmons Outdoor Corp. ............. 5,000 51,563
Sizzler International, Inc. ....... 212,700 824,213
Skyline Corp. ..................... 49,700 931,875
Skywest, Inc. ..................... 56,000 773,500
Smith (A.O.) Corp. ................ 118,500 2,814,375
*Smith Environmental Technologies
Corp. ............................. 18,300 78,919
*Softech, Inc. ..................... 17,000 64,813
*Software Publishing Corp. ......... 86,000 290,250
*Software Spectrum, Inc. ........... 15,500 307,094
*Solo Serve Corp. .................. 4,600 3,306
*Sound Advice, Inc. ................ 16,600 33,200
South Jersey Industries, Inc. ..... 47,077 1,006,271
*#Southdown, Inc. ................... 102,200 1,929,025
*Southwall Technologies, Inc. ...... 25,900 106,838
Southwest Bancshares, Inc. DE ..... 8,200 224,475
Southwestern Energy Co. ........... 34,900 453,700
*Southwestern Life Corp. ........... 1,400 55
*Spacelabs Medical, Inc. ........... 25,400 673,100
*Spaghetti Warehouse, Inc. ......... 44,800 218,400
Span-American Medical System, Inc. 13,200 76,725
*Sparton Corp. ..................... 33,300 137,363
*Spec's Music, Inc. ................ 22,100 49,725
*Specialty Chemical Resources, Inc. 23,000 60,375
*Spectran Corp. .................... 30,000 161,250
*Speizman Industries, Inc. ......... 26,500 77,844
*Sport Chalet, Inc. ................ 42,100 110,513
Sport Supply Group, Inc. .......... 12,000 87,000
*Sports & Recreation, Inc. ......... 147,000 1,029,000
*Stacey's Buffet, Inc. ............. 10,700 6,353
Stage II Apparel Corp. ............ 18,500 55,500
*Standard Commercial Corp. ......... 39,562 459,905
*Standard Microsystems Corp. ....... 32,300 666,188
Standard Motor Products, Inc.
Class A ........................... 54,600 819,000
Standard Pacific Corp. DE ......... 141,172 811,739
Standard Products Co. ............. 131,900 2,126,888
*Stanford Telecommunications, Inc. . 17,500 325,938
*Stanley Furniture, Inc. ........... 18,100 149,325
Stant Corp. ....................... 120,600 1,085,400
*Staodyn, Inc. ..................... 19,700 33,244
Starret Housing Corp. ............. 17,900 135,369
Starrett (L.S.) Co. Class A ....... 28,800 673,200
Steel Technologies, Inc. .......... 13,000 113,750
*Steel of West Virginia, Inc. ...... 44,000 440,000
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
Stepan Co. ........................ 82,100 $1,272,550
Sterling Bancorp .................. 28,100 309,100
*Sterling Financial Corp. WA ....... 22,080 298,080
*Stevens Graphics Corp. Class A .... 53,000 367,688
Stewart Information Services Corp. 27,800 618,550
Stifel Financial Corp. ............ 3,100 18,213
*Stokely USA, Inc. ................. 30,700 172,688
Stone & Webster, Inc. ............. 64,300 2,379,100
Strawbridge & Clothier Class A .... 42,881 954,102
Stride Rite Corp. ................. 5,700 49,875
*Stuart Entertainment, Inc. ........ 14,300 96,525
*Sulcus Computer Corp. ............. 45,400 93,638
Sullivan Dental Products, Inc. .... 38,000 349,125
Sumitomo Bank of California ....... 11,800 283,200
*Summagraphics Corp. ............... 18,900 36,028
Summit Bancorp, Inc. WA ........... 6,182 178,892
Summit Family Restaurants, Inc. ... 19,200 99,600
*Sun Sportswear, Inc. .............. 24,900 87,150
Sun Television and Appliances, Inc. 77,400 435,375
*Sunbelt Nursery Group, Inc. ....... 22,700 69,519
*Suncoast Savings & Loan
Association FSA ................... 15,200 96,663
*Sunrise Bancorp CA ................ 23,980 61,449
*Sunrise Leasing Corp. ............. 17,900 55,938
Super Food Services, Inc. ......... 65,500 835,125
Susquehanna Bancshares, Inc. ...... 70,510 2,053,604
*Swift Energy Corp. ................ 30,170 328,099
*Symix Systems, Inc. ............... 4,300 47,838
*Syms Corp. ........................ 74,300 566,538
*Syncor International Corp. DE ..... 40,400 287,850
*Syntellect, Inc. .................. 49,700 167,738
*Syquest Technology, Inc. .......... 40,200 429,638
TCBY Enterprises, Inc. ............ 111,666 474,581
*TCC Industries, Inc. .............. 6,500 16,250
*TCI International, Inc. ........... 14,000 129,500
#TJ International, Inc. ............ 100,800 1,776,600
*TPI Enterprises, Inc. ............. 98,400 338,250
*TRC Companies, Inc. ............... 26,600 156,275
*TRM Copy Centers Corp. ............ 38,000 368,125
*TSF Communications Corp. .......... 2,000 25,250
Tab Products Co. DE ............... 21,400 144,450
*Taco Cabana Inc. .................. 67,600 371,800
*Tandy Crafts, Inc. ................ 27,700 207,750
*Tanknology Environmental, Inc. .... 61,600 138,600
*Team, Inc. ........................ 20,500 48,688
*Tech-Sym Corp. .................... 23,300 696,088
Technitrol, Inc. .................. 3,000 58,500
*Technology Solutions Corp. ........ 34,400 584,800
*Tekelec ........................... 17,600 283,800
*Telco Systems, Inc. ............... 16,700 161,781
Telxon Corp. ...................... 22,500 528,750
*Tetra Technologies, Inc. .......... 37,900 625,350
Texas Industries, Inc. ............ 73,681 3,776,151
*Texfi Industries, Inc. ............ 29,100 83,663
Thiokol Corp. ..................... 61,800 2,093,475
Thomas Industries, Inc. ........... 70,500 1,436,438
Thomaston Mills, Inc. ............. 11,600 152,250
Thorn Apple Valley, Inc. .......... 22,815 376,448
*Tipperary Corp. ................... 40,000 170,000
Titan Holdings, Inc. .............. 26,460 360,518
Toastmaster, Inc. ................. 38,400 168,000
*Todd Shipyards Corp. .............. 51,800 310,800
Todd-AO Corp. Class A ............. 3,740 29,453
*#Tokos Medical Corp. ............... 22,800 185,250
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
Tower Air, Inc. ................... 110,000 $ 763,125
*Tracor, Inc. ...................... 29,700 445,500
*Trak Auto Corp. ................... 40,200 633,150
*Trans World Entertainment Corp. ... 54,900 144,113
*Transcend Services, Inc. .......... 20,100 97,988
Transport Leasing International,
Inc. .............................. 17,900 66,006
Transtechnology Corp. ............. 20,700 248,400
Treadco, Inc. ..................... 40,000 235,000
*Tremont Corp. DE .................. 31,733 527,561
#Trenwick Group, Inc. .............. 20,000 1,027,500
*Triangle Pacific Corp. ............ 30,000 478,125
*Tricord Systems, Inc. ............. 76,800 235,200
*Trimark Holdings, Inc. ............ 18,500 134,125
*Tripos, Inc. ...................... 16,166 125,287
*Trism, Inc. ....................... 36,000 279,000
*Truevision, Inc. .................. 31,700 231,806
*Tuboscope Vetco International, Inc. 111,400 654,475
*Tucker Drilling Co., Inc. ......... 6,600 50,738
*Tuesday Morning Corp. ............. 47,500 267,188
*Tultex Corp. ...................... 128,707 611,358
*Turner Corp. ...................... 20,532 189,921
Twin Disc, Inc. ................... 11,700 267,638
*Tyco Toys, Inc. ................... 208,200 1,145,100
*Tyler Corp. ....................... 107,300 375,550
U.S. Bancorp, Inc. ................ 20,500 643,188
*UNC, Inc. ......................... 108,600 610,875
UNR Industries, Inc. .............. 83,800 748,963
*URS Corp. ......................... 30,400 209,000
*US Servis, Inc. ................... 18,400 80,500
*USData Corp. ...................... 6,750 126,563
*USMX, Inc. ........................ 12,000 22,500
*UST Corp. ......................... 25,500 379,313
USX-Delhi Group ................... 50,000 512,500
Uni-Marts, Inc. ................... 25,700 234,513
Unico American Corp. .............. 25,800 156,413
*Union Corp. DE .................... 35,200 598,400
*Uniroyal Technology Corp. ......... 52,200 169,650
*Unit Corp. ........................ 80,900 313,488
Unit Instruments, Inc. ............ 15,400 215,600
United Carolina Bancshares Corp. .. 34,600 1,293,175
United Fire Casualty Co. .......... 300 10,800
United Industrial Corp. ........... 48,200 228,950
*United Retail Group, Inc. ......... 33,700 160,075
*United States Energy Corp. ........ 15,700 62,309
United States Facilities Corp. .... 14,500 317,188
*United States Home Corp. .......... 51,000 1,326,000
*United States Homecare Corp. ...... 32,800 82,000
United Stationers, Inc. ........... 4,656 104,178
*Unitel Video, Inc. ................ 10,000 51,875
*Universal Health Services, Inc.
Class B ........................... 48,100 1,984,125
*Universal International, Inc. ..... 21,000 105,000
*Universal Standard Medical Labs,
Inc. .............................. 2,000 9,625
*Uranuim Resources, Inc. ........... 57,000 313,500
*Utilx Corp. ....................... 31,400 66,725
*V Band Systems, Inc. .............. 24,100 35,397
*Valence Technology, Inc. .......... 120,000 540,000
*Vallen Corp. ...................... 55,800 1,220,625
Valley Forge Corp. ................ 6,900 124,200
Valley National Bancorp ........... 0 0
Vallicorp Holdings, Inc. .......... 7,200 97,200
*Value City Department Stores, Inc. 105,000 708,750
*Vans, Inc. ........................ 70,900 516,241
*Varco International, Inc. ......... 152,300 1,389,738
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
*Varitronic Systems, Inc. .......... 9,300 $ 90,675
#Varlen Corp. ...................... 1,980 51,728
*Ventura County National Bancorp ... 33,109 124,159
Venture Stores, Inc. .............. 135,679 491,836
Vermont Financial Services Corp. .. 7,300 231,775
*Versar, Inc. ...................... 1,300 4,631
*Vertex Communications Corp. ....... 25,000 387,500
*Vicorp Restaurants, Inc. .......... 61,000 697,688
Victoria Bankshares, Inc. ......... 21,200 694,300
*Video Display Corp. ............... 15,300 58,331
*Video Lottery Technologies, Inc. .. 46,900 187,600
Virco Manufacturing Corp. ......... 11,446 115,891
Virginia Beach Federal Financial
Corp. ............................. 22,000 174,625
*Volt Information Sciences, Inc. ... 12,600 330,750
*#WHX Corp. ......................... 122,300 1,345,300
WICOR, Inc. ....................... 25,000 768,750
WLR Foods, Inc. ................... 115,000 1,868,750
*WSMP, Inc. ........................ 2,000 9,625
Walbro Corp. ...................... 42,352 836,452
*Walker Interactive Systems, Inc. .. 47,600 357,000
Walshire Assurance Co. ............ 10,395 172,167
*Warner Insurance Services, Inc. ... 50,000 68,750
Warren Bancorp, Inc. .............. 14,000 149,625
*Washington Homes, Inc. ............ 44,900 224,500
Washington National Corp. ......... 74,500 1,843,875
Washington Savings Bank FSB
Waldorf, MD ....................... 17,700 97,350
Watkins-Johnson Co. ............... 11,900 539,963
Watsco, Inc. Class A .............. 11,450 188,925
Watts Industries, Inc. Class A .... 46,500 953,250
Webb (Del) Corp. .................. 61,788 1,251,207
Webster Financial Corp. ........... 21,280 550,620
*Wedco Technology, Inc. ............ 10,000 113,750
*Weirton Steel Corp. ............... 175,000 765,625
*Weitek Corp. ...................... 12,000 41,250
*Welcome Home, Inc. ................ 14,000 34,563
Wellco Enterprises, Inc. .......... 1,600 25,700
*Wells-Gardner Electronics Corp. ... 13,800 51,750
Westco Bancorp, Inc. .............. 6,600 180,675
Westcorp, Inc. .................... 44,625 870,188
*Western Beef, Inc. ................ 19,700 115,738
*Western Micro Technology, Inc. .... 12,300 69,956
*Western Waste Industries .......... 21,000 385,875
*Westmoreland Coal Co. ............. 20,600 51,500
*Weston (Roy F.), Inc. Class A ..... 31,700 178,313
*Wet Seal, Inc. Class A ............ 15,700 134,431
Weyco Group, Inc. ................. 800 31,400
*Whitehall Corp. ................... 700 24,588
Whitney Holdings Corp. ............ 50,671 1,564,467
*Whittaker Corp. ................... 17,800 315,950
*Williams Clayton Energy, Inc. ..... 12,000 28,500
Wilshire Oil Co. of Texas ......... 11,400 68,400
#Windmere Corp. .................... 126,200 757,200
Wiser Oil Co. ..................... 39,575 494,688
Wolohan Lumber Co. ................ 30,378 271,503
*Worldtex, Inc. .................... 91,100 512,438
Worthington Foods, Inc. ........... 10,600 169,600
Wyle Laboratories, Inc. ........... 33,200 1,307,250
*Wyman-Gordon Co. .................. 50,800 752,475
Wynns International, Inc. ......... 28,000 805,000
*Xicor, Inc. ....................... 55,100 421,859
Yankee Energy Systems, Inc. ....... 46,500 1,075,313
*Yellow Corp. ...................... 97,900 1,168,681
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
*Yes Clothing Co. .................. 3,400 $ 7,225
York Financial Corp. .............. 22,990 382,209
*Younkers, Inc. .................... 52,900 1,335,725
*Zale Corp. ........................ 76,200 1,266,825
*Zaring Homes, Inc. ................ 13,000 121,875
*Zemex Corp. ....................... 46,206 398,527
*#Zenith Electronics Corp. .......... 29,900 231,725
Zenith National Insurance Corp. ... 87,700 1,940,363
Ziegler Co., Inc. ................. 1,700 28,263
*#Zitel Corp. ....................... 37,000 409,313
Zurn Industries, Inc. ............. 99,900 2,447,550
*Zygo Corp. ........................ 12,600 362,250
*Zynaxis, Inc. ..................... 31,000 31,000
-------------
TOTAL COMMON STOCKS (Cost
$523,638,191) ...................... 612,949,233
-------------
RIGHTS/WARRANTS -- (0.0%)
*Advanced NMR Systems, Inc.
Warrants 08/30/00 ................. 5,920 0
*BJ Services Co. Warrants 01/15/15 . 1,800 8,775
*Jamesway Corp. Warrants 01/28/10 . 1,009 101
*Statesman Group, Inc. Contingent
Payment Rights .................... 37,500 0
-------------
TOTAL RIGHTS/WARRANTS (Cost $10,081) 8,876
-------------
Face
Amount
--------
(000)
TEMPORARY CASH INVESTMENTS --
(1.6%)
Repurchase Agreement, PNC
Securities Corp. 5.65%, 12/01/95
(Collateralized by U.S. Treasury
Notes 6.125%, 05/31/97)
(Cost $9,789,000) .............. $9,789 9,789,000
--------------
TOTAL INVESTMENTS -- (99.8%) (Cost
$533,437,272) .................... 622,747,109
--------------
OTHER ASSETS AND LIABILITIES --
(0.2%)
Other Assets ..................... 3,217,798
Liabilities ...................... (1,622,109)
--------------
1,595,689
--------------
NET ASSETS -- (100.0%) Applicable
to 44,539,600 Outstanding $.01 Par
Value Shares (Unlimited Number of
Shares Authorized) ............... $624,342,798
==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ....... $ 14.02
==============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
<PAGE>
STATEMENT OF NET ASSETS
THE U.S. LARGE CAP VALUE SERIES
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
COMMON STOCKS -- (98.7%)
*#AMR Corp. .................... 54,200 $ 4,153,075
Aetna Life & Casualty Co. .... 80,426 5,901,257
Ahmanson (H.F.) & Co. ........ 137,100 3,667,425
Albemarle Corp. .............. 43,200 793,800
Alexander & Baldwin, Inc. .... 44,000 1,056,000
Alleghany Corp. .............. 3,932 760,842
Allstate Corp. ............... 37,400 1,533,400
*Alumax, Inc. ................. 30,600 1,017,450
Aluminium Co. of America ..... 5,700 333,450
Ambac, Inc. .................. 23,100 1,019,287
*Amdahl Corp. ................. 84,433 802,114
#Amerada Hess Corp. ........... 66,100 3,139,750
American Financial Group, Inc. 36,300 1,089,000
#American General Corp. ....... 114,400 3,875,300
American National Insurance
Co. ........................ 17,900 1,096,375
American President Companies,
Ltd. ....................... 17,800 445,000
Apple Computer, Inc. ......... 79,300 3,028,269
Argonaut Group, Inc. ......... 15,900 524,700
Arvin Industries, Inc. ....... 9,100 160,387
Asarco, Inc. ................. 29,400 1,040,025
Ashland, Inc. ................ 45,100 1,572,863
Avnet, Inc. .................. 9,200 432,400
BHC Communications, Inc.
