<PAGE>
- --------------------------------------------------------------------------------
DFA Investment Dimensions Group Inc.
and
The DFA Investment Trust Company
SEMI-ANNUAL
REPORT
Six Months Ended May 31, 1997
(Unaudited)
---------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<S> <C>
Schedules of Investments
The U.S. 9-10 Small Company Portfolio................................................... 1-24
The U.S. 6-10 Small Company Portfolio................................................... 25
The U.S. Large Company Portfolio........................................................ 25
The Enhanced U.S. Large Company Portfolio............................................... 25
The U.S. Small Cap Value Portfolio...................................................... 25
The U.S. Large Cap Value Portfolio...................................................... 25
The DFA Real Estate Securities Portfolio................................................ 26-27
The Japanese Small Company Portfolio.................................................... 28
The Pacific Rim Small Company Portfolio................................................. 28
The United Kingdom Small Company Portfolio.............................................. 28
The Continental Small Company Portfolio................................................. 28
The International Small Company Portfolio............................................... 29
The RWB/DFA International High Book to Market Portfolio................................. 29
The Emerging Markets Portfolio.......................................................... 29
The Large Cap International Portfolio................................................... 30-34
The DFA International Small Cap Value Portfolio......................................... 35-47
The DFA Intermediate Government Fixed Income Portfolio.................................. 48
The DFA One-Year Fixed Income Portfolio................................................. 49
The DFA Five-Year Government Portfolio.................................................. 49
The DFA Two-Year Global Fixed Income Portfolio.......................................... 49
The DFA Global Fixed Income Portfolio................................................... 50-51
Statements of Assets and Liabilities........................................................ 52-54
Statements of Operations.................................................................... 55-60
Statements of Changes in Net Assets......................................................... 61-67
Financial Highlights........................................................................ 68-81
Notes to Financial Statements............................................................... 82-89
</TABLE>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<S> <C>
Statements of Net Assets
The U.S. 6-10 Small Company Series...................................................... 90-119
The U.S. Large Company Series........................................................... 120-124
The Enhanced U.S. Large Company Series.................................................. 125-126
The U.S. Small Cap Value Series......................................................... 127-142
The U.S. Large Cap Value Series......................................................... 143-144
The Japanese Small Company Series....................................................... 145-150
The Pacific Rim Small Company Series.................................................... 151-162
The United Kingdom Small Company Series................................................. 163-169
The Continental Small Company Series.................................................... 170-180
The DFA International Value Series...................................................... 181-189
The Emerging Markets Series............................................................. 190-197
The Emerging Markets Small Cap Series................................................... 198-204
The DFA One-Year Fixed Income Series.................................................... 205-206
Schedules of Investments
The DFA Two-Year Corporate Fixed Income Series.......................................... 207
The DFA Two-Year Government Series...................................................... 208
The DFA Two-Year Global Fixed Income Series............................................. 209-211
Statements of Assets and Liabilities
The DFA Two-Year Corporate Fixed Income Series.......................................... 212
The DFA Two-Year Government Series...................................................... 213
The DFA Two-Year Global Fixed Income Series............................................. 214
Statements of Operations.................................................................... 215-217
Statements of Changes in Net Assets......................................................... 218-224
Financial Highlights........................................................................ 225-230
Notes to Financial Statements............................................................... 231-237
</TABLE>
ii
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
COMMON STOCKS -- (97.8%)
*3-D Systems Corp.................................... 83,700 $ 606,825
*3D0 Co.............................................. 83,000 376,094
*4 Health, Inc....................................... 1,900 11,044
*AAON, Inc........................................... 39,490 278,898
ABC Bancorp.......................................... 9,625 160,016
*ABC Rail Products Corp.............................. 67,000 1,088,750
*ACT Manufacturing, Inc.............................. 25,900 734,912
*AEP Industries, Inc................................. 22,350 1,046,259
*AER Energy Resources, Inc........................... 120,200 345,575
*AFC Cable Systems, Inc.............................. 37,300 1,014,094
*AG Services America, Inc............................ 19,500 312,000
*AMBI, Inc........................................... 124,200 263,925
*APS Holding Corp. Class A........................... 23,600 234,525
*ARI Network Services, Inc........................... 95,500 98,484
*ARV Assisted Living, Inc............................ 66,000 528,000
*ATC Group Services, Inc............................. 65,800 727,912
*ATS Medical, Inc.................................... 79,500 484,453
*AW Computer Systems, Inc. Class A................... 3,950 3,209
Aaron Rents, Inc. Class A............................ 41,500 498,000
Aaron Rents, Inc. Class B............................ 139,800 1,651,387
*#Aasche Transportation Services, Inc................ 14,500 72,047
*Abaxis, Inc......................................... 74,800 210,375
Abington Bancorp, Inc................................ 18,400 434,700
*Abiomed, Inc........................................ 25,100 274,531
*Able Telcom Holding Corp............................ 32,000 238,000
Abrams Industries, Inc............................... 12,900 75,787
*Abraxas Petroleum Corp.............................. 50,000 659,375
*Accell International Corp........................... 97,293 291,879
*Access Beyond, Inc.................................. 89,033 442,383
*Access Health Marketing, Inc........................ 19,850 435,459
*Ace Cash Express, Inc............................... 24,950 285,366
Aceto Corp........................................... 19,581 264,343
*Acme Electric Corp.................................. 19,484 136,388
*Acme Metals, Inc.................................... 98,500 1,502,125
*Acme United Corp.................................... 28,707 170,448
*Action Performance Companies, Inc................... 76,900 1,850,406
*Active Voice Corp................................... 4,500 54,844
*Activision, Inc..................................... 74,700 961,762
*Actrade International, Ltd.......................... 3,100 44,175
*Adage, Inc.......................................... 50,942 205,360
*Adam Software, Inc.................................. 2,000 3,750
Adams Resources & Energy, Inc........................ 74,150 1,019,562
*Adelphia Communications Corp. Class A............... 68,500 402,437
*Adept Technology, Inc............................... 79,000 622,125
*Adflex Solutions, Inc............................... 41,900 686,112
*Advanced Digital Information Corp................... 48,000 747,000
*Advanced Energy Industries, Inc..................... 70,000 844,375
*Advanced Logic Research, Inc........................ 64,900 717,956
*Advanced Magnetics, Inc............................. 45,550 540,906
*Advanced Marketing Services, Inc.................... 36,900 382,837
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Advanced Medical, Inc............................... 62,900 $ 216,219
*Advanced Photonix, Inc. Class A..................... 90,950 113,687
*Advanced Polymer Systems, Inc....................... 79,000 582,625
Advanced Promotion Technologies, Inc................. 159,451 956
Advanced Technology Materials, Inc................... 33,300 797,119
Advantage Bancorp, Inc............................... 11,225 436,372
Advest Group, Inc.................................... 42,800 695,500
*Advocat, Inc........................................ 50,700 500,662
*Aeroflex, Inc....................................... 102,152 408,608
*Aerosonic Corp. DE.................................. 3,500 41,562
*Aerovox, Inc........................................ 41,800 201,162
*Aetrium, Inc........................................ 31,800 544,575
Affiliated Community Bancorp......................... 3,600 103,725
*Ag-Chem Equipment Co., Inc.......................... 4,600 90,275
*Agri-Nutrition Group, Ltd........................... 16,800 19,950
*Air & Water Technologies Corp. Class A.............. 87,000 413,250
*Air Methods Corp.................................... 30,300 82,378
*Airsensors, Inc..................................... 21,200 162,975
*Airways Corp........................................ 60,700 314,881
*Akorn, Inc.......................................... 29,900 67,275
*Alamco, Inc......................................... 38,860 592,615
Alamo Group, Inc..................................... 40,000 775,000
*Alarmguard Holdings, Inc............................ 10,006 65,039
*Alba-Waldensian, Inc................................ 21,000 105,000
*Alcide Corp......................................... 8,700 263,175
*Aldila, Inc......................................... 62,800 310,075
*Alfin, Inc.......................................... 217 136
Alico, Inc........................................... 55,700 1,072,225
*Alkermes, Inc....................................... 7,900 130,350
*All American Communications, Inc.................... 12,800 188,800
*All American Semiconductor, Inc..................... 38,400 39,600
*Allcity Insurance Co................................ 200 1,562
*Allegro New Media, Inc.............................. 28,868 72,170
Allen Organ Co. Class B.............................. 200 7,975
Alliance Bancorp..................................... 26,971 792,279
*Alliance Entertainment Corp......................... 113,000 98,875
*Alliance Gaming Corp................................ 274,189 1,028,209
*Allied Capital Advisers, Inc........................ 58,500 276,047
Allied Capital Lending Corp.......................... 20,000 286,250
Allied Healthcare Products, Inc...................... 54,600 327,600
*Allied Holdings, Inc................................ 66,435 656,046
Allied Life Financial Corp........................... 20,000 340,000
Allied Products Corp................................. 76,894 2,499,055
*Allied Research Corp................................ 41,040 343,710
*Allou Health & Beauty Care, Inc. Class A............ 29,200 173,375
*Allstate Financial Corp............................. 11,500 69,000
*Alltrista Corp...................................... 28,874 692,976
*Allwaste, Inc....................................... 38,200 319,925
*Aloette Cosmetics, Inc.............................. 7,200 22,050
*Alpha Beta Technology, Inc.......................... 108,000 992,250
*Alpha Industries, Inc............................... 89,700 661,537
*Alpha Microsystems, Inc............................. 48,600 66,825
</TABLE>
1
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Alpha Technologies Group, Inc....................... 107,200 $ 314,900
*Alpine Group, Inc................................... 159,544 1,495,725
*Alpine Lace Brands, Inc............................. 28,500 178,125
*#Alta Gold Co....................................... 112,943 333,535
*Alteon, Inc......................................... 117,000 453,375
*Altris Software, Inc................................ 46,650 215,756
*Amati Communications Corp........................... 214,500 2,761,687
Amcast Industrial Corp............................... 32,300 791,350
*America Services Group, Inc......................... 29,000 308,125
American Bancorporation Ohio......................... 200 6,200
American Bank of Connecticut......................... 6,100 210,450
*American Banknote Corp.............................. 93,800 398,650
American Biltrite, Inc............................... 97,800 2,182,162
*American Biogenetic Sciences, Inc. Class A.......... 130,700 398,227
*American Buildings Co............................... 50,000 1,400,000
*American Claims Evaluation, Inc..................... 3,100 4,214
*American Classic Voyages Co......................... 100,200 1,058,362
American Eagle Group, Inc............................ 54,500 34,062
*American Eagle Outfitters, Inc...................... 38,600 436,662
*American Ecology Corp............................... 62,800 86,350
*American Educational Products, Inc.................. 2,760 12,592
*American Exploration Co............................. 33,100 426,162
American Federal Bank FSB Greenville, SC............. 34,300 1,048,294
American Filtrona Corp............................... 20,200 903,950
*American Healthcorp, Inc............................ 68,700 751,406
*American Homepatient, Inc........................... 19,700 379,225
*American Homestar Corp.............................. 86,812 1,730,814
American Indemnity Financial Corp.................... 16,700 212,925
American List Corp................................... 21,615 599,816
*American Locker Group, Inc.......................... 8,800 108,900
*American Media, Inc. Class A........................ 121,200 727,200
*American Medical Electronics, Inc. (Escrow-Bonus)... 102,100 0
*American Medical Electronics, Inc.
(Escrow-Earnings).................................. 102,100 0
*American Oilfield Divers, Inc....................... 48,600 546,750
*American Pacific Corp............................... 73,500 475,453
*American Paging, Inc................................ 147,200 331,200
*American Physicians Services Group, Inc............. 46,800 315,900
American Precision Industries, Inc................... 160,375 3,107,266
*American Safety Razor Co............................ 36,300 535,425
*#American Science & Engineering, Inc................ 75,000 759,375
*American Shared Hospital Services................... 14,800 13,412
*American Software, Inc. Class A..................... 140,800 1,034,000
*American Superconductor Corp........................ 36,300 304,012
*American Technical Ceramics Corp.................... 14,500 179,437
*American Telecasting, Inc........................... 22,000 23,719
*#American United Global, Inc........................ 46,900 215,447
*#American Waste Services, Inc. Class A.............. 123,800 216,650
American Woodmark Corp............................... 44,329 723,117
Americana Bancorp, Inc............................... 18,200 286,649
*Amerihost Properties, Inc........................... 63,600 457,125
*AmeriLink Corp...................................... 9,800 78,400
*Ameristar Casinos, Inc.............................. 126,350 694,925
*Ameriwood Industries International Corp............. 52,900 380,219
Ameron, Inc.......................................... 15,500 860,250
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Ames Department Stores, Inc......................... 86,800 $ 702,537
*Amistar Corp........................................ 28,300 152,997
Ampco-Pittsburgh Corp................................ 72,100 946,312
Amplicon, Inc........................................ 29,000 677,875
*Amre, Inc........................................... 47,600 238
*Amrep Corp.......................................... 63,610 238,537
*Amrion Corp......................................... 20,100 471,094
*Amtech Corp......................................... 84,800 455,800
*Amtran, Inc......................................... 88,200 760,725
Amvestors Financial Corp............................. 113,268 1,996,348
Amwest Insurance Group, Inc.......................... 46,850 667,612
Analysis & Technology, Inc........................... 26,800 395,300
*Analytical Surveys, Inc............................. 13,100 165,387
*Anaren Microwave, Inc............................... 41,700 406,575
Anchor Bancorp Wisconsin, Inc........................ 10,100 435,562
*Andersen Group, Inc................................. 15,000 73,125
Andover Bancorp, Inc. DE............................. 19,080 548,550
*Andrea Electronics Corp............................. 14,300 164,450
*Anergen, Inc........................................ 82,300 241,756
*Anesta Corp......................................... 35,700 622,519
*Angeion Corp........................................ 42,200 213,637
Angelica Corp........................................ 85,700 1,542,600
*Anicom, Inc......................................... 59,000 556,812
*Ansaldo Signal N.V.................................. 56,000 322,000
*Anuhco, Inc......................................... 25,800 232,200
*Apertus Technologies, Inc........................... 126,300 187,477
*Aphton Corp......................................... 14,500 206,625
*Apogee, Inc......................................... 31,600 134,300
*Appliance Recycling Centers of America, Inc......... 3,500 10,281
*Applied Digital Access, Inc......................... 83,900 534,862
*Applied Extrusion Technologies, Inc................. 70,000 831,250
*Applied Innovation, Inc............................. 89,600 526,400
*Applied Microsystems Corp........................... 18,600 130,200
*Applied Science & Technology, Inc................... 14,500 203,000
*Applied Signal Technologies, Inc.................... 75,000 527,344
*Applied Voice Technology, Inc....................... 18,400 273,700
*#Aquagenix, Inc..................................... 14,900 100,808
Aquarion Co.......................................... 26,600 684,950
*Aquila Biopharmaceuticals, Inc...................... 44 201
*Arabian Shield Development Co....................... 66,200 86,887
*Arbor Health Care Co................................ 61,400 1,726,875
*Arch Communications Group, Inc...................... 82,800 657,225
*Arch Petroleum, Inc................................. 53,926 158,408
*Arden Industrial Products, Inc...................... 27,300 143,325
*#Argosy Gaming Corp................................. 199,300 622,812
*Ariel Corp.......................................... 89,400 757,106
*Arizona Instrument Corp............................. 100 156
*Ark Restaurants Corp................................ 14,400 126,000
*Arkansas Best Corp.................................. 151,500 904,266
*Aronex Pharmaceuticals, Inc......................... 133,550 555,067
*Arrhythmia Research Technology, Inc................. 11,375 24,172
*Arris Pharmaceutical Corp........................... 105,000 1,404,375
*Arrow Automotive Industries, Inc.................... 31,300 105,637
Arrow Financial Corp................................. 20,414 520,557
*Artisoft, Inc....................................... 54,400 136,000
*Artistic Greetings, Inc............................. 19,800 86,625
*Artra Group, Inc.................................... 65,200 309,700
*Arts Way Manufacturing Co., Inc..................... 100 650
*Asante Technologies, Inc............................ 33,800 132,031
*Aseco Corp.......................................... 20,100 253,762
</TABLE>
2
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Ashworth, Inc....................................... 102,200 $ 910,219
*Astec Industries, Inc............................... 98,100 1,152,675
Astro-Med, Inc....................................... 58,175 534,483
*Astronics Corp...................................... 22,850 147,097
*Astrosystems, Inc................................... 44,100 237,037
*Astrotech International Corp........................ 38,500 202,125
*Asyst Technologies, Inc............................. 20,100 802,744
Atalanta Sosnoff Capital Corp........................ 11,500 102,062
*Atchison Casting Corp............................... 46,900 803,162
*Athey Products Corp................................. 31,085 134,054
*Atkinson (Guy F.) of California..................... 31,700 219,919
*Atlantic American Corp.............................. 112,825 334,949
*Atlantic Beverage, Inc.............................. 20,000 71,250
*Atlantic Coast Airlines, Inc........................ 65,000 991,250
*Atlantic Gulf Communities Corp...................... 74,300 417,937
*Atlantic Tele-Network, Inc.......................... 18,800 235,000
*Atlantis Plastics, Inc.............................. 31,400 223,725
Atrion Corp.......................................... 59,850 811,716
*Atrix Labs, Inc..................................... 42,206 490,645
*Au Bon Pain, Inc. Class A........................... 64,900 409,681
*Audiovox Corp. Class A.............................. 62,200 408,187
Audits & Surveys Worldwide, Inc...................... 52,922 148,843
*Ault, Inc........................................... 7,400 61,050
Autocam Corp......................................... 55,665 605,357
Autodesk, Inc........................................ 22,911 892,097
*Autoimmune, Inc..................................... 63,700 145,316
*Autoinfo, Inc....................................... 73,413 130,767
*Autologic Information International, Inc............ 27,500 142,656
*Autote Corp. Class A................................ 247,000 277,875
*#Avatex Corp........................................ 26,200 29,475
*Avecor Cardiovascular, Inc.......................... 65,700 685,744
Avemco Corp.......................................... 67,100 1,736,212
*Avert, Inc.......................................... 11,100 71,456
*Aviall, Inc......................................... 149,200 2,200,700
*Avigen, Inc......................................... 8,000 30,000
*Aviva Petroleum, Inc. Deposit Shares (Representing 5
Shares)............................................ 5,000 11,875
*Avondale Industries, Inc............................ 34,800 656,850
*Axent Technologies, Inc............................. 30,000 386,250
*Aydin Corp.......................................... 43,250 486,562
Aztec Manufacturing Co............................... 55,826 683,868
*BCT International, Inc.............................. 11,900 40,162
*BEC Group, Inc...................................... 23,300 104,850
BEI Electronics, Inc................................. 25,800 225,750
BGS Systems, Inc..................................... 12,800 398,400
BHA Group Holdings, Inc. Class A..................... 70,210 1,298,885
BHC Financial, Inc................................... 52,050 1,798,978
*BI, Inc............................................. 85,900 593,247
*BMC West Corp....................................... 44,900 597,731
*BNH Bancshares, Inc................................. 9,700 146,106
*BOK Financial Corp.................................. 3,239 108,102
*BPI Packaging Technologies, Inc..................... 19,800 36,816
*BRC Holdings, Inc................................... 8,300 307,100
BSB Bancorp, Inc..................................... 74,375 2,561,289
BT Financial Corp.................................... 12,095 480,776
*BTG, Inc............................................ 6,000 80,250
*BTU International, Inc.............................. 26,000 102,375
*BWAY Corp........................................... 55,700 1,211,475
*Back Bay Restaurant Group, Inc...................... 26,600 109,725
Badger Meter, Inc.................................... 24,000 600,000
Badger Meter, Inc. Class B........................... 40,600 1,015,000
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Badger Paper Mills, Inc.............................. 200 $ 1,550
Bairnco Corp......................................... 105,400 750,975
Baker (J.), Inc...................................... 114,000 926,250
*Baker (Michael) Corp................................ 72,214 500,985
*Baker (Michael) Corp. Class B....................... 15,400 106,837
Balchem Corp......................................... 5,200 50,700
*Baldwin Piano & Organ Co............................ 37,900 521,125
*Baldwin Technology, Inc. Class A.................... 135,000 371,250
*Ballantyne Omaha, Inc............................... 18,700 301,537
*Baltek Corp......................................... 21,562 163,063
*Bancfirst Ohio Corp................................. 7,300 277,400
*Bancinsurance Corp.................................. 21,900 88,969
Bancorp Connecticut, Inc............................. 9,540 236,115
Bangor Hydro-Electric Co............................. 52,600 276,150
Bank of Southington.................................. 210 2,927
*Bank Plus Corp...................................... 15,000 161,250
*Bank United Financial Corp. Class A................. 16,700 163,869
BankAtlantic Bancorp, Inc. Class A................... 19,131 258,268
BankAtlantic Bancorp, Inc. Class B................... 40,212 555,428
*Banner Aerospace, Inc............................... 178,100 1,424,800
*Banyan System, Inc.................................. 155,000 285,781
*Barnwell Industries, Inc............................ 11,800 206,500
*Barra, Inc.......................................... 75,400 2,186,600
*Barrett Business Services, Inc...................... 49,800 706,537
*#Barringer Technologies, Inc........................ 7,700 113,575
*#Barrister Information Systems Corp................. 7,866 14,257
*Barry (R.G.) Corp................................... 178,235 2,071,982
*Barrys Jewelers, Inc................................ 192 72
*Base Ten Systems, Inc. Class A...................... 30,500 305,000
*Basin Exploration, Inc.............................. 87,000 630,750
*Baycorp Holdings, Ltd............................... 4,200 31,762
*Bayou Steel Corp. Class A........................... 29,600 96,200
*Beard Co............................................ 26,533 122,715
Beauticontrol Cosmetics, Inc......................... 23,300 212,612
*Beazer Homes USA, Inc............................... 61,800 950,175
*Bel Fuse, Inc....................................... 86,500 1,200,187
*Belden & Blake Corp................................. 21,000 560,437
*Bell Industries, Inc................................ 63,727 1,186,915
*Bell Microproducts, Inc............................. 52,200 583,987
*Bell Sports Corp.................................... 119,112 774,228
*Bellwether Exploration Co........................... 59,000 586,312
*Ben & Jerry's Homemade, Inc. Class A................ 25,000 337,500
*Benchmark Electronics, Inc.......................... 44,100 1,549,012
*Benihana, Inc....................................... 9,500 84,906
*Benihana, Inc. Class A.............................. 1,400 11,375
*Bentley International, Inc.......................... 55 82
*Bentley Pharmaceuticals, Inc........................ 8,450 29,575
Berkshire Gas Co..................................... 8,300 126,575
*Berlitz International, Inc.......................... 67,100 1,602,012
*Bertuccis, Inc...................................... 51,500 305,781
*Bethlehem Corp...................................... 200 375
Bindley Western Industries, Inc...................... 37,400 822,800
Binks Sames Corp..................................... 61,300 2,589,925
*Bio Vascular, Inc................................... 5,000 24,375
*Bio-Logic Systems Corp.............................. 23,400 87,750
*#Bio-Plexus, Inc.................................... 13,200 58,162
*Biocircuits Corp.................................... 25,250 23,672
*Biocryst Pharmaceuticals, Inc....................... 76,900 1,018,925
*Biomatrix, Inc...................................... 86,400 1,474,200
</TABLE>
3
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Biomerica, Inc...................................... 26,100 $ 84,009
*Biosepra, Inc....................................... 29,700 83,531
*Biosource International, Inc........................ 40,000 302,500
*Biospecifics Technologies Corp...................... 13,200 60,225
*Biospherics, Inc.................................... 36,600 183,000
*Biowhittaker, Inc................................... 77,200 820,250
*Bird Corp........................................... 36,400 138,775
*Black Hawk Gaming & Development, Inc................ 3,600 20,475
Blair Corp........................................... 35,300 569,212
Blessings Corp....................................... 161,912 1,700,076
Blimpie International................................ 36,150 214,641
*Blowout Entertainment, Inc.......................... 6,270 8,621
*Bluegreen Corp...................................... 77,734 242,919
*Boca Research, Inc.................................. 32,100 209,653
*Bombay Co., Inc..................................... 53,200 239,400
*Bon-Ton Stores, Inc................................. 52,100 337,022
*Bone Care International, Inc........................ 20,250 240,469
*Bontex, Inc......................................... 2,200 10,450
*Books-a-Million, Inc................................ 140,000 717,500
*Boole & Babbage, Inc................................ 3,525 72,483
*Boomtown, Inc....................................... 74,000 596,625
Boston Acoustics, Inc................................ 37,300 927,837
Bowl America, Inc. Class A........................... 56,160 393,120
*Bowmar Instrument Corp.............................. 55,800 101,137
*Box Energy Corp. Class B............................ 129,100 960,181
*Bradley Pharmaceuticals, Inc. Class A............... 7,400 10,637
Branford Savings Bank CT............................. 610 2,592
*Brauns Fashions Corp................................ 13,500 110,531
*Brazos Sportswear, Inc.............................. 5,570 50,826
Brenton Banks, Inc................................... 242 6,231
*Brewer (C.) Homes, Inc. Class A..................... 39,300 93,337
Bridgford Foods Corp................................. 60,200 553,087
*Brite Voice Systems, Inc............................ 69,000 569,250
Broad National Bancorporation........................ 7,220 108,300
*Broadband Technologies, Inc......................... 21,000 195,562
*Broadway & Seymour, Inc............................. 66,600 815,850
*Brock International, Inc............................ 34,700 138,800
#Brooke Group, Ltd................................... 106,600 533,000
*Brookstone, Inc..................................... 57,800 498,525
*Brooktrout Technology, Inc.......................... 90,150 1,217,025
*Brothers Gourmet Coffees, Inc....................... 58,600 128,187
*Brown & Sharpe Manufacturing Co. Class A............ 70,675 1,007,119
Bryn Mawr Bank Corp.................................. 1,000 34,250
*Buckhead America Corp............................... 3,500 24,281
*Buckle, Inc......................................... 22,200 471,750
*Buffton Corp........................................ 18,800 47,000
*Builders Transport, Inc............................. 52,100 138,391
*Bull Run Corp. GA................................... 171,700 386,325
Bush Industries, Inc. Class A........................ 56,950 1,281,375
*Butler International, Inc........................... 41,727 492,900
Butler Manufacturing Co.............................. 9,000 322,875
*Buttrey Food & Drug Stores Co....................... 51,000 535,500
*C-COR Electronics, Inc.............................. 43,700 431,537
*#C-Phone Corp....................................... 36,300 310,819
CB Bancshares, Inc. HI............................... 818 26,585
*CCA Industries, Inc................................. 31,000 91,062
*CE Software Holdings, Inc........................... 10,900 5,961
*CEM Corp............................................ 41,500 368,312
*CFI Proservices, Inc................................ 35,600 609,650
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
CFSB Bancorp, Inc.................................... 6,498 $ 143,762
CFX Corp............................................. 32,985 552,499
*CMC Industries, Inc................................. 25,300 192,912
*CMG Information Services, Inc....................... 34,600 588,200
CMI Corp. Class A.................................... 264,699 1,124,971
CML Group, Inc....................................... 263,800 626,525
*#CNS Income......................................... 20,200 172,962
*CPAC, Inc........................................... 27,553 301,361
CPB, Inc............................................. 8,600 303,150
*CPI Aerostructures, Inc............................. 2,500 4,766
CPI Corp............................................. 1,500 28,125
*CS Short Co......................................... 4,650 17,437
*CSP, Inc............................................ 59,300 422,512
*CTC Communications Corp. Class 1.................... 53,600 452,250
CU Bancorp........................................... 39,440 591,600
CVB Financial Corp................................... 28,325 587,744
*Cache, Inc.......................................... 80,125 290,453
*Caci International, Inc. Class A.................... 1,000 18,375
*Cadiz Land, Inc..................................... 122,800 686,912
Cadmus Communications Corp........................... 58,900 831,962
*Caere Corp.......................................... 50,000 409,375
Cagle's, Inc. Class A................................ 109,900 1,614,156
*Cairn Energy USA, Inc............................... 62,000 732,375
*Calcomp Technology, Inc............................. 19,600 41,650
*California Amplifier, Inc........................... 51,400 202,387
*#California Culinary Academy, Inc................... 17,300 125,425
California Financial Holding Corp.................... 52,470 1,547,865
*California Micro Devices Corp....................... 39,900 324,187
California State Bank................................ 15,959 398,975
*#Callon Petroleum Co................................ 21,900 328,500
*Calumet Bancorp, Inc................................ 3,950 151,581
*Cambex Corp......................................... 82,300 109,305
*Cambridge Neuroscience, Inc......................... 59,500 583,844
*Cambridge Soundworks, Inc........................... 10,600 51,675
*Campo Eletronics, Appliances & Computers, Inc....... 49,700 47,370
*Candela Laser Corp.................................. 28,200 192,112
*Candies, Inc........................................ 33,300 161,817
*Canisco Resources, Inc.............................. 8,600 16,125
*Cannon Express, Inc. Class A........................ 3,250 20,516
*#Cannondale Corp.................................... 73,200 1,285,575
*Cantel Industries, Inc. Class B..................... 26,000 139,750
*Canyon Resources Corp............................... 226,000 734,500
Cape Cod Bank & Trust Co............................. 29,600 863,950
*Capital Associates, Inc............................. 21,050 76,306
*Capital Pacific Holdings, Inc....................... 32,100 86,269
Capitol Bancorp, Ltd................................. 12,640 202,240
Capitol Transamerica Corp............................ 19,845 415,505
*Capstone Pharmacy Services, Inc..................... 22,000 219,312
Capsure Holdings Corp................................ 22,700 283,750
*Cardinal Realty Services, Inc....................... 17,100 414,675
*Cardiotech International, Inc....................... 11,257 20,403
*Care Group, Inc..................................... 77,100 79,509
*Caretenders Healthcorp.............................. 3,100 19,762
Carnegie Bancorp..................................... 4,560 78,375
Carolina First Corp.................................. 55,130 854,515
*Carr-Gottstein Foods Co............................. 71,766 349,859
*Carrington Laboratories, Inc........................ 76,300 572,250
*Carver Corp. WA..................................... 60,803 85,504
Cascade Corp......................................... 44,300 747,562
Cascade Natural Gas Corp............................. 38,200 620,750
</TABLE>
4
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Cash America International, Inc...................... 102,700 $ 1,001,325
*Casino America, Inc................................. 200,500 469,922
*Casino Data Systems................................. 75,700 331,187
*Casino Magic Corp................................... 71,300 100,266
*Casino Resource Corp................................ 10,700 15,381
*Castelle............................................ 4,500 21,656
*Catalina Lighting, Inc.............................. 60,600 219,675
*Catalyst Semiconductor, Inc......................... 58,300 116,600
*Catalytica, Inc..................................... 120,500 975,297
*Catherines Stores Corp.............................. 59,900 258,319
Cato Corp. Class A................................... 194,900 974,500
Cavalier Homes, Inc.................................. 81,530 917,212
*Cayenne Software, Inc............................... 91,600 303,425
*Cel-Sci Corp........................................ 23,700 80,728
*Celadon Group, Inc.................................. 69,000 776,250
*Celebrity, Inc...................................... 24,000 79,500
*Celeritek, Inc...................................... 43,000 516,000
*Celestial Seasonings, Inc........................... 15,000 343,125
*#Celgene Corp....................................... 115,300 807,100
*Cell Genesys, Inc................................... 140,318 789,289
*Cellpro, Inc........................................ 42,100 268,387
*Celtrix Pharmaceuticals, Inc........................ 91,800 269,662
Cenfed Financial Corp................................ 23,595 679,831
Cenit Bancorp, Inc................................... 2,500 110,000