Class A .................... 4,400 396,550
Ball Corp. ................... 20,500 586,813
Bancorp Hawaii, Inc. ......... 24,700 907,725
Bank of Boston Corp. ......... 51,500 2,388,313
BankAmerica Corp. ............ 259,275 16,496,372
Bankers Trust New York Corp. . 55,700 3,613,537
Bear Stearns Companies, Inc. . 82,995 1,805,141
Berkley (W.R.) Corp. ......... 7,100 318,613
*Bethlehem Steel Corp. ........ 105,400 1,475,600
Block Drug Co., Inc. Class A . 7,764 298,919
Boatmen's Bancshares, Inc. ... 8,200 316,725
*Brunos, Inc. ................. 767 8,054
*Burlington Industries, Inc. .. 69,400 928,225
CIGNA Corp. .................. 51,508 5,665,880
*CNA Financial Corp. .......... 43,700 5,074,662
CSX Corp. .................... 74,700 6,545,587
*California Federal Bank FSB,
Los Angeles Class A ........ 33,800 515,450
*California Federal Bank FSB,
Los Angeles Goodwill
Securities (Representing 10
Shares) .................... 2,580 13,222
Centex Corp. ................. 18,500 608,187
Champion International Corp. . 106,500 5,018,812
Chase Manhattan Corp. ........ 104,600 6,367,525
Chemical Banking Corp. ....... 141,900 8,514,000
Chesapeake Corp. ............. 11,000 324,500
Chiquita Brands International,
Inc. ....................... 23,700 316,987
*Chris-Craft Industries, Inc. . 13,753 565,592
Chrysler Corp. ............... 447,413 23,209,549
Cincinnati Financial Corp. ... 41,315 2,546,037
Citicorp ..................... 132,100 9,346,075
Coca-Cola Enterprises, Inc. .. 92,100 2,670,900
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
Comdicso, Inc. ............... 19,800 $ 670,725
Comerica, Inc. ............... 50,200 1,876,225
Commerce Bancshares, Inc. .... 11,225 418,814
Comsat Corp. Series 1 ........ 32,800 635,500
Conrail, Inc. ................ 56,300 3,933,962
Coors (Adolph) Co. Class B ... 24,500 499,187
Countrywide Credit Industries,
Inc. ....................... 45,700 1,005,400
*Crown Vantage, Inc. .......... 4,820 82,543
#Cummins Engine Co., Inc. ..... 28,100 1,102,925
Cyprus Amax Minerals Co., Inc. 66,000 1,815,000
Diamond Shamrock, Inc. ....... 19,100 479,887
Dillard Department Stores,
Inc. Class A ............... 77,400 2,234,925
Dole Food, Inc. .............. 40,900 1,538,862
Enserch Corp. ................ 47,000 728,500
Equitable Companies, Inc. .... 47,500 1,181,562
Federal Paper Board Co., Inc. 31,500 1,638,000
*#Federated Department Stores,
Inc. ....................... 141,100 4,109,537
Fina, Inc. Class A ........... 19,200 936,000
Finova Group, Inc. ........... 17,900 868,150
First Chicago Corp. .......... 59,300 4,121,350
First Colony Corp. ........... 33,900 881,400
First Hawaiian, Inc. ......... 17,800 516,200
First Union Corp. ............ 75,000 4,096,875
First of America Bank Corp. .. 25,800 1,157,775
Fleming Companies, Inc. ...... 24,697 571,117
Florida East Coast Industries,
Inc. ....................... 4,600 311,075
Ford Motor Co. ............... 769,200 21,729,900
*Fund American Enterprises
Holdings, Inc. ............. 3,400 236,300
GATX Corp. ................... 20,700 1,009,125
General Motors Corp. ......... 535,200 25,957,200
General Motors Corp. Class H . 67,746 3,217,935
Golden West Financial Corp. .. 38,700 1,978,537
Goodrich (B.F.) Co. .......... 14,400 1,009,800
Goodyear Tire & Rubber Co. ... 60,000 2,542,500
Great Atlantic & Pacific Tea
Co., Inc. .................. 25,100 549,062
Great Western Financial Corp. 83,400 2,126,700
Helmerich & Payne, Inc. ...... 16,200 441,450
IMC Global, Inc. ............. 14,200 1,098,725
Inland Steel Industries, Inc. 32,500 849,062
International Paper Co. ...... 182,300 6,950,187
International Speciality
Products, Inc. ............. 69,800 698,000
#James River Corp. of Virginia 100,300 3,159,450
Jefferson-Pilot Corp. ........ 2,800 198,800
#K Mart Corp. ................. 566,500 4,390,375
*Kaiser Aluminum Corp. ........ 28,100 407,450
Kerr-McGee Corp. ............. 15,000 868,125
Lafarge Corp. ................ 41,400 802,125
#Lehman Brothers Holdings, Inc. 79,300 1,794,162
Liberty Corp. ................ 16,500 546,562
Lincoln National Corp. ....... 73,750 3,447,812
Loews Corp. .................. 40,600 6,232,100
Longs Drug Stores Corp. ...... 13,000 516,750
#Louisiana-Pacific Corp. ...... 76,600 2,068,200
MBIA, Inc. ................... 28,900 2,225,300
MCI Communications Corp. ..... 368,500 9,834,344
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
*#Magma Copper Co. ............. 32,000 $ 680,000
Mellon Bank Corp. ............ 55,600 2,974,600
Mercantile Stores Co., Inc. .. 24,112 1,121,207
Merrill Lynch & Co., Inc. .... 63,300 3,521,063
Midamerican Energy Co.. ...... 31,316 520,629
Midlantic Corp. .............. 22,500 1,351,406
Mitchell Energy & Development
Corp. Class A .............. 15,200 271,700
Mitchell Energy & Development
Corp. Class B .............. 18,900 333,113
Morgan (J.P.) & Co., Inc. .... 94,300 7,402,550
Murphy Oil Corp. ............. 31,100 1,224,563
NationsBank Corp. ............ 148,700 10,613,463
*Nextel Communications Corp.
Class A .................... 69,800 1,068,813
Norfolk Southern Corp. ....... 93,800 7,386,750
Nynex Corp. .................. 3,100 153,838
#Occidental Petroleum Corp. ... 227,900 5,042,288
Ogden Corp. .................. 33,596 713,915
Ohio Casualty Corp. .......... 19,700 738,750
Old Republic International
Corp. ....................... 35,500 1,220,313
*Oryx Energy Co. .............. 49,500 649,688
Overseas Shipholding Group,
Inc. ....................... 23,900 478,000
PHH Corp. .................... 11,000 503,250
#PNC Bank Corp. ............... 134,600 3,937,050
Paine Webber Group, Inc. ..... 65,200 1,458,850
Pennzoil Co. ................. 31,700 1,256,113
*Petrie Stores Corp. .......... 21,500 61,813
Potlatch Corp. ............... 19,200 775,200
Providian Corp. .............. 65,800 2,640,225
Pulte Corp. .................. 17,600 541,200
RJR Nabisco Holdings Corp. ... 195,080 5,681,705
Republic New York Corp. ...... 25,400 1,600,200
Reynolds Metals Co. .......... 43,600 2,517,900
*Rowan Companies, Inc. ........ 25,000 187,500
#Ryder System, Inc. ........... 56,000 1,337,000
Safeco Corp. ................. 41,200 2,932,925
Saint Paul Companies, Inc. ... 43,100 2,413,600
Salomon, Inc. ................ 75,600 2,749,950
Shawmut National Corp. ....... 49,100 1,841,250
Smiths Food & Drug Centers,
Inc. Class B ............... 8,000 193,000
Southern New England
Telecommunications Corp. ... 42,800 1,551,500
Springs Industries, Inc.
Class A .................... 13,300 558,600
Standard Federal
Bancorporation, Inc. ........ 15,100 579,463
*Storage Technology Corp. ..... 36,300 898,425
#Sun Company, Inc. ............ 64,080 1,778,220
TIG Holdings, Inc. ........... 44,100 1,190,700
Tecumseh Products Co. Class A 11,000 578,875
Textron, Inc. ................ 37,500 2,873,438
Times Mirror Co. Class A ..... 74,600 2,424,500
Timken Co. ................... 36,400 1,469,650
*Toys 'R' Us, Inc. ............ 2,150 49,988
Transamerica Corp. ........... 47,000 3,601,375
*Transport Holdings, Inc.
Class A .................... 363 13,976
Tyson Foods, Inc. Class A .... 48,400 1,152,525
UMB Financial Corp. .......... 11,300 494,375
UNUM Corp. ................... 31,000 1,677,875
*USAir Group, Inc. ............ 12,300 164,513
USF&G Corp. .................. 22,000 379,500
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares Value+
------ ------
USLIFE Corp. ................. 23,500 $ 678,563
USX-Marathon Group, Inc. ..... 205,850 3,782,494
USX-US Steel Group ........... 95,300 3,109,163
Union Bank San Francisco, CA . 19,800 1,014,750
Union Camp Corp. ............. 41,200 2,023,950
Union Pacific Corp. .......... 104,800 7,100,200
*Unisys Corp. ................. 119,800 778,700
Unitrin, Inc. ................ 29,900 1,401,563
Valero Energy Corp. .......... 30,000 776,250
*Vons Companies, Inc. ......... 25,600 678,400
Washington Mutual, Inc. ...... 47,000 1,324,813
Wesco Financial Corp. ........ 4,000 656,000
Westinghouse Electric Corp. .. 4,100 69,188
Westvaco Corp. ............... 71,950 1,969,631
#Woolworth Corp. .............. 128,700 1,930,500
Yellow Corp. ................. 11,500 137,281
-------------
TOTAL COMMON STOCKS (Cost
$352,885,601) ............... 417,547,579
-------------
Face
Amount
--------
(000)
TEMPORARY CASH INVESTMENTS -- (3.1%)
Repurchase Agreement, PNC
Securi ties Corp. 5.65%, 12/01/95
(Collateralized by U.S.
Treasury Notes 6.125%,
05/31/97) (Cost $13,115,000) $13,115 13,115,000
------------
TOTAL INVESTMENTS -- (101.8%) (Cost
$366,000,601) ..................... 430,662,579
--------------
OTHER ASSETS AND LIABILITIES --
(-1.8%)
Other Assets ..................... 1,447,444
Liabilities ...................... (9,082,706)
--------------
(7,635,262)
--------------
NET ASSETS -- (100.0%) Applicable to
31,825,344 Outstanding $.01 Par
Value Shares (Unlimited Number of
Shares Authorized) ................ $423,027,317
==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ........ $ 13.29
==============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
<PAGE>
STATEMENT OF NET ASSETS
THE DFA ONE-YEAR FIXED INCOME SERIES
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Face
Amount Value+
--------- --------------
(000)
COMMERCIAL PAPER -- (66.1%)
Banc One Corp. C.P.
<S> <C> <C>
5.800%, 12/01/95 .................. $ 4,000 $ 3,999,364
5.750%, 01/08/96 .................. 15,000 14,907,212
Bayerische Landensbank C.P.
5.720%, 01/05/96 .................. 19,000 18,891,510
Beta Finance, Inc. C.P.
5.750%, 01/12/96 .................. 19,000 18,870,414
Caisse des Depots et Consignments
C.P.
5.720%, 12/04/95 .................. 15,000 14,990,466
5.730%, 12/08/95 .................. 5,335 5,328,218
Cargill, Inc. C.P.
5.700%, 12/04/95 .................. 3,000 2,998,093
5.720%, 01/03/96 .................. 19,000 18,897,356
Ciesco L.P. C.P.
5.720%, 01/09/96 .................. 8,000 7,936,555
5.700%, 01/22/96 .................. 8,000 7,932,749
5.700%, 01/23/96 .................. 3,000 2,974,305
Commerzbank U.S. Finance, Inc. C.P.
5.710%, 12/22/95 .................. 2,000 1,993,009
5.700%, 01/12/96 .................. 18,000 17,877,235
Corporate Asset Funding Co., C.P.
5.720%, 12/01/95 .................. 11,000 10,998,252
Dreyfus (Louis) Corp. C.P.
5.770%, 01/12/96 .................. 4,000 3,972,719
Enterprise Capital Funding C.P.
5.740%, 12/04/95 .................. 3,000 2,998,093
Equipment Intermediation Partnership
L.P. C.P.
5.790%, 12/07/95 .................. 10,000 9,988,877
5.770%, 12/07/95 .................. 9,000 8,989,200
Export Development Corp. C.P.
5.730%, 12/05/95 .................. 20,000 19,984,110
Fleet Funding Corp. C.P.
5.720%, 12/21/95 .................. 4,915 4,898,600
5.720%, 12/22/95 .................. 2,000 1,993,009
Ford Motor Credit Corp. C.P.
5.710%, 12/01/95 .................. 3,000 2,999,521
5.720%, 01/11/96 .................. 9,000 8,940,045
General Electric Capital Corp. C.P.
5.710%, 12/05/95 .................. 3,000 2,997,617
5.720%, 12/12/95 .................. 3,000 2,994,280
Glaxo Wellcome P.L.C. C.P.
5.720%, 01/19/96 .................. 20,000 19,863,594
Hahn Issuing Corp. C.P.
5.720%, 12/04/95 .................. 14,000 13,991,102
5.730%, 12/08/95 .................. 5,000 4,993,644
5.740%, 12/18/95 .................. 10,000 9,971,400
Halifax Building Society C.P.
5.720%, 01/03/96 .................. 19,000 18,897,356
McKenna Triangle National Corp. C.P.
5.720%, 01/11/96 .................. 10,000 9,933,383
5.720%, 01/19/96 .................. 9,000 8,928,625
Michelin Tire Corp. C.P.
5.720%, 12/28/95 .................. 3,000 2,986,653
Paccar Financial Corp. C.P.
5.730%, 12/12/95 .................. 2,000 1,996,187
5.740%, 12/14/95 .................. 7,850 7,832,538
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED Face
Amount Value+
--------- --------------
(000)
Panasonic Finance, Inc. C.P.
5.730%, 12/14/95 .................. $20,000 $ 19,955,511
Rabobank Nederlands C.P.
5.710%, 12/11/95 .................. 5,000 4,991,200
Sandoz Corp. C.P.
5.720%, 01/11/96 .................. 15,000 14,900,075
Sheffield Receivables Corp. C.P.
5.750%, 12/01/95 .................. 15,000 14,997,617
5.750%, 12/20/95 .................. 5,000 4,984,111
Siemens Corp. C.P.
5.700%, 12/15/95 .................. 6,000 5,985,700
Sigma Finance Corp. C.P.
5.800%, 01/02/96 .................. 6,000 5,968,540
5.730%, 01/05/96 .................. 7,000 6,959,820
5.730%, 01/30/96 .................. 5,200 5,149,688
Stanley Works C.P.
5.720%, 12/20/95 .................. 5,000 4,984,111
5.720%, 01/29/96 .................. 9,000 8,914,350
Toronto Dominion Holding USA, Inc.
C.P.
5.700%, 02/01/96 .................. 10,000 9,900,075
UBS Finance Delaware, Inc. C.P.
5.750%, 12/05/95 .................. 20,000 19,984,110
USAA Capital Corp. C.P.
5.700%, 12/11/95 .................. 10,000 9,982,522
United Parcel Service C.P.
5.700%, 12/06/95 .................. 4,900 4,895,327
Wal-Mart Stores, Inc. C.P.
5.740%, 12/05/95 .................. 5,150 5,145,907
--------------
TOTAL COMMERCIAL PAPER
(Cost $466,506,210) ............... 466,443,955
--------------
BONDS AND CERTIFICATES OF
DEPOSIT -- (28.6%)
AT&T Capital Corp. Medium Term Notes
6.640%, 05/22/96 .................. 9,500 9,541,866
AT&T Corp. Medium Term Notes
4.500%, 02/15/96 .................. 6,000 5,983,854
Abbey National Treasury Services
P.L.C. Medium Term Notes
7.620%, 12/22/95 .................. 17,000 17,016,796
American International Group, Inc.
Medium Term Notes
7.700%, 03/15/96 .................. 12,200 12,268,369
Associates Corp. of North America
Medium Term Notes
8.730%, 04/05/96 .................. 2,100 2,121,053
4.750%, 08/01/96 .................. 5,000 4,970,470
Bankers Trust N.Y. Corp. Corporate
Bonds
4.700%, 07/01/96 .................. 11,200 11,110,478
Deutsche Bank AG (New York)
Certificates of Deposit
5.770%, 01/19/96 .................. 16,000 15,998,922
Gannet Co., Inc. Corporate Bonds
9.550%, 02/01/96 .................. 3,300 3,319,889
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED Face
Amount Value+
--------- --------------
(000)
Johnson & Johnson Medium Term Notes
8.000%, 03/20/96 .................. $ 7,000 $ 7,046,935
KFW International Finance, Inc.
Medium Term Notes
6.750%, 01/10/96 .................. 11,000 11,012,276
Merck & Co., Inc. Medium Term Notes
7.750%, 05/01/96 .................. 5,000 5,042,565
NBD Bank N.A. Bank Notes
4.150%, 01/31/96 .................. 5,000 4,984,715
Northern Trust Co. Medium Term Notes
5.730%, 12/14/95 .................. 20,000 20,000,320
Ontario (Province of) Corporate
Bonds
8.250%, 04/08/96 .................. 15,000 15,125,160
Paccar Financial Corp. Medium Term
Notes
4.500%, 07/01/96 .................. 5,000 4,966,160
4.800%, 08/20/96 .................. 5,000 4,970,120
Rabobank Nederland Deposit Notes
6.040%, 01/25/96 .................. 4,000 4,000,175
6.390%, 06/25/96 .................. 4,000 4,013,975
Republic National Bank of New York
Bank Notes
8.375%, 05/01/96 .................. 4,000 4,041,544
Shell Oil Co. Corporate Bonds
7.700%, 02/01/96 .................. 10,000 10,033,060
Smithkline Beecham Corp. Medium Term
Notes
5.250%, 01/19/96 .................. 5,000 4,996,605
5.250%, 01/26/96 .................. 2,000 1,998,314
WMX Technologies, Inc. Corporate
Bonds
4.875%, 06/15/96 .................. 15,000 14,935,290
Waste Management, Inc. Corporate
Bonds
4.625%, 04/14/96 .................. 2,000 1,991,644
--------------
TOTAL BONDS AND CERTIFICATES OF
DEPOSIT (Cost $201,133,565) ....... 201,490,555
--------------
TEMPORARY CASH INVESTMENTS --
(1.1%)
Repurchase Agreement, PNC
Securities Corp. 5.65%, 12/01/95
(Collateralized by U.S. Treasury
Notes
6.125%, 05/31/97)
(Cost $8,071,000) ................. $ 8,071 $ 8,071,000
--------------
TOTAL INVESTMENTS -- (95.8%) (Cost
$675,710,775) ..................... 676,005,510
--------------
OTHER ASSETS AND LIABILITIES --
(4.2%)
Other Assets ....................... 29,627,498
Liabilities ........................ (79,405)
--------------
29,548,093
--------------
NET ASSETS -- (100.0%) Applicable to
70,587,340 Outstanding $.01 Par
Value Shares (Unlimited Number of
Shares Authorized) ................ $705,553,603
==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ........ $ 10.00
==============
</TABLE>
- ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements
<PAGE>
STATEMENT OF NET ASSETS
THE DFA INTERNATIONAL VALUE SERIES
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Shares Value+
----------- -------------
<S> <C> <C>
JAPAN -- (38.5%)
COMMON STOCKS -- (37.7%)
Achilles Corp. ................. 25,000 $ 92,857
Aica Kogyo Co., Ltd. ........... 16,000 102,463
Aichi Machine Industry Co., Ltd. 22,000 125,714
Aichi Steel Works, Ltd. ........ 67,000 369,655
Aida Engineering, Ltd. ......... 34,000 283,054
Aisin Seiki Co., Ltd. .......... 84,000 1,108,966
Alps Electric Co., Ltd. ........ 34,000 368,473
Amada Co., Ltd. ................ 104,000 1,055,369
Amada Metrecs Co., Ltd. ........ 23,000 355,764
Amada Sonoike Co., Ltd. ........ 32,000 203,665
Ando Corp. ..................... 12,000 60,414
*Aoki Corp. ..................... 147,000 602,483
Aoki International Co., Ltd. ... 12,000 284,926
#Aomori Bank, Ltd. .............. 33,000 182,069
Aoyama Trading Co., Ltd. ....... 26,800 773,635
#Asahi Breweries, Ltd. .......... 133,000 1,546,207
#Asahi Denka Kogyo KK ........... 25,000 212,808
Asahi Organic Chemicals Industry
Co., Ltd. .................... 16,000 121,379
Asanuma Corp. .................. 17,000 86,256
Ashikaga Bank, Ltd. ............ 230,000 1,341,478
*Asics Corp. .................... 60,000 162,562
Atsugi Nylon Industrial Co.,
Ltd. .......................... 87,000 372,857
#Awa Bank, Ltd. ................. 26,000 171,626
#Bandai Co., Ltd. ............... 8,000 301,084
Bank of Iwate, Ltd. ............ 3,000 161,084
Bank of Kyoto, Ltd. ............ 68,000 415,369
Bank of Nagoya, Ltd. ........... 29,000 197,714
Bank of Okinawa, Ltd. .......... 2,000 66,995
#Bank of Osaka, Ltd. ............ 43,000 127,094
Bank of the Ryukyus, Ltd. ...... 2,000 72,906
Best Denki Co., Ltd. ........... 3,000 41,675
Brother Industries, Ltd. ....... 96,000 481,419
#Bunka Shutter Co., Ltd. ........ 27,000 208,020
CMK Corp. ...................... 13,000 189,557
CSK Corp. ...................... 23,000 713,793
Calpis Food Industry Co., Ltd. . 16,000 109,241
Calsonic Corp. ................. 19,000 131,783
#Canon Sales Co., Inc. .......... 24,000 595,862
#Casio Computer Co., Ltd. ....... 55,000 489,852
*Central Finance Co., Ltd. ...... 37,000 156,749
*Central Glass Co., Ltd. ........ 30,000 96,059
Chiba Bank, Ltd. ............... 121,000 1,066,946
Chiba Kogyo Bank, Ltd. ......... 4,400 161,695
Chiyoda Fire and Marine
Insurance Co., Ltd. .......... 55,000 305,616
Chudenko Corp. ................. 10,000 345,813
*#Chuetsu Pulp and Paper Co.,
Ltd. ......................... 20,000 117,438
Chugoku Bank, Ltd. ............. 38,000 647,685
Chukyo Coca-Cola Bottling Co.,
Ltd. ......................... 6,000 57,931
Chukyo Sogo Bank, Ltd. ......... 29,000 149,429
#Chuo Trust and Banking Co.,
Ltd. ......................... 80,000 634,483
Citizen Watch Co., Ltd. ........ 112,000 825,379
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
----------- -------------
Cleanup Corp. .................. 7,000 $ 93,793
*Cosmo Securities Co., Ltd. ..... 35,000 112,069
Dai Tokyo Fire & Marine
Insurance Co., Ltd. .......... 127,000 819,557
*Dai-Ichi Securities Co., Ltd. .. 27,000 90,177
Daicel Chemical Industries, Ltd. 94,000 534,365
Daido Steel Co., Ltd. .......... 66,000 332,926
Daiei OMC, Inc. ................ 34,000 194,286
Daiichi Corp. Hiroshima ........ 15,000 307,389
Daikin Industries, Ltd. ........ 42,000 380,690
Daikyo, Inc. ................... 68,000 489,064
#Daio Paper Corp. ............... 22,000 303,448
Daisan Bank, Ltd. .............. 25,000 144,089
*Daiwa Danchi Co., Ltd. ......... 33,000 164,187
#Daiwa House Industry Co., Ltd. 90,000 1,347,783
Daiwa Kosho Lease Co., Ltd. .... 26,000 255,645
Daiwa Securities Co., Ltd. ..... 302,000 4,195,271
*Daiwabo Co., Ltd. .............. 22,000 68,059
Dowa Fire & Marine Insurance
Co., Ltd. .................... 98,000 497,241
Ehime Bank, Ltd. ............... 45,000 202,611
Eighteenth Bank, Ltd. .......... 32,000 286,266
Ezaki Glico Co., Ltd. .......... 47,000 391,281
Fuji Denki Reiki Co., Ltd. ..... 6,000 70,936
Fuji Fire & Marine Insurance
Co., Ltd. .................... 45,000 226,108
Fuji Oil Co., Ltd. ............. 31,000 201,576
Fuji Photo Film Co., Ltd. ...... 198,000 4,915,862
Fujisawa Pharmaceutical Co.,
Ltd. ......................... 30,000 276,059
Fujita Corp. ................... 191,000 867,498
Fujitsu, Ltd. .................. 142,000 1,678,818
Fukuda Corp. ................... 9,000 84,148
Fukui Bank, Ltd. ............... 47,000 250,512
Fukuoka City Bank, Ltd. ........ 68,000 515,862
#Fukutoku Bank, Ltd. ............ 27,000 61,182
Futaba Corp. ................... 10,000 454,187
#Futaba Industrial Co., Ltd. .... 22,000 340,296
*Gakken Co., Ltd. ............... 30,000 174,384
Godo Steel, Ltd. ............... 60,000 316,256
Gun-Ei Chemical Industry Co.,
Ltd. ......................... 22,000 110,542
Gunze, Ltd. .................... 75,000 450,739
*Hanshin Electric Railway Co.,
Ltd. ......................... 112,000 386,207
*Hanwa Co., Ltd. ................ 147,000 485,172
Haseko Corp. ................... 149,000 507,921
Hazama Corp. ................... 100,000 422,660
Hiroshima Bank, Ltd. ........... 180,000 922,167
Hiroshima-Sogo Bank, Ltd. ...... 23,000 142,985
Hitachi Cable, Ltd. ............ 69,000 491,498
Hitachi Construction Machinery
Co., Ltd. .................... 9,000 106,404
Hitachi Koki Co., Ltd. ......... 43,000 399,921
Hitachi Maxell, Ltd. ........... 37,000 586,897
Hitachi Plant Engineering &
Construction Co., Ltd. ....... 22,000 160,177
Hitachi Transport System, Ltd. . 41,000 358,700
Hitachi, Ltd. .................. 1,284,000 13,029,755
Hokkai Can Co., Ltd., Tokyo .... 12,000 81,576
Hokkaido Bank, Ltd. ............ 128,000 402,286
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
----------- -------------
Hokkaido Takushoku Bank, Ltd.,
Takugin ...................... 359,000 $ 951,438
Hokuetsu Bank .................. 32,000 168,039
Hokuriku Bank, Ltd. ............ 253,000 1,570,345
Hokuriku Electric Power Co.,
Inc. .......................... 12,240 285,801
Hokuriku Seiyaku Co., Ltd. ..... 10,000 181,281
Honda Motor Co., Ltd. .......... 239,000 4,332,611
Horiba, Ltd. ................... 6,000 76,847
House Foods Corp. .............. 36,000 638,424
Hyakugo Bank, Ltd. ............. 51,000 296,453
Hyakujushi Bank, Ltd. .......... 58,000 371,429
*Hyogo Bank, Ltd. ............... 102,000 1,005
#Ibiden Co., Ltd. ............... 20,000 153,695
Ikegami Tsushinki Co., Ltd. .... 8,000 51,074
Inax Corp. ..................... 85,000 812,315
*Ines Corp. ..................... 16,000 247,488
Intec, Inc. .................... 13,000 221,576
*#Ishihara Sangyo Kaisha, Ltd. ... 69,000 205,300
Itochu Corp. ................... 94,000 625,123
Itochu Fuel Corp. .............. 30,000 246,798
Itoham Foods, Inc. ............. 88,000 648,512
#Izumiya Co., Ltd. .............. 41,000 630,148
Japan Pulp and Paper Co., Ltd. . 16,800 99,310
*Japan Steel Works, Ltd. ........ 81,000 209,882
#Japan Synthetic Rubber Co., Ltd. 65,000 397,685
Japan Vilene Co., Ltd. ......... 16,000 94,581
Japan Wool Textile Co., Ltd. ... 34,000 256,591
Joshin Denki Co., Ltd. ......... 15,000 186,207
Juroku Bank, Ltd. .............. 88,000 449,103
Kagoshima Bank, Ltd. ........... 56,000 430,345
Kaneka Corp. ................... 55,000 365,764
Kanematsu Corp. ................ 91,000 374,759
Kansai Paint Co., Ltd., Osaka .. 18,000 79,803
Kanto Auto Works, Ltd.,
Yokosuka ..................... 10,000 67,980
Kanto Natural Gas Development
Co., Ltd. .................... 11,000 72,611
Kasuga Electric Works, Ltd. .... 31,000 464,236
#Kasumi Co., Ltd. ............... 10,000 101,478
Katokichi Co., Ltd. ............ 19,000 357,537
*Kawasho Corp. .................. 21,000 83,793
Keiyo Bank, Ltd. ............... 111,000 564,296
Keiyo Co., Ltd. ................ 19,000 175,025
Kikkoman Corp. ................. 34,000 253,911
Kinden Corp. ................... 41,000 674,581
Kinseki, Ltd. .................. 6,000 84,532
Kitz Corp. ..................... 38,000 180,453
Kiyo Bank, Ltd. ................ 107,000 536,581
Koa Fire & Marine Insurance Co.,
Ltd. ......................... 45,000 250,936
Koa Oil Co., Ltd. .............. 4,000 26,207
Koito Manufacturing Co., Ltd. .. 10,000 69,458
Kokusai Denshin Denwa Co.,
Ltd., Tokyo .................. 11,800 988,177
#Kokusai Securities Co., Ltd. ... 71,000 1,028,276
Komatsu Forklift Co., Ltd.,
Tochigi ...................... 32,000 215,015
#Komatsu, Ltd. .................. 343,000 2,703,448
Komori Corp. ................... 20,000 472,906
#Konami Co., Ltd. ............... 4,000 108,374
Konica Corp. ................... 66,000 425,911
Kosei Securities Co., Ltd. ..... 4,000 18,483
#Koyo Seiko Co., Ltd. ........... 37,000 331,360
Kumagai Gumi Co., Ltd. ......... 263,000 1,041,635
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
----------- -------------
Kurabo Industries, Ltd. ........ 96,000 $ 346,167
Kureha Chemical Industry Co.,
Ltd. ......................... 79,000 348,690
Kurimoto, Ltd. ................. 54,000 547,980
#Kyudenko Corp. ................. 29,000 377,143
#Lintec Corp. ................... 11,000 183,153
#Long Term Credit Bank of Japan,
Ltd. ......................... 161,000 1,330,828
#Maeda Corp. .................... 64,000 655,764
*Makino Milling Machine Co., Ltd. 16,000 135,567
Makita Corp. ................... 57,000 825,517
Marubeni Corp. ................. 248,000 1,319,409
Marudai Food Co., Ltd. ......... 47,000 334,325
Maruetsu, Inc. ................. 50,000 408,374
Marui Co., Ltd. ................ 93,000 1,740,888
Maruichi Steel Tube, Ltd. ...... 23,000 423,744
Marusan Securities Co., Ltd. ... 29,000 240,857
Maruzen Showa Unyu Co., Ltd. ... 18,000 102,680
Matsushita Electric Industrial
Co., Ltd. .................... 809,000 12,035,369
#Matsushita Electric Works, Ltd. 134,000 1,386,207
Matsushita Refrigeration Co. ... 25,000 178,079
Matsushita Seiko Co., Ltd. ..... 35,000 251,724
*#Mazda Motor Corp. .............. 405,000 1,476,355
Meija Seika Kaisha, Ltd. Tokyo . 73,000 430,089
Michinoku Bank, Ltd. ........... 24,000 196,256
Mitsubishi Chemical Corp. ...... 800 3,909
Mitsubishi Electric Corp. ...... 148,000 1,102,345
Mitsubishi Gas Chemical Co.,
Inc. ......................... 125,000 554,187
Mitsubishi Materials Corp. ..... 214,000 1,079,488
Mitsubishi Paper Mills, Ltd. ... 27,000 166,788
Mitsubishi Rayon Co., Ltd. ..... 70,000 284,828
Mitsui Fudosan Co., Ltd. ....... 247,000 3,066,207
Mitsui Petrochemical Industries,
Ltd. ......................... 59,000 492,345
Mitsui Trust & Banking Co., Ltd. 81,000 761,320
Mitsuuroko Co., Ltd. ........... 12,000 85,005
Miyazaki Bank, Ltd. ............ 34,000 219,074
Mizuno Corp. ................... 44,000 373,241
Musashino Bank, Ltd. ........... 4,700 224,581
NHK Spring Co., Ltd. ........... 46,000 228,867
NOK Corp. ...................... 28,000 195,862
NSK, Ltd. ...................... 102,000 720,532
NTN Corp. ...................... 85,000 563,596
Nagase & Co., Ltd. ............. 52,000 440,591
Naigai Co., Ltd. ............... 12,000 52,138
Nakayama Steel Works, Ltd. ..... 42,000 221,379
*#New Japan Securities Co., Ltd. . 154,000 823,862
Nichicon Corp. ................. 32,000 485,517
Nichido Fire & Marine Insurance
Co., Ltd. .................... 31,000 240,670
Nichiei Construction Co., Ltd. . 21,000 176,690
#Nichii Co., Ltd. ............... 77,000 963,448
Nichimen Corp. ................. 151,000 601,025
Nifco, Inc. .................... 21,000 256,552
Nihon Cement Co., Ltd. ......... 100,000 664,039
Nihon Nohyaku Co., Ltd. ........ 7,000 54,138
Nikko Securities Co., Ltd. ..... 257,000 2,835,862
Nippon Beet Sugar Manufacturing
Co., Ltd. .................... 48,000 210,443
*Nippon Chemi-Con Corp. ......... 37,000 251,527
#Nippon Credit Bank, Ltd. ....... 652,000 2,569,458
Nippon Densetsu Kogyo Co., Ltd. 26,000 246,936
Nippon Flour Mills Co., Ltd. ... 21,000 103,448
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
----------- -------------
Nippon Hodo Co., Ltd. .......... 23,000 $ 360,296
Nippon Kakayu Co., Ltd. ........ 36,000 223,448
Nippon Meat Packers, Inc.,
Osaka ........................ 71,000 1,007,291
Nippon Metal Industry Co., Ltd. 31,000 122,778
Nippon Oil Co., Ltd. ........... 474,000 2,615,172
Nippon Paint Co., Ltd., Osaka .. 102,000 495,429
Nippon Road Co., Ltd. .......... 32,000 262,936
Nippon Sanso Corp. ............. 56,000 266,483
Nippon Sheet Glass Co., Ltd. ... 169,000 755,921
Nippon Shinpan Co., Ltd., Tokyo 108,000 711,842
*Nippon Suisan Kaisha, Ltd. ..... 49,000 194,069
#Nippon Synthetic Chemical
Industry Co., Ltd. ........... 18,000 102,502
Nippon Thompson Co., Ltd. ...... 16,000 139,507
*Nippon Yakin Kogyo Co., Ltd. ... 29,000 130,571
*Nissan Diesel Motor Co., Ltd. .. 23,000 97,212
Nissan Motor Co., Ltd. ......... 647,000 4,774,414
Nissan Shatai Co., Ltd. ........ 48,000 260,099
Nissei Sangyo Co., Ltd. ........ 30,000 502,463
Nisshin Oil Mills, Ltd. ........ 57,000 415,567
Nisshin Steel Co., Ltd. ........ 66,000 271,803
Nisshinbo Industries, Inc. ..... 91,000 835,586
Nissin Food Products Co., Ltd. . 24,000 550,936
Nittetsu Mining Co., Ltd. ...... 23,000 213,911
*Nitto Boseki Co., Ltd. ......... 43,000 122,433
#Nitto Denko Corp. .............. 25,000 396,552
Noritz Corp. ................... 17,000 286,404
North Pacific Bank, Ltd. ....... 34,000 171,172
OSG Manufacturing Co., Ltd. .... 14,000 93,655
#Ogaki Kyoritsu Bank, Ltd. ...... 50,000 276,355
Oita Bank, Ltd. ................ 9,000 72,266
Okamura Corp. .................. 16,000 114,759
*Okasan Securities Co., Ltd. .... 56,000 246,621
#Okumura Corp. .................. 43,000 391,872