*Centennial Bancorp.................................. 26,220 544,065
*Centigram Communications Corp....................... 50,600 578,737
Central & Southern Holding Co........................ 19,700 328,744
Central Co-Operative Bank Somerville, MA............. 7,500 125,625
Central Reserve Life Corp............................ 33,700 181,137
*Central Sprinkler Corp.............................. 41,600 863,200
Central Vermont Public Service Corp.................. 43,800 481,800
Centris Group, Inc................................... 54,100 1,021,137
*Centura Software Corp............................... 48,100 72,150
Century Bancorp Income Class A....................... 1,000 12,812
*Ceradyne, Inc....................................... 115,100 539,531
Cerberonics, Inc. Class A............................ 3,500 33,250
*#Cerplex Group, Inc................................. 90,600 54,360
*Cerprobe Corp....................................... 13,700 179,812
*Chad Therapeutics................................... 69,458 560,005
#Champion Industries, Inc............................ 42,000 714,000
*Chart House Enterprises, Inc........................ 72,900 510,300
Chart Industries, Inc................................ 84,800 1,908,000
*Charter Federal Savings Bank (Escrow)............... 43,340 0
Charter Financial, Inc............................... 7,500 133,594
Charter Power Systems, Inc........................... 35,800 1,208,250
*Chase Corp.......................................... 1,500 12,187
*Chase Industries, Inc............................... 60,500 1,361,250
*Chattem, Inc........................................ 32,600 342,300
*Chaus (Bernard), Inc................................ 53,600 40,200
*Check Technology Corp............................... 23,300 147,081
*Checkmate Electronics, Inc.......................... 24,000 288,000
*Chemfab Corp........................................ 141,300 2,543,400
*#Chemtrak, Inc...................................... 31,250 41,016
*Cherry Corp. Class A................................ 3,600 42,525
*Cherry Corp. Class B................................ 9,900 120,656
Chesapeake Utilities Corp............................ 16,975 280,087
Chester Valley Bancorp............................... 912 17,328
*Chic by His, Inc.................................... 80,000 550,000
Chicago Rivet & Machine Co........................... 10,000 467,500
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Chicos Fas, Inc..................................... 66,900 $ 242,512
*Children's Comprehensive Services, Inc.............. 27,000 418,500
*Children's Discovery Centers of America, Inc. Class
A.................................................. 52,100 380,981
Chittenden Corp...................................... 8,028 240,840
*Chock Full O' Nuts Corp............................. 92,330 542,439
*Cholestech Corp..................................... 71,000 410,469
*Christiana Companies, Inc........................... 22,100 751,400
*Chromcraft Revington, Inc........................... 56,000 1,498,000
*Chronimed, Inc...................................... 63,800 628,031
*Chrysalis International Corp........................ 70,000 299,687
*Chyron Corp......................................... 11,953 55,283
*Cidco, Inc.......................................... 10,000 145,000
*#Cincinnati Microwave, Inc.......................... 97,000 97
*Cinergi Pictures Entertainment, Inc................. 39,200 30,012
*Ciprico, Inc........................................ 41,895 696,504
*Circon Corp......................................... 42,322 542,251
*Circuit Systems, Inc................................ 20,000 111,875
*Citadel Holding Corp................................ 12,800 41,600
*Citation Computer System, Inc....................... 30,000 189,375
*Citation Corp....................................... 12,000 179,250
Citfed Bancorp, Inc.................................. 25,700 947,687
*Citizens, Inc. Class A.............................. 50,450 394,141
City Holding Co...................................... 242 7,472
*Civic Bancorp....................................... 37,800 451,237
*Clark (Dick) Productions, Inc....................... 11,600 146,450
*Clean Harbors, Inc.................................. 82,400 123,600
*Clintrials Research, Inc............................ 150,600 1,496,587
*Coast Distribution System........................... 43,600 141,700
Coastal Bancorp, Inc................................. 29,400 793,800
*Coastal Physician Group, Inc........................ 58,400 54,750
*Coastcast Corp...................................... 58,200 763,875
*Cobra Electronic Corp............................... 135,100 413,744
*Cobra Industries ,Inc............................... 5,400 2,700
*Cocensys, Inc....................................... 168,700 658,984
*Code-Alarm, Inc..................................... 20,300 46,944
*Cognitronics Corp................................... 57,450 610,406
*Coherent Communications Systems Corp................ 9,300 200,531
*Coho Energy, Inc.................................... 139,000 1,307,469
Cohu, Inc............................................ 81,000 2,809,687
*Cold Metal Products, Inc............................ 50,400 283,500
Collagen Corp........................................ 48,000 816,000
Collins Industries, Inc.............................. 86,325 490,973
Colonial Gas Co...................................... 13,850 289,119
*Columbia Banking System, Inc........................ 19,929 366,195
*Columbus Energy Corp................................ 10,820 113,610
*Comarco, Inc........................................ 47,200 917,450
*Comdial Corp........................................ 151,433 1,031,637
*Comforce Corp....................................... 83,200 488,800
Commercial Bancshares, Inc........................... 18,060 297,990
*Commercial Bank of New York......................... 5,300 90,762
Commercial Intertech Corp............................ 46,500 604,500
*Commodore Applied Technologies, Inc................. 20,000 122,500
*Communications Central, Inc......................... 22,000 225,500
Communications Systems, Inc.......................... 118,500 1,659,000
Community Bank System, Inc........................... 53,600 1,252,900
Community Banks, Inc................................. 231 7,067
Community Bankshares, Inc. NH........................ 8,200 287,000
*Community Medical Transport, Inc.................... 4,400 13,475
</TABLE>
5
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Comnet Corp......................................... 30,300 $ 253,762
*Competitive Technologies, Inc....................... 109,100 1,050,087
*#Complete Management, Inc........................... 8,099 103,262
*#Comprehensive Care Corp............................ 8,120 113,680
*Comptek Research, Inc............................... 59,300 363,212
Computer Data Systems, Inc........................... 104,700 2,872,706
Computer Language Research, Inc...................... 83,800 906,087
*Computer Manangement Sciences, Inc.................. 7,000 138,250
*Computer Network Technology Corp.................... 63,600 308,062
*Computer Outsourcing Services, Inc.................. 13,800 65,550
*Computrac, Inc...................................... 59,900 89,850
*Comshare, Inc....................................... 63,150 860,419
*Comstock Resources, Inc............................. 59,400 608,850
*Comtech Telecommunications Corp..................... 5,600 21,000
*Concentra Corp...................................... 20,600 162,225
*Concord Camera Corp................................. 5,800 15,406
*Concord Fabrics, Inc. Class A....................... 45,500 301,437
*Concord Fabrics, Inc. Class B....................... 45,700 302,762
*Concurrent Computer Corp............................ 7,780 15,195
*Conductus, Inc...................................... 32,000 216,000
*Congoleum Corp. Class A............................. 21,800 246,612
*Conmed Corp......................................... 26,199 496,144
Connecticut Energy Corp.............................. 12,150 273,375
Connecticut Water Services, Inc...................... 42,350 1,180,506
*Consep, Inc......................................... 49,700 142,887
*Consilium, Inc...................................... 68,700 291,975
*Conso Products Co................................... 39,000 514,312
*Consolidated Products, Inc.......................... 58,430 993,310
*Consolidated Stainless, Inc......................... 16,150 61,572
Consolidated Tokoma Land Co.......................... 6,100 101,412
*Consumer Portfolio Services, Inc.................... 112,000 1,260,000
*Consumers Financial Corp............................ 26,000 84,500
Consumers Water Co................................... 32,300 518,819
*Continental Can, Inc. DE............................ 20,500 397,187
Continental Homes Holding Corp....................... 70,100 1,147,887
*Continental Materials Corp.......................... 9,700 212,794
*Convest Energy Corp................................. 11,000 82,500
Cooker Restaurant Corp............................... 82,600 949,900
*Cooper Companies, Inc............................... 42,033 872,185
*Cooper Development Co............................... 14 5,950
*Cooperative Bankshares, Inc......................... 1,500 32,250
*Copart, Inc......................................... 25,600 400,000
*Copley Pharmaceutical, Inc.......................... 27,700 180,050
*Cor Therapeutics, Inc............................... 34,600 311,400
*Coram Healthcare Corp............................... 136,400 375,100
*Corcom, Inc......................................... 63,400 495,312
Core Industries, Inc................................. 66,600 1,198,800
*Core, Inc........................................... 27,100 221,881
*Cornerstone Imaging, Inc............................ 54,900 466,650
*Correctional Services Corp.......................... 29,800 350,150
*Corrpro Companies, Inc.............................. 21,600 186,300
*Cortech, Inc........................................ 114,300 92,869
*Corvas International, Inc........................... 95,100 606,262
*Corvel Corp......................................... 6,200 170,500
*Cosmetic Centers, Inc. Class C...................... 8,571 38,567
Cotton States Life Insurance Co...................... 8,000 94,000
Courier Corp......................................... 31,700 562,675
*Covenant Transport, Inc. Class A.................... 63,000 941,062
*Cover-All Technologies, Inc......................... 83,445 125,167
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Craftmade International, Inc......................... 30,000 $ 223,125
*Craig (Jenny), Inc.................................. 17,800 109,025
*Craig Corp.......................................... 43,900 740,812
*Creative Biomolecules, Inc.......................... 131,100 1,319,194
*Creative Technologies Corp.......................... 1,666 780
*Cree Research, Inc.................................. 90,600 1,109,850
*Criticare Systems, Inc.............................. 39,300 221,062
*Crop Growers Corp................................... 31,400 308,112
Cross (A.T.) Co. Class A............................. 40,200 447,225
*Crosscomm Corp...................................... 34,950 332,025
*Crossman Communities, Inc........................... 60,000 1,267,500
*Crowley, Milner & Co................................ 12,200 86,162
*Crown Books Corp.................................... 11,900 148,750
*Crown Central Petroleum Corp. Class A............... 18,100 244,350
*Crown Central Petroleum Corp. Class B............... 17,100 220,162
Crown Crafts, Inc.................................... 35,500 368,312
*Crown Resources Corp................................ 87,700 591,975
*Crown-Andersen, Inc................................. 10,500 68,250
*Cruise America, Inc................................. 37,100 190,137
*Cryenco Sciences, Inc. Class A...................... 30,900 75,802
*Cryolife, Inc....................................... 73,400 867,037
*Crystal Oil Co...................................... 5,000 175,625
Cubic Corp........................................... 28,650 673,275
Culp, Inc............................................ 178,580 3,102,827
*Curative Health Services, Inc....................... 52,200 1,451,812
*Custom Chrome, Inc.................................. 36,300 435,600
*Cyberonics, Inc..................................... 6,000 36,000
*Cyberoptics Corp.................................... 29,600 492,100
*Cybex International, Inc............................ 72,300 741,075
*Cygnus, Inc......................................... 1,400 23,012
*Cypros Pharmaceutical Corp.......................... 99,900 462,037
*Cyrk, Inc........................................... 60,200 703,587
*Cytel Corp.......................................... 170,500 325,016
*Cytogen Corp........................................ 33,300 185,231
*Cytotherapeutics, Inc............................... 131,100 729,244
*Cytrx Corp.......................................... 28,800 118,800
*D&N Financial Corp.................................. 57,800 1,036,787
*DBA Systems, Inc.................................... 27,500 156,406
*DDL Electronics, Inc................................ 171,500 235,812
*DEP Corp............................................ 92,850 171,192
*DH Technology, Inc.................................. 47,850 765,600
*DIY Home Warehouse, Inc............................. 70,000 266,875
*DM Management Co.................................... 16,900 145,762
*DMX, Inc............................................ 205,800 350,889
*DNAP Holding Corp................................... 5,400 21,262
*DSP Group, Inc...................................... 45,700 642,656
*DSP Technology, Inc................................. 8,200 47,150
*DVI, Inc............................................ 73,100 977,712
*Daily Journal Corp.................................. 200 6,675
*Daka International, Inc............................. 42,267 530,979
*Dakotah, Inc........................................ 5,200 15,112
*Daktronics, Inc..................................... 12,200 48,800
*Damark International, Inc. Class A.................. 31,700 487,387
Daniel Industries, Inc............................... 146,369 1,957,685
*Danielson Holding Corp.............................. 153 1,090
*Danskin, Inc........................................ 18,900 25,987
*Darling International, Inc.......................... 17,800 451,675
Dart Group Corp. Class A............................. 200 19,900
*Data Broadcasting Corp.............................. 43,936 216,934
*Data Documents, Inc................................. 4,600 53,762
</TABLE>
6
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Data I/O Corp....................................... 65,600 $ 381,300
*#Data Race, Inc..................................... 21,100 313,862
Data Research Association, Inc....................... 20,950 264,494
*Data Systems & Software, Inc........................ 46,400 237,800
*Data Translation, Inc............................... 20,650 76,147
*Data Transmission Network Corp...................... 21,300 573,769
*Dataflex Corp....................................... 38,325 126,952
*Datakey, Inc........................................ 11,100 30,525
*Datamarine International, Inc....................... 200 1,262
*Datametrics Corp.................................... 56,000 77,000
*Datapoint Corp...................................... 117,600 161,700
*Dataram Corp........................................ 14,300 146,575
*Datastream Systems, Inc............................. 50,000 987,500
*Dataware Technologies, Inc.......................... 46,000 158,125
*Datawatch Corp...................................... 58,600 119,031
*Datron Systems, Inc................................. 23,200 237,800
*Datum, Inc.......................................... 72,600 1,774,162
*Davco Restaurants, Inc.............................. 56,300 520,775
*Davel Communications Group, Inc..................... 27,100 389,562
*Davox Corp.......................................... 40,650 1,316,044
*#Daw Technologies, Inc.............................. 100,600 242,069
*Dawson Geophysical Co............................... 44,700 592,275
Daxor Corp........................................... 46,000 437,000
*Day Runner, Inc..................................... 23,550 654,984
Deb Shops, Inc....................................... 44,400 191,475
*Deckers Outdoor Corp................................ 44,200 328,737
Decorator Industries, Inc............................ 9,000 103,500
*Deeptech International, Inc......................... 44,100 303,187
Defiance, Inc........................................ 65,200 472,700
*Deflecta-Shield Corp................................ 10,200 93,075
*Del Global Technologies Corp........................ 59,016 523,767
Del Laboratories, Inc................................ 123,690 3,811,198
*Delaware Ostego Corp................................ 1,061 22,148
Delchamps, Inc....................................... 27,000 747,562
Delta Natural Gas Co., Inc........................... 18,800 317,250
*Delta Woodside Industries, Inc...................... 144,000 846,000
*Denamerica Corp..................................... 36,800 101,200
*Dense-Pac Microsystems, Inc......................... 10,000 24,062
*Depotech Corp....................................... 43,700 598,144
*Designs, Inc........................................ 129,600 550,800
*Detection Systems, Inc.............................. 66,186 1,224,441
*Detrex Corp......................................... 9,500 81,937
*Devcon International Corp........................... 25,100 133,344
*Devlieg-Bullard, Inc................................ 105,000 324,844
*Dewolfe Companies, Inc.............................. 4,400 23,650
*Diagnostic Health Services, Inc..................... 75,000 585,937
*#Diagnostic Retrieval Systems, Inc.................. 20,900 214,225
*Diametrics Medical, Inc............................. 113,300 633,772
*#Diana Corp......................................... 11,930 28,692
*Dianon Systems, Inc................................. 25,500 234,281
*Digi International, Inc............................. 41,100 372,469
*Digital Biometrics, Inc............................. 72,000 153,000
*Digital Communications Technology Corp.............. 3,675 2,756
*Digital Link Corp................................... 72,700 1,408,562
*Digital Sound Corp.................................. 17,900 21,256
Dime Financial Corp.................................. 20,100 457,275
*Diodes, Inc......................................... 31,400 298,300
*Dixie Group, Inc.................................... 42,319 349,132
*Dixon Ticonderoga Co................................ 27,450 291,656
*Dominion Bridge Corp................................ 74,600 109,569
*Dominion Homes, Inc................................. 23,600 109,150
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Donegal Group, Inc................................... 13,900 $ 344,894
Donnelly Corp. Class A............................... 59,750 1,015,750
*Donnkenny, Inc...................................... 34,200 138,937
*Dorsey Trailers, Inc................................ 39,000 78,000
*Dotronix, Inc....................................... 87,000 92,437
*Dover Downs Entertainment, Inc...................... 7,000 133,875
*Dravo Corp.......................................... 21,000 231,000
*Drew Industries, Inc................................ 84,200 1,063,025
*#Drexler Technology Corp............................ 112,550 1,238,050
*Driver-Harris Co.................................... 23,498 237,917
*Drug Emporium, Inc.................................. 50,000 218,750
*Drypers Corp........................................ 46,300 283,587
*Duckwall-Alco Stores, Inc........................... 37,200 460,350
*Ducommun, Inc....................................... 52,100 1,367,625
Duff & Phelps Credit Rating Co....................... 16,100 466,900
*Durakon Industries, Inc............................. 54,500 531,375
*Duramed Pharmaceuticals, Inc........................ 98,000 333,812
*Dwyer Group, Inc.................................... 14,700 23,887
*Dycom Industries, Inc............................... 100,700 1,384,625
Dyersburg Corp....................................... 94,500 756,000
Dynamics Corp. of America............................ 86,300 4,983,825
*Dynamics Research Corp.............................. 59,382 530,727
*E-Z-Em, Inc. Class A................................ 37,000 305,250
*E-Z-Em, Inc. Class B................................ 52,733 402,089
*EA Engineering Science & Technology, Inc............ 78,975 148,078
*EA Industries, Inc.................................. 19,250 45,719
*ECC International Corp.............................. 139,750 925,844
*#ECCS, Inc.......................................... 6,900 34,931
*EFI Electronics Corp................................ 81,400 117,012
*EIP Microwave, Inc.................................. 3,140 13,149
*EIS International, Inc.............................. 83,300 562,275
*ELXSI Corp.......................................... 8,300 52,394
EMC Insurance Group, Inc............................. 20,300 246,137
*ERLY Industries, Inc................................ 26,213 260,492
*ERO, Inc............................................ 80,000 890,000
*ESCO Electronics Corp. Trust Receipts............... 101,076 1,048,663
*ESSEF Corp.......................................... 53,570 1,232,110
*EXX, Inc. Class A................................... 300 712
*EXX, Inc. Class B................................... 100 244
Eagle Bancshares, Inc................................ 32,500 524,062
*#Eagle Finance Corp................................. 24,200 54,450
Eagle Financial Corp................................. 15,655 430,512
*Eagle Food Centers, Inc............................. 82,600 516,250
*Eagle River Interactive, Inc........................ 60,000 615,000
*Eastco Industrial Safety Corp....................... 8 32
Eastern Bancorp, Inc................................. 11,800 309,012
Eastern Co........................................... 56,500 720,375
*Eastern Environment Services, Inc................... 36,500 526,969
*Eateries, Inc....................................... 14,400 40,950
*Ecogen, Inc......................................... 35,200 128,700
Ecology & Environment, Inc. Class A.................. 11,400 91,200
*Edelbrock Corp...................................... 47,200 991,200
*#Edison Brothers Stores, Inc........................ 24,300 16,706
*Edison Control Corp................................. 7,000 27,125
*Edisto Resources Corp............................... 114,200 1,142,000
Edo Corp............................................. 51,200 352,000
*Education Alternatives, Inc......................... 49,100 220,950
*Educational Development Corp........................ 2,800 16,800
*Educational Insights, Inc........................... 50,900 95,437
*Egghead, Inc........................................ 124,700 584,531
</TABLE>
7
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Ekco Group, Inc...................................... 134,900 $ 691,362
*El Chico Restaurants, Inc........................... 84,400 538,050
Elcor Corp........................................... 77,500 2,170,000
*Elcotel, Inc........................................ 23,900 143,400
*Electric Fuel Corp.................................. 87,200 547,725
*Electro Rent Corp................................... 108,725 2,555,037
*Electro Scientific Industries, Inc.................. 33,000 1,245,750
Electro Sensors, Inc................................. 2,300 8,194
*Electro-Catheter Corp............................... 30,300 23,672
*Electromagnetic Sciences, Inc....................... 142,199 2,719,556
*Electronic Fab Technology, Inc...................... 36,100 234,650
*Electronic Retailing System International, Inc...... 16,400 88,150
#Electronic Tele Communications, Inc. Class A........ 15,500 37,781
*#Elek-Tek, Inc...................................... 40,000 65,000
Ellett Brothers, Inc................................. 44,000 211,750
*Eltron International, Inc........................... 43,900 1,215,481
*Embrex, Inc......................................... 123,200 831,600
*Emcare Holdings, Inc................................ 15,000 448,125
*Emcon............................................... 71,450 241,144
Emerald Isle Bancorp, Inc............................ 937 16,690
*#Emerson Radio Corp................................. 77,100 53,006
*Emisphere Technologies, Inc......................... 36,000 747,000
*Empi, Inc........................................... 32,300 518,819
*#Empire of Carolina, Inc............................ 42,500 114,219
*#Employee Solutions, Inc. Class B................... 195,800 1,040,187
*Emulex Corp......................................... 53,800 1,089,450
*Encore Computer Corp................................ 318,300 278,512
*Encore Wire Corp.................................... 50,300 1,263,787
*Endosonics Corp..................................... 100,900 1,122,512
*Energy Biosystems Corp.............................. 89,000 428,312
*Energy Conversion Devices, Inc...................... 61,400 928,675
*Energy Research Corp................................ 18,000 175,500
Energynorth, Inc..................................... 32,526 703,375
Engineered Support Systems, Inc...................... 22,000 290,125
*Engineering Measurements Co......................... 28,400 157,975
#Engle Homes, Inc.................................... 26,000 238,875
*Enlighten Software Solutions, Inc................... 5,300 12,256
Ennis Business Forms, Inc............................ 89,200 880,850
*Enstar, Inc......................................... 9,266 45,751
*Envirogen, Inc...................................... 13,900 39,962
*Environmental Elements Corp......................... 47,800 104,562
*Environmental Technologies Corp..................... 32,600 289,325
*Environmental Tectonics Corp........................ 4,300 40,044
*Enviroq Corp........................................ 1,008 2,016
*Envirosource, Inc................................... 345,100 539,219
*Envirotest Systems Corp. Class A.................... 70,000 133,437
*Enzon, Inc.......................................... 106,900 273,931
*Epitope, Inc........................................ 49,800 426,412
*Equimed, Inc........................................ 39,200 129,237
*Equinox Systems, Inc................................ 14,400 151,200
*Equitex, Inc........................................ 1,300 2,356
*Equitrac Corp....................................... 12,300 163,744
*Equity Marketing, Inc............................... 20,800 392,600
*Equity Oil Co....................................... 109,700 315,387
Eskimo Pie Corp...................................... 27,000 332,437
Espey Manufacturing & Electronics Corp............... 21,000 359,625
*Essex Corp.......................................... 1,000 406
Essex County Gas Co.................................. 1,400 34,650
*Esterline Technologies Corp......................... 32,400 976,050
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Evans & Sutherland Computer Corp.................... 33,100 $ 868,875
*Evans Systems, Inc.................................. 10,185 33,738
*Evans, Inc.......................................... 102,900 86,822
Evergreen Bancorp, Inc. DE........................... 43,800 662,475
*Evergreen Resources, Inc............................ 29,600 273,800
*Exar Corp........................................... 49,400 916,987
*Excalibur Technologies Corp......................... 40,500 172,125
Excel Industries, Inc................................ 91,500 1,658,437
*Excel Technology, Inc............................... 34,822 290,546
*#Excite, Inc........................................ 19,300 230,394
*Executive Telecard, Ltd............................. 59,475 427,477
*Executone Information Systems, Inc.................. 190,500 386,953
*Exide Electronics Group, Inc........................ 84,209 963,140
*Exogen, Inc......................................... 15,000 61,875
*Expert Software, Inc................................ 50,000 218,750
*Ezcorp, Inc. Class A Non-Voting..................... 59,900 479,200
F & M Bancorp (MD)................................... 11,500 301,875
F & M Bancorporation, Inc............................ 10,285 325,263
FCB Financial Corp................................... 12,400 297,600
FDP Corp............................................. 84,300 611,175
FFLC Bancorp......................................... 5,900 162,250
*FFO Financial Group, Inc............................ 6,000 26,437
FFY Financial Corp................................... 19,400 506,825
*FLIR Systems, Inc................................... 32,350 511,534
*FM Properties, Inc.................................. 42,200 152,975
FNB Rochester Corp................................... 13,500 197,437
*FPA Corp............................................ 101,400 76,050
*FRP Properties, Inc................................. 31,700 816,275
*FTP Software, Inc................................... 72,000 409,500
Fab Industries, Inc.................................. 29,500 921,875
*Factset Research Systems, Inc....................... 10,000 195,000
*Failure Group, Inc.................................. 73,000 438,000
*Fairchild Corp. Class A............................. 55,600 910,450
Falcon Products, Inc................................. 36,790 519,659
*Fansteel, Inc....................................... 73,951 545,389
*Farah, Inc.......................................... 87,100 773,012
*Farr Co............................................. 48,975 719,320
*Farragut Mortgage, Inc.............................. 39 0
Farrel Corp.......................................... 24,300 83,531
*Fastcomm Communications Corp........................ 33,600 262,500
*Faulding Corp....................................... 63,900 698,906
*Featherlite Manufacturing, Inc...................... 11,500 84,094
Fed One Bancorp...................................... 2,500 49,375
#Fedders Corp. Class A............................... 23,712 145,236
Federal Screw Works.................................. 21,600 864,000
*Female Health Co.................................... 25,900 50,181
*Ferrofluidics Corp.................................. 36,700 307,362
*Fibermark, Inc...................................... 20,775 428,484
*Fiberstars, Inc..................................... 13,000 60,937
Fidelity Bancorp, Inc................................ 242 5,052
Fidelity Bancorp, Inc. Delaware...................... 10,500 200,812
Fidelity Federal Bancorp............................. 16,500 136,125
Fidelity National Financial, Inc..................... 41,316 531,943
*Fieldcrest Cannon, Inc.............................. 50,000 937,500
*#Fifty-Off Stores, Inc.............................. 11,400 228
*Filenes Basement Corp............................... 126,050 787,812
*Financial Bancorp., Inc............................. 15,000 255,000
*Financial Federal Corp.............................. 73,500 1,447,031
*Finishmaster, Inc................................... 27,600 194,925
First Albany Companies, Inc.......................... 2,661 34,260
</TABLE>
8
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*#First Alert, Inc................................... 109,500 $ 270,328
*First American Health Concepts, Inc................. 4,200 11,812
First Bancorp........................................ 400 9,200
*First Banks America, Inc............................ 4,879 65,257
*First Cash, Inc..................................... 14,200 85,200
First Central Financial Corp......................... 78,000 107,250
First Charter Corp................................... 2,800 63,000
*First Citizens Financial Corp....................... 9,410 262,304
First Defiance Financial Corp........................ 29,192 408,688
First Essex Bancorp.................................. 31,700 542,862
First Federal Capital Corp........................... 49,900 1,478,287
First Federal Savings & Loan Association of East
Hartford, CT....................................... 24,100 599,487
First Financial Corp. of Western Maryland............ 3,900 141,862
First Financial Holdings, Inc........................ 42,200 1,113,025
First Home Bancorp, Inc. NJ.......................... 266 4,971
First Indiana Corp................................... 92,450 1,860,556
*First Investors Financial Services Group, Inc....... 23,500 164,500
First Liberty Financial Corp......................... 48,800 1,046,150
*#First Merchants Acceptance Corp.................... 39,100 214,439
First Merchants Corp................................. 25,050 726,450
*First Midwest Financial, Inc........................ 4,700 72,850
First Mutual Savings Bank............................ 5,264 104,622
First Northern Capital Corp.......................... 16,050 321,000
First Oak Brook Bancshares, Inc. Class A............. 10,000 297,500
First Palm Beach Bancorp, Inc........................ 18,900 559,912
First Patriot Bankshares Corp........................ 1,200 19,800
*First Republic Bancorp, Inc......................... 157,149 3,142,980
First Savings Bancorp, Inc. North Carolina........... 10,200 200,812
First Savings Bank................................... 16,000 335,000
First Southeast Financial Corp....................... 23,500 252,625
*#First Team Sports, Inc............................. 41,550 298,641
First United Bancorp................................. 28,300 429,806
First Western Bancorp, Inc........................... 32,050 1,109,731
*First Years, Inc.................................... 34,000 646,000
Firstfed Bancshares, Inc............................. 30,000 543,750
*FirstFed Financial Corp. DE......................... 35,900 978,275
#FirstFederal Financial Services Corp................ 16,033 537,089
*Fischer Imaging Corp................................ 35,800 230,462
Flag Financial Corp.................................. 3,200 39,600
*#Flagstar Companies, Inc............................ 59,200 25,900
Flamemaster Corp..................................... 206 978
*Flanigan's Enterprises, Inc......................... 10,300 46,350
Flexsteel Industries, Inc............................ 61,800 714,562
*Florida Gaming Corp................................. 6,850 26,544
Florida Public Utilities Co.......................... 4,700 98,553
*Florsheim Group, Inc................................ 18,400 159,850
*Flow International Corp............................. 158,200 1,334,812
*Fluor Daniel/GTI, Inc............................... 4,008 28,056
*Foilmark, Inc....................................... 15,500 55,703
*Fonar Corp.......................................... 171,950 472,862
*Foodarama Supermarkets, Inc......................... 22,000 416,625
*Foothill Independent Bancorp........................ 12,970 177,527
*Fortune Petroleum Corp.............................. 41,907 86,433
*Fossil, Inc......................................... 47,500 804,531
*Foster (L.B.) Co. Class A........................... 126,600 510,356
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Fountain Oil, Inc................................... 66,900 $ 309,412
*Fountain Powerboat Industries, Inc.................. 12,000 213,000
*Four Kids Entertainment, Inc........................ 19,900 57,212
*Fourth Shift Corp................................... 36,500 116,344
Franklin Bank National Associaton Southfield, MI..... 12,576 165,846
*Franklin Electronic Publishers, Inc................. 35,200 356,400
Frederick's of Hollywood, Inc. Class A............... 31,639 166,105
Frederick's of Hollywood, Inc. Class B............... 83,878 429,875
Freds, Inc. Class A.................................. 60,000 806,250
*Frequency Electronics, Inc.......................... 41,693 510,739
*Fresh America Corp.................................. 14,100 229,125
*Fresh Choice, Inc................................... 50,000 185,937
Friedman Industries, Inc............................. 135,454 829,656
*Friedmans, Inc. Class A............................. 47,200 882,050
Frisch's Restaurants, Inc............................ 64,568 944,307
Frontier Adjusters of America, Inc................... 1,000 3,125
Frozen Food Express Industries, Inc.................. 100,000 893,750
*Funco, Inc.......................................... 50,500 811,156
*Fuqua Enterprises, Inc.............................. 40,500 779,625
Furon Co............................................. 43,100 1,099,050
*Fusion Systems Corp................................. 26,400 823,350
*#Future Healthcare, Inc............................. 7,000 189
*G-III Apparel Group, Ltd............................ 43,470 256,745
GBC Bancorp.......................................... 56,700 2,019,937
*GNI Group, Inc...................................... 76,800 470,400
*GRC International, Inc.............................. 131,600 690,900
*GTI Corp............................................ 53,600 351,750
*GTS Duratek, Inc.................................... 104,800 910,450
*GZA Geoenvironmental Technologies, Inc.............. 15,800 42,956
Gainsco, Inc......................................... 30,600 252,450
*Galey & Lord, Inc................................... 95,000 1,674,375
*Galileo Corp........................................ 69,300 498,094
*Game Financial Corp................................. 10,600 100,700
*Gametek, Inc........................................ 5,000 5,855
Gamma Biologicals, Inc............................... 39,200 164,150
*Gantos, Inc......................................... 27,300 81,047
Garan, Inc........................................... 32,900 653,887
*Garden Fresh Restaurant Corp........................ 7,500 73,594
*Gardner Denver Machinery, Inc....................... 35,200 959,200
*Garnet Resources Corp............................... 44,200 15,194
*Gasonics International, Inc......................... 112,000 1,344,000
*Gateway Industries, Inc............................. 11,120 24,325
*Geerling & Wade, Inc................................ 14,200 56,800
*Gehl Co............................................. 23,400 362,700
*Gemstar International Group, Ltd.................... 46,616 967,282
Gencor Industries, Inc............................... 7,600 198,550