Okura Industrial Co., Ltd. ..... 12,000 81,576
Olympus Optical Co., Ltd. ...... 94,000 898,325
#Optec Dai-Ichi Denko Co., Ltd. . 13,000 64,424
#Parco Co., Ltd. ................ 9,000 93,103
*Pasco Corp. .................... 16,000 64,946
Pioneer Electronic Corp. ....... 67,000 1,168,374
Q.P. Corp. ..................... 39,000 320,837
#Rengo Co., Ltd. ................ 48,000 336,236
*Renown, Inc. ................... 104,000 338,128
Rhythm Watch Co., Ltd. ......... 29,000 102,286
Ricoh Co., Ltd., Tokyo ......... 164,000 1,680,394
Royal Co., Ltd. ................ 15,000 229,064
#Ryosan Co., Ltd. ............... 7,000 193,103
Ryoyo Electro Corp. ............ 6,000 140,690
#SXL Corp. ...................... 29,000 291,429
Sakai Chemical Industry Co.,
Ltd. ......................... 36,000 223,448
San-In Godo Bank, Ltd. ......... 62,000 503,330
#Sanden Corp. ................... 24,000 141,399
Sanki Engineering Co., Ltd. .... 32,000 343,645
Sankyo Aluminum Industry Co.,
Ltd. ......................... 66,000 330,325
*#Sankyo Seiki Manufacturing Co.,
Ltd. ......................... 18,000 150,739
*Sanrio Co., Ltd. ............... 17,000 195,961
Sanyo Electric Co., Ltd. ....... 491,000 2,563,842
Sanyo Shokai, Ltd. ............. 25,000 146,059
Sanyo Special Steel Co., Ltd. .. 74,000 309,123
Seino Transportation Co., Ltd. . 54,000 899,113
Seiren Co., Ltd. ............... 8,000 57,773
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
----------- -------------
Seiyo Food Systems, Inc. ....... 21,000 $ 194,069
Sekisui Chemical Co., Ltd. ..... 100,000 1,290,640
Sekisui House, Ltd. ............ 265,000 3,106,897
Sekisui Plastics Co., Ltd. ..... 25,000 127,833
Senshukai Co., Ltd. ............ 15,000 263,054
*Settsu Corp. ................... 76,000 223,882
Sharp Corp., Osaka ............. 13,000 184,433
Shiga Bank, Ltd. ............... 75,000 450,000
Shimizu Bank, Ltd. ............. 2,000 134,975
#Shinagawa Fuel Co., Ltd. ....... 32,000 238,345
Shinmaywa Industries, Ltd. ..... 40,000 332,611
Shinwa Bank, Ltd. .............. 27,000 154,818
Shionogi & Co., Ltd. ........... 61,000 527,064
Shiseido Co., Ltd. ............. 148,000 1,574,778
*Shokusan Jutaku Sogo Co., Ltd. . 27,000 87,251
Showa Electric Wire & Cable Co.,
Ltd., Kawasaki ............... 47,000 217,635
Showa Sangyo Co., Ltd. ......... 73,000 309,980
#Sintokogio, Ltd., Nagoya ....... 10,000 74,975
*Sogo Co., Ltd. ................. 22,000 78,030
Sony Corp. ..................... 110,800 5,894,778
Stanley Electric Co., Ltd. ..... 73,000 431,527
Star Micronics Co., Ltd. ....... 10,000 76,256
Sumitomo Corp. ................. 268,000 2,666,798
*Sumitomo Metal Industries, Ltd.,
Osaka ........................ 577,000 1,756,581
Sumitomo Osaka Cement Co., Ltd. 19,000 87,419
Sumitomo Realty & Development
Co., Ltd. .................... 153,000 1,029,547
Sumitomo Warehouse Co., Ltd. ... 16,000 100,256
Sun Wave Corp. ................. 8,000 98,522
Suruga Bank, Ltd. .............. 54,000 343,153
Suzuki Motor Corp. ............. 85,000 946,305
Suzutan Co., Ltd. .............. 7,000 45,517
TDK Corp. ...................... 24,000 1,220,099
*TEC Corp. ...................... 103,000 442,443
TOC Co., Ltd. .................. 22,000 221,084
Tadano, Ltd. ................... 22,000 186,187
*Taiheiyo Securities Co., Ltd. .. 21,000 70,345
Taikisha, Ltd. ................. 8,000 137,143
Taisei Corp. ................... 185,000 1,210,246
#Taisei Rotec Corp. ............. 30,000 210,443
Taiyo Yuden Co., Ltd. .......... 28,000 281,379
Tamura Corp. ................... 18,000 123,783
Tanabe Seiyaku Co., Ltd. ....... 83,000 558,512
Teijin, Ltd. ................... 177,000 934,700
Tenma Corp. .................... 12,000 231,724
Toa Steel Co., Ltd. ............ 39,000 174,828
Tochigi Sogo Bank, Ltd. ........ 21,000 196,552
Toda Corp. ..................... 50,000 408,374
Toenec Corp. ................... 31,000 253,498
Toho Bank, Ltd. ................ 59,000 422,591
Tokai Carbon Co., Ltd. ......... 38,000 183,074
Tokai Rika Co., Ltd. ........... 21,000 167,379
Tokico, Ltd. ................... 39,000 165,222
Toko, Inc. ..................... 8,000 54,384
#Tokuyama Corp. ................. 48,000 347,113
Tokyo Broadcasting System, Inc. 35,000 586,207
*Tokyo Securities Co., Ltd. ..... 33,000 147,931
#Tokyo Sowa Bank, Ltd. .......... 61,000 243,399
Tokyo Steel Manufacturing Co.,
Ltd. ......................... 36,000 666,798
Tokyo Style Co., Ltd. .......... 38,000 572,808
Tokyo Tatemono Co., Ltd. ....... 79,000 337,015
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
----------- -------------
*Tokyo Tekko Co., Ltd. .......... 9,000 $ 44,778
Tokyu Car Corp. ................ 22,000 108,374
Tokyu Construction Co., Ltd. ... 78,000 345,813
Tokyu Department Store Co.,
Ltd. ......................... 69,000 428,276
Tokyu Land Corp. ............... 84,000 339,310
Tokyu Store Chain Corp. ........ 11,000 82,365
Tonami Transportation Co., Ltd. 29,000 170,286
Toshiba Engineering &
Construction Co., Ltd. ....... 19,000 151,064
*Toshiba Machine Co., Ltd. ...... 27,000 130,079
*#Towa Real Estate Development
Co., Ltd. .................... 18,000 75,724
Toyo Engineering Corp. ......... 61,000 344,966
Toyo Ink Manufacturing Co., Ltd. 104,000 528,709
Toyo Kanetsu K.K. .............. 37,000 157,113
Toyo Seikan Kaisha, Ltd ........ 37,000 1,126,404
Toyo Suisan Kaisha, Ltd. ....... 33,000 338,128
*#Toyo Tire & Rubber Co., Ltd. ... 33,000 128,424
Toyo Trust & Banking Co., Ltd. . 256,000 2,000,079
Toyoda Machine Works, Ltd. ..... 45,000 365,320
Toyota Auto Body Co., Ltd. ..... 18,000 153,399
Toyota Motor Corp. ............. 689,000 13,644,237
Toyota Tsusho Corp. ............ 91,000 573,793
Tsubakimoto Chain Co. .......... 48,000 242,601
#Tsubakimoto Precision Products
Co., Ltd. .................... 3,000 39,015
Tsutsunaka Plastic Industry Co.,
Ltd. ......................... 4,000 35,468
UNY Co., Ltd. .................. 30,000 588,177
Unisia Jecs Corp. .............. 41,000 226,207
*Victor Co. of Japan, Ltd. ...... 98,000 1,110,345
Wacoal Corp. ................... 48,000 614,778
Yakult Honsha Co., Ltd. ........ 63,000 837,931
Yamagata Bank, Ltd. ............ 35,000 192,069
Yamaguchi Bank, Ltd. ........... 37,000 634,286
Yamaichi Securities Co., Ltd. .. 454,000 2,880,556
Yamamura Glass Co., Ltd. ....... 47,000 275,517
Yamatake Honeywell Co., Ltd. ... 30,000 404,926
*Yamatane Securities Co., Ltd. .. 16,000 55,172
Yamato Kogyo Co., Ltd. ......... 36,000 328,079
Yasuda Trust & Banking Co., Ltd. 426,000 2,056,552
#Yodogawa Steel Works, Ltd. ..... 66,000 520,197
#Yokogawa Bridge Corp. .......... 17,000 246,207
Yokogawa Electric Corp. ........ 92,000 775,882
Yokohama Reito Co., Ltd. ....... 7,000 80,690
Zexel Corp. .................... 16,000 106,404
-------------
TOTAL COMMON STOCKS
(Cost $238,198,894) ........... 229,735,721
-------------
INVESTMENT IN CURRENCY -- (0.8%) .
*Japanese Yen (Cost $4,948,138) . 4,952,111
-------------
TOTAL -- JAPAN
(Cost $243,147,032) ........... 234,687,832
-------------
UNITED KINGDOM -- (19.1%)
COMMON STOCKS -- (19.0%)
ASDA Group P.L.C. .............. 877,000 1,354,342
Abbey National P.L.C. .......... 405,200 3,971,321
Anglian Water P.L.C. ........... 152,400 1,377,146
Argyll Group P.L.C. ............ 362,095 1,721,831
Arjo Wiggins Appleton P.L.C. ... 265,700 696,728
Associated British Foods P.L.C. 153,100 1,650,334
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
----------- -------------
Associated British Ports
Holdings P.L.C. .............. 129,800 $ 565,623
BAA P.L.C. ..................... 194,000 1,456,434
BICC P.L.C. .................... 58,750 254,215
Bank of Scotland (Governor and
Company of the) .............. 1,550 6,423
Barclays P.L.C. ................ 515,899 6,192,155
Bass P.L.C. .................... 299,800 3,158,336
Blenheim Group P.L.C. .......... 26,200 97,746
Boddington Group P.L.C. ........ 35,510 241,612
British Gas P.L.C. ............. 1,330,000 4,961,911
British Land Co. P.L.C. ........ 126,040 724,609
British Petroleum Co. P.L.C. ... 733,904 5,762,185
British Steel P.L.C. ........... 1,038,500 2,683,494
British Vita P.L.C. ............ 67,700 212,202
Brixton Estate P.L.C. .......... 110,700 301,283
Bryant Group P.L.C. ............ 81,000 127,564
Burford Holdings P.L.C. ........ 67,000 104,492
Burton Group P.L.C. ............ 460,700 894,601
Camas P.L.C. ................... 37,100 41,694
Capital Shopping Centres P.L.C. 60,000 188,984
Coats Viyella P.L.C. ........... 216,000 591,173
Commercial Union P.L.C. ........ 227,240 2,241,052
Courtaulds Textiles P.L.C. ..... 15,650 99,783
Delta P.L.C. ................... 46,000 272,896
English China Clays P.L.C. ..... 98,587 495,933
First Leisure Corp. P.L.C. ..... 16,900 91,474
Forte P.L.C. ................... 549,412 2,877,174
General Accident P.L.C. ........ 193,900 1,971,546
Great Portland Estates P.L.C. .. 188,175 480,492
Great Universal Stores P.L.C. .. 343,200 3,232,477
Greenalls Group P.L.C. ......... 62,400 512,350
Guardian Royal Exchange P.L.C. . 424,659 1,740,134
Hambros P.L.C. ................. 70,654 217,140
Harrisons & Crosfield P.L.C.. .. 229,000 507,704
Hillsdown Holdings P.L.C. ...... 215,344 510,355
ICI (Imperial Chemical
Industries P.L.C.) ........... 247,200 2,865,004
Ladbroke Group P.L.C. .......... 676,821 1,490,197
Laird Group P.L.C. ............. 31,500 194,581
Lasmo P.L.C. ................... 329,535 813,732
Lex Service P.L.C. ............. 31,383 138,676
Lonrho P.L.C. .................. 453,238 1,157,312
Lucas Industries P.L.C. ........ 1,185 3,352
MFI Furniture Group P.L.C. ..... 175,300 422,153
Manweb P.L.C. .................. 34,900 549,096
Marley P.L.C. .................. 68,228 117,882
Mercury Asset Management Group
P.L.C. ........................ 91 1,230
Meyer International P.L.C. ..... 37,847 225,685
Mirror Group P.L.C. ............ 242,000 695,634
National Westminster Bank
P.L.C. ....................... 562,833 5,731,407
North West Water Group P.L.C. .. 195,062 1,774,586
Northumbrian Water Group P.L.C. 40,307 720,448
Ocean Group P.L.C. ............. 43,600 254,658
Peel Holdings P.L.C. ........... 32,500 158,519
Pilkington P.L.C. .............. 272,924 805,391
Racal Electronics P.L.C. ....... 86,100 331,750
Redland P.L.C. ................. 168,000 976,114
Rolls-Royce P.L.C. ............. 305,473 836,052
Royal Bank of Scotland Group
P.L.C. ....................... 65,499 557,824
Royal Insurance Holdings P.L.C. 317,508 1,878,768
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
----------- -------------
Rugby Group P.L.C. ............. 207,000 $ 338,658
Scottish & Newcastle P.L.C. .... 47,600 456,333
Scottish Hydro-Electric P.L.C. . 124,000 671,170
Sears P.L.C. ................... 518,500 792,787
Seeboard P.L.C. ................ 76,500 746,259
Severn Trent P.L.C. ............ 216,206 2,218,205
Shell Transport & Trading Co.
P.L.C. ....................... 1,075,300 13,235,275
Slough Estates P.L.C. .......... 227,000 739,287
South West Water P.L.C. ........ 73,679 561,023
South Western Electricity P.L.C. 35,400 487,139
Southern Water P.L.C. .......... 100,060 1,021,985
Stakis P.L.C. .................. 279,000 358,336
Sun Alliance Group P.L.C. ...... 254,640 1,553,485
T & N P.L.C. ................... 156,397 312,066
TSB Group P.L.C. ............... 116,400 720,801
Tarmac P.L.C. .................. 536,170 787,012
Taylor Woodrow P.L.C. .......... 182,986 314,759
Telegraph P.L.C. ............... 34,700 223,898
Tesco P.L.C. ................... 654,545 2,892,310
Thames Water P.L.C. ............ 193,059 1,632,385
*Tiphook P.L.C. ................. 5,500 1,430
Trafalgar House P.L.C. ......... 73,440 26,950
Transport Development Group
P.L.C. ....................... 49,200 144,435
*Trocadero P.L.C. ............... 67,000 44,050
Unigate P.L.C. ................. 72,600 462,893
Unilever P.L.C. ................ 51,400 995,743
United Biscuits Holdings P.L.C. 167,382 670,529
Vaux Group P.L.C. .............. 67,762 271,453
WPP Group P.L.C. ............... 206,900 499,833
*Waste Management International
P.L.C. ....................... 20,000 99,079
Welsh Water P.L.C. ............. 81,166 855,068
Wessex Water P.L.C. ............ 124,246 642,106
Whitbread P.L.C. ............... 179,600 1,834,384
Wilson Bowden P.L.C. ........... 27,000 143,252
Wimpey (George) P.L.C. ......... 171,550 343,613
Wolverhampton & Dudley
Breweries P.L.C. ............. 38,700 313,613
Yorkshire Water P.L.C. ......... 120,424 1,115,817
-------------
TOTAL COMMON STOCKS
(Cost $102,130,983) ........... 115,816,420
-------------
INVESTMENT IN CURRENCY -- (0.1%)
*British Pound Sterling
(Cost $255,174) ............... 253,011
-------------
PREFERRED STOCK -- (0.0%)
*Welsh Water P.L.C. Cumulative
Redeemable .................... 76,860 126,920
*Wessex Water P.L.C. Cumulative
Redeemable .................... 149,096 115,124
-------------
TOTAL PREFERRED STOCK
(Cost $111,389) ............... 242,044
-------------
RIGHTS/WARRANTS -- (0.0%)
*Pilkington P.L.C. Rights
12/11/95 (Cost $0) ............ 68,231 38,600
-------------
TOTAL -- UNITED KINGDOM
(Cost $102,497,546) ........... 116,350,075
-------------
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
----------- -------------
GERMANY -- (8.0%)
COMMON STOCKS -- (7.8%)
AEG AG ......................... 3,900 $ 384,610
AGIV AG fuer Industrie &
Verkehrswesen ................ 7,500 138,390
#BASF AG ........................ 13,750 3,012,267
BHF Bank ....................... 16,500 432,740
#BMW (Bayerische Motorenwerke
AG), Muenchen ................ 3,836 2,065,131
Badenwerk AG ................... 950 324,326
Bankgesellschaft Berlin AG ..... 5,050 1,359,347
#Bayer AG ....................... 15,950 4,147,881
#Bayerische Hypotheken und
Wechselbank AG ............... 55,700 1,378,065
#Bayerische Vereinsbank AG ...... 53,350 1,539,297
Berliner Kraft & Licht Bewag AG
Series A ...................... 1,550 444,648
Bilfinger & Berger Bau AG,
Mannheim ..................... 800 310,712
*#Bremer Vukan Verbund AG ........ 2,750 80,390
CKAG Colonia Konzern AG ........ 215 157,498
#Commerzbank AG ................. 7,825 1,808,889
Continental AG ................. 19,000 278,369
DBV Holding AG ................. 800 268,141
#Daimler-Benz AG ................ 8,250 4,056,583
#Deutsche Bank AG ............... 31,600 1,481,728
Deutsche Hypothekenbank
Frankfurt AG ................. 300 183,483
Deutsche Pfandbrief und
Hypothekenbank AG ............ 6,600 250,864
#Dresdner Bank AG, Frankfurt .... 100,600 2,694,022
GEA AG ......................... 300 108,224
Heidelberger Zement AG,
Heidelberg ................... 800 486,524
#Hoechst AG ..................... 12,600 3,259,281
Holzmann (Philipp) AG .......... 1,000 375,259
Karstadt AG .................... 1,750 690,567
*Koelnische Rueckversicherungs-
Gesellschaft AG .............. 200 140,152
*Koelnische Rueckversicherungs-
Gesellschaft AG Em 95 ......... 100 67,035
Linde AG ....................... 100 58,604
#Man AG, Muenchen ............... 2,950 832,809
*#Metallgesellschaft AG, Frankfurt 17,640 388,275
Preussag AG .................... 3,050 877,270
*Ruetgerswerke AG ............... 467 77,134
Schmalbach-Lubeca AG ........... 780 113,739
#Siemens AG ..................... 11,350 5,926,001
Thuega AG ...................... 557 184,384
*Thyssen AG ..................... 2,450 452,751
*Thyssen Industrie AG, Essen .... 1,950 191,361
#Veba AG ........................ 100,500 4,097,788
Vereins & Westbank AG .......... 807 178,466
Volkswagen AG .................. 6,900 2,236,420
-------------
TOTAL COMMON STOCKS
(Cost $41,855,169) ............ 47,539,425
-------------
INVESTMENT IN CURRENCY -- (0.2%)
*German Marks (Cost $1,093,075) . 1,085,215
-------------
TOTAL -- GERMANY
(Cost $42,948,244) ............ 48,624,640
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
----------- -------------
FRANCE -- (7.2%)
COMMON STOCKS -- (7.1%)
Accor SA ....................... 5,446 $ 662,041
Alcatel Alsthom Cie Generale
d'Electricite SA ............. 41,012 3,420,820
Au Bon Marche SA ............... 2,500 458,877
#Axa SA ......................... 45,079 2,700,219
Bouygues ....................... 4,100 450,712
CPR (Cie Parisienne de
Reescompte) .................. 2,200 170,351
*Cap Gemini Sogeti SA ........... 10,000 298,897
Carnaudmetalbox SA ............. 17,100 752,606
*Centrale du Groupe des
Assurances Nationales SA ..... 13,800 444,313
Chargeurs SA ................... 2,050 444,132
Christian Dior SA .............. 10,800 1,042,086
Ciments Vicat .................. 800 73,821
*Club Mediterranee SA ........... 2,444 197,579
Credit Commercial de France .... 13,133 619,108
Credit Foncier de France ....... 7,200 140,534
Credit National ................ 2,575 175,730
Dassault Aviation SA ........... 2,500 171,615
ECIA (Equipements et Composants
pour l'Industrie Automobile) .. 1,100 125,777
Elf Aquitaine SA ............... 73,784 5,174,502
Eridania Beghin-Say SA ......... 7,200 1,174,243
Financiere de Paribas SA
Series A ..................... 33,020 1,838,124
Groupe Andre SA ................ 1,000 68,205
Labinal SA ..................... 1,000 98,295
Navigation Mixte SA ............ 4,386 659,880
Pechiney International SA ...... 20,150 401,383
Peugeot SA ..................... 13,650 1,766,148
Poliet SA ...................... 6,322 509,818
Rhone-Poulenc SA Series A ...... 87,207 1,868,347
Saint Louis (SLB) .............. 2,100 548,485
Saint-Gobain ................... 22,958 2,648,114
Sanofi SA ...................... 2,365 137,061
*Societe Centrale
d'Investissements ............. 100 28,084
Societe Centrale des Assurances
Generales de France SA ........ 37,100 1,194,493
Societe Generale Paris ......... 23,790 2,806,123
Sommer-Allibert SA ............. 600 157,432
Sophia SA ...................... 800 33,220
Sovac SA ....................... 2,500 305,918
Spie Batignolles ............... 25,760 948,753
Suez SA ........................ 43,704 1,642,078
Thomson CSF .................... 28,456 625,062
Total SA Series B .............. 63,644 3,919,500
UAP SA ......................... 82,000 2,125,256
-------------
TOTAL COMMON STOCKS
(Cost $44,708,916) ............ 43,027,742
-------------
INVESTMENT IN CURRENCY -- (0.1%)
*French Francs (Cost $668,863) .. 665,113
-------------
RIGHTS/WARRANTS -- (0.0%)
*Sophia SA Warrants 03/31/99
(Cost $0) ..................... 400 365
-------------
TOTAL -- FRANCE
(Cost $45,377,779) ............ 43,693,220
-------------
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
----------- -------------
SWITZERLAND -- (6.2%)
COMMON STOCKS -- (6.0%)
*Ascom Holding AG, Bern ......... 600 $ 531,743
BBC Brown Boveri AG, Baden ..... 480 552,194
Baer Holding AG, Zuerich ....... 425 494,354
Baloise Holding, Basel ......... 514 1,040,264
Banque Cantonale Vaudoise ...... 1,505 775,905
Bobst SA, Prilly ............... 1,005 1,541,542
CS Holding, Zuerich (Namen) .... 68,000 6,461,015
Forbo Holding AG, Eglisau ...... 3,380 1,316,285
Landis & Gyr AG, Zug ........... 3,100 1,946,911
*Oerlikon-Buehrle Holding AG,
Zuerich ...................... 23,000 1,881,551
Pargesa Holding SA, Geneve ..... 1,785 2,129,528
Rieter Holding AG, Winterthur .. 1,125 309,651
SBV (Schweizerischer Bankverein) 26,450 10,548,445
SBV (Schweizerischer Bankverein)
(Namen) ....................... 500 99,489
SIG (Schweizerische Industrie
Gesellschaft Holding AG),
Neuhausen am Rheinfall ....... 390 747,763
*Saurer AG, Arbon ............... 2,200 764,891
Schindler Holding AG, Hergiswil 170 851,086
Schindler Holding AG, Hergiswil
(Participating) .............. 95 95,526
*Societe International Pirelli
SA, Basel .................... 4,100 447,209
Sulzer AG, Winterthur .......... 6,125 3,392,629
Sulzer AG, Winterthur
(Participating) .............. 175 91,265
*Swissair Schweizerische
Luftverkehr AG, Zuerich ...... 900 638,858
-------------
TOTAL COMMON STOCKS
(Cost $34,602,327) ............ 36,658,104
-------------
INVESTMENT IN CURRENCY -- (0.2%)
*Swiss Francs (Cost $933,640) ... 926,878
-------------
RIGHTS/WARRANTS -- (0.0%)
*Rieter Holding AG, Winterthur
Warrants 03/13/96 (Cost $0) ... 1,125 2,109
-------------
TOTAL -- SWITZERLAND
(Cost $35,535,967) ............ 37,587,091
-------------
NETHERLANDS -- (4.6%)
COMMON STOCKS -- (4.6%)
ABN Amro Holding NV ............ 110,253 4,909,970
Akzo Nobel NV .................. 2,900 327,795
DSM NV ......................... 23,000 1,832,613
Fortis Amev NV ................. 49,358 3,298,662
Gist-Brocades NV ............... 11,396 330,829
Heineken Holding NV Series A ... 800 129,957
Hollandsche Beton Groep NV ..... 2,470 364,321
Internationale Nederlanden Groep
NV ........................... 188,082 12,314,200
KLM Royal Dutch Airlines NV .... 47,800 1,641,557
Nedlloyd Groep NV, Rotterdam ... 17,100 333,762
Oce Van der Grinten NV, Venlo .. 12,300 752,131
Pakhoed NV ..................... 8,100 221,637
Philips Electronics NV ......... 22,900 901,007
Royal Dutch Petroleum Co., Den
Haag ......................... 400 51,464
Stad Rotterdam ................. 22,457 657,481
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
----------- -------------
TOTAL COMMON STOCKS
(Cost $20,957,891) ............ $28,067,386
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost
$162,988) ..................... 161,056
-------------
RIGHTS/WARRANTS -- (0.0%)
*Stad Rotterdam Rights 01/12/96
(Cost $0) ..................... 22,457 0
-------------
TOTAL -- NETHERLANDS
(Cost $21,120,879) ............ 28,228,442
-------------
HONG KONG -- (3.8%)
COMMON STOCKS -- (3.7%)
Allied Properties (Hong Kong),
Ltd. .......................... 1,778,000 218,442
#Amoy Properties, Ltd. .......... 1,771,000 1,694,846
CDL Hotels International, Ltd. . 1,189,710 534,658
Century City International
Holdings, Ltd. ................ 1,482,646 333,631
Chinese Estates Holdings, Ltd. . 588,000 395,422
Great Eagle Holdings, Ltd. ..... 334,600 891,401
HKR International, Ltd. ........ 719,200 613,866
Hang Lung Development Co., Ltd. 961,000 1,522,438
Hong Kong & Shanghai Hotels,
Ltd. .......................... 845,000 1,065,470
Hysan Development Co., Ltd. .... 375,000 977,207
Lai Sun Development Co., Ltd. .. 1,940,000 243,362
Lai Sun Garment (International),
Ltd. .......................... 114,000 118,681
Miramar Hotel & Investment Co.,
Ltd. .......................... 175,000 345,134
New World Development Co., Ltd. 1,240,739 5,182,782
*Orient Telecom & Technology
Holdings, Ltd. ............... 1,178,000 365,626
#Paliburg Holdings, Ltd. ........ 712,500 511,397
Realty Development Corp., Ltd.
Series A ..................... 98,000 314,310
#Regal Hotels International
Holdings, Ltd. ................ 2,198,816 486,256
Semi-Tech (Global) Co., Ltd. ... 250,323 385,237
*Sino Hotels (Holdings), Ltd. ... 494,230 111,853
#Sino Land Co., Ltd. ............ 1,797,200 1,406,151
Stelux Holdings International,
Ltd. .......................... 601,552 154,035
Tsim Sha Tsui Properties, Ltd. . 294,000 226,227
#Wharf Holdings, Ltd. ........... 986,000 3,296,230
Wheelock and Co., Ltd. ......... 750,000 1,246,363
-------------
TOTAL COMMON STOCKS
(Cost $23,519,121) ............ 22,641,025
-------------
INVESTMENT IN CURRENCY -- (0.1%)
*Hong Kong Dollars
(Cost $435,240) ............... 435,348
-------------
RIGHTS/WARRANTS -- (0.0%)
*Century City International
Holdings, Ltd. Warrants
12/31/95 (Cost $0) ............ 4,512 6
*HKR International, Ltd. Warrants
06/23/00 ...................... 143,840 46,970
*Paliburg Holdings, Ltd. Warrants
12/31/98 ...................... 88,254 7,989
-------------
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
----------- -------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ..................... 54,965
-------------
Face
Amount
(000)
BONDS -- (0.0%)
*HKR International, Ltd. 6.00%
06/26/00 (Cost $219,959) ...... 19 204,477
-------------
TOTAL -- HONG KONG
(Cost $24,174,320) ............ 23,335,815
-------------
Shares
-----------
AUSTRALIA -- (3.1%)
COMMON STOCKS -- (3.1%)
Australia and New Zealand
Banking Group, Ltd. .......... 504,800 2,249,504
*Australian National Industries,
Ltd. .......................... 257,700 206,707
Boral, Ltd. .................... 361,000 855,291
Burns, Philp & Co., Ltd. ....... 181,614 403,308
CSR, Ltd. ...................... 312,712 1,001,009
*Caltex Australia, Ltd. ......... 46,600 162,667
#Commonwealth Bank of Australia . 190,926 1,486,081
Fosters Brewing Group, Ltd. .... 554,940 910,866
Goodman Fielder, Ltd. .......... 463,713 464,943
Hardie (James) Industries, Ltd. 105,756 174,371
MIM Holdings, Ltd. ............. 626,394 851,363
#National Australia Bank, Ltd ... 316,995 2,763,992
News Corp., Ltd. ............... 550,820 2,888,221
Pasminco, Ltd. ................. 75,500 86,354
Pioneer International, Ltd. .... 190,000 485,432
QCT Resources, Ltd. ............ 123,832 147,153
Renison Goldfields Consolidated,
Ltd. ......................... 37,548 172,900
Santos, Ltd. ................... 208,125 550,289
Southcorp Holdings, Ltd. ....... 158,708 352,441
Westpac Banking Corp. .......... 706,810 2,929,228
-------------
TOTAL COMMON STOCKS
(Cost $17,302,875) ............ 19,142,120
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $46,660) 45,904
-------------
TOTAL -- AUSTRALIA
(Cost $17,349,535) ............ 19,188,024
-------------
ITALY -- (2.9%)
COMMON STOCKS -- (2.5%)
#Banca Commerciale Italiana SpA . 1,034,000 1,965,829
*Banca Nazionale dell'Agricoltura
SpA .......................... 75,000 46,811
*Banca Toscana .................. 302,500 522,139
*#Banca di Roma .................. 2,196,000 1,972,144
#Banco Ambrosiano Veneto SpA .... 349,000 862,133
*#Banco di Napoli ................ 335,000 155,034
*#CIR SpA (Cie Industriale
Riunite), Torino ............. 885,000 525,244
Cartiere Burgo SpA ............. 40,000 195,622
#Credito Italiano ............... 1,770,000 1,823,133
*FERFIN (Ferruzzi Finanziaria
SpA) .......................... 30,935 19,888
Fiat SpA ....................... 207,000 625,272
#Fidis SpA ...................... 216,500 358,125
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
----------- -------------
*#Gemina SpA, Milano ............. 1,094,000 $ 431,716
#Italcementi Fabbriche Riunite
Cemento SpA, Bergamo ......... 157,000 845,385
Italmobiliare SpA, Milano ...... 14,330 184,166
*La Fondiara Assicurazioni SpA .. 79,800 326,386
Magneti Marelli SpA ............ 50,000 61,757
*Milano Assicurazioni SpA ....... 49,520 161,041
*#Olivetti (Ing C & C) SpA, Ivrea 1,617,000 1,071,932
*#Pirelli SpA .................... 447,000 543,724
*Telecom Italia SpA ............. 1,150,000 1,564,259
#Toro Assicurazioni Cia Anonima
d'Assicurazione di Torino SpA 39,000 534,146
Unipol SpA ..................... 37,870 241,572
-------------
TOTAL COMMON STOCKS
(Cost $18,098,783) ............ 15,037,458
-------------
INVESTMENT IN CURRENCY -- (0.4%)
*Italian Lira (Cost $2,391,883) . 2,400,444
-------------
RIGHTS/WARRANTS -- (0.0%)
*Olivetti (Ing C & C) SpA Rights
12/15/95 (Cost $0) ............ 1,617,000 92,530
-------------
TOTAL -- ITALY (Cost $20,490,666) 17,530,432
-------------
SWEDEN -- (2.4%)
COMMON STOCKS -- (2.4%)
Celsius Industrier AB Series B . 2,400 49,503
Electrolux AB Series B ......... 8,900 382,788
Gullspangs Kraft AB Series B ... 6,200 87,624
Industrie AB Euroc, Malmoe
Series A ..................... 3,000 79,297
Kinnevik Industrifoervaltnings
AB Series B .................. 3,500 99,465
Marieberg Tidnings AB Series A . 9,400 224,049
Mo Och Domsjoe AB Series B ..... 3,500 175,401
NCC AB Series B ................ 31,000 355,233
SSAB Swedish Steel Series A .... 59,400 594,454
Skandinaviska Enskilda Banken
Series A ..................... 333,700 2,600,260
Stora Kopparbergs Bergslags AB
Series A ...................... 166,500 2,098,739
Svenka Cellulosa AB Series B ... 122,100 2,070,756
Svenska Handelsbanken Series A . 144,500 2,925,325
Svenska Kullagerfabriken AB
Series B ..................... 9,100 184,225
Sydkraft AB Series C ........... 8,800 146,555
Trelleborg AB Series B ......... 64,900 733,782
*Trygg-Hansa AB Series B ........ 36,900 583,522
Volvo AB Series B .............. 55,000 1,142,857
-------------
TOTAL -- SWEDEN
(Cost $12,468,638) ............ 14,533,835
-------------
SPAIN -- (2.2%)
COMMON STOCKS -- (2.1%)
Autopistas del Mare Nostrum SA . 13,300 170,707
Banco Central Hispanoamericano
SA ........................... 69,600 1,427,620
Dragados y Construcciones SA ... 23,000 299,878
Fabricacion de Automoviles
Renault de Espana SA ......... 9,146 132,992
Fuerzas Electricas de Cataluna
SA Series A ................... 88,700 577,883
GESA (Gas y Electricidad SA) ... 4,100 210,496
Iberdrola SA ................... 385,700 3,274,220
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
----------- -------------
Sevillana de Electricidad ...... 125,100 $ 888,200
Telefonica de Espana SA ........ 370,400 5,115,190
Union Electrica Fenosa SA ...... 122,200 663,116
Vallehermoso SA ................ 17,200 304,598
-------------
TOTAL COMMON STOCKS
(Cost $11,389,708) ............ 13,064,900
-------------
INVESTMENT IN CURRENCY -- (0.1%)
*Spanish Peseta (Cost $368,619) . 364,429
-------------
TOTAL -- SPAIN (Cost $11,758,327) 13,429,329
-------------
SINGAPORE -- (1.4%)
COMMON STOCKS -- (1.4%)
Far East Levingston
Shipbuilding, Ltd. ........... 30,000 126,731
Hotel Properties, Ltd. ......... 333,000 491,757
Industrial & Commercial Bank,
Ltd. .......................... 13,000 46,148
Marco Polo Developments, Ltd. .. 265,000 361,235
Natsteel, Ltd. ................. 183,000 376,784
Neptune Orient Lines, Ltd. ..... 593,000 623,103
Shangri-La Hotel, Ltd. ......... 123,000 417,423
Singapore Land, Ltd. ........... 298,000 1,787,788
Straits Steamship Land, Ltd. ... 359,000 1,136,770
Straits Trading Co., Ltd. ...... 243,000 548,626
United Industrial Corp., Ltd. .. 1,368,000 1,184,920
#United Overseas Land, Ltd. ..... 458,000 884,459
Wing Tai Holdings, Ltd. ........ 96,000 186,070
-------------
TOTAL COMMON STOCKS
(Cost $8,029,110) ............. 8,171,814
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost
$124,854) ..................... 125,292
-------------
TOTAL -- SINGAPORE
(Cost $8,153,964) ............. 8,297,106
-------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
#Banque Bruxelles Lambert ....... 4,900 815,980
Banque Bruxelles Lambert
(Precompte Reduit) ........... 128 21,294
CMB (Cie Martime Belge) ........ 2,300 160,168
Electrafina SA ................. 6,600 621,699
Generale de Banque SA .......... 2,600 874,685
Gevaert Photo-Producten NV ..... 2,700 158,503
Glaverbel SA ................... 922 101,428
*Glaverbel SA VVPR .............. 22 3
Groupe Bruxelles Lambert SA,
Bruxelles .................... 5,200 667,384
Nationale a Portefeuille ....... 3,800 227,553
Powerfin SA .................... 6,200 739,411
Societe Generale de Belgique SA 19,080 1,418,563
Sofina SA ...................... 500 239,277
Solvay SA ...................... 2,200 1,119,428
*Union Miniere SA ............... 5,400 334,264
-------------
TOTAL COMMON STOCKS
(Cost $6,691,331) ............. 7,499,640
-------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Face
Amount Value+
--------- --------------
(000)
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs (Cost $101,969) ......................................................... $ 99,120
--------------
TOTAL -- BELGIUM
(Cost $6,793,300) ....................................................................... 7,598,760
--------------
TEMPORARY CASH INVESTMENTS -- (2.0%)
Repurchase Agreement, PNC Securities Corp. 5.65%, 12/01/95 (Collateralized by U.S.