*Genelabs Technologies, Inc.......................... 151,300 349,881
*Genemedicine, Inc................................... 76,400 615,975
*General Communications, Inc. Class A................ 49,100 342,166
*General Datacomm Industries, Inc.................... 90,000 810,000
General Employment Enterprises, Inc.................. 8,614 101,214
*General Host Corp................................... 97,986 293,958
General Housewares Corp.............................. 34,830 348,300
General Magnaplate Corp.............................. 4,200 26,250
*General Microwave Corp.............................. 8,600 59,125
*Genesco, Inc........................................ 124,000 1,705,000
</TABLE>
9
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Genesee Corp. Class B................................ 200 $ 8,175
*#Geneva Steel Co. Class A........................... 108,300 257,212
*Genicom Corp........................................ 109,900 676,572
*Genlyte Group, Inc.................................. 67,100 868,106
*Genome Therapeutics Corp............................ 131,600 1,036,350
Genovese Drug Stores, Inc. Class A................... 116,895 1,870,320
*Gensia Sicor, Inc................................... 205,100 954,997
*Genus, Inc.......................................... 104,100 601,828
*Genzyme Transgenics Corp............................ 64,900 490,806
George Mason Bankshares, Inc......................... 30,300 630,619
*Geoscience Corp..................................... 25,000 229,687
*Geoworks............................................ 18,000 113,062
*Getty Petroleum Marketing, Inc...................... 25,900 123,025
Getty Realty Corp.................................... 25,900 433,825
*Giant Cement Holding, Inc........................... 42,000 740,250
*Giant Group, Ltd.................................... 58,800 411,600
Giant Industries, Inc................................ 87,500 1,268,750
*Gibraltar Packaging Group, Inc...................... 33,100 103,437
*Gibraltar Steel Corp................................ 8,000 175,500
*Giga-Tronics, Inc................................... 35,000 260,312
*Gish Biomedical, Inc................................ 74,750 380,758
Glacier Bancorp, Inc................................. 9,881 160,558
*Glacier Water Services, Inc......................... 30,600 703,800
Gleason Corp......................................... 116,700 4,332,487
*Global Village Communication, Inc................... 67,000 236,594
*Globalink, Inc...................................... 30,500 106,750
*Go Video, Inc....................................... 86,400 145,800
Golden Enterprises, Inc.............................. 29,400 216,825
*Golden Oil Co. DE................................... 69 26
Golden Poultry Co., Inc.............................. 44,700 606,244
*Good Guys, Inc...................................... 114,500 672,687
GoodMark Foods, Inc.................................. 90,400 1,559,400
*Goodys Family Clothing.............................. 83,600 1,928,025
Gorman-Rupp Co....................................... 32,700 580,425
*Gottschalks, Inc.................................... 57,700 331,775
*Government Technology Services, Inc................. 41,000 199,875
*Gradco Systems, Inc................................. 146,411 613,096
*Graham Corp......................................... 13,450 200,069
Graham-Field Health Products, Inc.................... 63,500 674,687
Grand Premier Financial, Inc......................... 1,450 17,309
Granite State Bankshares, Inc........................ 11,250 197,578
Graphic Industries, Inc.............................. 44,600 487,812
Gray Communications Systems, Inc..................... 5,800 108,750
Great Southern Bancorp, Inc.......................... 7,200 122,850
*#Greate Bay Casino Corp............................. 50,819 73,052
Greater Bay Bancorp.................................. 179 5,202
Greater New York Savings Bank NY..................... 124,200 2,390,850
Green (A.P.) Industries, Inc......................... 123,100 1,138,675
Green Mountain Power Corp............................ 38,500 909,562
Greenbrier Companies, Inc............................ 111,000 1,248,750
*Greyhound Lines, Inc................................ 26,900 112,644
*Grist Mill & Co..................................... 60,450 394,814
*Grossmans, Inc...................................... 130,500 20,391
*Ground Round Restaurants, Inc....................... 86,950 129,066
*Group 1 Software, Inc............................... 31,400 231,575
*Group Technologies Corp............................. 106,000 145,750
*Grow Biz International, Inc......................... 53,600 569,500
*#Grubb & Ellis Co................................... 39,552 385,632
*Gryphon Holdings, Inc............................... 21,400 315,650
*Guest Supply, Inc................................... 107,100 963,900
*Gulfmark Offshore, Inc.............................. 51,600 973,950
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Gull Laboratories, Inc.............................. 20,500 $ 205,000
*Gundle/SLT Environmental, Inc....................... 137,600 722,400
*HD Vest, Inc........................................ 10,500 43,312
*HDS Network Systems, Inc............................ 9,200 50,600
*HEI, Inc............................................ 15,500 85,250
HF Financial Corp.................................... 9,600 188,400
*HMG Worldwide Corp.................................. 62,500 60,547
HMI Industries, Inc.................................. 84,200 489,412
*HMN Financial, Inc.................................. 17,700 391,612
*HPR, Inc............................................ 82,500 1,325,156
*HPSC, Inc........................................... 74,800 453,475
*HS Resources, Inc................................... 45,528 660,156
Haggar Corp.......................................... 53,500 718,906
*Hahn Automotive Warehouse, Inc...................... 35,368 278,523
Halifax Corp......................................... 7,050 59,925
*Hallmark Capital Corp............................... 2,800 54,600
*#Hallwood Group, Inc................................ 10,762 290,574
*Halsey Drug Co., Inc................................ 53,922 242,649
*Hammons (John Q.) Hotels, Inc. Class A.............. 55,700 501,300
*Hampshire Group, Ltd................................ 4,900 74,419
*Hampton Industries, Inc............................. 39,440 310,590
Hancock Fabrics, Inc................................. 133,100 1,630,475
*Handleman Co........................................ 212,000 1,404,500
Handy & Harman....................................... 9,700 161,262
*Hanger Orthopedic Group, Inc........................ 39,200 350,350
*Harcor Energy, Inc.................................. 88,500 533,766
*Harding Lawson Associates Group, Inc................ 41,700 286,687
Harleysville National Corp PA........................ 2,110 61,981
Harmon Industries, Inc............................... 54,300 1,035,094
*Harolds Stores, Inc................................. 37,996 351,463
*Harris & Harris Group, Inc.......................... 31,600 130,350
Harris Savings Bank PA............................... 2,000 41,000
*Harry's Farmers Market, Inc. Class A................ 14,300 56,306
*Hartmarx Corp....................................... 189,200 1,868,350
*Harvard Industries, Inc............................. 12,900 8,466
*Harvey Entertainment Co............................. 30,000 350,625
Harvey's Casino Resorts.............................. 67,800 1,144,125
Haskel International, Inc............................ 17,800 178,000
Hastings Manufacturing Co............................ 8,800 232,650
*Hathaway Corp....................................... 34,580 90,772
*Hauser, Inc......................................... 51,800 317,275
Haven Bancorp, Inc................................... 16,100 547,400
Haverfield Corp...................................... 220 5,527
Haverty Furniture Co., Inc........................... 74,200 876,487
Haverty Furniture Co., Inc. Class A.................. 13,550 157,519
Hawkins Chemical, Inc................................ 41,284 340,593
*Hawthorne Financial Corp............................ 14,100 158,625
*Health Management Systems, Inc...................... 22,500 125,156
*#Health Management, Inc............................. 18,600 4,650
*Health Power, Inc................................... 13,700 48,806
*#Health Professionals, Inc.......................... 4,923 7,384
*Health Risk Management, Inc......................... 34,700 407,725
*Health-Chem Corp.................................... 68,645 55,774
*Healthcare Services Group, Inc...................... 78,800 891,425
*Healthdyne Information Enterprises, Inc............. 16,800 54,600
*Healthdyne Technologies, Inc........................ 95,931 1,426,974
*Healthplan Services Corp............................ 8,016 134,268
*Healthy Planet Products, Inc........................ 6,000 22,125
</TABLE>
10
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Hechinger Co. Class A............................... 99,700 $ 124,625
*Hechinger Co. Class B............................... 4,700 14,687
*#Hector Communications Corp......................... 21,300 201,019
Heico Corp........................................... 133,194 2,963,566
*Hein-Werner Corp.................................... 38,904 272,328
*Heist (C.H.) Corp................................... 10,600 68,900
*Hello Direct, Inc................................... 8,000 51,500
Henry Jack & Associates, Inc......................... 23,199 511,828
Heritage Financial Services, Inc..................... 13,400 361,800
*Herley Industries, Inc.............................. 11,500 134,406
*Hi-Lo Automotive, Inc............................... 92,456 242,697
*Hi-Shear Technology Corp............................ 15,200 85,500
*Hi-Tech Pharmacal, Inc.............................. 37,500 182,812
*Hibbett Sporting Goods, Inc......................... 16,000 274,000
*High Plains Corp.................................... 137,576 481,516
Hilb Rogal Hamilton Co............................... 26,500 389,219
*Hilite Industries, Inc.............................. 11,200 41,300
Hingham Institution for Savings MA................... 1,900 34,912
*Hirsch International Corp. Class A.................. 18,900 438,244
*Hitox Corp.......................................... 24,700 87,994
Hoenig Group, Inc.................................... 31,100 165,219
*Holiday RV Superstores, Inc......................... 9,600 18,300
*Hollywood Casino Corp. Class A...................... 213,400 753,569
*Hologic, Inc........................................ 21,930 522,208
*Holopak Technologies, Inc........................... 32,000 92,000
*Holophane Corp...................................... 12,800 268,800
Home Federal Bancorp................................. 22,200 596,625
*Home Health Corp. of America........................ 23,800 245,437
Home Port Bancorp, Inc............................... 2,400 47,100
*Home Products International, Inc.................... 24,400 227,225
*Home State Holdings, Inc............................ 60,000 28,125
*Homecorp, Inc....................................... 200 4,250
*Homeowners Group, Inc............................... 47,800 91,119
*Hondo Oil and Gas Co................................ 25,600 233,600
Hooper Holmes, Inc................................... 62,800 1,381,600
Horizon Bancorp, Inc................................. 400 10,050
Horizon Financial Corp............................... 27,109 411,717
*Hospital Staffing Services, Inc..................... 54,789 133,548
*Hovnanian Enterprises, Inc. Class A................. 109,800 651,937
Howell Corp.......................................... 108,200 1,825,875
Howell Industries, Inc............................... 14,400 502,200
*Howtek, Inc......................................... 36,100 60,919
Hudson Chartered Bancorp, Inc........................ 3,300 92,400
Hudson General Corp.................................. 25,300 1,012,000
*Hudson Technologies, Inc............................ 14,200 138,894
Huffy Corp........................................... 105,800 1,375,400
*Hugoton Energy Corp................................. 152,900 1,710,569
Hunt Manufacturing Co................................ 59,200 1,110,000
Huntco, Inc. Class A................................. 41,200 551,050
*Hurco Companies, Inc................................ 46,900 257,950
*Hycor Biomedical, Inc............................... 69,316 129,967
*Hyde Athletic Industries, Inc. Class A.............. 70,700 349,081
*Hyde Athletic Industries, Inc. Class B.............. 63,800 319,000
#Hydron Technologies, Inc............................ 97,500 141,680
*I-Stat Corp......................................... 17,900 319,962
*ICF Kaiser International, Inc....................... 199,000 472,625
ICO, Inc............................................. 171,518 852,230
*ICOS Corp........................................... 14,600 117,256
*ICU Medical, Inc.................................... 72,550 639,347
*IDM Environmental Corp.............................. 8,000 16,000
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*IDT Corp............................................ 165,000 $ 1,309,687
*IEC Electronics Corp................................ 39,800 470,137
*IFR Systems, Inc.................................... 62,935 995,160
*IGEN, Inc........................................... 60,300 374,991
*IGI, Inc............................................ 65,500 302,937
*II-VI, Inc.......................................... 39,200 754,600
*ILC Technology, Inc................................. 54,600 614,250
IMCO Recycling, Inc.................................. 59,800 1,061,450
*IMP, Inc............................................ 250,800 438,900
*IPC Information Systems, Inc........................ 39,100 474,087
*IPL Systems, Inc. Class A........................... 16,500 16,758
*IQ Software Corp.................................... 17,200 161,250
*ITC Learning Corp................................... 13,300 63,175
*ITEQ, Inc........................................... 43,650 341,016
*ITI Technologies, Inc............................... 14,400 231,300
*#IVI Publishing, Inc................................ 65,000 203,125
*Ibah, Inc........................................... 89,200 345,650
*Identix, Inc........................................ 83,000 840,375
*Ikos Systems, Inc................................... 31,550 772,975
*#Illinois Superconductor Corp....................... 17,700 221,250
*Image Entertainment, Inc............................ 107,600 453,937
*Imatron, Inc........................................ 171,200 476,150
*Imclone Systems, Inc................................ 143,000 884,812
*Immucor, Inc........................................ 54,000 469,125
*Immulogic Pharmaceutical Corp....................... 65,500 257,906
*Immune Response Corp. DE............................ 150,100 1,266,469
*#Immunogen, Inc..................................... 58,200 77,297
*Immunomedics, Inc................................... 72,900 382,725
*Imo Industries, Inc................................. 100,000 300,000
*Impact Systems, Inc................................. 192,100 252,131
*Imperial Holly Corp................................. 50,400 617,400
*In Focus Systems, Inc............................... 11,100 287,906
*In Home Health, Inc................................. 27,500 41,250
*#Inacom Corp........................................ 12,400 400,675
*Inbrand Corp........................................ 42,300 1,115,662
*Incontrol, Inc...................................... 52,400 491,250
*Incstar Corp........................................ 53,500 325,180
*Indenet, Inc........................................ 42,750 61,453
Independence Holding Co.............................. 10,919 94,859
Independent Bank Corp. MA............................ 118,100 1,254,812
Independent Bank East................................ 9,202 252,480
Independent Bankshares, Inc.......................... 786 12,379
Indiana Federal Corp................................. 18,049 471,530
Industrial Acoustics Co., Inc........................ 900 8,212
*Industrial Holdings, Inc............................ 16,000 169,000
*Industrial Scientific Corp.......................... 10,000 196,250
*Infodata Systems, Inc............................... 4,276 29,665
*Information Resource Engineering, Inc............... 25,300 339,969
*Infu-tech, Inc...................................... 4,700 17,625
*Inhale Therapeutic Systems.......................... 60,500 1,217,562
*Innerdyne, Inc...................................... 139,700 388,541
*Innodata Corp....................................... 8,350 5,741
*Innoserv Technologies, Inc.......................... 13,640 26,854
*Innovative Gaming Corp. of America.................. 24,500 121,734
Innovex, Inc......................................... 152,800 4,278,400
*Insight Enterprises, Inc............................ 18,000 508,500
*Insite Vision, Inc.................................. 83,300 515,419
Insituform East, Inc................................. 16,600 46,169
*Insituform Technologies, Inc. Class A............... 66,500 407,312
Insteel Industries, Inc.............................. 59,944 464,566
</TABLE>
11
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Instron Corp......................................... 118,200 $ 1,477,500
*Insurance Auto Auctions, Inc........................ 50,000 396,875
*Integra Lifesciences Corp........................... 6,000 18,750
*Integramed America, Inc............................. 62,200 87,469
*Integrated Circuit Systems, Inc..................... 43,800 782,925
*Integrated Orthopedics, Inc......................... 45,000 236,250
*Integrated Silicon Solution, Inc.................... 27,400 268,006
*Integrated Waste Services, Inc...................... 12,500 3,906
*Intellicall, Inc.................................... 68,907 318,695
*Intellicorp, Inc.................................... 89,200 275,962
*Intellidata Technologies Corp....................... 12,000 61,312
*Intelligent Electronics, Inc........................ 36,874 97,947
*Intelligent Systems Corp............................ 9,200 37,950
*Inter-Tel, Inc...................................... 49,200 774,900
Intercargo Corp...................................... 29,100 298,275
Interchange Financial Services Corp. Saddle Brook.... 21,420 406,980
*Interface Systems, Inc.............................. 29,800 98,712
*Interferon Sciences, Inc............................ 52,500 429,844
*Interlake Corp...................................... 196,200 760,275
*Interleaf, Inc...................................... 143,100 196,762
*Interlink Electronics............................... 17,100 112,219
*Interlinq Software Corp............................. 34,200 134,128
*Intermagnetics General Corp......................... 158,941 2,225,174
*Intermedia Communications of Florida, Inc........... 38,700 1,158,581
International Aluminum Corp.......................... 300 7,875
*International Imaging Materials, Inc................ 24,000 420,000
*#International Lottery & Totalizer Systems, Inc..... 34,700 49,339
*International Lottery, Inc.......................... 12,200 99,125
*International Remote Imaging Systems, Inc........... 34,350 141,694
International Shipholding Corp....................... 53,950 923,894
*International Technology Corp....................... 76,175 552,269
*International Thoroughbred Breeders, Inc............ 31,900 143,550
*Interphase Corp..................................... 33,500 263,812
*Interpore International............................. 50,000 231,250
*Interscience Computer Corp.......................... 6,500 1,625
*Intersolv, Inc...................................... 50,900 499,456
Interstate Johnson Lane, Inc......................... 18,150 353,925
*Intersystems, Inc................................... 52,700 59,287
*Intertan, Inc....................................... 71,900 269,625
*Intervisual Books, Inc. Class A..................... 1,500 2,719
*Intervoice, Inc..................................... 15,800 174,787
Interwest Bancorp.................................... 19,200 662,400
*Investors Insurance Group, Inc...................... 42,700 3,843
Investors Title Co................................... 24,000 351,000
*Invivo Corp......................................... 12,300 116,850
*#Ion Laser Technology, Inc.......................... 18,100 144,800
Iroquois Bancorp..................................... 400 8,200
Isco, Inc............................................ 101,341 823,396
*Isolyser Co., Inc................................... 24,000 94,500
*Isomedix, Inc....................................... 51,100 798,437
*Iwerks Entertainment, Inc........................... 60,924 274,158
*J & J Snack Foods Corp.............................. 40,000 575,000
*J. Alexander's Corp................................. 120,200 991,650
*JG Industries, Inc.................................. 6,500 11,375
*JMAR Industries, Inc................................ 8,000 21,375
*JPE, Inc............................................ 10,300 69,525
Jackpot Enterprises, Inc............................. 50,775 539,484
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Jacksonville Bancorp, Inc........................... 4,600 $ 67,850
*Jaclyn, Inc......................................... 23,227 98,715
*Jaco Electronics, Inc............................... 14,973 101,068
#Jacobson Stores, Inc................................ 49,700 456,619
*Jalate, Ltd......................................... 11,000 28,875
*Jan Bell Marketing, Inc............................. 224,900 506,025
*Jason, Inc.......................................... 97,400 608,750
*Jean Philippe Fragrances, Inc....................... 69,000 405,375
Jeffbanks, Inc....................................... 13,587 371,944
Jefferson Savings Bancorp, Inc....................... 40,000 1,150,000
*Jennifer Convertibles, Inc.......................... 41,000 92,250
*Johnson Worldwide Associates, Inc. Class A.......... 64,000 796,000
Johnston Industries, Inc............................. 207,687 1,427,848
*Johnstown American Industries, Inc.................. 86,700 460,594
*Jos. A. Bank Clothiers, Inc......................... 57,900 217,125
*Joule, Inc.......................................... 42,100 144,719
*Jumbosports, Inc.................................... 141,400 618,625
*Just Toys, Inc...................................... 28,300 36,259
*K & G Men's Center, Inc............................. 15,000 252,187
K Swiss, Inc. Class A................................ 31,200 413,400
*K-Tel International, Inc............................ 200 1,662
*K-Tron International, Inc........................... 63,400 824,200
*K-V Pharmaceutical Co. Class A...................... 27,750 447,469
*K-V Pharmaceutical Co. Class B...................... 19,400 312,825
*KBK Capital Corp.................................... 5,000 25,625
*KLLM Transport Services, Inc........................ 37,400 460,487
*KTI, Inc............................................ 1,819 14,666
*Kaiser Ventures, Inc................................ 78,900 754,481
Kaman Corp. Class A.................................. 10,000 136,875
*Kaneb Services, Inc................................. 79,700 308,837
Katy Industries, Inc................................. 32,200 503,125
*Katz Digital Technologies, Inc...................... 10,000 30,000
Kaye Group, Inc...................................... 41,000 202,437
Keithley Instruments, Inc............................ 6,600 60,225
*Kelley Oil & Gas Corp............................... 56,100 133,237
Kenan Transport Co................................... 200 4,050
*Kent Financial Services, Inc........................ 14,278 92,807
*Kentucky Electric Steel, Inc........................ 15,700 86,350
Kentucky First Bancorp, Inc.......................... 1,400 14,962
*Kenwin Shops, Inc................................... 500 594
*Kerr Group, Inc..................................... 73,300 174,087
Kewaunee Scientific Corp............................. 20,400 126,225
*#Key Energy Group, Inc.............................. 39,658 654,357
*Key Production Co., Inc............................. 44,272 420,584
*Key Technology, Inc................................. 27,000 504,562
*Key Tronic Corp..................................... 129,100 758,462
*Keystone Consolidated Industries, Inc............... 88,600 797,400
Keystone Heritage Group, Inc......................... 29,600 836,200
*Kimmins Corp........................................ 8,300 30,606
*Kinark Corp......................................... 52,800 178,200
*Kinnard Investment, Inc............................. 22,800 135,375
*Kit Manufacturing Co................................ 12,000 115,500
Klamath First Bancorp, Inc........................... 19,600 360,150
*Kleer-Vu Industries, Inc............................ 20,073 4,705
Knape & Vogt Manufacturing Co........................ 54,599 873,584
*Knickerbocker (L.L.) Co., Inc....................... 60,000 315,000
*Knight Transportation, Inc.......................... 9,100 210,437
*Koala Corp.......................................... 8,800 109,450
Kollmorgen Corp...................................... 40,100 526,312
*#Koo Koo Roo, Inc................................... 183,726 740,645
</TABLE>
12
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Kopin Corp.......................................... 85,900 $ 1,181,125
*Koss Corp........................................... 52,000 494,000
*Krauses Furniture, Inc.............................. 2,933 4,674
*Kronos, Inc......................................... 14,700 385,875
*Krug International Corp............................. 21,465 111,350
*Krystal Co.......................................... 56,900 284,500
Kuhlman Corp......................................... 38,376 1,060,137
*#L.A. Gear, Inc..................................... 45,600 74,100
*LAT Sportswear, Inc................................. 2,700 1,519
LCS Industries, Inc.................................. 16,760 263,970
LSB Bancshares, Inc. NC.............................. 13,372 262,425
LSB Industries, Inc.................................. 108,900 490,050
LSI Industries, Inc.................................. 143,403 2,151,045
*LTX Corp............................................ 91,600 566,775
*LXR Biotechnology, Inc.............................. 63,300 158,250
*La Jolla Pharmceutical Co........................... 139,300 583,319
*LaBarge, Inc........................................ 221,650 1,413,019
LaCrosse Footwear, Inc............................... 13,300 162,925
*Laclede Steel Co.................................... 25,450 103,391
*Ladd Furniture, Inc................................. 46,333 608,121
*Laidlaw Environmental Services, Inc................. 436,200 1,254,075
*Lakeland Industries, Inc............................ 4,700 17,184
*Lamson & Sessions Co................................ 143,800 1,114,450
*Lancer Corp......................................... 66,150 1,653,750
*Lancit Media Productions, Ltd....................... 53,200 171,237
*Landair Services, Inc............................... 50,100 701,400
Landauer, Inc........................................ 71,000 1,615,250
*Laser Pacific Media Corp............................ 10,000 5,469
*#Laser Vision Centers, Inc.......................... 13,500 83,531
*Lasermaster Technologies, Inc....................... 96,700 187,356
*Laserscope.......................................... 66,600 416,250
*#LaserSight Corporation............................. 18,300 128,672
*Lawrence Savings Bank MA............................ 7,700 75,075
Lawyers Title Corp................................... 57,300 1,031,400
*Layne Christensen Co................................ 3,900 84,337
*Lazare Kaplan International, Inc.................... 71,300 1,158,625
Learonal, Inc........................................ 17,000 459,000
*Leasing Solutions, Inc.............................. 66,100 991,500
*Leather Factory, Inc................................ 200 125
*Lechters, Inc....................................... 124,500 462,984
*Lectec Corp......................................... 14,580 93,859
Lesco, Inc........................................... 87,100 1,546,025
*Leslie Building Products, Inc....................... 27,800 46,044
*Leslie's Poolmart................................... 45,992 658,260
*Levitz Furniture, Inc............................... 122,200 290,225
Liberty Homes, Inc. Class A.......................... 200 2,000
*Liberty Technologies, Inc........................... 16,200 54,675
*Lidak Pharmaceuticals Class A....................... 103,000 228,531
*Life Medical Sciences, Inc.......................... 25,100 122,362
*Life Quest Medical, Inc............................. 8,100 39,487
*Life USA Holdings, Inc.............................. 85,400 1,030,137
*Lifecore Biomedical, Inc............................ 46,200 643,912
*Lifeline Systems, Inc............................... 21,500 384,312
*Lifetime Hoan Corp.................................. 81,092 608,190
Lillian Vernon Corp.................................. 49,000 771,750
*Lindal Cedar Homes, Inc............................. 40,777 166,931
Lindberg Corp........................................ 53,200 465,500
Liqui Box Corp....................................... 8,400 283,500
Litchfield Financial Corp............................ 22,863 364,379
*Littlefield, Adams & Co............................. 16,500 18,562
*Liuski International, Inc........................... 7,700 10,347
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*#Live Entertainment, Inc............................ 2,000 $ 11,312
*Lodgenet Entertainment Corp......................... 71,000 776,562
*Loehmanns, Inc...................................... 54,500 395,125
*#Logic Devices, Inc................................. 49,300 114,006
*Logic Works, Inc.................................... 94,000 660,937
Lomak Petroleum, Inc................................. 23,745 421,474
*Loronix Information Systems, Inc.................... 17,700 57,525
Lufkin Industries, Inc............................... 28,400 672,725
*Lunar Corp.......................................... 83,100 1,656,806
*Lund International Holdings, Inc.................... 15,800 165,900
*#Luria (L.) & Son, Inc.............................. 79,297 178,418
*Lynch Corp.......................................... 29,600 2,523,400
*M-Wave, Inc......................................... 10,600 23,850
*#M.H. Meyerson & Co., Inc........................... 6,500 32,094
M/A/R/C, Inc......................................... 20,757 384,004
*MAI Systems Corp.................................... 34,007 159,408
#MDC Holdings, Inc................................... 71,900 611,150
MFB Corp............................................. 2,300 44,275
*MFRI, Inc........................................... 15,600 125,775
*MGI Pharma, Inc..................................... 137,700 537,891
*MHM Services, Inc................................... 75 56
*MI Schottenstein Homes, Inc......................... 43,800 481,800
*MK Gold Corp........................................ 58,500 100,547
*MLX Corp............................................ 22,645 340,377
*MRS Technology, Inc................................. 47,500 49,727
*MS Carriers, Inc.................................... 42,600 881,288
*MTI Technology Corp................................. 18,500 84,406
MTS Systems Corp..................................... 30,400 780,900
MYR Group, Inc....................................... 39,200 568,400
*Macheezmo Mouse Restaurants, Inc.................... 10,800 5,906
MacNeal-Schwendler Corp.............................. 123,500 1,265,875
*Magainin Pharmaceuticals, Inc....................... 135,600 1,000,050
Magna Bancorp........................................ 15,400 360,937
*Magnetic Technologies Corp.......................... 5,000 17,187
*Magnum Hunter Resources, Inc........................ 35,900 197,450
*Mail Boxes, Etc..................................... 27,500 639,375
*Main Street & Main, Inc............................. 2,850 6,234
Maine Public Service Co.............................. 32,700 386,269
Mainstreet Bankgroup, Inc............................ 20,600 445,475
*Mallon Resources Corp............................... 12,675 109,322
*Managed Care Solutions, Inc......................... 14,000 47,250
*Manatron, Inc....................................... 115 208
*Manhattan Bagel Co., Inc............................ 22,400 155,400
*Mapinfo Corp........................................ 27,000 300,375
*Marcam Corp......................................... 69,100 855,113
*Marisa Christina, Inc............................... 72,200 685,900
Maritrans, Inc....................................... 65,900 486,013
*Mark VII, Inc....................................... 47,800 1,439,975
*Marker International................................ 83,900 367,063
*Marlton Technologies, Inc........................... 62,300 218,050
Marsh Supermarkets, Inc. Class A..................... 14,400 192,600
Marsh Supermarkets, Inc. Class B..................... 17,300 230,306
*Martek Biosciences Corp............................. 1,200 20,250
*Marten Transport, Ltd............................... 35,200 448,800
Maryland Federal Bancorp............................. 17,115 650,370
Mason Dixon Bancshares, Inc.......................... 8,400 181,650
Massbank Corp. Reading, MA........................... 7,050 295,659
*Matec Corp. DE...................................... 23,800 107,844
*Mathsoft, Inc....................................... 33,000 90,750
*Matlack Systems, Inc................................ 75,650 557,919
*Matria Healthcare, Inc.............................. 102,000 459,000
</TABLE>
13
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Matrix Pharmaceutical, Inc.......................... 107,000 $ 742,313
*Matrix Service Co................................... 83,600 705,375
*Matthews Studio Equipment Group..................... 11,600 36,613
*Mattson Technology, Inc............................. 123,000 1,299,188
*Maverick Tube Corp.................................. 45,000 1,352,813
*Max & Ermas Restaurants, Inc........................ 10,657 67,272
*Maxco, Inc.......................................... 14,000 98,875
*Maxim Group, Inc.................................... 76,000 869,250
*Maxwell Technologies, Inc........................... 58,492 1,155,217
*Maxxim Medical, Inc................................. 69,479 1,016,130
Mayflower Co-Operative Bank Middleboro............... 200 3,350
*Maynard Oil Co...................................... 103,200 1,444,800
*Mays (J.W.), Inc.................................... 2,100 19,950
*McClain Industries, Inc............................. 91,066 404,105
*McFarland Energy, Inc............................... 52,000 672,750
McGrath Rent Corp.................................... 58,200 1,054,875
*McWhorter Technologies, Inc......................... 11,000 242,000
*Measurement Specialties, Inc........................ 5,400 20,925
*Mecklermedia Corp................................... 18,300 352,275
*Medalliance, Inc. Liquidating Trust Escrow.......... 25,000 0
*Medar, Inc.......................................... 105,500 606,625
*Medarex, Inc........................................ 66,800 425,850
*Medco Research, Inc................................. 41,000 338,250
Medford Savings Bank MA.............................. 37,900 1,032,775
*Media 100, Inc...................................... 82,600 480,113
*Media Arts Group, Inc............................... 34,100 148,122
*Media Logic, Inc.................................... 21,800 66,763
*Medical Action Industries, Inc...................... 33,300 105,103
*Medical Graphics Corp............................... 12,700 52,388
*Medical Resources, Inc.............................. 93,600 1,298,700
*Medicalcontrol, Inc................................. 14,500 54,375
*Medicore, Inc....................................... 47,500 121,719
*Medicus Systems Corp................................ 42,000 238,875
*Medimmune, Inc...................................... 4,200 65,363
*Mediq, Inc.......................................... 58,200 429,225
*Medplus, Inc........................................ 47,000 284,938
*Medquist Inc........................................ 54,600 1,419,600
*Medstone International, Inc......................... 28,200 218,550
*Melamine Chemicals, Inc............................. 74,100 870,675
Mercer International, Inc............................ 10,000 114,375
Merchants Bancorp, Inc............................... 10,000 376,250
Merchants Bancshares, Inc............................ 700 13,825
Merchants Group, Inc................................. 11,200 214,200
Merchants New York Bancorp, Inc...................... 400 15,525
#Mercury Air Group, Inc.............................. 24,353 152,206
*Mercury Interactive Corp............................ 25,800 454,725
*Meridian Data, Inc.................................. 61,600 256,025
Meridian Diagnostics, Inc............................ 116,754 992,409
Meridian Insurance Group, Inc........................ 20,000 297,500
*Meridian Medical Technology, Inc.................... 17,900 87,263
*Meridian Sports, Inc................................ 30,050 42,258
*#Merisel, Inc....................................... 240,800 428,925
*Merit Medical Systems, Inc.......................... 26,300 193,963
*Merix Corp.......................................... 48,000 768,000
Merrill Corp......................................... 30,100 974,488
Merrimac Industries, Inc............................. 12,332 143,360
*Mesa Air Group, Inc................................. 200,500 1,008,766
*Mesa Labs, Inc...................................... 11,400 69,825
*Mesaba Holdings, Inc................................ 78,700 1,160,825
*Mestek, Inc......................................... 118,750 2,315,625
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Met-Coil Systems Corp............................... 27,500 $ 59,290
Met-Pro Corp......................................... 151,665 2,237,059
*Metal Management, Inc............................... 106,906 942,109
*Metalclad Corp...................................... 34,500 39,891
*Metatec Corp. Class A............................... 65,100 199,369