Treasury Notes, 6.125%, 05/31/97) (Cost $12,185,000) .................................. $12,185 12,185,000
--------------
TOTAL INVESTMENTS -- (102.6%) (Cost $604,001,197) ........................................ 625,269,601
--------------
OTHER ASSETS AND LIABILITIES -- (-2.6%)
Other Assets ............................................................................ 3,188,712
Liabilities ............................................................................. (19,071,981)
--------------
(15,883,269)
--------------
NET ASSETS -- (100.0%) Applicable to 57,777,272 Outstanding $.01 Par Value Shares
(Unlimited Number of Shares Authorized) ................................................. $609,386,332
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE ................................. $ 10.55
==============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
@Denominated in Local Currency
See accompanying Notes to Financial Statements
<PAGE>
STATEMENT OF NET ASSETS
THE EMERGING MARKETS SERIES
NOVEMBER 30, 1995
<TABLE>
<CAPTION>
Shares Value+
------ ------
<S> <C> <C>
BRAZIL -- (12.7%)
COMMON STOCKS -- (4.8%)
Banco Bradesco SA ................. 26,920,000 $ 200,367
*Banco do Estado de Sao Paulo SA ... 5,100,000 29,301
Belgo Mineira ..................... 970,000 63,261
Lojas Americanas SA ............... 10,390,000 215,114
Mannesmann SA ..................... 149,000 25,450
Souza Cruz Industria e Comercio ... 20,000 119,048
Telecomunicacoes Brasileiras SA ... 42,050,000 1,698,106
VSMA (Cia Vidraria Santa Marina) .. 10,000 33,126
-----------
TOTAL COMMON STOCKS
(Cost $2,167,651) ............... 2,383,773
-----------
PREFERRED STOCK -- (7.9%)
Aracruz Celulose SA Series B ...... 79,999 144,098
Banco Bradesco SA ................. 52,129,796 450,604
Banco Itau SA ..................... 1,140,000 329,255
*Banco do Brasil SA ................ 17,090,000 222,028
Brasmotor SA ...................... 600,000 126,087
COFAP (Cia Fabricadora De Pecas) .. 5,100 26,134
Cervejaria Brahma ................. 1,590,767 627,414
Duratex SA ........................ 1,880,000 80,571
Embraco SA ........................ 130,000 80,745
Ericsson Telecomunicacoes SA ...... 6,500,000 24,896
IKPC Industrias Klabin de Papel e
Celulose SA ..................... 36,875 35,501
Investimentos Itau SA ............. 690,000 350,000
Multibras Eletrodomesticos SA ..... 315,000 280,435
Paranapanema SA ................... 2,120,000 25,875
Sadia Concordia SA ................ 100,000 68,323
Telecomunicacoes Brasileiras SA ... 137,922 6,796
USIMINAS (Usinas Siderurgicas de
Minas Gerais SA) ................ 221,390,000 197,097
Vale do Rio Doce .................. 3,990,000 648,478
White Martins SA .................. 184,100,000 179,145
-----------
TOTAL PREFERRED STOCK (Cost
$3,653,756) ..................... 3,903,482
-----------
TOTAL -- BRAZIL (Cost $5,821,407) .. 6,287,255
-----------
MEXICO -- (12.2%)
COMMON STOCKS -- (12.2%) ...........
Apasco S.A. de C.V. ............... 8,000 32,447
CEMEX (Cementos de Mexico S.A. de
C.V.) Series B .................. 158,000 508,457
*COMERCI (Controladora Comercial
Mexicana S.A. de C.V.) Series B . 115,000 70,346
Cifra S.A. de C.V. Series C ....... 475,000 491,423
El Puerto de Liverpool S.A. Series
C1 .............................. 170,000 90,426
Empresas ICA Sociedad Controladora
S.A. de C.V. .................... 15,000 154,388
*Empresas la Moderna S.A. de C.V.
Series A ........................ 66,000 240,479
Fomento Economico Mexicano S.A. de
C.V. Series B ................... 78,000 180,271
*Grupo Carso S.A. de C.V. Series A-1 134,000 744,840
Grupo Financiero Banamex Accival
S.A. de C.V. Series B ........... 225,000 345,878
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
------ ------
Grupo Financiero Banamex Accival
S.A. de C.V. Series L ........... 6,250 $ 8,893
*Grupo Financiero Bancomer S.A. de
C.V. Series B ................... 210,380 58,750
*Grupo Financiero Bancomer S.A. de
C.V. Series L ................... 7,792 1,886
*Grupo Financiero GBM Atlantico S.A.
de C.V. Series B ................ 30,000 30,798
Grupo Financiero Invermexico S.A.
de C.V. Series B ................ 105,000 27,925
*Grupo Financiero Invermexico S.A.
de C.V. Series L ................ 500 146
*Grupo Financiero Serfin S.A. de
C.V. Series B ................... 225,000 137,633
*Grupo Gigante S.A. Series B ....... 30,000 5,465
Grupo Industrial Alfa S.A. Series A 25,000 294,880
Grupo Industrial Bimbo S.A. de C.V.
Series A ........................ 48,000 162,128
Grupo Televisa S.A. (Certificate
Representing Series A, Series D,
+ Series L) ..................... 33,000 359,840
Kimberly Clark de Mexico S.A. de
C.V. Series A ................... 29,000 379,854
Telefonos de Mexico S.A. Series A . 50,000 83,112
Telefonos de Mexico S.A. Series L . 869,000 1,444,481
Tolmex S.A. de C.V. Series B-2 .... 16,000 64,894
Vitro S.A. ........................ 51,600 103,612
-----------
TOTAL -- MEXICO (Cost $6,995,848) .. 6,023,252
-----------
MALAYSIA -- (12.0%)
COMMON STOCKS -- (11.3%)
AMMB Holdings Berhad .............. 11,000 114,018
AMMB Holdings Berhad 7.5% Unsecured
Loan Stock 1999 ................. 2,000 979
Amsteel Corp. Berhad .............. 32,000 21,733
*Amsteel Corp. Berhad Issue August
95 .............................. 32,000 20,470
Aokam Perdana Berhad .............. 10,000 14,689
Asiatic Development Berhad ........ 38,000 36,012
Berjaya Leisure Berhad ............ 10,000 8,647
Commerce Asset Holding Berhad ..... 10,000 48,569
DCB Holdings Berhad ............... 43,000 113,761
Edaran Otomobil Nasional Berhad ... 11,000 79,052
Ekran Berhad ...................... 12,000 27,957
Genting Berhad .................... 40,000 345,903
Golden Hope Plantations Berhad .... 55,000 88,174
Guiness Anchor Berhad ............. 9,000 15,637
Highlands and Lowlands Berhad ..... 25,000 35,933
Hong Leong Credit Berhad .......... 15,000 59,822
Hong Leong Industries Berhad ...... 7,000 32,063
Hume Industries (Malaysia) Berhad . 12,000 54,018
Kamunting Corp. Berhad ............ 40,000 29,852
Kedah Cement Holdings Berhad ...... 7,000 11,388
Kuala Lumpur Kepong Berhad ........ 29,000 83,593
Leader Universal Holdings Berhad .. 20,000 53,307
Lion Land Berhad .................. 1,000 1,042
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
------ -------
Magnum Corp. Berhad ............... 51,000 $ 98,274
Malayan Banking Berhad ............ 69,000 547,641
Malayan Cement Berhad ............. 19,000 33,611
Malayan United Industries Berhad .. 50,000 38,105
Malaysia Mining Corp. Berhad ...... 20,000 26,377
Malaysian Airlines System ......... 42,000 123,554
Malaysian International Shipping
Corp. (Foreign) ................. 59,666 146,073
Malaysian Oxygen Berhad ........... 7,000 25,568
Nestle (Malaysia) Berhad .......... 12,000 84,343
New Straits Times Press (M) Berhad 11,000 36,703
Nylex (Malaysia) Berhad ........... 8,000 24,008
Oriental Holdings Berhad .......... 7,000 32,892
Perusahaan Otomobil Nasional Berhad 28,000 94,531
Public Bank Berhad (Foreign) ...... 8,000 14,910
RJ Reynolds Berhad ................ 13,000 29,516
Resorts World Berhad .............. 66,000 323,159
Rothmans of Pall Mall Malaysia
Berhad .......................... 16,000 122,567
Shell Refining Co. Federation of
Malaysia Berhad ................. 13,000 39,526
Sime Darby Berhad (Malaysia) ...... 119,800 309,848
Sime UEP Properties Berhad ........ 21,000 33,500
Tan Chong Motor Holdings Berhad ... 37,000 37,256
Telekom Malaysia Berhad ........... 120,000 895,558
Tenaga Nasional Berhad ............ 185,000 693,978
UMW Holdings Berhad ............... 14,800 34,772
United Engineers (Malaysia) Berhad 69,000 430,484
-----------
TOTAL COMMON STOCKS
(Cost $5,924,676) ................. 5,573,373
-----------
INVESTMENT IN CURRENCY -- (0.7%)
*Malaysian Ringetts (Cost $330,252) 331,439
-----------
TOTAL -- MALAYSIA (Cost $6,254,928) 5,904,812
-----------
INDONESIA -- (11.5%)
COMMON STOCKS -- (11.5%)
PT Astra International (Foreign) .. 234,000 466,360
*PT Bakrie & Brothers (Foreign) .... 24,000 42,050
PT Bank Dagang Nasional Indonesia
(Foreign) ....................... 40,000 33,289
PT Bank Danamon (Foreign) ......... 23,000 34,001
PT Bank International Indonesia
(Foreign) ....................... 16,000 51,161
PT Barito Pacific Timber (Foreign) 105,000 77,037
PT Charoen Pokphand Indonesia
(Foreign) ....................... 38,000 76,566
PT Ciputra Development (Foreign) .. 12,000 21,813
PT Dankos Laboratories (Foreign) .. 10,500 23,686
PT Gadjah Tunggal (Foreign) ....... 298,000 169,689
PT Hadtex Indosyntec (Foreign) .... 37,000 19,448
PT Hanjaya Mandala Sampoerna
(Foreign) ....................... 157,250 1,577,322
PT Hero Supermarket (Foreign) ..... 39,000 76,872
PT Indah Kiat Pulp & Paper Corp.
(Foreign) ....................... 303,141 219,090
PT Indocement Tunggal Prakarsa
(Foreign) ....................... 90,000 305,519
PT Indofood Sukses Makmur (Foreign) 57,000 249,671
PT Indorama Synthetics (Foreign) .. 39,550 121,266
PT Indosat (Foreign) .............. 77,000 260,545
PT Inti Indorayon Utama (Foreign) . 141,000 149,770
PT Jakarta International Hotel and
Development (Foreign) ........... 145,000 171,485
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
------ ------
PT Japfa Comfeed Indonesia
(Foreign) ....................... 29,000 $ 14,608
PT Jaya Real Property (Foreign) ... 12,000 29,435
PT Kabelmetal Indonesia (Foreign) . 53,000 45,850
PT Kalbe Farma (Foreign) .......... 75,000 238,173
PT Kawasan Industri Jababeka
(Foreign) ....................... 15,000 23,982
PT Lippo Bank (Foreign) ........... 14,000 20,543
PT Lippo Land Development ......... 87,000 57,162
PT Matahari Putra Prima (Foreign) . 17,000 31,461
PT Mayora Indah (Foreign) ......... 288,720 196,021
PT Modern Photo Film Co. (Foreign) 47,000 267,630
PT Mulia Industrindo (Foreign) .... 11,000 29,271
PT Pabrik Kertas Tjiwi Kimia
(Foreign) ....................... 26,550 23,550
PT Pakuwon Jati (Foreign) ......... 156,000 111,038
PT Polysindo Eka Perkasa (Foreign) 140,000 84,319
PT Semen Cibinong (Foreign) ....... 33,000 78,055
PT Semen Gresik (Foreign) ......... 51,000 125,099
PT Summarecon Agung (Foreign) ..... 41,000 25,142
PT Tempo Scan Pacific (Foreign) ... 12,000 31,012
PT Tigaraksa Satria (Foreign) ..... 14,000 47,219
PT Unggul Indah Corp. (Foreign) ... 55,000 51,796
-----------
TOTAL -- INDONESIA (Cost $5,432,462) 5,678,006
-----------
ARGENTINA -- (10.9%)
COMMON STOCKS -- (10.9%)
*Acindar Industria Argentina de
Aceros SA Series A .............. 57,000 35,643
*Alpargatas SA Industrial y
Comercial ....................... 23,000 9,780
Astra Cia Argentina de Petroleos SA 124,840 212,334
Bagley y Cia, Ltd. SA Series B .... 31,900 70,215
Banco Frances del Rio de la Plata
SA .............................. 39,000 339,470
Banco de Galicia y Buenos Aires SA
Series A ........................ 75,815 375,472
*Buenos Aires Embotelladora SA
Series B ........................ 100 125,563
*CIADEA SA ......................... 35,000 150,575
*Celulosa Argentina SA Series B .... 114,000 41,289
*Corcemar Corporacion Cementera
Argentina SA Series B ........... 4,078 17,952
*Indupa SA Industrial y Comercial .. 209,000 127,554
Industrias Petroq Koppers ......... 18,000 72,396
Irsa Inversiones y Representaciones
SA .............................. 34,979 75,242
Juan Minetti SA ................... 12,240 39,187
Ledesma SA ........................ 67,000 77,088
Molinos Rio de la Plata SA Series B 17,447 135,282
Naviera Perez Companc SA Series B . 46,020 223,309
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
------ ------
Nobleza-Piccardo Sdad Industrial
Comercial y Financiera Pica ..... 15,542 $ 60,644
*Sevel Argentina SA Series C ....... 20,034 33,072
Siderca SA Series A ............... 329,000 277,157
*Sociedad Comercial del Plata ...... 69,000 167,754
Telecom Argentina Stet-France SA
Series B ........................ 136,000 608,224
Telefonica de Argentina SA Series B 325,000 809,655
YPF Sociedad Anonima Yacimientos
Petroliferos Fiscales Series D .. 67,000 1,303,802
-----------
TOTAL -- ARGENTINA (Cost $5,519,340) 5,388,659
-----------
PORTUGAL -- (10.0%)
COMMON STOCKS -- (9.5%)
BCP (Banco Comercial Portugues SA) 116,900 1,531,660
Banco Totta & Acores SA ........... 3,900 62,941
Corticeira Amorim Sociedad Gestora
Participacoes Sociais SA ........ 15,200 160,729
EFACEC (Empresa Fabril de Maquinas
Electricas) ..................... 2,200 19,444
Filmes Lusomundo SA ............... 300 3,634
Jeronimo Martins (Estabelecimentos
Jeronimo Martins & Filho
Administracao e Participacoes
Financeiros SA) ................. 13,900 752,343
*Lusotur Sociedad Financeira de
Turismo SA ...................... 5,500 120,528
Mague-Gestao e Participacoes SA ... 4,800 88,713
Modelo Continente SGPS SA ......... 7,700 191,356
Mota & Companhia SA Empreiteiros de
Obras Publicas e Construcao e
Civil ........................... 5,000 105,677
*Portugal Telecom SA ............... 13,928 254,749
Salvador Caetano Industrias
Metalurgicas e Veiculos de
Transporte SA ................... 5,764 77,919
Sociedad Construcoes Soares da
Costa SA ........................ 9,730 119,971
Sonae Investimentos Sociedade
Gestora de Participacoes Sociais
SA .............................. 42,200 891,353
Uniceruniao Cervejeira SA ......... 20,600 318,858
-----------
TOTAL COMMON STOCKS
(Cost $5,039,383) ............... 4,699,875
-----------
INVESTMENT IN CURRENCY -- (0.5%)
*Portuguese Escudos (Cost $249,651) 247,002
-----------
TOTAL -- PORTUGAL (Cost $5,289,034) 4,946,877
-----------
TURKEY -- (9.8%)
COMMON STOCKS -- (9.8%)
Akbank ............................ 2,675,500 645,609
Akcimento ......................... 33,000 16,827
Aksa .............................. 590,522 161,315
Alarko Holding .................... 221,810 82,810
Arcelik A.S. ...................... 1,877,824 184,670
Aygaz ............................. 241,000 120,697
Bekoteknik Sanayi A.S. ............ 428,285 33,149
Brisa Bridgestone Sanbanci Lastik
San & Tic A.S. .................. 474,000 120,852
CIMSA A.S. (Cimento Sanayi ve
Ticaret) ........................ 117,000 58,596
Cimentas A.S. ..................... 101,000 48,743
Cukurova Elektrik A.S. ............ 209,000 133,218
Dogan Sirketler Grubu Holdings A.S. 1,573,000 54,429
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
------ ------
Dogan Sirketler Grubu Holdings A.S.
Issue 95 ........................ 684,000 $ 23,045
Doktas ............................ 27,200 3,963
EGE Biracilik ve Malt Sanayii A.S. 658,040 182,756
*Eczacibasi Ilac ................... 679,470 45,785
Enka Holding ...................... 55,000 29,048
Erciyas Biracilik ................. 291,790 154,105
Eregli Demir ve Celik Fabrikalari
Turk A.S. ....................... 2,644,000 238,350
Good Year Lastikleri A.S. ......... 191,000 58,263
Guney Biracilik ................... 127,600 20,914
*Hurriyet Gazette .................. 473,000 15,936
Izmir Demir Celik ................. 1,816,704 36,394
Koc Holding A.S. .................. 2,142,000 339,381
Migros Turk A.S. .................. 134,000 136,660
Netas Northern Electric
Telekomunikasyon A.S. ........... 521,000 137,580
*Otosan Otomobil A.S. .............. 551,000 103,356
Tat Konserve ...................... 188,000 109,561
*Teletas ........................... 25,000 8,195
Tofas Turk Otomobil Fabrikasi A.S. 2,003,000 226,163
Trakya Cam Sanayii A.S. ........... 1,223,616 120,334
Tuborg Bira ve Malt Sanayi A.S. ... 13,000 6,866
Turcas Petrolculuk A.S. ........... 123,450 23,382
Turk Demir Dokum .................. 314,998 36,141
Turk Siemens Kablo ve Elektrik
Sanayi A.S. ..................... 152,000 31,834
Turk Sise Cam ..................... 1,025,025 160,539
Turkiye Garanti Bankasi A.S. ...... 3,338,000 243,162
Turkiye Is Bankasi A.S. Series C .. 4,625,200 379,046
USAS (Ucak Servisi A.S.) .......... 3,000 12,839
Yapi ve Kredi Bankasi A.S. ........ 4,557,540 273,901
-----------
TOTAL -- TURKEY (Cost $5,521,952) .. 4,818,414
-----------
ISRAEL -- (9.7%)
COMMON STOCKS -- (9.7%)
*Africa-Israel Investments, Ltd. ... 81 99,208
*Africa-Israel Investments, Ltd. ... 41 44,214
*Agis Industries (1983), Ltd. ...... 4,936 30,656
American Israeli Paper Mills, Ltd. 741 34,875
*Bank Hapoalim B.M. ................ 342,874 563,039
Bank Leumi Israel ................. 392,691 515,875
*Bezek, Ltd. ....................... 200,870 574,791
*CLAL Electronics Industries, Ltd. . 1,027 107,659
*CLAL Industries, Ltd. ............. 38,767 210,771
*CLAL Insurance, Ltd. .............. 6,785 33,072
*CLAL Israel, Ltd. ................. 8,450 208,276
*Delek Israel Fuel Corp., Ltd.
Series C ........................ 1,742 48,851
Elbit, Ltd. ....................... 1,786 80,748
Elron Electronic Industries, Ltd. . 1,260 35,678
*First International Bank of Israel 821 86,067
*IDB Bankholding Corp., Ltd. ....... 52,495 173,942
*IDB Development Corp., Ltd.
Series A ........................ 12,600 212,274
*Israel Chemicals, Ltd. ............ 335,000 247,277
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
------ ------
*Koor Industries, Ltd. ............. 3,826 $ 345,464
Makhteshim Chemical Works, Ltd. ... 15,400 86,532
*Osem Investment, Ltd. ............. 19,980 126,430
*Property and Building Corp., Ltd. . 720 44,315
*Super-Sol, Ltd. Series B .......... 4,800 93,837
Tadiran, Ltd. ..................... 33,600 123,024
*Tambour ........................... 16,887 45,192
*Teva Pharmaceutical Industries,
Ltd. ............................ 1,544 638,687
-----------
TOTAL -- ISRAEL (Cost $4,769,592) .. 4,810,754
-----------
THAILAND -- (9.7%)
COMMON STOCKS -- (9.3%)
Adkinson Securities Public Co.,
Ltd. (Foreign) .................. 2,100 4,342
Advanced Info Service Public Co.,
Ltd. (Foreign) .................. 27,400 437,964
Amarin Plaza Public Co., Ltd.
(Foreign) ....................... 7,400 6,914
Asia Securities Trading Public Co.,
Ltd. (Foreign) .................. 13,300 32,787
Ayudhya Insurance Public Co., Ltd.
(Foreign) ....................... 1,000 6,561
*Bangkok Bank of Commerce Public
Co., Ltd. ....................... 19,800 16,336
*Bangkok Bank of Commerce Public
Co., Ltd. (Foreign) ............. 41,100 33,909
Bangkok Land Public Co., Ltd.
(Foreign) ....................... 65,200 85,551
Bangkok Metropolitan Bank Public
Co., Ltd. (Foreign) ............. 81,966 78,218
Bangkok Rubber Public Co., Ltd.
(Foreign) ....................... 14,600 7,837
Bank of Asia Public Co., Ltd.
(Foreign) ....................... 12,870 28,145
Bank of Ayudhya Public Co., Ltd.
(Foreign) ....................... 15,400 83,276
Banpu Public Co., Ltd. (Foreign) .. 4,800 103,062
Berli Jucker Public Co., Ltd.
(Foreign) ....................... 10,100 23,694
Capital Nomura Securities Public
Co., Ltd. (Foreign) ............. 3,000 6,024
Charoen Pokphand Feedmill Public
Co., Ltd. (Foreign) ............. 14,000 67,356
Christiani and Nielson (Thai)
Public Co., Ltd. (Foreign) ...... 4,000 5,010
Dusit Thani Public Co., Ltd.
(Foreign) ....................... 8,933 13,497
Ekachart Finance and Securities
Co., Ltd. (Foreign) ............. 5,100 15,107
First Asia Securities Public Co.,
Ltd. (Foreign) .................. 2,600 8,994
First Bangkok City Bank Public Co.,
Ltd. (Foreign) .................. 175,100 127,061
First City Investment Public Co.,
Ltd. (Foreign) .................. 26,800 37,829
Five Stars Property Public Co.,
Ltd. (Foreign) .................. 3,800 13,598
*GSS Array Technology Public Co.,
Ltd. (Foreign) .................. 3,200 13,360
General Finance and Securities
Public Co., Ltd. (Foreign) ...... 13,100 52,608
Hana Microelectronics Co., Ltd.
(Foreign) ....................... 1,000 3,797
Hemaraj Land and Development Public
Co., Ltd. (Foreign) ............. 6,800 29,201
*ITF Finance and Securities Public
Co., Ltd. (Foreign) ............. 10,700 9,041
International Broadcasting Corp.
Public Co., Ltd. (Foreign) ...... 2,900 4,526
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
------ ------
International Cosmetics Public Co.,
Ltd. (Foreign) .................. 2,000 $ 18,449
International Engineering Public
Co., Ltd. (Foreign) ............. 2,000 7,634
Juldis Develop Public Co., Ltd.
(Foreign) ....................... 1,000 1,948
Kiatnakin Finance and Securities
Public Co., Ltd. (Foreign) ...... 2,800 7,181
Krisda Mahanakorn Public Co., Ltd.
(Foreign) ....................... 11,000 19,245
Krung Thai Bank Public Co., Ltd.
(Foreign) ....................... 155,070 573,420
Land and House Public Co., Ltd.
(Foreign) ....................... 1,000 14,712
MK Real Estate Development Public
Co., Ltd. (Foreign) ............. 2,600 5,091
Mutual Fund Public Co., Ltd.
(Foreign) ....................... 500 11,730
NTS Steel Group Public Co., Ltd.
(Foreign) ....................... 20,500 22,008
Nakornthon Bank Public Co., Ltd.
(Foreign) ....................... 13,640 39,049
National Finance and Securities
Public Co., Ltd. (Foreign) ...... 33,000 140,398
*Natural Park Public Co., Ltd.
(Foreign) ....................... 35,000 80,020
*New Imperial Hotel Public Co., Ltd.
(Foreign) ....................... 19,000 14,826
*Padaeng Industry Public Co., Ltd
(Foreign) ....................... 5,200 3,411
Phatra Thanakit Public Co., Ltd.
(Foreign) ....................... 26,000 210,895
Phoenix Pulp and Paper Public Co.,
Ltd. (Foreign) .................. 12,800 60,056
Poonipat Finance and Securities
Public Co., Ltd. (Foreign) ...... 4,987 14,079
Power P (Foreign) ................. 1,600 4,899
Premier Enterprises Public Co.,
Ltd. (Foreign) .................. 6,000 9,722
Property Perfect Public Co., Ltd.
(Foreign) ....................... 5,550 28,688
Quality Houses Public Co., Ltd.
(Foreign) ....................... 12,000 51,531
*Regional Container Lines Public
Co., Ltd. (Foreign) ............. 500 5,765
Robinson Department Store Public
Co., Ltd. (Foreign) ............. 24,700 46,159
Saha-Union Public Co. Ltd.
(Foreign) ....................... 12,000 14,075
Securities One Public Co., Ltd.
(Foreign) ....................... 10,500 85,169
Serm Suk Public Co., Ltd. (Foreign) 1,000 17,097
Shangri-La Hotel Public Co., Ltd.
Bangkok (Foreign) ............... 24,000 19,085
Shinawatra Computer and
Communications Public Co., Ltd.
(Foreign) ....................... 15,500 368,549
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
------ ------
Siam Cement Public Co., Ltd.
(Foreign) ....................... 10,000 $ 481,113
Siam City Bank Public Co., Ltd.
(Foreign) ....................... 64,000 69,344
Siam City Cement Public Co., Ltd.
(Foreign) ....................... 13,500 182,505
Siam Commercial Bank Public Co.,
Ltd. (Foreign) .................. 5,000 58,847
Siam Pulp & Paper Co., Ltd.
(Foreign) ....................... 13,300 36,225
Sino-Thai Engineering and
Construction Public Co., Ltd.
(Foregin) ....................... 2,900 21,101
Somprasong Land Public Co., Ltd.
(Foreign) ....................... 5,400 8,535
Srithai Superware Public Co., Ltd.
(Foreign) ....................... 1,400 9,463
TPI Polene Public Co., Ltd.
(Foreign) ....................... 27,275 150,745
Tanayong Public Co., Ltd. (Foreign) 29,000 35,457
Thai German Ceramic Industry Public
Co., Ltd. (Foreign) ............. 3,000 7,574
Thai Glass Industries Public Co.,
Ltd. (Foreign) .................. 3,000 12,525
Thai Military Bank Public Co., Ltd.
(Foreign) ....................... 19,200 67,181
Thai Plastic and Chemicals Public
Co., Ltd. (Foreign) ............. 6,000 30,537
Tipco Asphalt Public Co., Ltd.
(Foreign) ....................... 11,000 60,358
Tuntex (Thailand) Public Co., Ltd.
(Foreign) ....................... 21,028 40,133
Wattachak Public Co., Ltd.
(Foreign) ....................... 24,300 46,619
-----------
TOTAL COMMON STOCKS
(Cost $5,070,047) ............... 4,568,758
-----------
INVESTMENT IN CURRENCY -- (0.1%)
*Thailand Baht (Cost $42,744) ...... 42,727
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
------ ------
RIGHTS/WARRANTS -- (0.3%)
*ITF Finance and Securities Public
Co., Ltd. (Foreign) Rights
01/02/96 ........................ 5,350 $ 0
*International Cosmetics Public Co.,
Ltd. (Foreign) Rights 12/22/95 .. 1,500 13,240
*Kiatnakin Finance and Securities
Public Co., Ltd. Warrants
03/30/00 ........................ 280 518
*Natural Park Public Co., Ltd.
(Foreign) Rights 01/19/96 ....... 70,000 132,207
*TPI Polene Public Co., Ltd.
(Foreign) Rights 01/26/96 ....... 1,363 6,991
-----------
TOTAL RIGHTS/WARRANTS (Cost $0) .... 152,956
-----------
TOTAL -- THAILAND (Cost $5,112,791) 4,764,441
-----------
Face
Amount
--------
(000)
TEMPORARY CASH INVESTMENTS --
(3.6%)
Repurchase Agreement, Chase
Manhattan Bank N.A. 5.70%,
12/01/95 (Collateralized by
U.S. Treasury Bonds 8.50%,
02/15/20) (Cost $1,756,000)... $1,756 1,756,000
-------------
TOTAL INVESTMENTS -- (102.1%)
(Cost $52,473,354) ............. 50,378,470
-------------
OTHER ASSETS AND LIABILITIES --
(-2.1%) ........................
Other Assets ................... 1,299,401
Liabilities .................... (2,327,131)
-------------
(1,027,730)
-------------
NET ASSETS -- (100.0%) .......... $49,350,740
=============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1995
(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 ....................................... $ 2,197 $ 1,944 $ 6,717 $ 8,912
Interest ........................................ 331 40 762 427
Income from Securities Lending .................. 8 -- 19 2
------- ------- -------- --------
Total Investment Income ...................... 2,536 1,984 7,498 9,341
------- ------- -------- --------
Expenses
Investment Advisory Services .................... 57 19 976 306
Accounting & Transfer Agent Fees ................ 150 75 382 240
Custodian's Fees ................................ 36 29 91 57
Legal Fees ...................................... 4 2 18 11
Audit Fees ...................................... 5 2 23 11
Shareholders' Reports ........................... 5 3 17 10
Trustees' Fees and Expenses ..................... 1 1 6 4
Other ........................................... 24 7 27 14
------- ------- -------- --------
Total Expenses ............................... 282 138 1,540 653
Less: Expenses Reimbursed ....................... -- (119) -- --
------- ------- -------- --------
Net Expenses .................................... 282 19 1,540 653
------- ------- -------- --------
Net Investment Income ........................... 2,254 1,965 5,958 8,688
------- ------- -------- --------
Net Realized and Unrealized Gain (Loss) on
Investments
Net Realized Gain on Investment Securities ........ 16,628 172 22,264 21,645
Change in Unrealized Appreciation (Depreciation) of
Investment Securities ........................... 29,313 21,274 92,111 68,474
------- ------- -------- --------
Net Gain on Investment Securities ............... 45,941 21,446 114,375 90,119
------- ------- -------- --------
Net Increase in Net Assets Resulting from
Operations ...................................... $48,195 $23,411 $120,333 $98,807
======= ======= ======== =======
</TABLE>
See accompanying Notes to Financial Statements
<PAGE>
THE DFA INVESTMENT COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1995
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA The DFA The
One-Year International Emerging
Fixed Income Value Markets
Series Series Series
-------------- --------------- ----------
<S> <C> <C> <C>
Investment Income .....................................
Dividends, (Net of Foreign Taxes Withheld of $0,
$1,193, and $46, respectively) ................... -- $11,164 $ 629
Interest ............................................ $38,013 623 150
Income from Securities Lending ...................... -- 240 --
------- ------- -------
Total Investment Income .......................... 38,013 12,027 779
------- ------- -------
Expenses ..............................................
Investment Advisory Services ........................ 310 937 30
Accounting & Transfer Agent Fees .................... 168 473 69
Custodian's Fees .................................... 77 386 136
Legal Fees .......................................... 4 39 3
Audit Fees .......................................... 7 29 5
Shareholders' Reports ............................... 5 21 3
Trustees' Fees and Expenses ......................... 1 7 1
Other ............................................... 22 101 16
------- ------- -------
Total Expenses ..................................... 594 1,993 263
------- ------- -------
Net Investment Income ................................. 37,419 10,034 516
------- ------- -------
Net Realized and Unrealized Gain (Loss) on
Investments and Foreign Currency ....................
Net Realized Gain (Loss) on Investment Securities ..... 2,292 5,849 (168)
Net Realized Foreign Exchange Loss on Foreign Currency
Transactions ........................................ -- (10) (57)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency .......... 7,204 17,388 (2,549)
Translation of Foreign Currency Denominated Amounts . -- (27) (3)
------- ------- -------
Net Gain (Loss) on Investment Securities and Foreign
Currency ......................................... 9,496 23,200 (2,777)
------- ------- -------
Net Increase (Decrease) in Net Assets Resulting from
Operations .......................................... $46,915 $33,234 ($ 2,261)
======= ======= ========
</TABLE>
See accompanying Notes to Financial Statements
<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
------------------------ ------------------------
Year Year Year Year
Ended Ended Ended Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1995 1994
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income .................... $ 2,254 $ 1,709 $ 1,965 $ 1,224
Net Realized Gain (Loss) on
Investment Securities ................. 16,628 10,407 172 (43)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities ................. 29,313 (10,836) 21,274 (687)
-------- -------- ------- -------
Net Increase in Net Assets Resulting
from Operations .................. 48,195 1,280 23,411 494
-------- -------- ------- -------
Distributions From:
Net Investment Income .................... (2,197) (1,700) (1,886) (1,252)
Net Realized Gains ....................... (12,660) (12,200) -- (33)
-------- -------- ------- -------
Total Distributions ................... (14,857) (13,900) (1,886) (1,285)
-------- -------- ------- -------
Capital Share Transactions (1):
Shares Issued ............................ 44,394 30,430 31,424 16,588
Shares Issued in Lieu of Cash
Distributions ......................... 12,291 12,416 1,585 1,173
Shares Redeemed .......................... (11,669) (48,521) (6,073) (6,166)
-------- -------- ------- -------
Net Increase (Decrease) from Capital
Share Transactions .................. 45,016 (5,675) 26,936 11,595
-------- -------- ------- -------
Total Increase (Decrease) ............. 78,354 (18,295) 48,461 10,804
Net Assets
Beginning of Period ...................... 143,630 161,925 48,657 37,853
-------- -------- ------- -------
End of Period ............................ $221,984 $143,630 $97,118 $48,657
======== ======== ======= =======
(1) Shares Issued and Redeemed:
Shares Issued ............................ 4,479 3,052 2,738 1,612
Shares Issued in Lieu of Cash Distribution 1,283 1,284 135 114
Shares Redeemed .......................... (1,104) (4,868) (484) (597)
---------- ---------- ---------- ----------
4,658 (532) 2,389 1,129
========== ========== ========== ==========
</TABLE>
See accompanying Notes to Financial Statements
<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
------------------------ ------------------------
Year Ended Year Ended Year Ended Year Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1995 1994
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ...................... $ 5,958 $ 3,442 $ 8,688 $ 5,301
Net Realized Gain (Loss) on
Investment Securities ................... 22,264 2,206 21,645 (5,273)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities ................... 92,111 (10,764) 68,474 (5,746)
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations ........... 120,333 (5,116) 98,807 (5,718)
-------- -------- -------- --------
Distributions From:
Net Investment Income ...................... (5,753) (3,415) (8,440) (5,305)
Net Realized Gains ......................... (7,740) (1,292) (5,278) --
-------- -------- -------- --------
Total Distributions ..................... (13,493) (4,707) (13,718) (5,305)
-------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued .............................. 172,434 264,190 209,434 124,500
Shares Issued in Lieu of Cash Distributions 10,353 3,765 11,274 4,545
Shares Redeemed ............................ (15,561) (3,536) (81,618) (9,445)
-------- -------- -------- --------
Net Increase from Capital Share
Transactions .......................... 167,226 264,419 139,090 119,600
-------- -------- -------- --------
Total Increase .......................... 274,066 254,596 224,179 108,577
Net Assets
Beginning of Period ........................ 350,277 95,681 198,848 90,271
-------- -------- -------- --------
End of Period .............................. $624,343 $350,277 $423,027 $198,848
======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued .............................. 13,765 22,720 18,580 11,986
Shares Issued in Lieu of Cash Distribution . 774 340 1,049 446
Shares Redeemed ............................ (1,423) (304) (7,857) (900)
-------- -------- -------- --------
13,116 22,756 11,772 11,532
======== ======== ======== ========
</TABLE>
See accompanying Notes to Financial Statements
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA One-Year The DFA International The Emerging
Fixed Income Series Value Series Markets Series
-------------------------- ------------------------ ------------------------
Year Year Year Feb. 15 Year April 25
Ended Ended Ended to Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1995 1994 1995 1994
----------- ----------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income .................... $ 37,419 $ 27,413 $ 10,034 $ 3,478 $ 516 $ 32
Net Realized Gain (Loss) on
Investment Securities ................. 2,292 (5,023) 5,849 465 (168) 20
Net Realized Gain (Loss) on
Foreign Currency Transactions ......... -- -- (10) (279) (57) (6)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency ............................ 7,204 (6,783) 17,388 (5,057) (2,549) 453
Translation of Foreign Currency .......