*Metra Biosystems, Inc............................... 16,400 79,950
*#Metricom, Inc...................................... 46,700 376,519
*Metrocall, Inc...................................... 158,399 772,195
*Metrologic Instruments, Inc......................... 57,300 1,034,981
*Metrotrans Corp..................................... 4,100 38,438
Metrowest Bank MA.................................... 52,100 283,294
*Michael Anthony Jewelers, Inc....................... 74,300 241,475
Michael Foods, Inc................................... 15,623 221,651
*Micrion Corp........................................ 19,700 333,669
*Micro Bio-Medics, Inc............................... 19,200 379,200
*Micro Linear Corp................................... 91,000 1,820,000
*Microage, Inc....................................... 92,700 1,674,394
*Microdyne Corp...................................... 48,800 286,700
*Microfluidics International Corp.................... 10,500 20,672
*Micrografx, Inc..................................... 78,500 529,875
*Microlog Corp....................................... 26,000 152,750
*Micronics Computers, Inc............................ 108,600 312,225
*Micros Systems, Inc................................. 13,500 533,250
*Micros to Mainframes, Inc........................... 7,700 28,875
*Microsemi Corp...................................... 135,875 1,766,375
*Microtel International, Inc......................... 21,501 60,472
*Microtest, Inc...................................... 64,200 268,838
*Microtouch Systems, Inc............................. 29,000 728,625
Microwave Filter Co., Inc............................ 5,894 8,841
*Microwave Power Dynamics, Inc....................... 80,000 240,000
Mid America Banccorp................................. 31,072 648,628
*Midcom Communications, Inc.......................... 40,000 297,500
Midconn Bank Kensington, CT.......................... 45,200 1,059,375
*Middleby Corp....................................... 65,200 623,475
Middlesex Water Co................................... 15,000 250,313
*#Midisoft Corp...................................... 58,300 67,409
Midland Co........................................... 14,700 685,388
*Midwest Grain Products, Inc......................... 19,300 224,363
*Mikohn Gaming Corp.................................. 66,650 283,263
*Miller Building Systems, Inc........................ 72,800 555,100
*Miltope Group, Inc.................................. 50,500 179,906
*Mindspring Enterprises, Inc......................... 5,500 52,594
Minntech Corp........................................ 29,131 360,490
Minuteman International, Inc......................... 15,000 142,500
*Mitcham Industies, Inc.............................. 8,900 75,094
*Mity-Lite, Inc...................................... 28,100 367,056
Mobile Gas Service Corp.............................. 34,100 907,913
*Mobile Mini, Inc.................................... 22,900 84,444
*#Mobilemedia Corp. Class A.......................... 54,100 27,895
Modern Controls, Inc................................. 56,650 679,800
*Modtech, Inc........................................ 6,500 79,219
*Molecular Biosystems, Inc........................... 121,400 1,122,950
*Molecular Dynamics, Inc............................. 51,100 734,563
*Monaco Coach Corp................................... 15,100 334,088
*Monaco Finance, Inc. Class A........................ 16,300 21,903
*Monarch Casino and Resort, Inc...................... 82,100 251,431
Monarch Machine Tool Co.............................. 39,761 298,208
*Monro Muffler Brake, Inc............................ 32,082 605,548
*Monroc, Inc......................................... 15,500 146,281
*#Monterey Pasta Co.................................. 32,400 65,813
*Moog, Inc. Class A.................................. 25,250 634,406
*Moog, Inc. Class B.................................. 1,500 38,438
</TABLE>
14
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Moore Handley, Inc.................................. 1,500 $ 4,500
*Moore Medical Corp.................................. 25,100 282,375
*Moore Products Co................................... 19,900 450,238
*Moovies, Inc........................................ 88,500 506,109
*Morgan Products, Ltd................................ 65,300 579,538
*Morningstar Group, Inc.............................. 10,500 276,281
*#Morrow Snowboards, Inc............................. 12,000 47,250
*Morton's Restaurant Group, Inc...................... 54,900 912,713
*Mosaix, Inc......................................... 96,900 1,344,488
*Moscom Corp......................................... 25,700 112,438
*Mossimo, Inc........................................ 128,750 1,094,375
*Mother's Work, Inc.................................. 33,500 255,438
*Motivepower Industries, Inc......................... 34,000 473,875
*Moto Photo, Inc..................................... 6,100 11,247
*Motor Car Parts & Accessories, Inc.................. 40,500 678,375
*Motor Club of America............................... 20,500 283,156
Movado Group, Inc.................................... 10,500 234,938
*Movie Gallery, Inc.................................. 73,000 479,063
*Moviefone, Inc. Class A............................. 25,100 177,269
Mueller (Paul) Co.................................... 26,700 951,188
*Multi Color Corp.................................... 8,600 54,825
*Multigraphics, Inc.................................. 8,500 20,188
*Musicland Stores Corp............................... 210,600 421,200
*Mutual Savings Bank FSB Bay City, MI................ 16,200 132,638
*Mysoftware Co....................................... 14,000 29,750
*NAI Technologies, Inc............................... 82,813 445,120
NBT Bancorp.......................................... 12,615 261,761
NN Ball & Roller, Inc................................ 112,300 1,333,563
*NPC International, Inc.............................. 6,200 72,850
*NPS Pharmaceuticals, Inc............................ 75,600 784,350
*NS Group, Inc....................................... 118,700 830,900
*NSA International, Inc.............................. 30,500 55,281
NSC Corp............................................. 79,800 144,638
*NTN Communications, Inc............................. 167,500 471,094
NUI Corp............................................. 24,200 529,375
NYMAGIC, Inc......................................... 62,700 1,214,813
*Nanometrics, Inc.................................... 9,800 68,906
*Nantucket Industries, Inc........................... 28,135 42,203
*Napco Security Systems, Inc......................... 64,100 324,506
Nash Finch Co........................................ 17,300 341,675
*Nashua Corp......................................... 32,200 374,325
*Nathans Famous, Inc................................. 17,500 53,594
*National Beverage Corp.............................. 12,800 146,400
*National City Bancorp............................... 13,367 275,699
*National Dentex Corp................................ 32,900 567,525
*National Energy Group, Inc.......................... 185,700 591,919
National Gas & Oil Co................................ 134,794 1,187,872
*National Home Centers, Inc.......................... 60,000 106,875
*National Home Health Care Corp...................... 17,322 101,767
National Insurance Group............................. 45,200 313,575
*National Media Corp................................. 22,000 162,250
*National Mercantile Bancorp......................... 2,300 3,450
*National Patent Development Corp.................... 69,850 510,778
*National Picture and Frame Co....................... 42,600 465,938
*National Record Mart, Inc........................... 4,000 6,188
*National RV Holdings, Inc........................... 20,500 311,344
National Sanitary Supply Co.......................... 200 2,725
National Security Group, Inc......................... 10,500 147,000
*National Standard Co................................ 96,500 675,500
National Technical Systems, Inc...................... 47,184 181,364
*National Techteam, Inc.............................. 33,300 820,013
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*National Vision Association, Ltd.................... 123,800 $ 642,213
*Natural Alternatives International, Inc............. 47,000 337,813
*Natural Microsystems Corp........................... 28,700 704,944
*Natural Wonders, Inc................................ 25,900 112,503
*Navarre Corp........................................ 54,200 150,744
*Navigators Group, Inc............................... 20,520 357,818
*Neogen Corp......................................... 23,200 166,750
*Neoprobe Corp....................................... 55,000 825,000
*#Neorx Corp......................................... 130,700 563,644
*Nestor, Inc......................................... 21,400 53,166
*Netframe Systems, Inc............................... 87,200 92,650
*Netmanage, Inc...................................... 19,600 68,600
*Netrix Corp......................................... 83,200 169,000
*Network Computing Devices, Inc...................... 130,000 1,657,500
*Network Imaging Corp................................ 85,000 171,328
*#Network Peripherals, Inc........................... 45,300 437,428
*Network Six, Inc.................................... 775 1,235
*Neurex Co........................................... 57,100 831,519
*New Brunswick Scientific Co., Inc................... 37,537 260,413
New England Community Bancorp, Inc. Class A.......... 9,700 159,444
New Hampsire Thrift BancShares, Inc.................. 200 2,963
*New Horizons Worldwide, Inc......................... 57,400 566,825
*New Jersey Steel Corp............................... 29,800 197,425
*New Mexico & Arizona Land Co........................ 30,042 435,609
*New World Power Corp................................ 12,000 3,563
Newcor, Inc.......................................... 82,025 692,086
Newmil Bancorp, Inc.................................. 44,200 430,950
#Newport Corp........................................ 74,600 881,213
*Nexthealth, Inc..................................... 26,700 48,394
*Nichols Research Corp............................... 55,250 1,063,563
Nitches, Inc......................................... 10,194 56,704
*Nobility Homes...................................... 11,250 142,031
*Noel Group, Inc..................................... 43,600 162,138
Noland Co............................................ 500 12,188
*Noodle Kidoodle, Inc................................ 65,000 235,625
*Nord Resources Corp................................. 127,700 367,138
*Norstan, Inc........................................ 90,400 1,344,700
*Nortek, Inc......................................... 15,200 353,400
North Carolina Natural Gas Corp...................... 10,300 318,013
Northern Technologies International.................. 11,500 97,031
*Northfield Laboratories, Inc........................ 51,300 506,588
Northland Cranberries, Inc. Class A.................. 8,100 104,794
*#Northstar Health Services, Inc..................... 25,000 57,813
*Northwest Teleproductions, Inc...................... 15,800 62,213
*Northwestern Steel & Wire Co........................ 146,600 352,756
*Norton McNaughton, Inc.............................. 62,500 324,219
Norwich Financial Corp............................... 23,800 470,050
*Norwood Promotional Products, Inc................... 31,200 454,350
*Novametrix Medical Systems, Inc..................... 59,700 319,022
*Novavax, Inc........................................ 65,500 241,531
*Noven Pharmaceuticals, Inc.......................... 12,000 93,750
*Novitron International, Inc......................... 4,283 10,172
*Nu Horizons Electronics Corp........................ 65,054 565,157
*Nu-Kote Holding, Inc. Class A....................... 101,700 266,963
*Nuclear Metals, Inc................................. 142,600 2,326,163
*Numar Corp.......................................... 31,850 625,056
Numerex Corp. Class A................................ 11,500 57,141
*Nutramax Products, Inc.............................. 44,000 514,250
*Nview Corp.......................................... 20,650 48,398
</TABLE>
15
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*O'Charleys, Inc..................................... 60,650 $ 852,891
O'Sullivan Corp...................................... 69,100 621,900
*O'Sullivan Industries Holdings, Inc................. 131,400 2,053,125
*O.I. Corp........................................... 13,800 63,825
*#ODS Networks, Inc.................................. 9,000 145,688
*OEC Medical Systems, Inc............................ 62,100 1,040,175
*OHM Corp............................................ 19,500 156,000
*OTR Express, Inc.................................... 16,600 66,400
*Oacis Healthcare Holdings Corp...................... 33,000 187,688
*Oak Hill Sportswear Corp............................ 21,600 31,725
*#Odwalla, Inc....................................... 18,900 249,244
Oglebay Norton Co.................................... 25,000 1,100,000
Ohio Art Co.......................................... 1,000 16,375
Oil-Dri Corp. of America............................. 60,900 936,338
*Old America Stores, Inc............................. 14,700 61,556
*Old Dominion Freight Lines, Inc..................... 71,600 912,900
*Olympic Steel, Inc.................................. 94,000 1,551,000
*#Omega Environmental, Inc........................... 88,600 41,531
*#Omni Multimedia Group, Inc......................... 6,700 7,538
*On Assignment, Inc.................................. 19,600 744,800
*On Technology Corp.................................. 25,000 89,063
*Oncogene Science, Inc............................... 132,400 844,050
*Oncor, Inc.......................................... 185,800 743,200
*One Price Clothing Stores, Inc...................... 65,600 278,800
Oneida, Ltd.......................................... 25,700 613,588
*Oneita Industries, Inc.............................. 59,020 47,954
*Onyx Acceptance Corp................................ 8,500 66,938
*Opinion Research Corp............................... 15,500 58,609
*Opta Food Ingredients, Inc.......................... 93,600 731,250
*Opti, Inc........................................... 43,200 225,450
Optical Coating Laboratory, Inc...................... 67,092 704,466
*Option Care, Inc.................................... 43,400 268,538
Orange Co., Inc...................................... 91,747 711,039
*Orbit International Corp............................ 27,600 52,613
*Orcad, Inc.......................................... 6,000 55,125
*Oriole Homes Corp. Class A Convertible.............. 66,500 490,438
*Oriole Homes Corp. Class B.......................... 23,000 161,000
*Oroamerica, Inc..................................... 45,200 220,350
*Ortel Corp.......................................... 38,100 523,875
*Orthologic Corp..................................... 128,200 761,188
Oshkosh Truck Corp. Class B.......................... 43,200 588,600
*Oshman's Sporting Goods, Inc........................ 50,200 233,744
*Osteotech, Inc...................................... 54,100 486,900
*#Ostex International, Inc........................... 104,500 212,266
*Outlook Group Corp.................................. 37,900 170,550
Owosso Corp.......................................... 29,500 226,781
Oxford Industries, Inc............................... 79,400 1,915,525
*#Oxis International, Inc............................ 89,800 77,172
*P&F Industries, Inc. Class A........................ 600 3,281
*PAM Transportation Services, Inc.................... 11,750 87,391
*PC Quote, Inc....................................... 54,100 71,006
PCA International, Inc............................... 28,000 514,500
*#PHP Healthcare Corp................................ 22,000 332,750
*PICO Holdings, Inc.................................. 27,259 112,443
*PLM International, Inc.............................. 41,900 235,688
*PMR Corp............................................ 18,900 340,200
*PPT Vision, Inc..................................... 46,200 363,825
*PSC, Inc............................................ 42,400 280,900
*PST Vans, Inc....................................... 16,000 46,000
Pacific Scientific Co................................ 36,200 484,175
*Pacific Sunwear of California, Inc.................. 67,500 2,455,313
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Pages, Inc.......................................... 31,000 $ 55,219
*Palatin Technologies, Inc........................... 3,500 5,086
Palfed, Inc.......................................... 19,850 325,044
*Palmer (Arnold) Golf Co............................. 33,700 151,650
*Pamida Holdings Corp................................ 52,000 149,500
Pamrapo Bancorp, Inc................................. 12,200 242,475
*Panaco, Inc......................................... 9,800 38,894
Pancho's Mexican Buffet, Inc......................... 47,600 83,300
*Par Technology Corp................................. 81,800 797,550
*Paracelsus Healthcare Corp.......................... 10,400 42,900
*Parallel Petroleum Corp............................. 74,200 338,538
*Parcplace-Digitalk, Inc............................. 40,300 50,375
*Paris Corp.......................................... 200 375
*Park-Ohio Industries, Inc........................... 141,225 1,827,098
*Parkervision, Inc................................... 38,100 623,888
Parkvale Financial Corp.............................. 44,285 1,228,909
*Parlex Corp......................................... 29,850 343,275
*Parlux Fragrances, Inc.............................. 108,200 297,550
*Patina Oil & Gas Corp............................... 53,989 472,404
Patrick Industries, Inc.............................. 45,250 636,328
*Patterson Energy, Inc............................... 24,800 889,700
*Paul Harris Stores, Inc............................. 66,175 1,158,063
*Paul-Son Gaming Corp................................ 32,500 440,781
*Payless Cashways, Inc............................... 212,000 344,500
*Peak Technologies Group, Inc........................ 35,200 631,400
*Pediatric Services of America, Inc.................. 51,200 1,014,400
Peerless Manufacturing Co............................ 9,250 94,234
*Penederm, Inc....................................... 60,000 667,500
Penn Engineering & Manufacturing Corp. Class A....... 33,600 766,500
Penn Engineering & Manufacturing Corp. Non-voting.... 100,800 1,990,800
*Penn National Gaming, Inc........................... 62,000 1,104,375
*#Penn Traffic Co.................................... 87,800 647,525
*Penn Treaty American Corp........................... 44,400 1,209,900
Penn Virginia Corp................................... 37,100 1,794,713
Penn-America Group, Inc.............................. 16,500 243,375
Pennfed Financial Services, Inc...................... 13,000 315,250
Pennfirst Bancorp, Inc............................... 200 2,750
Penobscot Shoe Co.................................... 32,000 182,000
*Pentech International, Inc.......................... 9,200 18,400
Penwest, Ltd......................................... 26,200 507,625
Peoples Bancorp...................................... 200 4,450
Peoples Bancshares, Inc. Massachusetts............... 13,545 176,085
*Peoples Choice TV Corp.............................. 110,596 155,526
Peoples Savings Financial Corp....................... 8,800 294,800
*Peoples Telephone Co., Inc.......................... 57,800 198,688
*Perceptron, Inc..................................... 16,750 470,047
*Performance Food Group Co........................... 107,150 2,209,969
*Perfumania, Inc..................................... 43,700 163,875
*Perini Corp......................................... 40,000 287,500
*Perseptive Biosystems, Inc.......................... 87,300 548,353
*Personnel Management, Inc........................... 3,500 34,563
*Petrocorp, Inc...................................... 32,600 281,175
*Petroleum Development Corp.......................... 39,700 196,639
Petroleum Heat & Power Co., Inc. Class A............. 59,700 216,413
*Pharmaceutical Marketing Services, Inc.............. 79,100 786,056
*Pharmaceutical Resources, Inc....................... 84,055 220,644
*Pharmchem Laboratories, Inc......................... 47,800 195,681
</TABLE>
16
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Pharmos Corp........................................ 88,000 $ 132,000
*Phildelphia Consolidated Holding Corp............... 27,000 921,375
*Phoenix Gold International, Inc..................... 13,000 70,688
*Phoenix Network, Inc................................ 73,700 147,400
*Phoenix Technologies, Ltd........................... 12,000 165,000
*Photo Control Corp.................................. 1,000 3,375
*Physicians Health Services, Inc. Class A............ 21,000 556,500
Piccadilly Cafeterias, Inc........................... 60,100 623,538
*Pico Products, Inc.................................. 34,400 47,300
*Piercing Pagoda, Inc................................ 8,200 218,325
*Pilgrim America Capital Corp........................ 42,000 569,625
Pillowtex Corp....................................... 66,700 1,425,713
*Pinkertons, Inc..................................... 12,900 378,938
Pinnacle Bancshares, Inc............................. 200 4,388
Pinnacle Financial Services, Inc..................... 15,300 407,363
*#Pinnacle Micro, Inc................................ 32,700 42,919
*Pinnacle Systems, Inc............................... 65,900 1,198,556
Pioneer Financial Services, Inc...................... 22,100 621,563
Pitt-Des Moines, Inc................................. 36,450 1,093,500
*Pittencrieff Communications, Inc.................... 68,000 278,375
Pittston Co. Minerals Group.......................... 72,200 992,750
*Plains Resources, Inc............................... 95,700 1,363,725
*Planar Systems, Inc................................. 64,100 757,181
Plasti-Line, Inc..................................... 10,000 103,125
*Platinum Software Corp.............................. 99,400 897,706
*Playboy Enterprises, Inc. Class B................... 136,400 1,602,700
*Players International, Inc.......................... 46,000 176,813
Plenum Publishing Corp............................... 10,700 391,888
*Plexus Corp......................................... 24,900 946,200
Ply-Gem Industries, Inc. DE.......................... 106,000 1,775,500
*Plymouth Rubber, Inc. Class A....................... 100 600
*Plymouth Rubber, Inc. Class B non-voting............ 5 24
*Polk Audio, Inc..................................... 5,000 45,000
*Pollo Tropical, Inc................................. 69,300 446,119
*Polymedica Industries, Inc.......................... 28,650 171,900
*Polyphase Corp...................................... 46,000 92,000
*Pomeroy Computer Resource, Inc...................... 22,695 527,659
*Ponder Industries, Inc.............................. 20,750 17,184
*Pool Energy Services Co............................. 31,700 525,031
Pope & Talbot, Inc................................... 4,200 69,300
*Porta Systems Corp.................................. 12,640 23,700
Portec, Inc.......................................... 37,237 407,280
Portsmouth Bank Shares, Inc.......................... 27,296 416,264
*Positive Response Television, Inc. Escrow........... 9,750 0
*Positron Corp....................................... 12,600 16,538
*Possis Medical, Inc................................. 97,800 1,485,338
Poughkeepsie Savings Bank FSB NY..................... 47,700 316,013
*Powell Industries, Inc.............................. 44,000 665,500
*Precision Standard, Inc............................. 1,000 1,156
*Premenos Technology Corp............................ 73,600 506,000
*#Premier Laser Systems, Inc. Class A................ 7,200 84,600
*Premiere Radio Networks, Inc........................ 13,600 246,500
*Premiere Radio Networks, Inc. Class A............... 3,650 66,156
Premiumwear, Inc..................................... 6,045 37,026
*President Casinos, Inc.............................. 100,000 54,688
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Presley Companies Class A........................... 8,900 $ 13,350
*Price Communications Corp........................... 71,257 552,242
*Pricellular Corp. Class A........................... 8,700 79,388
Prima Energy Corp.................................... 19,600 320,950
Prime Bancorp, Inc................................... 15,042 340,325
*Prime Medical Services, Inc......................... 93,200 1,048,500
Primesource Corp..................................... 24,843 181,664
*Printronix, Inc..................................... 67,050 921,938
*#Procept, Inc....................................... 70,800 42,038
*Procyte Corp........................................ 45,700 67,836
*#Professional Bancorp, Inc.......................... 10,720 131,320
*Profit Recovery Group International, Inc............ 87,000 1,044,000
Progress Financial Corp.............................. 9,600 85,800
*Progress Software Corp.............................. 56,000 969,500
Progressive Bank, Inc................................ 43,650 1,140,356
*Project Software & Development, Inc................. 46,000 885,500
*Pronet, Inc......................................... 44,800 142,800
*Proteon, Inc........................................ 58,150 147,192
*Protocol Systems, Inc............................... 70,100 530,131
Provena Foods, Inc................................... 200 481
Providence & Worcester Railroad Co................... 2,500 30,625
Providence Energy Corp............................... 61,950 1,084,125
*Provident American Corp............................. 83,600 423,225
Provident Bankshares Corp............................ 34,969 1,326,636
*Proxim, Inc......................................... 27,300 694,444
*Proxima Corp........................................ 62,100 294,975
Psychemedics Corp.................................... 105,577 798,426
*Pubco Corp.......................................... 50 422
Pulaski Furniture Corp............................... 15,400 261,800
*Pure World, Inc..................................... 66,300 219,619
Puretec Corp......................................... 140,000 216,563
*Q Logic Corp........................................ 53,800 1,271,025
*Q-Med, Inc.......................................... 48,300 356,213
*QMS, Inc............................................ 72,300 234,975
*Quad Systems Corp................................... 35,700 334,688
Quaker Chemical Corp................................. 27,800 455,225
*Quaker City Bancorp, Inc............................ 14,500 280,938
*Quaker Fabric Corp.................................. 72,300 1,165,838
*Quality Dining, Inc................................. 63,000 364,219
*Quality Semiconductor, Inc.......................... 25,200 245,700
*Quality Systems, Inc................................ 44,500 342,094
*#Quarterdeck Office Systems, Inc.................... 298,000 805,531
#Quest Medical, Inc.................................. 98,928 729,594
*Quickresponse Services, Inc......................... 10,000 378,750
*Quickturn Design Systems, Inc....................... 114,650 1,175,163
*Quidel Corp......................................... 105,100 387,556
*Quiksilver, Inc..................................... 63,400 1,715,763
*Quipp, Inc.......................................... 3,400 47,175
Quixote Corp......................................... 67,600 528,125
*R & B, Inc.......................................... 68,600 514,500
*RDM Sports Group, Inc............................... 301,000 376,250
*RF Monolithics, Inc................................. 26,000 383,500
*RPC, Inc............................................ 77,100 1,050,488
*RTI, Inc............................................ 5,890 17,670
*Racotek, Inc........................................ 85,500 208,406
*Rag Shops, Inc...................................... 32,000 104,000
*Ragan (Brad), Inc................................... 40,900 966,263
*Railtex, Inc........................................ 40,500 744,188
*Rainbow Technologies, Inc........................... 48,800 783,850
</TABLE>
17
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Rally's Hamburgers, Inc............................. 171,800 $ 483,188
Ramapo Financial Corp................................ 30,800 181,913
*Ramsay Health Care, Inc............................. 36,166 116,409
*Ramtron International Corp.......................... 66,650 335,333
*Rare Hospitality International, Inc................. 66,562 1,040,031
Raritan Bancorp, Inc. DE............................. 750 22,594
Raven Industries, Inc................................ 99,150 2,317,631
*Rawlings Sporting Goods, Inc........................ 64,700 558,038
Raymond Corp......................................... 97,003 3,152,598
*Raytech Corp. DE.................................... 27,795 145,924
*Reading Entertainment, Inc.......................... 16,300 188,469
*Recoton Corp........................................ 87,916 1,098,950
*Recovery Engineering, Inc........................... 16,400 236,775
*#Redhook Ale Brewery, Inc........................... 45,000 331,875
*#Redwood Empire Bancorp............................. 9,900 129,938
*Reeds Jewelers, Inc................................. 11,495 80,465
Refac Technology Development Corp.................... 45,597 310,630
*Regency Health Services, Inc........................ 49,400 605,150
*Regeneron Pharmaceuticals, Inc...................... 21,000 217,875
*Rehabcare Group, Inc................................ 18,600 646,350
*Rehabilicare, Inc................................... 17,700 61,950
*Reliability, Inc.................................... 85,000 1,285,625
Reliv International, Inc............................. 36,560 244,495
*#Reno Air, Inc...................................... 79,700 627,638
*#Rent-Way, Inc...................................... 43,500 535,594
*Rentrak Corp........................................ 52,300 177,330
*Repligen Corp....................................... 54,000 66,656
*Reptron Electronics, Inc............................ 22,700 466,769
*Republic Automotive Parts, Inc...................... 39,200 629,650
Republic Bancorp, Inc................................ 46,502 604,526
*Republic Engineered Steels, Inc..................... 173,000 248,688
Republic Group, Inc.................................. 111,804 1,844,766
Republic Security Financial Corp..................... 29,732 234,140
*Res-Care, Inc....................................... 67,800 1,326,338
Research, Inc........................................ 20,200 151,500
*Resound Corp........................................ 123,900 604,013
Resource America, Inc................................ 5,960 129,630
*#Response Oncology, Inc............................. 39,900 279,300
*Retirement Care Association, Inc.................... 43,035 435,729
*Retix, Inc.......................................... 85,700 463,316
*Rex Stores Corp..................................... 72,600 744,150
Rexene Corp.......................................... 8,800 130,900
*Rexhall Industries, Inc............................. 11,025 64,083
*Rexworks, Inc....................................... 6,000 21,750
*Rheometric Scientific, Inc.......................... 110 182
*Ribi Immunochem Research, Inc....................... 158,200 682,238
Richardson Electronics, Ltd.......................... 41,700 330,994
*Richton International Corp.......................... 1,500 6,000
*Riddell Sports, Inc................................. 30,682 143,822
*#Ride, Inc.......................................... 22,900 80,150
*Right Management Consultants, Inc................... 24,950 260,416
*Right Start, Inc.................................... 48,200 150,625
*Rightchoice Managed Care, Inc. Class A.............. 25,100 294,925
*Rimage Corp......................................... 29,000 85,188
*Ringer Corp......................................... 76,600 111,309
Rival Co............................................. 23,000 323,438
*River Oaks Furniture, Inc........................... 41,500 81,703
Riverside Group, Inc................................. 1,300 2,844
*Riviera Holdings Corporation........................ 6,200 83,313
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Roanoke Electric Steel Corp.......................... 33,000 $ 540,375
Robbins & Myers, Inc................................. 35,600 1,219,300
*Roberds, Inc........................................ 16,600 89,225
*Robertson-Ceco Corp................................. 38,957 318,960
Robinson Nugent, Inc................................. 42,100 242,075
*Robotic Vision Systems, Inc......................... 11,235 129,905
*Rochester Medical Corp.............................. 4,100 53,813
*Rock Bottom Restaurants, Inc........................ 45,700 491,275
*Rocky Mountain Chocolate Factory.................... 25,000 106,250
*Rocky Shoes & Boots, Inc............................ 20,000 267,500
*Rodman & Renshaw Capital Group, Inc................. 19,000 9,500
*Rogers Corp......................................... 128,100 4,227,300
*Ross Systems, Inc................................... 116,437 425,723
Rotonics Manufacturing, Inc.......................... 11,300 16,244
*Rottlund, Inc....................................... 18,150 83,944
Rowe Furniture Corp.................................. 115,062 906,113
*Royal Appliance Manufacturing Co.................... 180,000 1,282,500
Royal Bancshares of Pennsylvania Class A............. 232 3,089
*Royal Gold, Inc..................................... 114,700 1,068,144
*Royal Grip, Inc..................................... 8,500 31,344
*Royal International Optical, Inc.................... 14 0
Ryan Beck & Co....................................... 210 945
Ryland Group, Inc.................................... 90,900 1,181,700
*S&K Famous Brands, Inc.............................. 31,700 330,869
*SABA Petroleum Co................................... 18,200 282,100
*SBE, Inc............................................ 8,500 60,563
*SBM Industries, Inc................................. 500 1,563
*SBS Technologies, Inc............................... 30,200 554,925
SC Bancorp........................................... 6,900 87,544
*SDL, Inc............................................ 38,000 764,750
*SFX Broadcasting, Inc. Class A...................... 20,900 674,025
SI Handling, Inc..................................... 27,750 518,578
SJW Corp............................................. 16,600 892,250
SL Industries, Inc................................... 176,685 1,501,823
*SMC Corp............................................ 16,300 136,513
*SMT Health Services, Inc............................ 14,088 151,446
*SPSS, Inc........................................... 40,700 1,292,225
*SSE Telecom, Inc.................................... 30,500 209,688
*STB Systems, Inc.................................... 16,900 542,913
*STM Wireless, Inc. Class A.......................... 36,500 278,313
*STV Group, Inc...................................... 17,500 143,281
*Safeguard Health Enterprises, Inc................... 84,600 994,050
*Safety 1st, Inc..................................... 34,500 226,406
*Safety Components International, Inc................ 41,100 411,000
*Saga Communications, Inc. Class A................... 67,577 1,241,727
*Salant Corp. DE..................................... 80,500 281,750
Salient 3 Communications, Inc. Class A............... 45,000 565,313
*Salton/Maxim Housewares, Inc........................ 36,800 282,900
*San Filippo (John B.) & Son, Inc.................... 67,400 412,825
*San Francisco Co. Class A........................... 1,090 382
Sanderson Farms, Inc................................. 25,900 386,881
*Sands Regent Casino Hotel........................... 42,210 92,334
Sandwich Co-Operative Bank MA........................ 15,400 471,625
*Santa Fe Gaming Corp................................ 22,450 18,241
Santa Monica Bank CA................................. 29,900 545,675
*Satcon Technology Corp.............................. 28,000 271,250
*Scan-Optics, Inc.................................... 56,200 288,025
*ScanSource, Inc..................................... 7,200 103,950
</TABLE>
18
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Schawk, Inc. Class A................................. 26,200 $ 225,975
*Scherer Healthcare, Inc............................. 200 388
*Schieb (Earl), Inc.................................. 74,400 502,200
*Schuler Homes, Inc.................................. 83,700 476,044
Schult Homes Corp.................................... 42,960 746,430
Schultz Sav-O Stores, Inc............................ 40,000 690,000
*Sciclone Pharmaceuticals, Inc....................... 125,800 862,909
Scientific Technologies, Inc......................... 17,900 145,438
*Scios-Nova, Inc..................................... 257,700 1,626,731
Scope Industries, Inc................................ 34,800 1,809,600
*#Score Board, Inc................................... 100,230 106,494
Scotsman Industries, Inc............................. 9,800 260,925
*Scott's Liquid Gold, Inc............................ 84,000 210,000
Seacoast Banking Corp. Class A....................... 21,600 572,400
Sealright Co., Inc................................... 30,700 362,644
*Seattle Filmworks, Inc.............................. 100,575 1,181,756
Seaway Food Town, Inc................................ 16,000 364,000
*Secom General Corp.................................. 25,000 68,750
Second Bancorp, Inc.................................. 600 12,900
*Security Capital Corp............................... 5 15
*Security First Corp................................. 5,000 108,125
*Seda Specialty Packaging Corp....................... 19,600 384,650
*Seeq Technology, Inc. DE............................ 179,600 440,581
*Segue Software, Inc................................. 36,000 362,250
Selas Corp. of America............................... 29,800 484,250
*Semiconductor Packaging Materials Co., Inc.......... 49,100 469,519
*Semitool, Inc....................................... 65,200 810,925
*Semtech Corp........................................ 56,000 1,764,000
*Seneca Foods Corp. Class A.......................... 200 3,563