Denominated Amounts ................... -- -- (27) 44 (3) 1
--------- --------- -------- -------- ------- -------
Net Increase (Decrease) in Net Assets
Resulting from Operations ............. 46,915 15,607 33,234 (1,349) (2,261) 500
--------- --------- -------- -------- ------- -------
Distributions From:
Net Investment Income .................... (36,973) (26,524) (9,950) (3,176) -- --
Net Realized Gains ....................... -- (3,154) (1,200) (480) -- --
--------- --------- -------- -------- ------- -------
Total Distributions ..................... (36,973) (29,678) (11,150) (3,656) -- --
--------- --------- -------- -------- ------- -------
Capital Share Transactions (1):
Shares Issued ............................ 243,191 205,242 315,270 355,615 -- --
Shares Issued in Lieu of Cash
Distributions ......................... 26,791 23,866 11,150 3,656 -- --
Shares Redeemed .......................... (166,656) (231,179) (87,499) (5,885) -- --
--------- --------- -------- -------- ------- -------
Net Increase (Decrease) From Capital Share
Transactions .......................... 103,326 (2,071) 238,921 353,386 -- --
--------- --------- -------- -------- ------- -------
Transactions in Interest
Contributions ............................ -- -- -- -- 37,476 15,298
Withdrawal ............................... -- -- -- -- (1,588) (74)
--------- --------- -------- -------- ------- -------
Net Increase from Transactions in
Interest .............................. -- -- -- -- 35,888 15,224
--------- --------- -------- -------- ------- -------
Total Increase (Decrease) ............... 113,268 (16,142) 261,005 348,381 33,627 15,724
--------- --------- -------- -------- ------- -------
Net Assets
Beginning of Period ...................... 592,286 608,428 348,381 -- 15,724 --
--------- --------- -------- -------- ------- -------
End of Period ............................ $ 705,554 $ 592,286 $609,386 $348,381 $49,351 $15,724
========= ========= ======== ======== ======= =======
(1) Shares Issued and Redeemed:
Shares Issued ......................... 24,470 20,640 30,947 34,842 N/A N/A
Shares Issued in Lieu of Cash
Distribution ........................ 2,710 2,410 1,069 355
Shares Redeemed ....................... (16,810) (23,320) (8,862) (574)
--------- --------- -------- --------
10,370 (270) 23,154 34,623
========= ========= ======== ========
</TABLE>
See accompanying Notes to Financial Statements
<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 The U.S. Large Company Series
------------------------------------- --------------------------------------
Year Year Feb. 3 Year Year Feb. 8
Ended Ended to Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1993 1995 1994 1993
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ........... $ 9.54 $ 10.39 $ 10.00 $ 10.11 $ 10.27 $ 10.00
-------- -------- -------- ------- ------- -------
Income From Investment
Operations
- ---------------------
Net Investment Income ........ 0.12 0.12 0.10 0.30 0.28 0.24
Net Gains (Losses) on
Securities (Realized and
Unrealized) ............... 2.50 (0.07) 0.54 3.36 (0.14) 0.26
-------- -------- -------- ------- ------- -------
Total From Investment
Operations .............. 2.62 0.05 0.64 3.66 0.14 0.50
- -----------------------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ........ (0.12) (0.11) (0.10) (0.29) (0.29) (0.23)
Net Realized Gains ........... (0.78) (0.79) (0.15) -- (0.01) --
-------- -------- -------- ------- ------- -------
Total Distributions ....... (0.90) (0.90) (0.25) (0.29) (0.30) (0.23)
- -----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period . $ 11.26 $ 9.54 $ 10.39 $ 13.48 $ 10.11 $ 10.27
=================================================================================================================
Total Return ................... 29.19% 0.59% 6.35%# 36.77% 1.30% 5.05%#
- -----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) .................. $221,984 $143,630 $161,925 $97,118 $48,657 $37,853
Ratio of Expenses to Average
Net Assets ................... 0.15% 0.17% 0.17%* 0.02%(a) 0.02%(a) 0.02%*(a)
Ratio of Net Investment Income
to Average Net Assets ........ 1.18% 1.11% 1.18%* 2.61%(a) 2.83%(a) 2.87%*(a)
Portfolio Turnover Rate ........ 21.16% 27.65% 32.88%* 2.38% 8.52% 34.36%*
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
*Annualized
#Non-annualized
(a) Had certain reimbursements not been in effect the ratios of expenses to
average net assets for the periods ended 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 periods ended
November 30, 1995, 1994 and 1993, would have been 2.45%, 2.52% and 2.41%,
respectively.
See accompanying Notes to Financial Statements
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The U.S. Small Cap Value Series The U.S. Large Cap Value Series
------------------------------------- -------------------------------------
Year Year March 2 Year Year Feb. 19
Ended Ended to Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1993 1995 1994 1993
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period .. $ 11.15 $ 11.04 $ 10.00 $ 9.92 $ 10.59 $ 10.00
-------- -------- ------- -------- -------- -------
Income From Investment
Operations
- ---------------------
Net Investment Income .............. 0.14 0.12 0.08 0.32 0.33 0.20
Net Gains (Losses) on Securities
(Realized and Unrealized) ....... 3.06 0.16 1.09 3.53 (0.65) 0.58
-------- -------- ------- -------- -------- -------
Total From Investment
Operations .................... 3.20 0.28 1.17 3.85 (0.32) 0.78
-------- -------- ------- -------- -------- -------
Less Distributions
- ------------------
Net Investment Income .............. (0.14) (0.12) (0.07) (0.31) (0.35) (0.18)
Net Realized Gains ................. (0.19) (0.05) (0.06) (0.17) -- (0.01)
-------- -------- ------- -------- -------- -------
Total Distributions ............. (0.33) (0.17) (0.13) (0.48) (0.35) (0.19)
- ----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period ....... $ 14.02 $ 11.15 $ 11.04 $ 13.29 $ 9.92 $ 10.59
======================================================================================================================
Total Return ......................... 28.81% 2.52% 11.69%# 39.26% (3.13)% 7.79%#
- ----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $624,343 $350,277 $95,681 $423,027 $198,848 $90,271
Ratio of Expenses to Average
Net Assets ......................... 0.32% 0.32% 0.33%* 0.21% 0.22% 0.23%*
Ratio of Net Investment Income
to Average Net Assets .............. 1.22% 1.50% 1.35%* 2.84% 3.72% 3.75%*
Portfolio Turnover Rate .............. 20.62% 8.22% 1.07%* 29.41% 39.33% 0.75%*
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
*Annualized
#Non-annualized
See accompanying Notes to Financial Statements
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The DFA One-Year The DFA The Emerging Markets
Fixed Income Series(1) International Value Series Series
------------------------------------- ------------------------- ------------------------
Year Year Feb. 8 Year Feb. 15 Year April 25
Ended Ended to Ended to Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1995 1994 1993 1995 1994 1995 1994
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ......................... $ 9.84 $ 10.06 $ 10.00 $ 10.06 $ 10.00 N/A+ N/A+
-------- -------- -------- -------- -------- ------- -------
Income From Investment Operations
- ---------------------------------
Net Investment Income ......... 0.60 0.44 0.31 0.20 0.13 -- --
Net Gains (Losses) on
Securities (Realized and
Unrealized) ................ 0.16 (0.18) 0.03 0.52 0.07 -- --
-------- -------- -------- -------- -------- ------- -------
Total From Investment
Operations ............... 0.76 0.26 0.34 0.72 0.20 -- --
- --------------------------------------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ......... (0.60) (0.43) (0.28) (0.21) (0.13) -- --
Net Realized Gains ............ -- (0.05) -- (0.02) (0.01) -- --
-------- -------- -------- -------- -------- ------- -------
Total Distributions ........ (0.60) (0.48) (0.28) (0.23) (0.14) -- --
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .. $ 10.00 $ 9.84 $ 10.06 $ 10.55 $ 10.06 N/A+ N/A+
================================================================================================================================
Total Return .................... 7.91% 2.61% 3.39%# 7.20% 1.99%# N/A+ N/A+
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $705,554 $592,286 $608,428 $609,386 $348,381 $49,351 $15,724
Ratio of Expenses to Average Net
Assets ........................ 0.10% 0.10% 0.10%* 0.42% 0.45%*(a) 0.87% 1.49%*
Ratio of Net Investment Income to
Average Net Assets ............ 6.04% 4.41% 3.80%* 2.14% 1.84%*(a) 1.70% 0.56%*
Portfolio Turnover Rate ......... 81.31% 140.82% 111.67%* 9.75% 1.90%* 8.17% 1.28%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) (Adjusted to reflect a 900% stock dividend as of January 2, 1996)
*Annualized
#Non-annualized
(a) Had certain waivers not been in effect the ratio of expenses to average
net assets for the period ended November 30, 1994 would have been 0.48%,
and the ratio of net investment income to average net assets for the
period ended November 30, 1994 would have been 1.81%.
+ Not applicable as The Emerging Markets Series is organized as a
partnership.
See accompanying Notes to Financial Statements
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
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
November 30, 1995, The Trust consisted of seven investment portfolios: The
U.S. 6-10 Small Company Series, The U.S. Large Company Series, The U.S. Small
Cap Value Series, The U.S. Large Cap Value Series (the "Domestic Equity
Portfolios"), The DFA One-Year Fixed Income Series (the "Fixed Income
Portfolio"), The DFA International Value Series and The Emerging Markets
Series (the "International Equity Portfolios") (collectively, "the Series").
In February 1993, The U.S. 6-10 Small Company Portfolio, The U.S. Large
Company Portfolio and The DFA One-Year Fixed Income Portfolio respectively,
transferred their investable assets for shares with equal values of a
corresponding Series of the Trust. In February 1994, the DFA International
High Book to Market Portfolio transferred its investable assets for shares
with equal value of The DFA International Value Series (the "Exchanges").
These four Portfolios, along with The U.S. Small Cap Value Portfolio, The
U.S. Large Cap Value Portfolio and The Emerging Markets Portfolio of the Fund
(collectively, the "Feeder Funds") invest solely in a corresponding Series in
the Trust. Although these portfolios of the Fund invest in the Trust, the
Trust also issues its shares to other investors.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies are consistently followed by the Trust in preparation of its
financial statements.
1. Security Valuation: Securities held by the Domestic Equity Portfolios
which are listed on a securities exchange and for which market quotations are
readily available are valued at the last quoted sale price of the day, or if
there is no such reported sale, at the mean between the most recent bid and
asked prices. Securities held by the International Equity Portfolios which
are listed on a securities exchange are valued at the last quoted sale price.
Price information on listed securities is taken from the exchange where the
security is primarily traded.
Unlisted securities for which market quotations are readily available are
valued at the mean between the most recent bid and asked prices. Securities
for which quotations are not readily available are valued in good faith at
fair value using methods determined by the Board of Directors.
Securities held by the Fixed Income Portfolio are valued on the basis of
prices provided by a pricing service when such prices are believed to reflect
the fair market value of such securities.
2. Foreign Currency Translation: Securities, other assets and liabilities
of the International Equity Portfolios whose values are initially expressed
in foreign currencies are translated to U.S. dollars at the bid price of such
currency against U.S. dollars last quoted by a major bank. Dividend and
interest income and certain expenses are translated to U.S. dollars at the
rate of exchange on their respective accrual dates. Receivables and payables
denominated in foreign currencies are marked to market daily based on daily
exchange rates and exchange gains or losses are realized upon ultimate
receipt or disbursement.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and between amounts of interest, dividends and
foreign withholding taxes recorded on the books of the International Equity
Portfolios and the U.S. dollar equivalent amounts actually received or paid.
<PAGE>
3. Federal Income Taxes: It is each Series' intention, except for The
Emerging Markets Series, to continue to qualify as a regulated investment
company and distribute all of its taxable income. Accordingly, no provision
for federal taxes is required in the financial statements.
The Emerging Markets Series is treated as a partnership for federal income
tax purposes. Any interest, dividends and gains or losses of the Series will
be deemed to have been "passed through" to its Feeder Funds.
4. Repurchase Agreements: The Series may purchase money market instruments
subject to the seller's agreement to repurchase them at an agreed upon date
and price. The seller will be required on a daily basis to maintain the value
of the collateral subject to the agreement at not less than the repurchase
price (including accrued interest). The agreements are conditioned upon the
collateral being deposited under the Federal Reserve book-entry system or
with the Fund's custodian or a third party sub-custodian. All repurchase
agreements were entered into on November 30, 1995.
5. Other: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains
and losses on the sale of investment securities are those of specific
securities sold. Dividend income and distributions to shareholders are
recorded on the ex-dividend date. Interest income is 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 year ended November 30, 1995, 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 International Value Series ..... .20 of 1%
The Emerging Markets Series ............ .10 of 1%
The Advisor has agreed to bear all of the ordinary operating expenses of
The U.S. Large Company Series except for the advisory fee. With respect to
The DFA International Value Series, the Advisor has also agreed to waive its
advisory fees to the extent necessary to keep the cumulative annual expenses
to not more than 0.45% of average daily net assets.
Beginning December 1, 1994, The DFA International Value Series began to
reimburse the Advisor for fees waived over the preceding twelve month period.
For the year ended November 30, 1995 this reimbursement to the advisory
amounted to $52,864. No additional previously waived fees are subject to
future reimbursement as of November 30, 1995.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
<PAGE>
D. PURCHASE AND SALES OF SECURITIES:
For the year ended November 30, 1995, the Series made the following
purchases and sales of investment securities:
<TABLE>
<CAPTION>
Other
U.S. Government Investment
Securities Securities
------------------------- ------------------------
Purchases Sales Purchases Sales
----------- ---------- ----------- ---------
(000) (000) (000) (000)
<S> <C> <C> <C> <C>
The U.S. 6-10 Small Company Series .. -- -- $158,073 $ 39,798
The U.S. Large Company Series ....... -- -- 26,675 1,770
The U.S. Small Cap Value Series ..... -- -- 199,653 97,788
The U.S. Large Cap Value Series ..... -- -- 216,695 88,364
The DFA One-Year Fixed Income Series $54,398 $113,581 198,209 339,193
The DFA International Value Series .. -- -- 279,910 44,853
The Emerging Markets Series ......... -- -- 38,835 2,317
</TABLE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1995, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities
and foreign currencies for each Series were as follows:
<TABLE>
<CAPTION>
Gross Unrealized Gross Unrealized
Appreciation Depreciation Net
---------------- ---------------- ---------
(000) (000) (000)
<S> <C> <C> <C> <C>
The U.S. 6-10 Small Company Series .. $ 60,814 $(22,065) $38,749
The U.S. Large Company Series ....... 28,997 (555) 28,442
The U.S. Small Cap Value Series ..... 133,927 (44,617) 89,310
The U.S. Large Cap Value Series ..... 70,723 (6,061) 64,662
The DFA One-Year Fixed Income Series 424 (129) 295
The DFA International Value Series .. 53,477 (32,209) 21,268
The Emerging Markets Series ......... 2,974 (5,069) (2,095)
</TABLE>
At November 30, 1995, the following Series had capital loss carryovers for
federal income tax purposes:
Expires on November 30
-------------------------------------
(Amounts in thousands)
2001 2002 2003 Total
------ -------- ------ -------
The U.S. Large Company Series ...... $ 172 -- -- $ 172
The DFA One-Year Fixed Income Series -- $2,731 -- 2,731
<PAGE>
F. COMPONENTS OF NET ASSETS:
At November 30, 1995, net assets consisted of (amounts in thousands):
<TABLE>
<CAPTION>
The U.S. The U.S. The U.S.
6-10 Small Large Small Cap
Company Company Values
Series Series Series
------------ ---------- -----------
<S> <C> <C> <C>
Paid-In Capital .............................................. $170,932 $69,255 $519,275
Undistributed Net Investment Income .......................... 119 97 272
Undistributed Net Realized Gain (Loss) ....................... 12,184 (676) 15,486
Unrealized Appreciation (Depreciation) of Investment
Securities .................................................. 38,749 28,442 89,310
-------- ------- --------
$221,984 $97,118 $624,343
======== ======= ========
</TABLE>
<TABLE>
<CAPTION>
The U.S. The DFA The DFA
Large Cap One-Year International
Value Fixed Income Value
Series Series Series
----------- -------------- ---------------
<S> <C> <C> <C>
Paid-In Capital .............................................. $346,905 $704,756 $583,370
Undistributed Net Investment Income .......................... 395 3,242 107
Undistributed Net Realized Gain (Loss) ....................... 11,065 (2,739) 4,634
Accumulated Net Realized Foreign Exchange Loss ............... -- -- (10)
Unrealized Appreciation (Depreciation) of Investment
Securities and Foreign Currency ............................. 64,662 295 21,268
Unrealized Net Foreign Exchange Gain ......................... -- -- 17
-------- -------- --------
$423,027 $705,554 $609,386
======== ======== ========
</TABLE>
G. SECURITIES LENDING:
Loans of domestic securities are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on
loan. Loans of international securities are required at all times to be
secured by collateral at least equal to 105% of the market value of the
securities on loan. However, in the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. The market value of securities on loan
to brokers and the related collateral cash and indemnification received at
November 30, 1995, 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 ....................... $16,594,501 $17,156,440
The U.S. Large Company Series ... 6,064,020 6,262,200
The U.S. Small Cap Value Series . 40,853,779 41,862,513
The U.S. Large Cap Value Series . 24,044,039 24,601,220
International Equity Portfolios
- -------------------------------
The DFA International Value
Series ....................... 64,353,529 69,809,548
</TABLE>
H. SUBSEQUENT EVENTS:
Effective December 1, 1995, The U.S. Large Company Series is obligated to
bear all of its operating expenses including its advisory fee.
On December 20, 1995, the Board of Trustees of The DFA Investment Trust
Company (the "Board") 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 is January 1, 1996, and the ex-date and payable dates are January 2,
1996. This is 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.
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
THE DFA INVESTMENT TRUST COMPANY:
We have audited the accompanying statements of net assets of The DFA
Investment Trust Company (comprising, respectively, The U.S. 6-10 Small
Company Series, The U.S. Large Company Series, The U.S. Small Cap Value
Series, The U.S. Large Cap Value Series, The DFA One-Year Fixed Income
Series, The DFA International Value Series, and The Emerging Market Series)
as of November 30, 1995, and the related statements of operations for the
year then ended, the statements of changes in net assets for each of the two
years in the period then ended, and the financial highlights for each of the
periods presented. These financial statements and financial highlights are
the responsibility of the Fund's management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on
our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
investments owned as of November 30, 1995, by correspondence with the
custodians and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
each of the aforementioned portfolios constituting The DFA Investment Trust
Company as of November 30, 1995, and the results of their operations for the
year then ended, the changes in their net assets for each of the two years in
the period then ended, and their financial highlights for each of the periods
presented, in conformity with generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 19, 1996