*Seneca Foods Corp. Class B.......................... 6,300 111,825
*Sentry Technology Corp.............................. 60,555 181,665
*Sequana Therapeutics, Inc........................... 71,200 854,400
*Sequus Pharmaceuticals, Inc......................... 104,500 734,766
*Seragen, Inc........................................ 51,600 75,788
*Serv-Tech, Inc...................................... 56,300 309,650
*Servico, Inc........................................ 81,300 1,209,338
*Servotronics, Inc................................... 24,804 131,771
Sevenson Environmental Services, Inc................. 8,300 151,475
*Shaman Pharmaceuticals.............................. 123,100 707,825
*Shared Technologies Fairchild, Inc.................. 69,000 357,938
*Sharper Image Corp.................................. 67,300 243,963
*Shaw Group, Inc..................................... 15,450 268,444
*Sheffield Medical Technologies, Inc................. 43,300 119,075
Shelby Williams Industries, Inc...................... 74,600 969,800
*Sheldahl, Inc....................................... 84,650 1,809,394
Shelter Components, Inc.............................. 52,608 637,872
*Sheridan Healthcare, Inc............................ 6,700 57,788
*Sherwood Group, Inc................................. 36,200 447,975
*Shiloh Industries, Inc.............................. 111,500 1,867,625
*Shoe Carnival, Inc.................................. 85,000 653,438
*Sholodge, Inc....................................... 52,300 712,588
Shoreline Financial Corp............................. 8,358 227,756
*Show Biz Pizza Time, Inc............................ 75,550 1,709,319
*Showscan Entertainment, Inc......................... 44,350 105,331
*Shuffle Master, Inc................................. 41,700 357,056
Sierrawest Bancorp................................... 2,200 45,788
Sifco Industries, Inc................................ 46,275 670,988
*Sight Resource Corp................................. 32,800 129,150
*Sigma Circuits, Inc................................. 15,200 62,700
*Sigma Designs, Inc.................................. 53,400 297,038
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Sigmatron International, Inc........................ 10,100 $ 157,181
*#Signal Apparel Co., Inc. Class A................... 73,600 92,000
*Signal Technology Corp.............................. 62,000 457,250
*Signature Brands USA, Inc........................... 54,700 199,997
*Silicon Storage Technology, Inc..................... 92,000 333,500
*Silicon Valley Bancshares........................... 16,100 629,913
*Siliconix, Inc...................................... 9,200 223,675
*#Silverado Foods, Inc............................... 12,800 15,200
Simmons First National Corp. Class A................. 8,450 232,375
Simpson Industries, Inc.............................. 124,400 1,267,325
*#Simula, Inc........................................ 77,250 1,380,844
*Sinter Metals, Inc. Class A......................... 24,300 896,063
*Sirena Apparel Group, Inc........................... 17,100 60,919
*Sizzler International, Inc.......................... 218,400 518,700
Skaneateles Bancorp, Inc............................. 22,800 430,350
*Skolniks, Inc....................................... 23 6
Skywest, Inc......................................... 87,300 1,304,044
*Sloan Supermarket, Inc.............................. 33,339 77,096
*Smith Environmental Technologies Corp............... 45,700 21,708
*Sodak Gaming, Inc................................... 30,700 447,069
*Softech, Inc........................................ 35,300 112,519
*Softnet Systems, Inc................................ 34,836 222,080
*#Software Spectrum, Inc............................. 36,100 500,888
*Somatix Therapies Corp.............................. 196,590 423,897
*Somatogen, Inc...................................... 18,000 97,313
Somerset Group, Inc.................................. 312 4,563
*Somerset Savings Bank............................... 440 1,107
Sonesta International Hotels Corp. Class A........... 200 1,850
*Sonic Corp.......................................... 19,000 330,125
*Sonic Solutions..................................... 28,650 171,900
*Sound Advice, Inc................................... 60,425 94,414
Southern California Water Co......................... 40,000 930,000
*Southern Electronics Corp........................... 27,200 278,800
*Southern Energy Homes, Inc.......................... 107,625 1,183,875
*Southwall Technologies, Inc......................... 74,600 512,875
Southwest Bancorp, Inc............................... 7,900 172,813
Southwest Bancshares, Inc. DE........................ 5,550 108,919
Southwest National Corp.............................. 6,000 258,750
Southwest Securities Group, Inc...................... 30,000 483,750
Southwest Water Co................................... 15,110 194,541
Sovereign Bancorp, Inc............................... 1 13
*Spacehab, Inc....................................... 19,000 129,438
*Spacelabs Medical, Inc.............................. 31,900 713,763
*Spaghetti Warehouse, Inc............................ 51,900 262,744
Span-American Medical System, Inc.................... 40,500 207,563
Spartan Motors, Inc.................................. 119,300 894,750
*Sparton Corp........................................ 69,200 605,500
*Spec's Music, Inc................................... 44,866 33,650
*Special Devices, Inc................................ 29,200 531,075
*Specialty Chemical Resources, Inc................... 37,800 75,600
*Spectran Corp....................................... 51,000 943,500
*Spectranetics Corp.................................. 97,202 233,892
*Spectrian Corp...................................... 42,600 942,525
*Spectrum Control, Inc............................... 68,800 266,600
*Spectrum Holobyte, Inc.............................. 62,100 388,125
*Speizman Industries, Inc............................ 28,900 155,338
*Spice Entertainment Companies, Inc.................. 71,600 187,950
*Spire Corp.......................................... 56,200 281,000
</TABLE>
19
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Sport Chalet, Inc................................... 55,000 $ 154,688
*Sport Supply Group, Inc............................. 26,100 169,650
*Sport-Haley, Inc.................................... 14,200 268,025
*#Sportmart, Inc..................................... 19,600 52,675
*Sportmart, Inc. Class A............................. 31,000 67,328
*Sports Club Co., Inc................................ 26,200 131,000
*#Spyglass, Inc...................................... 20,500 192,188
Square Industries, Inc. (Escrow)..................... 100 0
St. Francis Capital Corp............................. 24,400 732,000
St. Joseph Light & Power Co.......................... 52,500 840,000
St. Mary Land & Exploration Co....................... 29,200 927,100
*Staar Surgical Co................................... 79,175 1,044,120
*#Stac, Inc.......................................... 12,000 51,000
*Stacey's Buffet, Inc................................ 13,900 9,122
*Staff Builders, Inc. Class A........................ 40,000 80,000
*Staff Builders, Inc. Class B........................ 118,100 236,200
*Stage II Apparel Corp............................... 14,600 26,463
*Standard Commercial Corp............................ 45,976 775,849
*Standard Management Corp............................ 16,665 95,824
*Standard Microsystems Corp.......................... 52,900 469,488
Standard Motor Products, Inc. Class A................ 32,500 446,875
Standard Pacific Corp. DE............................ 30,900 316,725
*Stanford Telecommunications, Inc.................... 108,100 1,770,138
*Stanley Furniture, Inc.............................. 17,700 311,963
*Staodyn, Inc........................................ 3,200 4,800
*Star Multi Care Services, Inc....................... 8,329 36,960
*Starcraft Corp...................................... 10,400 29,250
Starret Corp......................................... 102,300 1,023,000
Starrett (L.S.) Co. Class A.......................... 13,500 401,625
*Starter Corp........................................ 46,200 207,900
*State of the Art, Inc............................... 48,300 546,394
*Steck-Vaughn Publishing Corp........................ 33,900 455,531
*Steel of West Virginia, Inc......................... 50,700 494,325
Steel Technologies, Inc.............................. 44,700 466,556
Stepan Co............................................ 51,700 1,014,613
Stephan Co........................................... 24,100 222,925
Sterling Bancorp..................................... 150,400 2,820,000
Sterling Bancshares.................................. 45,375 697,641
*Sterling Electronics Corp........................... 55,455 665,460
*Sterling Financial Corp. WA......................... 17,350 316,638
*Sterling House Corp................................. 43,500 668,813
*Stevens International, Inc. Class A................. 59,800 74,750
Stewart Information Services Corp.................... 25,550 501,419
Stifel Financial Corp................................ 5,794 45,628
*Stimsonite Corp..................................... 49,800 291,019
*Stokely USA, Inc.................................... 92,200 99,403
*Storage Computer Corp............................... 15,892 216,529
*Strategic Diagnostics, Inc.......................... 48,000 72,000
*Strategic Distribution, Inc......................... 253,348 997,558
Strawbridge & Clothier Class A....................... 5,200 86,775
*Streamlogic Corp.................................... 117,600 53,288
*Strouds, Inc........................................ 72,800 145,600
*Struthers Industries, Inc........................... 11,900 5,578
*Stuart Entertainment, Inc........................... 20,100 61,556
*Styles On Video, Inc................................ 1,500 44
*#Submicron Systems Corp............................. 102,700 263,169
*Substance Abuse Technologies, Inc................... 91,400 119,963
*Successories, Inc................................... 20,600 123,600
Suffolk Bancorp...................................... 10,400 256,100
*Sugen, Inc.......................................... 74,800 930,325
*Sulcus Computer Corp................................ 55,600 97,300
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Sullivan Dental Products, Inc........................ 82,500 $ 1,283,906
*Summa Four, Inc..................................... 43,300 335,575
*Summa Industries, Inc............................... 200 1,019
Summit Bancshares, Inc............................... 11,500 296,125
*Summit Care Corp.................................... 33,400 404,975
*Summitt Medical Systems, Inc........................ 76,800 206,400
*Sun City Industries, Inc............................ 150 244
*Sun Coast Industries, Inc........................... 33,000 111,375
Sun Television and Appliances, Inc................... 147,300 303,806
*Sunair Electronics, Inc............................. 33,900 63,563
*Sunbelt Nursery Group, Inc.......................... 6,800 7,225
*Sundance Homes, Inc................................. 50,000 112,500
*Sunrise Resources, Inc.............................. 25,600 92,800
*Superconductor Technologies, Inc.................... 28,750 100,625
*#Superior Energy Services, Inc...................... 36,500 180,219
Superior Surgical Manufacturing Co., Inc............. 90,100 1,036,150
*Supertex, Inc....................................... 177,300 2,648,419
*Suprema Specialties, Inc............................ 37,300 143,372
*Supreme Industries, Inc............................. 61,455 437,867
*Supreme International Corp.......................... 19,100 307,988
*Surety Capital Corp................................. 17,100 86,569
*Surgical Laser Technologies, Inc.................... 54,500 66,422
*Swing-n-Slide Corp.................................. 24,194 96,020
*#Swisher International, Inc......................... 5,900 50,150
*Swiss Army Brands, Inc.............................. 65,500 781,906
*Sybron Chemicals, Inc............................... 33,200 589,300
*Sylvan, Inc......................................... 54,800 595,950
*Symetrics Industries, Inc........................... 4,400 39,050
*Symix Systems, Inc.................................. 21,000 187,688
*Symmetricom, Inc.................................... 119,600 1,891,175
*Syms Corp........................................... 75,900 740,025
Synalloy Corp. DE.................................... 89,158 1,426,528
*Synaptic Pharmaceutical Corp........................ 9,700 127,919
*Synbiotics Corp..................................... 21,300 84,534
*Syncor International Corp. DE....................... 60,900 563,325
*Syntellect, Inc..................................... 82,700 271,359
*#Syquest Technology, Inc............................ 83,600 165,894
*Systems & Computer Technology Corp.................. 80,600 1,934,400
*Systemsoft Corp..................................... 8,500 100,938
*T Cell Sciences, Inc................................ 142,300 217,897
*T-Netix, Inc........................................ 20,500 198,594
*#TAL Wireless Networks, Inc......................... 8,534 3,467
*TBC Corp............................................ 135,000 1,029,375
TCBY Enterprises, Inc................................ 64,700 388,200
*TCC Industries, Inc................................. 23,800 53,550
*TCI International, Inc.............................. 32,060 204,383
*TCSI Corp........................................... 49,000 315,438
*TESSCO Technologies, Inc............................ 15,800 333,775
*TFC Enterprises, Inc................................ 101,000 164,125
*TII Industries, Inc................................. 28,220 155,210
*TII Industries, Inc. Class B........................ 13,440 75,600
*TMBR/Sharp Drilling, Inc............................ 21,900 246,375
*TRC Companies, Inc.................................. 60,400 218,950
*TRM Copy Centers Corp............................... 61,000 648,125
*TRO Learning, Inc................................... 22,900 231,863
*TSF Communications Corp............................. 500 13,219
TSI, Inc. MN......................................... 93,200 838,800
*#TSR, Inc........................................... 51,000 1,255,875
Tab Products Co. DE.................................. 41,750 394,016
*Taco Cabana, Inc.................................... 134,700 681,919
</TABLE>
20
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Talley Industries, Inc.............................. 89,700 $ 762,450
*Tandy Brand Accessories, Inc........................ 55,977 510,790
*Tandy Crafts, Inc................................... 138,200 673,725
*Tanknology Environmental, Inc....................... 19,800 33,413
*Targeted Genetics Corp.............................. 134,000 418,750
Tasty Baking Co...................................... 53,200 857,850
*Team, Inc........................................... 44,400 83,250
*Tech-Sym Corp....................................... 67,300 2,145,188
Tech/Ops Sevcon, Inc................................. 61,400 706,100
*Technical Communications Corp....................... 7,300 64,788
Technitrol, Inc...................................... 38,600 965,000
Technology Research Corp............................. 18,400 71,300
*Technology Service Group, Inc....................... 21,000 116,813
Tejon Ranch Co....................................... 5,100 86,700
*Tekelec............................................. 76,400 2,664,450
*Telco Systems, Inc.................................. 88,300 916,113
*Telemundo Group, Inc. Class A....................... 20,800 517,400
Telxon Corp.......................................... 45,000 832,500
*Temtex Industries, Inc.............................. 34,100 91,644
*Terex Corp.......................................... 36,700 578,025
*Tetra Technologies, Inc............................. 86,600 2,105,463
*#Texas Biotechnology Corp........................... 105,000 564,375
*Texas Meridian Resources Corp....................... 54,900 686,250
*Texas Micro, Inc.................................... 70,900 241,503
Texas Regional Banchshares, Inc. Class A............. 12,600 400,050
*Texfi Industries, Inc............................... 75,200 282,000
*Thackeray Corp...................................... 74,700 186,750
*Theragenics Corp.................................... 41,900 924,419
*Therapeutic Discovery Corp. Class A................. 3,700 40,931
*Theratech, Inc. UT.................................. 74,900 833,263
*Thermo Power Corp................................... 105,100 630,600
Thermo Remediation, Inc.............................. 71,600 501,200
*Thermo Terratech, Inc............................... 75,800 829,063
*Thermo Voltek Corp.................................. 120,450 1,038,881
*Thermwood Corp...................................... 4,600 7,475
*Thomas Group, Inc................................... 38,300 435,663
Thomas Industries, Inc............................... 50,000 1,406,250
Thomaston Mills, Inc................................. 11,400 123,975
*Thompson PBE, Inc................................... 31,100 143,838
Thor Industries, Inc................................. 26,800 639,850
*Thorn Apple Valley, Inc............................. 49,900 885,725
Three D Department Stores, Inc. Class A.............. 16,300 11,716
Three D Department Stores, Inc. Class B.............. 11,100 5,894
*Three-Five Systems, Inc............................. 29,600 440,300
Timberline Software Corp............................. 21,825 167,780
*Tipperary Corp...................................... 44,400 197,025
*Titan Corp.......................................... 138,200 570,075
Titan Holdings, Inc.................................. 77,264 1,487,332
Toastmaster, Inc..................................... 39,600 138,600
*#Today's Man, Inc................................... 63,600 194,775
*Todd Shipyards Corp................................. 37,400 163,625
Todd-AO Corp. Class A................................ 12,100 104,363
*Toddhunter International, Inc....................... 48,000 351,000
*Tokheim Corp........................................ 64,800 639,900
Tolland Bank......................................... 200 3,288
Tompkins County Trustco, Inc......................... 220 7,150
*Top Source Technologies, Inc........................ 68,500 124,156
*Topps, Inc.......................................... 104,700 395,897
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*#Tops Appliance City, Inc........................... 27,900 $ 30,080
*Toreador Royalty Corp............................... 41,700 125,100
*Torotel, Inc........................................ 24,235 19,691
*Total-Telephone USA Communications, Inc............. 6,000 110,250
*Touchstone Software Corp............................ 7,800 17,306
Tower Air, Inc....................................... 129,000 411,188
*Tractor Supply Co................................... 68,500 1,395,688
*Trak Auto Corp...................................... 92,000 1,167,250
Trans Financial, Inc................................. 4,900 121,275
*Trans World Entertainment Corp...................... 80,000 1,205,000
*Transact Technologies, Inc.......................... 39,496 478,889
*Transaction Network Services, Inc................... 102,900 1,543,500
*Transamerica Waste Industries, Inc.................. 12,000 14,250
*Transcend Services, Inc............................. 27,900 108,113
*Transmation, Inc.................................... 2,600 34,450
Transmedia Network, Inc.............................. 37,900 127,913
*TransNet Corp....................................... 29,200 77,563
*Transport Industries, Inc........................... 1,000 5,875
Transport Leasing International, Inc................. 4,600 35,363
Transport Lux Corp................................... 14,245 170,940
Transtechnology Corp................................. 99,100 1,982,000
*Transwitch Corp..................................... 91,000 574,438
*Transworld Healthcare, Inc.......................... 29,400 286,650
Tranzonic Companies Class A.......................... 85,150 1,500,769
*#Travel Ports of America, Inc....................... 25,440 66,780
Treadco, Inc......................................... 43,900 428,025
*Trend-Lines, Inc. Class A........................... 50,650 362,464
*Trescom International, Inc.......................... 19,500 138,938
*Tri-Lite, Inc....................................... 109 3
*Triad Guaranty, Inc................................. 23,800 815,150
Triangle Bancorp, Inc................................ 32,600 625,513
*Trico Bancshares.................................... 4,600 108,675
*Tricord Systems, Inc................................ 81,000 56,953
*Trident Microsystems, Inc........................... 26,400 377,850
*Trident Rowan Group, Inc............................ 7,000 43,750
*Tridex Corp......................................... 39,300 135,094
*#Trikon Technologies, Inc........................... 13,000 109,688
*Trimark Holdings, Inc............................... 6,400 25,200
*Trimedyne, Inc...................................... 41,400 129,375
*Trinitec Systems, Inc. Class A...................... 27,800 152,900
Trion, Inc........................................... 67,550 308,197
*Triple S Plastics, Inc.............................. 7,800 58,013
*Triquint Semiconductor, Inc......................... 52,200 2,068,425
*Trism, Inc.......................................... 35,900 105,456
*Tristar Corp........................................ 3,300 31,350
*Truevision, Inc..................................... 102,700 205,400
*Tseng Laboratories, Inc............................. 58,800 220,500
*Tuesday Morning Corp................................ 36,000 972,000
*Tultex Corp......................................... 82,750 527,531
*Turner Corp......................................... 43,900 680,450
Tuscarora, Inc....................................... 21,850 331,847
Twin Disc, Inc....................................... 65,600 1,574,400
*Tyler Corp.......................................... 152,800 286,500
U.S. Bancorp, Inc.................................... 11,525 548,892
*U.S. Diagnostic, Inc................................ 48,000 363,000
*UFP Technologies, Inc............................... 6,700 28,894
*UNC, Inc............................................ 63,900 926,550
*URS Corp............................................ 75,986 835,846
*US Can Corp......................................... 89,300 1,451,125
*US Servis, Inc...................................... 23,500 56,547
</TABLE>
21
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*US Xpress Enterprises, Inc. Class A................. 9,000 $ 154,688
*USA Truck, Inc...................................... 5,600 55,300
*USCI, Inc........................................... 32,300 119,106
*USData Corp......................................... 32,900 154,219
*USMX, Inc........................................... 36,600 36,600
USX-Delhi Group...................................... 80,000 1,090,000
*UTI Energy Corp..................................... 13,100 489,613
*Ultimate Electronics, Inc........................... 41,200 123,600
*Ultra Pacific, Inc.................................. 15,200 112,100
*Ultradata Corp...................................... 18,000 55,125
*Ultradata Systems, Inc.............................. 5,800 35,888
*Ultrak, Inc......................................... 57,500 736,719
*#Ultralife Batteries, Inc........................... 29,700 363,825
*Unapix Entertainment, Inc........................... 17,400 76,125
Uni-Marts, Inc....................................... 64,600 331,075
Unico American Corp.................................. 117,600 1,249,500
*UniComp, Inc........................................ 19,500 170,625
Unifirst Corp........................................ 3,800 74,575
*Uniflex, Inc........................................ 16,150 112,041
Uniforce Temporary Personnel, Inc.................... 92,200 1,527,063
*#Unigene Laboratories, Inc.......................... 204,400 693,044
*Unilab Corp......................................... 600 413
*Unimark Group, Inc.................................. 27,400 181,525
*Unimed Pharmaceuticals, Inc......................... 33,300 183,150
*Union Acceptance Corp. Class A...................... 8,000 70,500
*Union Corp. DE...................................... 20,700 468,338
*Unique Mobility, Inc................................ 33,200 161,850
*Uniroyal Technology Corp............................ 50,400 152,775
*Unit Corp........................................... 180,400 1,939,300
*Unit Instruments, Inc............................... 30,180 279,165
*United American Healthcare Corp.,................... 53,850 336,563
*United Capital Corp................................. 50,754 945,293
United Financial Corp. MN............................ 700 13,563
*United Foods, Inc. Class A.......................... 27,900 57,544
*United Foods, Inc. Class B.......................... 102,300 223,781
United Guardian, Inc................................. 41,020 128,188
United Industrial Corp............................... 102,800 848,100
United National Bancorp.............................. 8,581 335,732
*United Retail Group, Inc............................ 42,200 123,963
*United States Energy Corp........................... 54,470 500,443
*United States Homecare Corp......................... 17,400 19,303
United States Lime & Minerals, Inc................... 14,300 106,356
*United States Long Distance Corp.................... 29,800 463,763
*Unitel Video, Inc................................... 23,200 139,200
Unitil Corp.......................................... 39,552 791,040
Unitog Co............................................ 3,850 89,513
*Universal American Financial Corp................... 500 1,180
*Universal Electronics, Inc.......................... 23,700 131,831
Universal Forest Products, Inc....................... 125,700 1,720,519
*Universal Hospital Services, Inc.................... 46,300 682,925
*Universal International, Inc........................ 11,200 11,900
*Universal Seismic Association, Inc.................. 17,800 35,600
*Universal Stainless & Alloy Products, Inc........... 15,500 202,469
*Universal Standard Medical Labs, Inc................ 27,300 92,138
*University Genetics Co. Class A..................... 76,100 0
*Uno Restaurant Corp................................. 231,491 1,360,010
Upper Peninsula Energy Corp.......................... 20,400 392,700
*Uranuim Resources, Inc.............................. 91,600 520,975
*Urban Outfitters, Inc............................... 46,000 741,750
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Urogen Corp. (Restricted)........................... 28,200 $ 0
*#Urohealth Systems, Inc. Class A.................... 88,500 749,484
*Uromed Corp......................................... 50,500 233,563
*Utah Medical, Inc................................... 34,900 266,113
*Utilx Corp.......................................... 144,800 615,400
*Utopia Marketing, Inc............................... 6,100 1,220
*V Band Systems, Inc................................. 5,300 10,600
*V Mark Software, Inc................................ 31,564 250,539
*VTEL Corp........................................... 83,406 508,255
*Valence Technology, Inc............................. 170,100 1,552,163
*Vallen Corp......................................... 61,400 1,105,200
Valley Forge Corp.................................... 2,350 38,334
Valley Resources, Inc................................ 36,687 433,365
*Valuevision International, Inc. Class A............. 109,800 428,906
*Vans, Inc........................................... 89,500 1,113,156
*#Vari L Co., Inc.................................... 13,800 95,738
*Variflex, Inc....................................... 51,100 249,113
#Varlen Corp......................................... 31,128 782,091
Varsity Spirit Corp.................................. 4,700 88,419
*Vaughn Communications, Inc.......................... 14,100 100,463
*Vectra Banking Corp................................. 4,200 87,675
*Vectra Technologies, Inc............................ 34,500 19,406
*Ventana Medical Systems, Inc........................ 78,500 1,025,406
*Venture Stores, Inc................................. 151,300 397,163
*Venturian Corp...................................... 14,000 143,500
Veritas DGC, Inc..................................... 38,966 808,545
Vermont Financial Services Corp...................... 17,913 755,705
*Vermont Teddy Bear, Inc............................. 15,500 18,406
Versa Technologies, Inc.............................. 60,550 877,975
*Versar, Inc......................................... 46,100 161,350
*Vertex Communications Corp.......................... 43,300 1,004,019
*Veterinary Centers of America, Inc.................. 18,000 219,375
*Vical, Inc.......................................... 74,700 938,419
*Vicon Industries, Inc............................... 46,250 153,203
*Vicorp Restaurants, Inc............................. 64,300 759,544
*Vidamed, Inc........................................ 62,500 453,125
*Video Display Corp.................................. 41,750 159,172
*Video Lottery Technologies, Inc..................... 49,000 263,375
*Video Update, Inc................................... 30,500 131,531
*Videonics, Inc...................................... 5,400 36,788
*Vie de France Corp.................................. 211,800 297,844
*View Technology, Inc................................ 19,500 68,859
*Viewlogic Systems, Inc.............................. 10,200 153,638
Virco Manufacturing Corp............................. 69,327 1,447,201
Virginia Beach Federal Financial Corp................ 87,950 967,450
Virginia First Financial Corp........................ 15,970 342,357
*Vision Sciences, Inc................................ 20,450 24,284
*Vitalcom, Inc....................................... 59,000 276,563
*Vitronics Corp...................................... 64,800 64,800
*Voice Control Systems, Inc.......................... 12,000 57,750
Vulcan International Corp............................ 10,951 402,449
*WCI Steel, Inc. (Escrow)............................ 194,000 0
*WHX Corp............................................ 6,000 39,750
WLR Foods, Inc....................................... 12,063 120,630
*WPI Group, Inc...................................... 22,750 183,422
*WSFS Financial Corp................................. 12,200 156,313
*WSMP, Inc........................................... 2,375 29,242
*WTD Industries, Inc................................. 48,040 102,836
Wackenhut Corp. Class A.............................. 29,297 516,360
</TABLE>
22
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Wackenhut Corp. Class B Non-Voting................... 80,092 $ 1,211,392
*Wainoco Oil Corp.................................... 209,300 811,038
Wainwright Bank & Trust Co........................... 200 1,563
Walbro Corp.......................................... 32,600 649,963
*Walker Interactive Systems, Inc..................... 109,000 1,573,688
*Wall Data, Inc...................................... 34,750 866,578
*Wall Street Deli, Inc............................... 11,400 45,600
Walshire Assurance Co................................ 36,963 367,320
*Wandel & Goltermann Technologies, Inc............... 7,800 97,013
*Warrantech Corp..................................... 49,700 608,825
Warren Bancorp, Inc.................................. 101,400 1,698,450
*Washington Homes, Inc............................... 59,600 223,500
Washington Savings Bank FSB Waldorf, MD.............. 28,912 144,560
*Washington Scientific Industries, Inc............... 61,100 213,850
Waters Instruments, Inc.............................. 500 2,594
Watkins-Johnson Co................................... 21,600 683,100
*Wave Technologies International, Inc................ 14,900 94,988
Waverly, Inc......................................... 62,200 1,306,200
*Waxman Industries, Inc.............................. 24,100 99,413
*Waxman Industries, Inc. Class B..................... 9,750 40,219
*Webco Industries, Inc............................... 4,400 25,300
Webster Financial Corp............................... 27,369 1,108,444
*#Wegener Corp....................................... 5,500 18,563
*Weirton Steel Corp.................................. 109,600 328,800
*Welcome Home, Inc................................... 15,000 1,470
*Wellcare Management Group, Inc...................... 15,700 72,613
Wellco Enterprises, Inc.............................. 12,300 173,738
*Wells-Gardner Electronics Corp...................... 35,000 133,438
West Coast Bancorp................................... 7,800 192,075
*West Coast Entertainment Corp....................... 59,500 282,625
*#Westbridge Capital Corp............................ 18,300 169,275
Westco Bancorp, Inc.................................. 1,600 37,800
*Westerbeke Corp..................................... 20,000 57,500
Westerfed Financial Corp............................. 16,100 325,019
*Western Beef, Inc................................... 42,386 384,123
*Western Micro Technology, Inc....................... 37,500 494,531
*Western Water Co.................................... 39,900 583,538
*Weston (Roy F.), Inc. Class A....................... 28,100 84,300
*Wet Seal, Inc. Class A.............................. 4,900 143,325
*Whitehall Corp...................................... 136,200 2,638,875
*Whitman Education Group, Inc........................ 118,100 442,875
*Whittaker Corp...................................... 88,800 987,900
*Wholesome & Hearty Foods, Inc....................... 55,200 448,500
*Wichita River Oil Corp.............................. 7,095 497
*Wickes Lumber Co.................................... 53,500 284,219
*Williams Clayton Energy, Inc........................ 31,600 430,550
*Williams Controls, Inc.............................. 61,900 154,750
Wilshire Oil Co. of Texas............................ 138,811 746,109
Windmere Corp........................................ 54,900 809,775
Winnebago Industries, Inc............................ 74,600 512,875
*Winston Resources, Inc.............................. 3,900 13,406
Winthrop Resources Corp.............................. 25,200 806,400
Wireless Telecom Group, Inc.......................... 149,200 1,641,200
Wiser Oil Co......................................... 56,500 882,813
Wolf (Howard B.), Inc................................ 6,000 33,750
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Wolohan Lumber Co.................................... 47,700 $ 587,306
*Wonderware Corp..................................... 87,600 1,199,025
Woodhead Industries, Inc............................. 176,550 3,045,488
*World Acceptance Corp............................... 174,000 1,044,000
World Fuel Services Corp............................. 55,147 1,109,833
*Worldcorp, Inc...................................... 136,000 391,000
*Worldtex, Inc....................................... 141,800 1,010,325
Worthington Foods, Inc............................... 30,566 639,976
*Wyant Corp.......................................... 500 2,375
Wynns International, Inc............................. 21,518 532,571
*Xicor, Inc.......................................... 79,700 542,956
*Xoma Corp........................................... 103,600 527,713
*Xpedite Systems, Inc................................ 33,400 630,425
*Xytronyx, Inc....................................... 28,200 33,488
Yardville National Bancorp........................... 6,600 150,975
*#Yes Entertainment Corp............................. 28,600 89,375
York Financial Corp.................................. 27,445 528,316
*York Research Corp.................................. 53,500 417,969
*Youth Services International, Inc................... 10,500 145,031
*Zaring National Corp................................ 15,800 154,050
*Zemex Corp.......................................... 37,405 266,511
Ziegler Co., Inc..................................... 500 8,938
*Zila, Inc........................................... 6,435 44,442
*Zimmerman Sign Co................................... 2,183 7,913
*Zing Technologies, Inc.............................. 12,700 123,031
Zions Bancorp........................................ 3,056 93,590
*Zoll Medical Corp................................... 50,500 441,875
*#Zycad Corp......................................... 170,800 133,438
*Zygo Corp........................................... 33,700 960,450
*Zytec Corp.......................................... 31,200 557,700
--------------
TOTAL COMMON STOCKS (Cost $966,432,818)................ 1,196,759,460
--------------
PREFERRED STOCKS -- (0.0%)
*Alfin, Inc. 14.5% Cumulative Redeemable............. 24 0
*Alliance Gaming Corp. 15% Non-Voting Senior Class
B.................................................. 550 56,237
*Fonar Corp. Class A................................. 34,390 0
*Sentry Technology Corp. Class A..................... 60,555 174,096
--------------
TOTAL PREFERRED STOCKS (Cost $98,788).................. 230,333
--------------
RIGHTS/WARRANTS -- (0.0%)
*Amvestors Financial Corp. Warrants Class A
04/02/02........................................... 5,588 31,083
*Banner Aerospace, Inc. Rights 06/18/97.............. 39,577 0
*Buell Industries, Inc. Contingent Payment Rights.... 59,800 0
*Fifty-off Stores, Inc. Non-Transferrable Rights..... 11,400 0
*National Mercantile Bancorp Warrants 06/02/99....... 50 0
*Sound Advice, Inc. Warrants 06/14/99................ 4,675 2,338
*Xytronyx, Inc. Warrants 08/11/01.................... 492 246
--------------
TOTAL RIGHTS/WARRANTS (Cost $0)........................ 33,667
--------------
</TABLE>
23
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ --------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (2.2%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
6.00%, 08/15/99) (Cost $26,722,000)................ $ 26,722 $ 26,722,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $993,253,606)++................................ $1,223,745,460
--------------
--------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
++The cost for federal income tax purposes is $994,199,266.
</TABLE>
See accompanying Notes to Financial Statements.
24
<PAGE>
SCHEDULES OF INVESTMENTS
THE U.S. 6-10 SMALL COMPANY PORTFOLIO
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ----------------
<S> <C> <C>
Investment in The U.S. 6-10 Small Company Series of The DFA Investment Trust Company....... 23,558,147 $ 279,221,461
----------------
Total Investments (100%) (Cost $221,051,470)++......................................... $ 279,221,461
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $222,637,023.
THE U.S. LARGE COMPANY PORTFOLIO
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C> <C>
Investment in The U.S. Large Company Series of The DFA Investment Trust Company.............. $ 265,459,370
----------------
Total Investments (100%) (Cost $180,165,476)++........................................... $ 265,459,370
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $181,316,713.
THE ENHANCED U.S. LARGE COMPANY PORTFOLIO
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------- --------------
<S> <C> <C>
Investment in The Enhanced U.S. Large Company Series of The DFA Investment Trust Company... 2,282,844 $ 26,017,794
--------------
Total Investments (100%) (Cost $22,695,907)++.......................................... $ 26,017,794
--------------
--------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
THE U.S. SMALL CAP VALUE PORTFOLIO
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ------------------
<S> <C> <C>
Investment in The U.S. Small Cap Value Series of The DFA Investment Trust Company.......... 90,766,486 $ 1,600,142,640
------------------
Total Investments (100%) (Cost $1,227,416,575)++....................................... $ 1,600,142,640
------------------
------------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $1,229,090,685.
THE U.S. LARGE CAP VALUE PORTFOLIO
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ----------------
<S> <C> <C>
Investment in The U.S. Large Cap Value Series of The DFA Investment
Trust Company............................................................................ 42,063,283 $ 683,152,678
----------------
Total Investments (100%) (Cost $526,824,572)++......................................... $ 683,152,678
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $528,374,521.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
25
<PAGE>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (96.8%)
AMLI Residential Properties Trust..................... 18,400 $ 423,200
Agree Realty Corp..................................... 3,300 66,825
Ambassador Apartments................................. 11,100 271,950
*American Industrial Properties....................... 11,200 30,800
American Real Estate Investment Corp.................. 2,000 18,250
American Realty Trust, Inc............................ 15,200 178,600
Apartment Investment & Management Co. Class A......... 21,800 607,675
Arbor Property Trust.................................. 14,800 103,600
Arden Realty Group, Inc............................... 26,900 696,037
Associated Estates Realty Corp........................ 18,800 423,000
Avalon Properties, Inc................................ 40,400 1,111,000
BRE Properties, Inc. Class A.......................... 40,860 1,006,177
Bay Apartment Communities, Inc........................ 23,600 831,900
Beacon Properties Corp................................ 68,500 2,123,500
Bedford Property Investors, Inc....................... 13,050 244,687
Berkshire Realty Co................................... 31,500 338,625
Boddie-Noell Properties, Inc.......................... 3,500 43,312
Boykin Lodging Trust, Inc............................. 11,800 274,350
Bradley Real Estate, Inc.............................. 26,855 506,888
*Brandywine Realty Trust.............................. 11,400 230,850
Burnham Pacific Properties, Inc....................... 21,200 280,900
CBL & Associates Properties, Inc...................... 29,700 705,375
Cali Realty Corp...................................... 44,400 1,315,350
*California Real Estate Investment Trust.............. 10,500 56,437
Camden Property Trust................................. 30,780 904,162
Carramerica Realty Corp............................... 53,400 1,515,225
Centerpoint Properties Corp........................... 22,800 684,000
Chateau Communities, Inc.............................. 31,176 818,370
Chelsea GCA Realty, Inc............................... 15,200 552,900
Clevetrust Realty Investors........................... 5,800 21,750
Colonial Properties Trust............................. 23,400 684,450
Columbus Realty Trust................................. 16,200 356,400
Commercial Net Lease Realty, Inc...................... 29,100 436,500
*Cornerstone Properties, Inc.......................... 25,000 378,125
Cousins Properties, Inc............................... 35,900 960,325
Crescent Real Estate Equities, Inc.................... 89,900 2,449,775
Crown American Realty Trust........................... 33,500 268,000
Developers Diversified Realty Corp.................... 29,000 1,080,250
Duke Realty Investments, Inc.......................... 39,100 1,490,687
*EQK Realty Investors................................. 8,900 12,237
Eastgroup Properties.................................. 13,077 251,732
Equity Inns, Inc...................................... 29,400 385,875
Equity Residential Properties Corp.................... 62,800 2,967,300
Essex Property Trust.................................. 17,400 515,475
Evans Withycombe Residential, Inc..................... 24,600 504,300
Excel Realty Trust, Inc............................... 20,700 535,612
FAC Realty, Inc....................................... 14,200 81,650
Federal Realty Investment Trust....................... 48,400 1,264,450
#Felcor Suite Hotels, Inc............................. 32,900 1,225,525
First Industrial Realty Trust, Inc.................... 37,200 1,097,400
First Union Real Estate Equity & Mortgage
Investments......................................... 26,000 331,500
First Washington Realty Trust, Inc.................... 5,900 140,862
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Franklin Select Realty Trust Class A................. 14,300 $ 83,119
Gables Residential Trust.............................. 24,000 600,000
General Growth Properties............................. 43,900 1,415,775
*Glenborough Realty Trust, Inc........................ 14,500 315,375
Glimcher Realty Trust................................. 24,800 496,000
*HMG Courtland Properties, Inc........................ 1,400 6,912
HRE Properties, Inc................................... 6,000 99,750
Haagen (Alexander) Properties, Inc.................... 14,700 205,800
Highwood Properties, Inc.............................. 44,600 1,349,150
Home Properties of New York, Inc...................... 6,400 140,000
*Homestead Village, Inc............................... 10,596 182,781
Horizon Group, Inc.................................... 26,700 347,100
Hospitality Properties Trust.......................... 41,000 1,301,750
IRT Property Co....................................... 39,700 461,512
Innkeepers USA Trust.................................. 27,700 387,800
Irvine Apartment Communities, Inc..................... 31,300 880,313
JDN Realty Corp....................................... 18,000 519,750
JP Realty, Inc........................................ 21,600 558,900
Jameson Inns, Inc..................................... 8,100 93,150
Kimco Realty Corp..................................... 45,000 1,417,500
Koger Equity, Inc..................................... 26,000 432,250
Kranzco Realty Trust, Inc............................. 12,800 208,000
Landsing Pacific Fund................................. 6,500 130
Lexington Corp. Properties, Inc....................... 11,700 155,025
Liberty Property Trust................................ 46,300 1,111,200
MGI Properties........................................ 16,300 342,300
Macerich Co........................................... 28,400 766,800
#Malan Realty Investors, Inc.......................... 3,800 66,500
Manufactured Home Communities, Inc.................... 31,000 682,000
Mark Centers Trust.................................... 12,800 126,400
Merry Land & Investment Co., Inc...................... 47,400 995,400
Mid-America Apartment Communities, Inc................ 14,700 391,388
Mid-America Realty Investments,
Inc................................................. 9,000 87,750
Mid-Atlantic Realty Trust............................. 6,900 79,781
*Milestone Properties, Inc............................ 4,200 2,100
Mills Corp............................................ 23,600 598,850
Monmouth Real Estate Investment Corp. Class A......... 3,600 21,150
National Golf Properties, Inc......................... 13,900 451,750
#National Income Realty Trust......................... 4,100 65,088
New Plan Realty Trust................................. 68,600 1,509,200
Oasis Residential, Inc................................ 20,100 462,300
One Liberty Properties, Inc........................... 1,400 18,900
*Pacific Gateway Properties, Inc...................... 4,800 25,200
Pacific Gulf Properties, Inc.......................... 14,600 310,250
Parkway Properties, Inc............................... 6,650 167,081
Patriot American Hospitality, Inc..................... 54,200 1,172,075
Pennsylvania Real Estate Investment Trust............. 9,800 215,600
Post Properties, Inc.................................. 24,900 989,775
*Prentiss Properties Trust............................ 25,200 592,200
Presidential Realty Corp. Class B..................... 3,300 22,584
Price Real Estate Investment Trust, Inc. Class B...... 12,000 457,500
Prime Retail, Inc..................................... 14,800 187,775
</TABLE>
26
<PAGE>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Property Capital Trust................................ 11,400 $ 78,375
Public Storage Properties XI, Inc. Class A............ 2,000 39,500
Public Storage Properties XVI, Inc. Class A........... 3,200 64,800
Public Storage Properties XVII, Inc. Class A.......... 3,200 61,200
Public Storage Properties XVIII, Inc. Class A......... 3,100 61,225
Public Storage Properties XIX, Inc. Class A........... 3,700 60,125
Public Storage Properties XX, Inc. Class A............ 900 20,138
Public Storage, Inc................................... 115,896 3,085,731
RFS Hotel Investors, Inc.............................. 27,700 515,913
Realty Income Corp.................................... 26,100 668,813
Reckson Associates Realty Corp........................ 37,800 850,500
Regency Realty Corp................................... 13,600 358,700
Saul Centers, Inc..................................... 14,800 242,350
Security Capital Atlantic, Inc........................ 46,300 1,012,813
Security Capital Industrial Trust..................... 124,700 2,509,588
Security Capital Pacific Trust........................ 85,900 1,911,275
Shurgard Storage Centers, Inc. Class A................ 31,400 879,200
Simon Debartolo Group, Inc............................ 111,048 3,359,202
Sizeler Property Investors, Inc....................... 9,700 98,213
Smith (Charles E.) Residential Realty, Inc............ 14,600 399,675
Sovran Self Storage, Inc.............................. 11,600 336,400
Spieker Properties, Inc............................... 47,800 1,762,625
Starwood Lodging Trust................................ 49,850 1,856,913
Storage Trust Realty.................................. 14,600 365,000
Storage USA, Inc...................................... 31,000 1,181,875
Summit Properties, Inc................................ 26,000 523,250
Sun Communities, Inc.................................. 17,400 567,675
Sunstone Hotel Investors, Inc......................... 17,500 223,125
Tanger Factory Outlet Centers, Inc.................... 7,300 197,100
Taubman Centers, Inc.................................. 56,800 738,400
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Town & Country Trust.................................. 17,800 $ 264,775
*Transcontinental Realty Investors, Inc............... 4,300 60,738
Trinet Corporate Realty Trust, Inc.................... 22,800 746,700
United Dominion Realty Trust, Inc..................... 96,682 1,426,060
United Mobile Homes, Inc.............................. 6,800 78,200
Urban Shopping Centers, Inc........................... 19,100 553,900
*Value Property Trust................................. 8,000 104,000
Vornado Realty Trust.................................. 29,500 2,020,750
Walden Residential Properties, Inc.................... 19,600 465,500
Washington Real Estate Investment Trust............... 36,000 612,000
Weeks Corp............................................ 15,600 491,400
Weingarten Realty Investors........................... 30,100 1,290,538
Wellsford Residential Property Trust.................. 20,725 670,972
Western Investment Real Estate Trust.................. 19,400 261,900
Winston Hotels, Inc................................... 17,600 228,800
------------
TOTAL COMMON STOCKS
(Cost $77,236,889)................................... 90,686,796
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH
INVESTMENTS -- (3.2%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
6.00%, 08/15/99)
(Cost $3,037,000)................................... $ 3,037 3,037,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $80,273,889)++................................. $ 93,723,796
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
++The cost for federal income tax purposes is $78,499,736.
</TABLE>
See accompanying Notes to Financial Statements.
27
<PAGE>
SCHEDULES OF INVESTMENTS
THE JAPANESE SMALL COMPANY PORTFOLIO
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C>
Investment in The Japanese Small Company Series of The DFA Investment Trust Company......................... $ 243,896,047
----------------
Total Investments (100%) (Cost $327,030,587)++.......................................................... $ 243,896,047
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $329,935,128.
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C>
Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company...................... $ 217,237,089
----------------
Total Investments (100%) (Cost $186,616,491)++.......................................................... $ 217,237,089
----------------
----------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C>
Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company................... $ 170,438,168
----------------
Total Investments (100%) (Cost $139,642,490)++.......................................................... $ 170,438,168
----------------
----------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
THE CONTINENTAL SMALL COMPANY PORTFOLIO
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C>
Investment in The Continental Small Company Series of The DFA Investment Trust Company...................... $ 309,998,694
----------------
Total Investments (100%) (Cost $261,361,721)++.......................................................... $ 309,998,694
----------------
----------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
28
<PAGE>
SCHEDULES OF INVESTMENTS
THE INTERNATIONAL SMALL COMPANY PORTFOLIO
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C>
Investment in The Japanese Small Company Series of The DFA Investment Trust Company (33%) (Cost
$57,957,101).............................................................................................. $ 48,418,544
Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company (20%) (Cost
$27,407,080).............................................................................................. 28,724,775
Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company (14%) (Cost
$19,570,240).............................................................................................. 20,956,291
Investment in The Continental Small Company Series of The DFA Investment Trust Company (33%) (Cost
$44,901,136).............................................................................................. 49,419,693
Temporary Cash Investments (0%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%, 06/02/97 (collateralized by U.S. Treasury Notes
5.50%, 11/15/98) (Cost $507,000).......................................................................... 507,000
----------------
Total Investments (100%) (Cost $150,342,457)++.......................................................... $ 148,026,303
----------------
----------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
THE RWB/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
---------------- ----------------
<S> <C> <C>
Investment in The DFA International Value Series of The DFA Investment Trust Company...... 24,218,011 $ 288,690,809
----------------
Total Investments (100%) (Cost $244,975,593)++........................................ $ 288,690,809
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $245,346,654.
THE EMERGING MARKETS PORTFOLIO
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C>
Investment in The Emerging Markets Series of The DFA Investment Trust Company............................... $ 214,784,817
----------------
Total Investments (100%) (Cost $195,519,411)++.......................................................... $ 214,784,817
----------------
----------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
29
<PAGE>
SCHEDULE OF INVESTMENTS
THE LARGE CAP INTERNATIONAL PORTFOLIO
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (30.9%)
COMMON STOCKS -- (30.9%)
Ajinomoto Co., Inc................................... 11,000 $ 110,567
#All Nippon Airways Co., Ltd......................... 24,000 157,732
Asahi Bank, Ltd...................................... 41,000 268,050
Asahi Chemical Industry Co., Ltd..................... 21,000 116,907
Asahi Glass Co., Ltd................................. 21,000 203,866
#Bank of Tokyo-Mitsubishi, Ltd....................... 94,200 1,634,742
Bank of Yokohama, Ltd................................ 20,000 99,313
#Bridgestone Corp.................................... 13,000 293,729
Canon, Inc........................................... 15,000 380,155
Chiba Bank, Ltd...................................... 11,000 57,174
Chubu Electric Power Co., Ltd........................ 12,600 228,402
Chugoku Electric Power Co., Ltd...................... 6,600 116,804
Dai Nippon Printing Co., Ltd......................... 13,000 260,223
Dai-Ichi Kangyo Bank, Ltd............................ 56,000 683,161
#Daiwa Bank, Ltd..................................... 23,000 90,301
Daiwa House Industry Co., Ltd........................ 9,000 105,928
Daiwa Securities Co., Ltd............................ 22,000 161,976
#Denso Corp.......................................... 15,000 375,000
Fanuc, Ltd........................................... 4,300 153,308
#Fuji Bank, Ltd...................................... 52,000 670,103
Fuji Photo Film Co., Ltd............................. 9,000 348,711
#Fujitsu, Ltd........................................ 31,000 378,179
*Hanwa Co., Ltd...................................... 5,000 12,672
Hitachi, Ltd......................................... 59,000 628,522
#Hokkaido Takus Bank................................. 9,000 11,521
Honda Motor Co., Ltd................................. 17,000 499,485
Industrial Bank of Japan............................. 45,120 542,680
Ito-Yokado Co., Ltd.................................. 7,000 399,313
Itochu Corp.......................................... 21,000 106,985
Kajima Corp.......................................... 17,000 95,077
Kansai Electric Power Co., Inc....................... 17,600 331,134
Kao Corp............................................. 6,000 81,443
Kawasaki Steel Corp.................................. 58,000 170,412
Kinki Nippon Railway Co., Ltd........................ 29,000 174,149
Kirin Brewery Co., Ltd............................... 18,000 177,835
*Kobe Steel, Ltd..................................... 42,000 80,825
Komatsu, Ltd......................................... 15,000 113,402
Kubota Corp.......................................... 25,000 114,905
Kyocera Corp......................................... 2,000 144,158
Kyushu Electric Power Co., Inc....................... 8,500 149,699
#Long Term Credit Bank of Japan, Ltd................. 40,000 130,584
Marubeni Corp........................................ 22,000 93,557
Matsushita Electric Industrial Co., Ltd.............. 38,000 714,948
#Matsushita Electric Works, Ltd...................... 11,000 121,907
Mitsubishi Chemical Corp............................. 32,000 97,320
Mitsubishi Corp...................................... 26,000 306,014
Mitsubishi Electric Corp............................. 36,000 204,124
Mitsubishi Estate Co., Ltd........................... 17,000 232,216
Mitsubishi Heavy Industries, Ltd..................... 60,000 431,959
Mitsubishi Trust & Banking Corp...................... 23,000 329,983
#Mitsui & Co., Ltd................................... 26,000 230,069
Mitsui Trust & Banking Co., Ltd...................... 20,000 150,515
#NEC Corp............................................ 26,000 361,856
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*NKK Corp............................................ 63,000 $ 123,943
Nikko Securities Co., Ltd............................ 24,000 142,680
Nintendo Co., Ltd., Kyoto............................ 1,000 78,179
#Nippon Credit Bank, Ltd............................. 26,000 54,725
Nippon Express Co., Ltd.............................. 19,000 147,723
Nippon Oil Co., Ltd.................................. 22,000 111,512
Nippon Steel Corp.................................... 124,000 363,265
Nissan Motor Co., Ltd................................ 42,000 278,557
Nomura Securities Co., Ltd........................... 35,000 414,948
Osaka Gas Co., Ltd................................... 37,000 97,268
Pioneer Electronic................................... 2,000 49,485
#Sakura Bank, Ltd.................................... 61,000 365,266
Sankyo Co., Ltd...................................... 4,000 126,804
#Sanwa Bank, Ltd..................................... 52,000 665,636
Sanyo Electric....................................... 33,000 139,201
Secom Co., Ltd....................................... 2,000 143,986
#Sega Enterprises, Ltd............................... 1,500 50,258
Seibu Railway Co., Ltd............................... 7,000 360,825
Seksui House......................................... 12,000 117,526
Seven-Eleven Japan Co., Ltd.......................... 7,000 506,959
Sharp Corp. Osaka.................................... 19,000 244,845
Shikoku Electric Power Co., Inc...................... 4,200 72,165
#Shimizu Corp........................................ 12,000 71,443
Shizuoka Bank, Ltd................................... 14,000 134,708
#Sony Corp........................................... 6,700 564,665
Sumitomo Bank, Ltd................................... 56,000 774,570
#Sumitomo Chemical Co., Ltd.......................... 29,000 120,086
Sumitomo Corp........................................ 19,000 168,127
Sumitomo Electric Industries, Ltd.................... 11,000 172,938
Sumitomo Metal Industries, Ltd. Osaka................ 56,000 142,887
#Sumitomo Trust & Banking Co., Ltd................... 22,000 194,674
#Taisei Corp......................................... 15,000 64,304
Taisho Pharmaceutical Co., Ltd....................... 6,000 150,515
Takeda Chemical Industries, Ltd...................... 14,000 354,811
Tohuku Electric Power Co., Inc....................... 9,000 153,866
#Tokai Bank, Ltd..................................... 34,000 279,828
Tokio Marine & Fire Insurance Co., Ltd............... 26,000 306,014
Tokyo Electric Power Co., Ltd........................ 24,300 463,454
Tokyo Gas Co., Ltd................................... 44,000 112,268
Tokyu Corp........................................... 17,000 97,268
Tonen Corp........................................... 11,000 136,082
Toppan Printing Co., Ltd............................. 12,000 164,948
Toray Industries, Inc................................ 25,000 170,103
Toshiba Corp......................................... 54,000 331,701
Toyo Seikan Kaisha, Ltd.............................. 3,300 62,938
#Toyo Trust & Banking Co., Ltd....................... 12,000 85,258
Toyota Motor Corp.................................... 68,000 1,951,203
Yamaichi Securities Co., Ltd......................... 18,000 51,031
#Yamanouchi Pharmaceutical Co., Ltd.................. 5,000 123,282
#Yasuda Trust & Banking Co., Ltd..................... 16,000 48,110
------------
TOTAL COMMON STOCKS
(Cost $25,104,376)................................... 26,240,438
------------
</TABLE>
30
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $6,939).......................... $ 7,248
------------
TOTAL -- JAPAN
(Cost $25,111,315)................................... 26,247,686
------------
UNITED KINGDOM -- (22.0%)
COMMON STOCKS -- (22.0%)
Abbey National P.L.C................................. 27,800 399,479
Allied Domecq P.L.C.................................. 22,918 166,440
BAT Industries P.L.C................................. 61,556 548,508
BG P.L.C............................................. 92,200 307,712
BOC Group P.L.C...................................... 10,493 175,527
BTR P.L.C............................................ 82,177 266,214
Barclays P.L.C....................................... 31,438 608,242
Bass P.L.C........................................... 18,400 238,128
Boots Co., P.L.C..................................... 20,298 235,031
British Petroleum Co., P.L.C......................... 116,834 1,380,473
British Telecommunications P.L.C..................... 133,400 963,361
Cable and Wireless P.L.C............................. 45,078 366,365
Cadbury Schweppes P.L.C.............................. 21,986 196,090
*Centrica P.L.C...................................... 92,200 96,301
EMI Group P.L.C...................................... 8,160 156,410
*Energy Group P.L.C.................................. 11,081 99,192
General Electric Co. P.L.C........................... 57,881 329,199
Glaxo Wellcome P.L.C................................. 71,414 1,424,795
Granada Group P.L.C.................................. 17,174 243,143
Grand Metropolitan P.L.C............................. 52,707 487,721
Great Universal Stores P.L.C......................... 21,200 223,852
Guinness P.L.C....................................... 43,200 400,454
HSBC Holdings P.L.C.................................. 17,000 526,026
Hanson P.L.C......................................... 13,852 71,323
Imperial Chemical Industries P.L.C................... 15,800 209,508
*Imperial Tobacco Group P.L.C........................ 11,081 69,624
Lloyds TSB Group P.L.C............................... 142,781 1,419,083
Marks & Spencer P.L.C................................ 60,750 503,652
National Power P.L.C................................. 23,900 215,111
National Westminster Bank P.L.C...................... 39,470 478,926
Prudential Corp. P.L.C............................... 43,868 439,578
Reuters Holdings P.L.C............................... 34,200 383,724
Rio Tinto P.L.C...................................... 34,526 591,356
Royal & Sun Alliance Insurance Group, Inc. P.L.C..... 16,474 123,539
Safeway P.L.C........................................ 24,008 140,856
Sainsbury (J.) P.L.C................................. 37,619 214,573
Shell Transport & Trading Co., P.L.C................. 67,200 1,320,432
Smithkline Beecham P.L.C............................. 35,640 612,472
Standard Chartered P.L.C............................. 19,112 301,459
Tesco P.L.C.......................................... 46,875 287,258
Thorn P.L.C.......................................... 8,000 20,237
Unilever P.L.C....................................... 17,200 459,372
Vendome Luxury Group P.L.C. Units (consisting of one
share Vendome Luxury Group P.L.C. and one share of
Vendome Luxury Group SA)........................... 15,100 114,961
Vodafone Group P.L.C................................. 62,000 274,209
Whitbread P.L.C...................................... 10,000 129,336
Zeneca Group P.L.C................................... 15,200 459,663
------------
TOTAL COMMON STOCKS
(Cost $11,250,030)................................... 18,678,915
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling (Cost $6,231)................ $ 6,242
------------
TOTAL -- UNITED KINGDOM
(Cost $11,256,261)................................... 18,685,157
------------
GERMANY -- (8.6%)
COMMON STOCKS -- (8.6%)
BASF AG.............................................. 15,000 552,955
#Bayer AG............................................ 14,000 542,715
#Bayerische Hypotheken und Wechselbank AG............ 4,300 136,498
Bayerische Motorenwerke AG BMW, Muenchen............. 481 393,750
Bayerische Vereinsbank AG............................ 4,000 164,541
*#Commerzbank AG..................................... 7,740 227,354
Daimler-Benz AG...................................... 10,450 804,081
#Deutsche Bank AG.................................... 9,800 543,043
#Dresdner Bank AG, Frankfurt......................... 8,680 303,724
#Hochtief AG......................................... 1,510 63,616
Hoechst AG........................................... 12,000 464,131
Mannesmann AG........................................ 743 301,721
#RWE AG.............................................. 13,250 564,424
SAP AG (Systeme Anwendungen Produkte in der
Datenverarbeitung)................................. 1,000 178,350
Siemens AG........................................... 11,000 620,029
Thyssen.............................................. 650 147,572
#Veba AG............................................. 12,000 678,291
#Viag AG............................................. 425 193,476
*Viag AG Em 96....................................... 121 54,517
#Volkswagen AG....................................... 550 355,296
------------
TOTAL COMMON STOCKS
(Cost $4,001,474).................................... 7,290,084
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $41)............................. 40
------------
TOTAL -- GERMANY
(Cost $4,001,515).................................... 7,290,124
------------
FRANCE -- (8.2%)
COMMON STOCKS -- (8.1%)
AXA-UAP.............................................. 6,356 380,457
Accor SA............................................. 508 70,409
Air Liquide.......................................... 700 107,328
Air Liquide Prime Fidelite........................... 1,471 229,366
Air Liquide Prime Fidelite 1998...................... 355 55,353
Alcatel Alsthom Cie Generale d'Electricite SA........ 5,100 552,235
Banque Nationale de Paris............................ 2,200 90,333
Canal Plus SA........................................ 475 80,236
Carrefour Supermarche SA............................. 900 590,956
Compagnie de Suez SA................................. 3,202 162,097
Elf Aquitaine........................................ 5,127 512,522
*Euro Disney SCA..................................... 15,150 23,754
Financiere de Paribas SA Series A.................... 2,350 149,827
Generale des Eaux.................................... 2,745 337,656
Generale des Establissements Michelin SA Series B.... 505 27,586
#Groupe Danone....................................... 2,346 353,201
Havas SA............................................. 955 64,180
L'Oreal.............................................. 1,540 558,957
</TABLE>
31
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
LVMH (Louis Vuitton Moet Hennessy)................... 2,016 $ 488,283
LaFarge Coppee SA.................................... 1,887 120,635
#Lyonnais des Eaux SA................................ 1,193 117,192
Pechiney International............................... 1,600 25,225
Pernod-Ricard........................................ 1,260 60,140
Peugeot SA........................................... 950 93,980
Pinault Printemps Redoute SA......................... 200 80,457
#Rhone-Poulenc SA Series A........................... 3,700 119,872
Saint-Gobain......................................... 1,946 267,356
Sanofi SA............................................ 2,414 209,531
Schneider SA......................................... 2,519 121,018
#Societe Generale Paris.............................. 1,736 190,082
*Thomson-CSF......................................... 2,324 66,233
Total SA............................................. 5,485 501,746
UAP SA............................................... 3,342 81,234
------------
TOTAL COMMON STOCKS
(Cost $4,923,111).................................... 6,889,437
------------
INVESTMENT IN CURRENCY -- (0.1%)
*French Francs (Cost $43,588)........................ 42,796
------------
RIGHTS/WARRANTS -- (0.0%)
*Generale des Eaux Warrants 05/02/01 (Cost $2,247)... 2,745 1,879
------------
TOTAL -- FRANCE
(Cost $4,968,946).................................... 6,934,112
------------
SWITZERLAND -- (6.8%)
COMMON STOCKS -- (6.8%)
ABB AG, Baden........................................ 186 255,364
#Credit Suisse Holding, Zuerich (Namen).............. 3,575 449,244
Financiere Richemont AG Units -A-.................... 106 144,631
Nestle SA, Cham et Vevey............................. 853 1,061,350
Novartis AG, Basel................................... 1,334 1,810,732
Roche Holding AG, Basel.............................. 79 1,038,812
SBG (Schweizerische Bankgesellschaft)................ 556 610,047
SBV (Schweizerischer Bankverein) (Namen)............. 1,546 373,248
------------
TOTAL COMMON STOCKS
(Cost $2,458,534).................................... 5,743,428
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $4,132).......................... 4,262
------------
TOTAL -- SWITZERLAND
(Cost $2,462,666).................................... 5,747,690
------------
NETHERLANDS -- (5.6%)
COMMON STOCKS -- (5.6%)
ABN Amro Holding NV.................................. 5,788 107,129
Aegon NV............................................. 929 68,053
Heineken NV.......................................... 200 33,900
Ing Groep NV......................................... 20,502 907,518
Philips Electronics NV............................... 1,100 60,276
Polygram NV.......................................... 600 28,342
Royal Dutch Petroleum Co., Den Haag.................. 13,300 2,573,321
Unilever NV.......................................... 4,800 924,713
------------
TOTAL COMMON STOCKS
(Cost $2,286,430).................................... 4,703,252
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $1)....................... $ 1
------------
RIGHTS/WARRANTS -- (0.0%)
*ABN Amro Holding NV Rights.......................... 1,447 0
*Aegon NV Rights..................................... 929 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- NETHERLANDS
(Cost $2,286,431).................................... 4,703,253
------------
HONG KONG -- (4.1%)
COMMON STOCKS -- (4.1%)
Cathay Pacific Airways, Ltd.......................... 61,000 91,744
China Light & Power Co., Ltd......................... 35,500 177,821
Citic Pacific, Ltd................................... 24,000 137,258
Hang Seng Bank, Ltd.................................. 39,000 468,242
#Henderson Land Development Co., Ltd................. 18,000 175,445
Hong Kong Telecommunications, Ltd.................... 231,058 511,573
HongKong Electric Holdings, Ltd...................... 30,500 109,857
Hutchison Whampoa, Ltd............................... 73,000 607,862
New World Development Co. Ltd........................ 31,000 196,902
Sung Hungkai Properties, Ltd......................... 47,000 577,943
Swire Pacific, Ltd. Series A......................... 27,000 226,569
Wharf Holdings, Ltd.................................. 41,000 183,669
------------
TOTAL COMMON STOCKS
(Cost $2,605,712).................................... 3,464,885
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $13,270).................... 13,256
------------
TOTAL -- HONG KONG
(Cost $2,618,982).................................... 3,478,141
------------
AUSTRALIA -- (3.3%)
COMMON STOCKS -- (3.3%)
*#Amcor, Ltd......................................... 12,538 83,185
#Australia & New Zealand Banking Group, Ltd.......... 29,528 202,438
Boral, Ltd........................................... 23,024 73,569
Brambles Industries, Ltd............................. 3,950 71,240
#Broken Hill Proprietary Co., Ltd.................... 38,518 553,933
*CRA, Ltd............................................ 12,510 205,409
#CSR, Ltd............................................ 16,243 59,705
Coca-Cola Amatil, Ltd................................ 5,031 58,317
Coles Myer, Ltd...................................... 20,899 97,634
#Commonwealth Bank of Australia...................... 10,761 115,833
Fosters Brewing Group, Ltd........................... 34,148 67,186
MIM Holdings......................................... 48,409 72,357
#National Australia Bank, Ltd........................ 35,361 506,428
News Corp., Ltd...................................... 19,504 86,714
Pacific Dunlop, Ltd.................................. 19,238 53,842
WMC, Ltd............................................. 29,709 192,351
#Westpac Banking Corp................................ 49,144 267,213
Woodside Petroleum, Ltd.............................. 6,666 56,351
------------
TOTAL COMMON STOCKS
(Cost $1,779,550).................................... 2,823,705
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $10,323).................... 10,157
------------
TOTAL -- AUSTRALIA
(Cost $1,789,873).................................... 2,833,862
------------
</TABLE>
32
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
ITALY -- (3.2%)
COMMON STOCKS -- (3.2%)
Alleanza Assicurazioni SpA........................... 12,375 $ 78,755
#Alleanza Assicurazioni SpA (Risp)................... 113 534
#Assicurazioni Generali SpA, Trieste................. 18,452 315,903
Banca Commerciale Italiana SpA....................... 34,000 66,940
*Banca di Roma....................................... 66,500 47,346
*Banca Nazionale dell'Agricoltura SpA................ 3,000 1,734
#Banco Ambrosiano Veneto SpA......................... 12,000 29,577
*Campart SpA......................................... 38,769 16,639
Credito Italiano..................................... 39,000 58,020
#Edison SpA.......................................... 10,000 47,405
#Fiat SpA............................................ 69,000 226,279
*Gemina SpA, Milano.................................. 2,000 869
*HPI SpA (Holding di Partecipazioni Industriale)..... 18,000 8,342
ITALGAS SpA, Torino.................................. 11,000 33,866
#Ifil Finanziaria Partecipazioni SpA, Torino......... 8,000 23,567
#Istituto Bancario San Paolo Torino SpA.............. 18,500 116,369
Istituto Mobiliare Italiano IMI SpA.................. 13,500 117,953
Italcementi Fabbriche Riunite Cemento SpA, Bergamo... 1,500 8,727
La Fondiara Assicurazioni SpA........................ 4,200 15,261
*Montedison SpA...................................... 73,260 44,763
Pirelli SpA.......................................... 20,000 43,568
#RAS SpA (Riunione Adriatica di Sicurta)............. 7,465 56,850
#RAS SpA (Riunione Adriatica di Sicurta) (Risp)...... 371 1,840
SAI SpA (Sta Assicuratrice Industriale SpA).......... 2,000 14,050
*#SEAT SpA........................................... 86,000 25,588
Sirti SpA............................................ 4,000 23,036
#Stet SpA (Sta Finanziaria Telefonica Torino)........ 86,000 434,087
#Telecom Italia Mobile SpA........................... 134,740 395,335
Telecom Italia SpA................................... 163,740 450,940
Toro Assicurazioni Cia Anonima d'Assicurazione di
Torino SpA......................................... 1,000 10,951
------------
TOTAL COMMON STOCKS
(Cost $1,988,125).................................... 2,715,094
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira (Cost $560)............................ 530
------------
TOTAL -- ITALY
(Cost $1,988,685).................................... 2,715,624
------------
SWEDEN -- (2.8%)
COMMON STOCKS -- (2.8%)
AGA AB Series A...................................... 2,900 38,954
AGA AB Series B...................................... 2,500 32,935
#Asea AB Series A.................................... 13,000 175,460
Asea AB Series B..................................... 5,000 67,485
Astra AB Series A.................................... 29,866 482,175
Astra AB Series B.................................... 6,133 95,057
*Diligentia AB....................................... 1,030 11,773
Naeckebro AB......................................... 420 5,587
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sandvik AB Series A.................................. 3,200 $ 82,041
Sandvik AB Series B.................................. 1,300 33,497
Skandinaviska Enskilda Banken Series A............... 10,300 106,426
Skanska AB........................................... 2,400 96,713
Svenska Handelsbanken Series A....................... 4,200 112,289
#Swedish Match AB (Frueher Svenska Taendsticks AB)... 8,800 28,642
Sydkraft AB Series C................................. 2,400 54,556
Telefon AB L.M. Ericsson Series A.................... 1,500 51,921
Telefon AB L.M. Ericsson Series B.................... 18,300 642,893
Volvo AB Series A.................................... 2,200 61,091
Volvo AB Series B.................................... 6,600 182,848
------------
TOTAL COMMON STOCKS
(Cost $1,726,896).................................... 2,362,343
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $15,845)........................ 15,602
------------
RIGHTS/WARRANTS -- (0.0%)
*Skanska AB Series A Rights 07/02/97................. 2,400 0
*Volvo AB Series A Rights 06/11/97................... 8,800 2,353
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 2,353
------------
TOTAL -- SWEDEN
(Cost $1,742,741).................................... 2,380,298
------------
SPAIN -- (2.6%)
COMMON STOCKS -- (2.6%)
Banco Bilbao Vizcaya SA.............................. 4,400 311,591
#Banco Popular Espanol SA............................ 500 106,120
Banco Santander SA................................... 3,100 264,336
Empresa Nacional de Electricidad SA.................. 5,100 389,378
Gas Natural SDG SA................................... 700 133,416
#Iberdrola SA........................................ 18,200 220,892
Repsol SA............................................ 5,900 246,853
#Telefonica de Espana SA............................. 18,500 533,506
------------
TOTAL COMMON STOCKS
(Cost $1,574,521).................................... 2,206,092
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $8,903)........................ 8,872
------------
TOTAL -- SPAIN
(Cost $1,583,424).................................... 2,214,964
------------
BELGIUM -- (0.7%)
COMMON STOCKS -- (0.7%)
Banque Bruxelles Lambert............................. 200 53,942
Electrabel SA........................................ 700 156,637
Etablissement Delhaize Freres & Cie le Lion SA
Molenbeek-Saint-Jean............................... 700 34,841
Fortis AG............................................ 600 116,563
Generale de Banque SA................................ 200 78,985
Petrofina SA, Bruxelles.............................. 300 105,502
Solvay SA............................................ 100 60,408
------------
TOTAL COMMON STOCKS
(Cost $579,542)...................................... 606,878
------------
</TABLE>
33
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
VALUE+
------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs (Cost $13,517)...................... $ 13,414
------------
TOTAL -- BELGIUM
(Cost $593,059)...................................... 620,292
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.2%)
Repurchase Agreement, PNC Capital Markets Inc.
5.25%, 06/02/97 (Collateralized by U.S. Treasury
Notes 6.00%, 08/15/99) (Cost $974,000)............ $ 974 974,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $61,377,898)++..... $ 84,825,203
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
++The cost for federal income tax purposes is $61,907,007.
</TABLE>
See accompanying Notes to Financial Statements
34
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (29.4%)
COMMON STOCKS -- (29.2%)
*#ASK Corp., Yokohama................................ 13,000 $ 47,131
Aica Kogyo Co., Ltd.................................. 75,000 399,485
Aichi Corp........................................... 126,500 755,305
Amada Sonoike Co., Ltd............................... 52,000 231,856
*Amada Wasino Co., Ltd............................... 300,000 726,804
Ando Corp............................................ 300,000 853,093
Araya Industrial Co., Ltd............................ 194,000 531,667
Asahi Kogyosha Co., Ltd.............................. 114,000 475,000
Asanuma Corp......................................... 294,000 772,887
*Asics Corp.......................................... 187,000 385,567
Bank of Okinawa, Ltd................................. 36,700 1,040,464
*#Bank of Osaka, Ltd................................. 223,000 431,057
#Bank of the Ryukyus, Ltd............................ 48,490 878,985
Bunka Shutter Co., Ltd............................... 187,000 1,130,997
*Cabin Co., Ltd...................................... 164,000 456,495
Calpis Food Industry Co., Ltd........................ 71,000 426,366
*Central Finance Co., Ltd............................ 387,000 891,031
Chiba Kogyo Bank, Ltd................................ 25,200 712,268
Chisan Tokan Co., Ltd................................ 165,000 442,268
Chuetsu Pulp and Paper Co., Ltd...................... 109,000 353,969
Chugoku Marine Paints, Ltd........................... 21,000 79,742
Chuo Spring Co., Ltd., Nagoya........................ 222,000 1,155,773
Cleanup Corp......................................... 68,000 514,089
Dai Nippon Construction.............................. 186,000 592,835
Dai-Ichi Hotel, Ltd., Tokyo.......................... 121,000 561,340
*#Dai-Ichi Katei Denki Co., Ltd...................... 225,000 637,887
Dai-Ichi Kogyo Seiyaku Co., Ltd...................... 9,000 38,273
#Daidoh, Ltd......................................... 135,000 818,814
#Daiichi Cement Co., Ltd............................. 77,000 227,560
Descente, Ltd........................................ 139,000 662,758
*Dijet Industrial Co., Ltd........................... 10,000 30,498
Eagle Industry Co., Ltd.............................. 35,000 180,112
First Baking Co., Ltd................................ 70,000 177,406
Fuji Denki Reiki Co., Ltd............................ 40,000 285,567
Fujirebio, Inc....................................... 144,000 940,206
Fukuda Corp.......................................... 160,000 716,151
Gakken Co., Ltd...................................... 94,000 472,423
Gastec Service, Inc.................................. 98,000 479,897
*Godo Steel, Ltd..................................... 154,000 551,701
*Graphtec Corp....................................... 99,000 510,309
Gun-Ei Chemical Industry Co., Ltd.................... 306,000 914,845
*Gunze Sangyo, Inc., Tokyo........................... 222,000 677,062
#Hanshin Sogo Bank, Ltd.............................. 198,000 335,103
Harima Chemicals, Inc................................ 83,000 666,710
Hazama Corp.......................................... 305,000 576,461
Hisaka Works, Ltd.................................... 106,000 983,505
#Hisamitsu Pharmaceutical Co., Inc................... 58,000 448,952
Hochiki Corp......................................... 9,000 51,727
Hokkai Can Co., Ltd., Tokyo.......................... 233,000 1,191,022
#Hokkaido Bank, Ltd.................................. 363,000 449,072
Hokkaido Gas Co., Ltd................................ 8,000 23,711
Hokko Chemical Industry Co., Ltd..................... 12,000 51,134
Hokuriku Electrical Construction Co., Ltd............ 81,000 438,402
Horiba, Ltd.......................................... 107,000 1,277,749
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Ichikawa Co., Ltd.................................... 117,000 $ 397,036
Idec Izumi Corp...................................... 130,000 1,027,491
Ikegami Tsushinki Co., Ltd........................... 129,000 742,526
Inabata and Co., Ltd., Osaka......................... 178,000 1,200,430
#Intec, Inc.......................................... 21,000 267,010
Ishizuka Glass Co., Ltd.............................. 119,000 357,818
Itoki Crebio Corp.................................... 127,000 763,746
Iwasaki Electric Co., Ltd............................ 21,000 79,742
JDC Corp............................................. 128,000 225,430
JMS Co., Ltd......................................... 135,000 750,387
Japan Oil Transportation Co., Ltd.................... 8,000 30,928
#Japan Transcity Corp................................ 68,000 318,385
Japan Vilene Co., Ltd................................ 202,000 857,285
Joban Kosan Co., Ltd................................. 22,000 72,766
Joshin Denki Co., Ltd................................ 51,000 512,629
*#Jujiya Co., Ltd.................................... 265,000 653,393
#Kamei Corp.......................................... 131,000 1,339,261
Kanaden Corp......................................... 11,000 87,792
#Kanematsu Electronics, Ltd.......................... 87,000 657,732
#Kansei Corp......................................... 179,000 1,373,256
Kanto Auto Works, Ltd., Yokosuka..................... 161,000 968,213
#Kanto Bank, Ltd..................................... 30,700 387,706
Kanto Natural Gas Development Co., Ltd............... 198,000 1,131,186
#Kasumi Co., Ltd..................................... 43,000 302,921
Kato Works Co., Ltd.................................. 201,000 846,134
Kawada Industries, Inc............................... 181,000 777,491
*Kawashima Textile Manufacturers, Ltd................ 306,000 759,742
*Kawasho Corp........................................ 414,000 1,280,412
#Kinseki, Ltd........................................ 113,000 1,533,849
*Kinsho-Mataichi Corp................................ 51,000 137,139
*#Kioritz Corp....................................... 237,000 865,335
Kita-Nippon Bank, Ltd................................ 27,815 1,385,946
#Kokune Corp......................................... 99,000 234,742
Kokusai Kogyo Co., Ltd............................... 127,000 984,141
Komai Tekko, Inc..................................... 126,000 745,825
Komatsu Forklift Co., Ltd............................ 28,000 151,787
Kyowa Leather Cloth Co., Ltd......................... 75,000 579,897
#Kyushu Bank, Ltd.................................... 314,000 1,222,010
Life Corp............................................ 14,000 104,038
Magara Construction Co., Ltd......................... 12,000 35,155
Matsui Construction Co., Ltd......................... 90,000 445,361
Matsuo Bridge Co., Ltd............................... 90,000 309,278
Meito Sangyo Co., Ltd................................ 90,000 1,020,619
#Mitsuba Corp........................................ 97,000 933,333
Mitsuuroko Co., Ltd.................................. 174,000 1,061,340
Miyazaki Bank, Ltd................................... 127,260 536,810
#Miyuki Keori Co., Ltd............................... 124,000 836,254
Morita Corp.......................................... 168,000 656,701
*Morozoff, Ltd., Osaka............................... 119,000 414,046
Mory Industries, Inc................................. 56,000 231,890
*Mutoh Industries, Ltd............................... 147,000 537,990
*Mutow Co., Ltd...................................... 89,000 412,887
Naigai Co., Ltd...................................... 275,000 1,004,081
Nakamuraya Co., Ltd.................................. 8,000 35,808
Nakano Corp.......................................... 157,000 337,199
</TABLE>
35
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Neturen Co., Ltd., Tokyo............................. 146,000 $ 923,162
Nichia Steel Works, Ltd.............................. 156,200 856,148
Nichiei Construction Co., Ltd........................ 152,000 920,619
*Nichimo Co., Ltd.................................... 127,000 386,237
Nichimo Corp......................................... 209,000 605,095
Nihon Kohden Corp.................................... 164,000 1,010,206
Nihon Matai Co., Ltd................................. 119,000 638,960
Nihon Parkerizing Co., Ltd........................... 228,000 989,175
Nihon Tokushu Toryo Co., Ltd......................... 79,000 302,698
Niigata Chuo Bank, Ltd............................... 321,000 910,052
Nikko Co., Ltd., Akashi.............................. 123,000 624,510
Nippon Chemiphar Co., Ltd............................ 115,000 489,046
Nippon Conlux Co., Ltd............................... 78,000 536,082
*#Nippon Conveyor Co., Ltd........................... 52,000 247,938
Nippon Hume Pipe Co., Ltd............................ 95,000 485,610
Nippon Synthetic Chemical Industry Co., Ltd.......... 115,000 402,105
Nippon Valqua Industries, Ltd........................ 294,000 1,043,144
Nippon Yakin Kogyo Co., Ltd.......................... 237,000 529,381
Nittetsu Mining Co., Ltd............................. 77,000 564,270
Nittoc Construction Co., Ltd......................... 147,000 762,784
Obayashi Road Corp................................... 152,000 574,570
#Ohki Corp........................................... 168,000 463,299
Okabe Co., Ltd....................................... 98,000 761,942
*Oki Electric Cable Co., Ltd......................... 10,000 39,519
Okura Industrial Co., Ltd............................ 234,000 888,557
*Ono Sokki Co., Ltd.................................. 9,000 43,686
Optec Dai-Ichi Denko Co., Ltd........................ 103,000 340,679
#Pacific Industrial Co., Ltd......................... 187,000 1,012,113
#Parco Co., Ltd...................................... 28,000 223,711
#Pokka Corp.......................................... 110,000 787,199
Renown Look, Inc..................................... 114,000 479,897
Rheon Automatic Machinery Co., Ltd................... 93,000 599,227
*Rhythm Watch Co., Ltd............................... 120,000 371,134
Ryoden Trading Co., Ltd.............................. 170,000 1,199,055
S.T. Chemical Co., Ltd............................... 115,000 743,943
SXL Corp............................................. 82,000 501,581
Sagami Co., Ltd...................................... 141,000 775,258
Sakai Chemical Industry Co., Ltd..................... 105,000 430,284
Sakai Heavy Industries, Ltd.......................... 43,000 230,885
Sankei Building Co., Ltd............................. 18,000 125,567
*Sankyo Seiki Manufacturing Co., Ltd................. 53,000 331,933
#Sanyo Industries, Ltd., Tokyo....................... 121,000 474,021
Sata Construction Co., Ltd., Gumma................... 134,000 346,512
Sato Shoji Corp...................................... 49,000 260,997
*Seikitokyu Kogyo Co., Ltd........................... 211,000 415,112
*Seiren Co., Ltd..................................... 204,000 930,619
Sekisui Plastics Co., Ltd............................ 296,000 1,055,326
Senshukai Co., Ltd................................... 44,000 453,608
*Settsu Corp......................................... 308,000 447,182
Shibuya Kogyo Co., Ltd............................... 61,000 765,120
Shin Nippon Air Technologies Co., Ltd................ 89,320 782,701
Shinagawa Fuel Co., Ltd.............................. 86,000 577,766
Shinko Shoji Co., Ltd................................ 80,000 934,708
*Shokusan Jutaku Sogo Co., Ltd....................... 116,000 177,388
#Sintokogio, Ltd., Nagoya............................ 158,000 1,140,206
Soda Nikka Co., Ltd.................................. 82,000 314,192
#Sotetsu Rosen Co., Ltd.............................. 5,000 32,259
Star Micronics Co., Ltd.............................. 74,000 470,447
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sumisho Computer Systems Corp........................ 86,000 $ 1,462,887
*Sumitomo Corporation's Leasing, Ltd................. 85,000 258,505
#Sumitomo Precision Products Co., Ltd., Amagasaki
City............................................... 16,000 99,381
SunTelephone Co., Ltd................................ 157,000 957,646
*#Suzutan Co., Ltd................................... 156,000 285,464
Tada Construction Co., Ltd........................... 136,000 269,897
#Taihei Dengyo Kaisha, Ltd........................... 43,000 314,003
*Taiheiyo Bank, Ltd.................................. 150,000 1,289
#Taiheiyo Securities Co., Ltd........................ 392,000 841,924
#Taisei Prefab Construction Co., Ltd................. 242,000 584,210
Taisei Rotec Corp.................................... 220,000 778,694
*Taka-Q Co., Ltd..................................... 196,000 552,302
#Takada Kiko Co., Ltd................................ 73,000 401,375
Takara Co., Ltd...................................... 97,000 500,000
Takiron Co., Ltd..................................... 282,000 1,308,247
Tamura Corp.......................................... 73,000 398,239
#Tasaki Shinju Co., Ltd.............................. 130,000 904,639
*#Tayca Corp......................................... 169,000 409,433
Teikoku Hormone Manufacturing Co., Ltd............... 76,000 946,735
Teikoku Tsushin Kogyo Co., Ltd....................... 63,000 278,196
Tenma Corp........................................... 32,000 516,838
*Titan Kogyo K.K..................................... 86,000 299,227
*Toa Steel Co., Ltd.................................. 261,000 681,649
*Toa Wool Spinning & Weaving Co., Ltd................ 185,000 508,591
Tobu Store Co., Ltd.................................. 168,000 700,000
Tochigi Fuji Industrial Co., Ltd..................... 125,000 603,522
#Toda Kogyo Corp..................................... 156,000 1,042,680
Toenec Corp.......................................... 91,000 492,526
Tohto Suisan Co., Ltd................................ 135,000 418,686
*Tokai Maruman Securities Co., Ltd................... 100,000 343,643
*Tokai Senko K.K., Nagoya............................ 118,000 353,797
Tokico, Ltd.......................................... 116,000 369,725
*Tokimec, Inc........................................ 70,000 241,151
#Tokushu Paper Manufacturing Co., Ltd................ 42,000 324,021
*#Tokuyo City Bank, Ltd.............................. 275,000 292,955
Tokyo Denki Komusho Co., Ltd......................... 128,000 735,670
*Tokyo Nissan Auto Sales Co., Ltd.................... 34,000 141,082
*Tokyo Securities Co., Ltd........................... 271,000 570,404
*Tokyo Tekko Co., Ltd................................ 161,000 455,060
Tokyu Construction Co., Ltd.......................... 223,000 459,794
*Tokyu Tourist Corp.................................. 54,000 158,660
Topcon Corp.......................................... 129,000 868,866
Topre Corp........................................... 184,000 1,248,797
#Torishima Pump Manufacturing Co., Ltd., Osaka....... 93,000 790,979
Tostem Viva Corp..................................... 54,000 264,897
Totenko Co., Ltd..................................... 83,000 356,529
Totetsu Kogyo Co., Ltd............................... 117,000 397,036
Toyo Information System Co., Ltd..................... 119,000 1,543,729
*Toyo Securities Co., Ltd............................ 267,000 573,454
Toyoda Boshoku Corp.................................. 71,000 217,148
#Tsudakoma Corp...................................... 237,000 1,048,582
Tsugami Corp......................................... 282,000 748,608
Tsurumi Manufacturing Co., Ltd....................... 7,000 64,948
Tsutsunaka Plastic Industry Co., Ltd................. 37,000 238,402
Uchida Yoko Co., Ltd................................. 202,000 933,643
Ueki Corp............................................ 113,000 303,857
</TABLE>
36
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Yahagi Construction Co., Ltd........................ 130,000 $ 737,113
Yamamura Glass Co., Ltd.............................. 118,000 440,979
Yamato International, Inc............................ 72,000 223,299
Yokogawa Bridge Corp................................. 62,500 423,647
Yokohama Reito Co., Ltd.............................. 8,000 86,598
Yomeishu Seizo Co., Ltd.............................. 9,000 70,361
Yondenko Corp........................................ 133,000 965,507
------------
TOTAL COMMON STOCKS
(Cost $172,858,170).................................. 132,122,951
------------
INVESTMENT IN CURRENCY -- (0.2%)
*Japanese Yen (Cost $714,877)........................ 717,590
------------
TOTAL -- JAPAN
(Cost $173,573,047).................................. 132,840,541
------------
UNITED KINGDOM -- (17.0%)
COMMON STOCKS -- (17.0%)
600 Group P.L.C...................................... 44,000 91,555
ABI Leisure Group P.L.C.............................. 65,000 94,942
APV P.L.C............................................ 386,881 666,116
ASDA Property Holdings P.L.C......................... 111,000 273,540
ASW Holdings P.L.C................................... 404,000 171,425
Abbeycrest P.L.C..................................... 70,000 136,517
Acatos & Hutcheson P.L.C............................. 60,404 299,188
Adam & Harvey Group P.L.C............................ 8,000 44,064
Adscene Group P.L.C.................................. 60,000 128,765
Adwest Group P.L.C................................... 150,000 281,520
Airflow Streamlines P.L.C............................ 19,305 60,964
Alexanders Holdings P.L.C............................ 71,000 13,325
Alexandra Workwear P.L.C............................. 46,000 63,811
Allders P.L.C........................................ 131,842 465,835
Allied London Properties P.L.C....................... 183,000 232,952
Allied Textile Companies P.L.C....................... 102,000 260,516
Amec P.L.C........................................... 188,571 437,002
Amstrad P.L.C........................................ 196,000 842,863
Anglo Eastern Plantations P.L.C...................... 57,195 106,877
*Anite Group P.L.C................................... 800,000 600,576
Apollo Metals P.L.C.................................. 20,000 39,658
Appleyard Group P.L.C................................ 139,000 139,511
Applied Distribution Group P.L.C..................... 48,000 34,860
Arcadian International P.L.C......................... 106,666 87,910
*Argent Group P.L.C.................................. 13,000 96,851
Arlen P.L.C.......................................... 100,000 67,728
*Ascot Holdings P.L.C................................ 52,000 233,376
Associated Nursing Services P.L.C.................... 85,000 172,013
Austin Reed Group P.L.C.............................. 55,000 227,093
Avesco P.L.C......................................... 30,857 165,680
Avon Rubber P.L.C.................................... 27,489 280,388
Avonside Group P.L.C................................. 75,000 56,304
BLP Group P.L.C...................................... 35,000 91,392
*BSG International P.L.C............................. 552,500 915,205
BSM Group P.L.C...................................... 50,000 93,840
Babcock International Group P.L.C.................... 300,000 416,160
Baggeridge Brick P.L.C............................... 72,000 117,504
Baird (William) P.L.C................................ 236,500 694,742
Baldwin P.L.C........................................ 30,000 48,960
Bandt P.L.C.......................................... 326,334 173,088
Banks (Sidney C.) P.L.C.............................. 37,000 182,058
Barcom P.L.C......................................... 70,000 62,832
Bardon Group P.L.C................................... 1,797,470 1,474,069
Barr & Wallace Arnold Trust P.L.C.................... 40,000 177,562
Barr (A.G.) P.L.C.................................... 7,500 46,206
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Beales Hunter P.L.C.................................. 6,000 $ 12,240
Bellway P.L.C........................................ 50,000 274,176
*Bellwinch P.L.C..................................... 240,000 70,502
Bentalls P.L.C....................................... 102,000 249,696
Bett Brothers P.L.C.................................. 14,000 34,272
Bibby (J.) & Sons P.L.C.............................. 204,000 634,228
Bilton P.L.C......................................... 205,000 791,234
Birkby P.L.C......................................... 63,000 179,414
Birse Group P.L.C.................................... 435,278 172,266
Black Arrow Group P.L.C.............................. 35,000 39,413
Blagden Industries P.L.C............................. 168,000 438,682
Blockleys P.L.C...................................... 45,000 24,602
Boot (Henry) & Sons P.L.C............................ 50,000 273,360
Bourne End Properties P.L.C.......................... 245,042 173,960
Boustead P.L.C....................................... 67,000 18,042
Brasway P.L.C........................................ 101,149 39,618
Breedon P.L.C........................................ 16,000 21,281
Bridon P.L.C......................................... 99,000 155,105
Bridport-Gundry P.L.C................................ 17,500 29,560
Bristol United Press P.L.C........................... 61,511 489,883
Britannia Group P.L.C................................ 90,000 44,798
*British Building and Engineering Appliances, Ltd.... 20,000 17,789
British Dredging P.L.C............................... 42,000 102,816
British Fittings Group P.L.C......................... 76,000 142,017
British Mohair Holdings P.L.C........................ 10,000 18,850
*Brown & Jackson P.L.C............................... 600,000 137,088
Brunel Holdings P.L.C................................ 200,000 48,960
Bruntcliffe Aggregates P.L.C......................... 76,000 32,248
Bryant Group P.L.C................................... 160,999 333,693
Budgens P.L.C........................................ 223,000 145,574
Bullough P.L.C....................................... 235,000 458,306
Burn Stewart Distillers P.L.C........................ 65,000 59,935
Burndene Investments P.L.C........................... 113,903 66,920
Burtonwood Brewery P.L.C............................. 29,580 75,067
CLS Holdings P.L.C................................... 247,000 524,035
CNC Properties P.L.C................................. 24,800 28,534
Cala P.L.C........................................... 175,000 321,300
*Calderburn P.L.C.................................... 150,000 99,144
Cape P.L.C........................................... 225,000 602,208
Capital & Regional Properties P.L.C.................. 102,400 384,369
Carclo Engineering Group P.L.C....................... 100,000 317,424
*Carlisle Group P.L.C................................ 215,000 37,720
Carr's Milling Industries P.L.C...................... 11,000 53,856
Cater Allen Holdings P.L.C........................... 61,500 438,106
*Cathay International P.L.C.......................... 920,000 206,448
Charles Sidney P.L.C................................. 59,000 72,216
Chesterfield Properties P.L.C........................ 27,000 276,502
Chime Communications P.L.C........................... 100,000 62,424
Chloride Group P.L.C................................. 316,000 152,135
Church & Co. P.L.C................................... 24,000 193,882
Clarkson (Horace) P.L.C.............................. 59,305 99,205
Clinton Cards P.L.C.................................. 31,000 120,915
*Clubhaus P.L.C...................................... 24,266 33,068
Clyde Blowers P.L.C.................................. 13,333 69,630
Colefax & Fowler Group P.L.C......................... 96,000 173,123
Community Hospitals Group P.L.C...................... 67,000 410,040
Concentric P.L.C..................................... 150,000 328,032
Conrad Ritblat Group P.L.C........................... 43,345 185,690
Cook (D.C.) Holdings, Ltd............................ 200,000 156,672
Cornwell Parker P.L.C................................ 13,333 40,256
Cosalt P.L.C......................................... 20,000 70,666
</TABLE>
37
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Costain Group P.L.C................................. 73,000 $ 54,803
Countryside Property P.L.C........................... 129,660 207,373
Courtaulds Textiles P.L.C............................ 152,150 710,163
Courts P.L.C......................................... 125,000 1,142,400
Cradley Group Holdings P.L.C......................... 38,466 28,563
Creighton Naturally P.L.C............................ 100,000 39,984
Crest Nicholson P.L.C................................ 310,000 541,334
Crest Packaging P.L.C................................ 75,000 104,652
Crestacare P.L.C..................................... 427,000 193,380
Cropper (James) P.L.C................................ 14,000 81,682
Cussins Property Group P.L.C......................... 25,000 36,108
DRS Data Research Services P.L.C..................... 51,000 25,802
Daejan Holdings P.L.C................................ 27,000 671,976
Dagenham Motors Group P.L.C.......................... 41,000 66,243
Dawson Group P.L.C................................... 68,000 223,062
Dawson International P.L.C........................... 590,000 669,202
Debenham Tewson & Chinnocks Holdings P.L.C........... 42,423 63,349
Delyn Group P.L.C. .................................. 18,000 20,857
Dencora P.L.C........................................ 20,000 58,426
Derwent Valley Holdings P.L.C........................ 86,000 752,988
Development Securities P.L.C......................... 70,000 283,886
Dolphin Packaging P.L.C.............................. 21,000 86,194
Domino Printing Sciences P.L.C....................... 88,000 509,837
Dwyer Estates P.L.C.................................. 50,000 54,672
EIS Group P.L.C...................................... 192,400 855,641
Eleco Holdings P.L.C................................. 68,900 22,489
Electronic Data Processing P.L.C..................... 25,000 26,316
Emess P.L.C.......................................... 200,000 79,968
English & Overseas Properties P.L.C.................. 50,000 14,688
Etam P.L.C........................................... 95,000 200,777
Eurodollar (Holdings) P.L.C.......................... 63,000 131,090
European Motor Holdings P.L.C........................ 250,000 344,760
Evans Halshaw Holdings P.L.C......................... 60,000 215,424
Evans of Leeds P.L.C................................. 210,000 515,794
Ewart P.L.C.......................................... 10,000 10,200
Ex-Lands Properties P.L.C............................ 182,000 51,979
Exco P.L.C........................................... 200,000 181,152
Eyecare Products P.L.C............................... 88,988 18,154
*FII Group P.L.C..................................... 80,000 110,976
Faber Prest P.L.C.................................... 24,000 108,691
Fenner P.L.C......................................... 175,000 461,244
Fine Art Developments P.L.C.......................... 30,000 146,146
Finlay (James) P.L.C................................. 180,000 351,043
Firth Rixson P.L.C................................... 275,511 406,919
Fiscal Properties P.L.C.............................. 75,000 84,456
Five Oaks Investments P.L.C.......................... 168,000 78,140
French P.L.C......................................... 17,000 16,646
Friendly Hotels P.L.C................................ 35,538 85,837
Frogmore Estates P.L.C............................... 81,039 748,567
Frost Group P.L.C.................................... 196,000 383,846
GEI International P.L.C.............................. 150,000 237,456
Galliford P.L.C...................................... 160,000 56,141
*Gent (S.R.) P.L.C................................... 77,000 80,425
Gerrard Group P.L.C.................................. 75,010 414,991
Gleeson (M.J.) Group P.L.C........................... 14,300 215,873
Goldsborough Healthcare P.L.C........................ 86,000 177,545
Grainger Trust, Ltd.................................. 42,000 209,745
*Greenwich Resources P.L.C........................... 156,000 65,557
Greycoat P.L.C....................................... 232,000 645,554
Hall Engineering (Holdings) P.L.C.................... 81,000 333,785
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hamlet Group P.L.C................................... 42,000 $ 61,347
Hampden Group P.L.C.................................. 25,000 25,500
Hampson Industries P.L.C............................. 95,295 108,087
*Hampton Trust P.L.C................................. 216,000 125,142
Hardy Oil & Gas P.L.C................................ 169,000 837,077
Hardys & Hansons P.L.C............................... 72,500 323,605
Harris (Philip) P.L.C................................ 35,000 138,516
Hartstone Group P.L.C................................ 1,182,431 188,148
Hazlewood Foods P.L.C................................ 395,500 648,683
Healthcall Group P.L.C............................... 72,000 84,015
Heath (C.E.) P.L.C................................... 107,000 178,116
*Helene P.L.C........................................ 282,000 32,216
Helical Bar P.L.C.................................... 23,000 185,428
Hemingway Properties P.L.C........................... 300,000 195,840
*Hi-Tech Sports P.L.C................................ 61,000 30,861
*Hickson International P.L.C......................... 741,000 985,589
Hill & Smith Holdings P.L.C.......................... 56,639 64,242
*Hollas Group P.L.C.................................. 100,000 6,528
Holt (Joseph) P.L.C.................................. 5,878 270,999
Hopkinsons Group P.L.C............................... 312,000 142,571
*Horace Small Apparel P.L.C.......................... 48,000 68,544
How Group P.L.C...................................... 66,000 64,089
Hunters Armley Group P.L.C........................... 59,394 114,863
Hunting P.L.C........................................ 155,000 471,770
*Huntingdon Life Sciences Group P.L.C................ 107,000 129,222
IAF Group P.L.C...................................... 66,500 119,923
Ibstock P.L.C........................................ 1,583,000 1,808,419
Iceland Group P.L.C.................................. 569,000 817,175
Independent Insurance Group P.L.C.................... 69,000 910,436
Inveresk P.L.C....................................... 20,000 29,050
Ipeco Holdings P.L.C................................. 56,000 79,968
JLI Group P.L.C...................................... 114,000 108,838
Jacobs (John I.) P.L.C............................... 117,419 185,879
Jeyes Group P.L.C.................................... 39,000 82,106
Johnson Group Cleaners P.L.C......................... 37,000 148,545
Johnston Group P.L.C................................. 14,000 109,670
Jones & Shipman P.L.C................................ 35,000 19,421
Joseph (Leopold) Holdings P.L.C...................... 9,000 74,174
Kalamazoo Computer Group P.L.C....................... 12,200 14,634
Kelsey Industries P.L.C.............................. 3,000 22,032
Kenwood Appliances P.L.C............................. 100,000 209,712
Kunick P.L.C......................................... 799,000 309,692
Laing (John) P.L.C................................... 70,541 438,043
Lambert Fenchurch P.L.C.............................. 72,220 129,060
Lambert Howarth Group P.L.C.......................... 15,073 30,503
Leeds Group P.L.C.................................... 107,000 261,936
Leigh Interests P.L.C................................ 121,100 212,458
*Liberty P.L.C....................................... 4,900 28,589
Lilleshall P.L.C..................................... 29,000 35,496
Linton Park P.L.C.................................... 30,500 204,082
Locker (Thomas) Holdings P.L.C....................... 300,000 194,616
London Industrial P.L.C.............................. 30,000 163,282
London Merchant Securities P.L.C..................... 335,000 650,597
Lookers P.L.C........................................ 43,000 72,983
*Lovell (Y.J.) Holdings P.L.C........................ 29,000 5,916
M & W P.L.C.......................................... 10,000 21,624
MS International P.L.C............................... 49,000 15,994
Mackie International Group P.L.C..................... 9,500 17,597
Mallett P.L.C........................................ 25,000 39,780
Manders P.L.C........................................ 51,900 135,521
Mansfield Brewery P.L.C.............................. 151,000 868,673
</TABLE>
38
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Marshalls P.L.C...................................... 198,001 $ 445,930
Marston Thompson & Evershed P.L.C.................... 142,000 628,026
Martin Internationl Holdings P.L.C................... 162,000 87,247
Matthews (Bernard) P.L.C............................. 195,000 402,574
Maunders (John) Group P.L.C.......................... 52,000 165,060
McAlpine (Alfred) P.L.C.............................. 101,000 233,237
McCarthy & Stone P.L.C............................... 155,000 330,113
McKay Securities P.L.C............................... 24,000 71,873
Mentmore Abbey P.L.C................................. 31,200 25,714
*Merchant Retail Group P.L.C......................... 153,000 64,921
Meristem P.L.C....................................... 66,000 53,856
Merrydown P.L.C...................................... 55,000 64,627
*Micro Focus Group P.L.C............................. 19,500 506,002
Mid-States P.L.C..................................... 50,000 21,624
Midland Independent Newspapers P.L.C................. 217,000 518,821
Moorfield Estates P.L.C.............................. 220,000 95,146
Morland & Co. P.L.C.................................. 73,800 632,318
Mowlem (John) & Co. P.L.C............................ 402,744 884,039
Mucklow (A & J) Group P.L.C.......................... 133,000 296,281
*NSM P.L.C........................................... 84,000 10,967
Neepsend P.L.C....................................... 43,000 23,158
Nightfreight P.L.C................................... 75,000 45,900
Nobo Group P.L.C..................................... 14,000 28,560
Norcor Holdings P.L.C................................ 20,000 22,358
Norcros P.L.C........................................ 262,000 292,895
OGC International P.L.C.............................. 10,000 18,768
*OMI International P.L.C............................. 99,000 32,314
*Oliver Group P.L.C.................................. 43,000 27,369
Olives Property P.L.C................................ 125,000 59,670
Owen (H.R.) P.L.C.................................... 250,000 55,080
PSIT P.L.C........................................... 257,001 769,646
Panther Securities P.L.C............................. 40,000 74,746
Parkland Group P.L.C................................. 60,000 165,974
Partridge Fine Arts P.L.C............................ 33,000 38,507
Paterson Zochonis P.L.C.............................. 35,000 270,463
Peel Holdings P.L.C.................................. 74,000 672,074
Perry Group P.L.C.................................... 59,000 180,540
Persimmon P.L.C...................................... 15,000 57,650
Phoenix Timber Group P.L.C........................... 76,623 28,136
Photo-Me International P.L.C......................... 94,000 191,760
Pifco Holdings P.L.C................................. 10,000 35,088
Pillar Property Investments P.L.C.................... 31,000 114,591
Pittards P.L.C....................................... 39,000 64,603
*Pittencrieff Resources P.L.C........................ 204,394 150,107
Plantation & General Investment P.L.C................ 24,000 27,222
Plysu P.L.C.......................................... 100,000 258,672
Premier Consolidated Oilfields P.L.C................. 1,639,916 1,124,064
Property Partnerships P.L.C.......................... 10,000 43,656
Prowting P.L.C....................................... 101,261 221,446
*QS Holdings P.L.C................................... 102,000 62,424
*Quadrant Group P.L.C................................ 5,900 8,184
Quality Care Homes P.L.C............................. 41,500 220,116
Quality Software Products Holdings P.L.C............. 11,000 43,085
Quick Group P.L.C.................................... 71,732 170,332
RCO Holdings P.L.C................................... 20,000 65,280
Raglan Property P.L.C................................ 300,000 126,072
*Raine P.L.C......................................... 838,000 273,523
Ransom (William) & Son P.L.C......................... 75,000 96,696
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Rea Brothers Group P.L.C............................. 67,906 $ 49,870
Rea Holdings P.L.C................................... 39,384 222,390
Readicut International P.L.C......................... 305,810 189,651
Record Holdings P.L.C................................ 69,000 76,573
Ricardo Group P.L.C.................................. 95,000 210,854
Richards P.L.C....................................... 62,000 39,968
Richardsons Westgarth P.L.C.......................... 24,000 30,747
Ropner P.L.C......................................... 21,000 49,694
Roskel P.L.C......................................... 12,000 14,590
Rowe Evans Investments P.L.C......................... 66,400 118,659
Royal Doulton P.L.C.................................. 78,000 321,422
Ruberoid P.L.C....................................... 150,000 239,904
Rugby Estates P.L.C.................................. 16,000 42,171
Russell (Alexander) P.L.C............................ 40,000 68,218
SEP Industrial Holdings P.L.C........................ 370,000 175,114
Safeland P.L.C....................................... 100,000 61,200
Saville (J.) Gordon Group P.L.C...................... 150,000 146,880
*Saville (J.) Gordon Group P.L.C. Issue 97........... 125,000 116,280
Savills P.L.C........................................ 66,000 136,794
Scholl P.L.C......................................... 20,000 97,430
Scottish Metropolitan Property P.L.C................. 380,400 546,315
*Seafield Resources P.L.C............................ 70,000 54,264
Shaftesbury P.L.C.................................... 150,000 447,984
Sharpe & Fisher P.L.C................................ 14,293 54,467
Sherwood Group P.L.C................................. 202,000 120,327
*ShopRite Group P.L.C................................ 146,000 60,164
Sidlaw Group P.L.C................................... 88,000 143,616
*Signet Group P.L.C.................................. 438,700 238,056
Silentnight Holdings P.L.C........................... 30,000 146,880
Simon Engineering P.L.C.............................. 175,847 127,707
Sinclair (William) Holdings P.L.C.................... 40,000 165,485
Sirdar P.L.C......................................... 95,000 96,900
Sketchley P.L.C...................................... 84,000 83,624
Smart (J.) & Co. (Contractors) P.L.C................. 5,000 18,768
Smith (James) Estates P.L.C.......................... 95,000 225,583
Specialty Shops P.L.C................................ 18,000 38,189
*Spring Ram Corp. P.L.C.............................. 846,888 193,497
St. James Beach Hotels P.L.C......................... 29,205 86,746
St. Modwen Properties P.L.C.......................... 166,000 193,025
Stanley Leisure Organisation P.L.C................... 152,932 764,978
Stoddard Sekers International P.L.C.................. 98,000 29,988
Stratagem Group P.L.C................................ 47,000 44,105
Swan Hill Group P.L.C................................ 87,000 115,717
*Tadpole Technology P.L.C............................ 20,000 3,509
*Tandem Group P.L.C.................................. 72,000 9,400
Tay Homes P.L.C...................................... 92,000 204,196
Telemetrix P.L.C..................................... 126,000 128,520
Tomkinsons P.L.C..................................... 10,000 31,008
Tops Estates P.L.C................................... 63,315 194,777
Town Centre Securities P.L.C......................... 240,000 344,678
Trafford Park Estates P.L.C.......................... 102,721 245,594
Transport Development Group P.L.C.................... 410,900 1,197,001
Tring International Group P.L.C...................... 60,000 16,646
Ugland International Holdings P.L.C.................. 146,666 191,487
Union P.L.C.......................................... 50,000 62,424
United Industries P.L.C.............................. 58,000 62,000
Vardon P.L.C......................................... 110,000 203,755
Vaux Group P.L.C..................................... 45,148 204,098
*Vert (Jacques) P.L.C................................ 45,000 15,055
Vibroplant P.L.C..................................... 185,000 250,594
*Villiers Group P.L.C................................ 167,000 25,210
</TABLE>
39
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*WEW Group P.L.C..................................... 217,000 $ 54,892
Wainhomes P.L.C...................................... 86,000 205,616
*Ward Holdings P.L.C................................. 145,000 117,137
Warner Estate Holdings P.L.C......................... 99,000 369,183
Warnford Investments P.L.C........................... 12,000 44,847
*Wates City of London Properties P.L.C............... 281,099 454,166
Watts, Blake, Bearne & Co. P.L.C..................... 53,000 397,882
*Wembley P.L.C....................................... 11,000 63,909
Westbury P.L.C....................................... 127,050 518,364
Westminster Health Care Holdings P.L.C............... 37,500 150,552
Wilson (Connolly) Holdings P.L.C..................... 238,400 577,767
Wilson Bowden P.L.C.................................. 7,700 63,963
Wintrust P.L.C....................................... 24,000 154,714
Wyevale Garden Centres P.L.C......................... 50,000 232,152
Yorklyde P.L.C....................................... 14,000 39,184
Yorkshire Food Group P.L.C........................... 70,000 12,852
Yorkshire Group P.L.C................................ 107,500 385,091
Young & Co's Brewery P.L.C. Class A.................. 5,000 52,428
Young (H.) Holdings P.L.C............................ 38,666 92,446
------------
TOTAL COMMON STOCKS
(Cost $68,485,690)................................... 76,883,907
------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling (Cost $71,417)............... 72,077
------------
PREFERRED STOCKS -- (0.0%)
Rea Holdings P.L.C. 9% Cumulative
(Cost $1,753)...................................... 1,790 2,892
------------
RIGHTS/WARRANTS -- (0.0%)
*Tadpole Technology P.L.C. Rights 06/19/97 (Cost
$0)................................................ 4,000 82
------------
TOTAL -- UNITED KINGDOM
(Cost $68,558,860)................................... 76,958,958
------------
GERMANY -- (8.7%)
COMMON STOCKS -- (8.7%)
Aachener und Muenchener Lebensversicherung AG........ 1,333 659,090
Anterra Vermoegensverwaltungs AG..................... 3,920 383,054
BDAG Balcke-Duerr AG................................. 2,420 375,249
*Barmag AG........................................... 5,400 940,023
Bayerische Handelsbank AG............................ 3,463 932,112
*Bremer Woll-Kaemmerei AG............................ 5,310 470,723
*DLW AG.............................................. 8,900 911,872
DSL Holding AG....................................... 11,850 1,560,123
Deutsche Hypotheken Bank AG, Hannover/Berlin......... 6,387 1,401,477
Deutsche Verkehrs-Bank AG............................ 1,908 200,960
*Dierig Holding AG................................... 1,250 98,742
Dyckerhoff & Widmann AG.............................. 12,224 1,645,126
Escada AG............................................ 5,709 901,948
Felten & Guilleaume Energietechnik AG................ 9,100 862,610
*Flender (A. Friedrich) AG........................... 9,832 949,257
#Fuchs Petrolub AG Oel & Chemie...................... 3,517 442,455
Heilit & Woerner Bau AG.............................. 8,542 834,707
*#Herlitz AG......................................... 13,643 1,444,929
*Honsel-Werke AG..................................... 3,450 270,509
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Hutschenreuther AG.................................. 2,581 $ 163,106
KM Europa Metal AG................................... 11,005 1,107,583
KM Europa Metal AG Em 95............................. 1,484 141,540
*KSB AG.............................................. 3,145 728,742
*Kaufhalle AG........................................ 12,007 1,201,403
*Kaufring AG......................................... 12,600 792,569
*Leffers AG, Bielefeld............................... 1,875 287,449
Leonische Drahtwerke AG.............................. 25 9,582
*Linotype-Hell AG.................................... 6,900 601,580
Mauser Waldeck AG.................................... 1,151 137,393
*Mueller-Weingarten AG............................... 389 72,155
*Neue Baumwoll-Spinnerei und Weberei Hof AG.......... 1,473 101,705
Norddeutsche Steingutfabrik AG....................... 715 12,635
Nuernberger Hypothekenbank AG........................ 1,486 441,713
*Orenstein & Koppel AG............................... 13,550 373,438
Otto Reichelt AG..................................... 36,354 589,237
Phoenix AG, Hamburg.................................. 18,540 293,451
Rheinboden Hypothekenbank AG......................... 3,900 668,637
Rheinmetall Berlin AG................................ 12,470 2,838,403
*Rosenthal AG........................................ 4,018 329,152
#Salamander AG, Kornwesteim.......................... 12,999 1,909,157
Scor Deutschland Rueckversicherungs AG............... 415 50,509
*Sinn AG............................................. 2,340 533,996
Sixt AG.............................................. 470 363,019
Stern-Brauerei Carl Funke AG......................... 300 20,802
Stoehr & Co. AG...................................... 4,431 440,766
*Strabag AG.......................................... 15,450 1,310,854
Sueddeutsche Bodencreditbank AG...................... 4,248 1,262,717
*Triton-Belco AG, Hamburg............................ 2,977 165,486
*Tucher Braeu AG..................................... 1,047 53,912
*Varta AG............................................ 5,611 925,864
Verseidag AG......................................... 1,205 112,814
*Voegele (Joseph) AG................................. 1,559 217,111
WMF (Wuerttembergische Metallwarenfabrik AG)......... 6,462 1,191,065
Walter Bau AG........................................ 4,427 699,409
*Wanderer-Werke AG................................... 200 22,469
Weru AG.............................................. 950 389,116
Westag & Getalit..................................... 1,980 399,707
Wuerttembergische AG................................. 2,474 1,968,777
*Zanders Feinpapiere AG.............................. 10,902 928,169
------------
TOTAL COMMON STOCKS
(Cost $39,004,822)................................... 39,142,158
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $5,451).......................... 5,482
------------
TOTAL -- GERMANY
(Cost $39,010,273)................................... 39,147,640
------------
FRANCE -- (7.5%)
COMMON STOCKS -- (7.3%)
*Agricole de la Crau................................. 200 18,711
Airfeu SA............................................ 3,141 105,571
Alain Manoukian SA................................... 6,924 176,939
Arbel SA............................................. 1,583 19,774
#Bains de Mer et du Cercle des Etrangers a Monaco.... 5,242 537,641
Banque de la Reunion................................. 126 30,561
Bazar de l'Hotel de Ville SA......................... 8,486 867,419
*Burelle SA.......................................... 10,015 451,126
</TABLE>
40
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*CEE (Continentale d'Equipements Electriques)........ 1,515 $ 45,277
CFPI (Cie Francaise de Produits Industriels SA)...... 5,196 333,077
Caisse Regionale de Credit Agricole Mutuel de la
Brie............................................... 4,895 291,563
*Cascades SA......................................... 8,281 35,150
Cofigeo (Cie Financiere Geo)......................... 205 30,935
*Compagnie Financiere pour l'Immobilier d'Enterprise
Fidei.............................................. 17,608 114,397
Conflandey SA........................................ 1,796 86,813
Continentale d'Entreprises SA........................ 19,198 914,666
#DMC (Dollfus Mieg et Cie)........................... 32,869 677,653
*Desquenne et Giral SA............................... 3,361 54,386
Devanlay SA.......................................... 6,472 659,310
Dietrich et Cie...................................... 32,832 1,399,285
Fimalac SA........................................... 10,590 981,578
Financiere Moncey SA................................. 816 438,395
Fonderies Franco Belge............................... 913 104,420
*Francaise des Ferrailles............................ 4,855 327,199
Frankoparis SA....................................... 26,515 376,686
*Galeries Lafayette SA............................... 4,722 1,717,983
Gantois Series A..................................... 465 90,712
Gascogne SA.......................................... 9,426 797,585
*Gel 2000 SA......................................... 4,629 43,307
Genefim-Societe Immobiliere pour le Commerce et
l'Industrie SA..................................... 9,854 198,036
Generale de Transport et d'Industrie................. 11,603 432,198
Gevelot.............................................. 1,200 228,690
Groupe du Louvre SA.................................. 46,156 1,599,307
Groupe Zannier SA.................................... 24,380 604,009
Guerbet SA........................................... 3,095 128,690
ICBT Groupe SA....................................... 7,510 294,181
Immeubles de France.................................. 32,571 2,010,576
Immobanque........................................... 7,936 912,942
Immobiliere Complexes Commerciaux SA................. 3,078 67,724
*Immobiliere et Hoteliere SA......................... 8,825 63,221
Intertechnique SA.................................... 4,014 897,100
*Locindus (Cie Financiere pour la Location
d'Immeubles Industrials et Commerciaux)............ 6,631 976,499
Maire (Henri)........................................ 1,252 19,088
Marie Brizard & Roger International SA............... 243 40,753
*Maxi-livre/Profrance SA............................. 8,442 53,311
Metal Deploye........................................ 300 20,790
Michel Thierry SA.................................... 811 73,766
*Mors................................................ 29,207 43,011
*NAF NAF SA.......................................... 32,900 369,925
*Nordon & Cie........................................ 1,600 105,613
PSB Industries SA.................................... 1,838 124,221
*Pier Import Europe SA............................... 13,626 91,595
Plastic Omnium....................................... 11,950 999,974
Primisteres Reynoird SA.............................. 4,806 203,997
*#Rochette........................................... 109,361 464,197
Rougier SA........................................... 2,130 136,169
*Rouleau-Guichard SA................................. 2,095 121,591
Rue Imperiale de Lyon................................ 1,579 1,600,338
*SEDIVER (Societe Europeene d'Isolateurs en Verre et
Composite)......................................... 8,413 190,939
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
SFIM (Societe de Fabrication d'Instruments de
Mesure)............................................ 3,403 $ 548,300
*SGE (Societe Generale d'Enterprise SA).............. 1,000 21,050
*Sabeton............................................. 1,600 223,146
*Securidev SA........................................ 13,521 271,732
*Selectibanque SA.................................... 42,417 510,003
Signaux et d'Equipements Electroniques SA............ 9,180 384,568
Signaux Girod SA..................................... 4,932 90,574
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)........................ 2,664 395,538
Societe d'Etudes et de Realizations pour les
Industries du Bois Seribo.......................... 4,015 132,164
*Societe Financiere Immobail SA...................... 8,862 230,301
Societe Financiere Interbail SA...................... 23,895 958,367
*Sofco SA............................................ 2,308 14,755
Taittinger SA........................................ 2,853 1,185,784
Teisseire France SA.................................. 5,092 155,442
*Teleflex Lionel-Dupont.............................. 500 10,369
Tivoly SA............................................ 1,000 24,498
Touax SA............................................. 1,425 34,563
*Trouvay et Cauvin SA................................ 8,831 160,647
VM Materiaux SA...................................... 1,495 45,145
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies)................................. 34,070 1,947,869
*Via Banque.......................................... 21,658 633,755
------------
TOTAL COMMON STOCKS
(Cost $33,277,570)................................... 32,779,140
------------
INVESTMENT IN CURRENCY -- (0.2%)
*French Francs (Cost $1,021,269)..................... 1,018,072
------------
RIGHTS/WARRANTS -- (0.0%)
*Derichebourg Finances Warrants 07/15/98 (Cost
$57,964)........................................... 4,855 7,276
------------
TOTAL -- FRANCE
(Cost $34,356,803)................................... 33,804,488
------------
HONG KONG -- (4.5%)
COMMON STOCKS -- (4.4%)
ALCO Holdings, Ltd................................... 710,000 81,578
*Allied Group, Ltd................................... 4,660,000 517,377
Allied Properties (Hong Kong), Ltd................... 3,206,000 562,892
*#Applied International Holdings, Ltd................ 650,000 52,027
*Asia Commercial Holdings, Ltd....................... 35,960 5,571
Asia Standard International Group, Ltd............... 1,614,000 583,424
Associated International Hotels, Ltd................. 526,000 353,111
Beauforte Investors Corp., Ltd....................... 44,000 71,572
Burlingame International Co., Ltd.................... 475,000 122,031
CNT Group, Ltd....................................... 1,428,000 263,625
*Capetronic International Holdings, Ltd.............. 107,000 21,411
Century City International Holdings, Ltd............. 1,827,008 731,181
Cheuk Nang Properties (Holdings), Ltd................ 235,000 76,604
*Cheung Wah Development Co., Ltd..................... 898,000 42,315
Chevalier Construction Holdings, Ltd................. 42,857 3,652
</TABLE>
41
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Chevalier Development International, Ltd............. 608,000 $ 105,179
Chevalier International Holdings, Ltd................ 1,122,100 195,564
China Foods Holdings, Ltd............................ 896,000 185,076
*China Investments Holdings, Ltd..................... 475,000 78,492
Chinney Investments, Ltd............................. 472,000 112,729
Chow Sang Sang Holdings International, Ltd........... 550,000 191,712
*#Chuang's China Investments, Inc.................... 1,905,000 118,048
Chuang's Consortium International, Ltd............... 1,250,779 211,531
*Continental Holdings, Ltd........................... 88,000 8,634
*Continental Mariner Investment Co., Ltd............. 515,000 452,104
Crocodile Garments, Ltd.............................. 752,000 77,666
*Culturecom Holdings, Ltd............................ 1,326,000 49,644
*Dransfield Holdings, Ltd............................ 292,000 25,634
Dynamic Holdings, Ltd................................ 320,000 97,082
*Emporer (China Concept) Investments, Ltd............ 330,000 57,940
Emporer International Holdings, Ltd.................. 552,000 201,317
*Fairwood Holdings, Ltd.............................. 675,000 47,928
Far East Consortium International, Ltd............... 1,200,041 249,428
*Far East Holdings International, Ltd................ 264,000 27,607
Fountain Set Holdings, Ltd........................... 274,000 60,842
*Fu Hui Jewelry Co. (Hong Kong), Ltd................. 366,000 34,965
Furama Hotel Enterprises, Ltd........................ 229,029 502,646
Golden Resources Development International, Ltd...... 722,000 82,956
Grande Holdings, Ltd................................. 390,000 183,772
Great Wall Electronic International, Ltd............. 839,547 104,049
Harbour Centre Development, Ltd...................... 478,000 632,520
Harbour Ring International Holdings, Ltd............. 1,652,000 138,626
*High Fashion International, Ltd..................... 344,000 49,739
Hong Kong Parkview Group, Ltd........................ 648,000 399,458
Hop Hing Holdings, Ltd............................... 604,000 93,571
Huey Tai International, Ltd.......................... 1,948,338 364,716
Hwa Kay Thai Holdings, Ltd........................... 2,949,600 239,898
*International Pipe, Ltd............................. 53,312 8,947
International Tak Cheung Holdings, Ltd............... 402,353 116,872
K Wah International Holdings, Ltd.................... 213,249 40,745
*KTP Holdings, Ltd................................... 1,150,000 70,520
*Kader Holdings Co., Ltd............................. 470,000 94,655
Keck Seng Investments (Hong Kong), Ltd............... 270,000 88,885
Kee-Shing Holdings Co., Ltd.......................... 256,000 48,582
King Fook Holdings, Ltd.............................. 338,000 28,799
Kwong Sang Hong International, Ltd................... 738,000 354,899
#Lai Sun Garment (International), Ltd................ 342,000 386,328
*Lai Sun Hotels International, Ltd................... 278,000 74,471
*Lam Soon (Hong Kong), Ltd........................... 591,000 82,401
*Lam Soon Food Industries, Ltd....................... 780,000 54,376
Lane Crawford International, Ltd. Series A........... 63,000 85,399
Laws International Holdings, Ltd..................... 460,000 95,611
Leefung-Asco Printers Holdings, Ltd.................. 128,000 19,995
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Linkful International Holdings, Ltd................. 582,000 $ 87,157
#Lippo, Ltd.......................................... 534,000 513,594
Liu Chong Hing Investment, Ltd....................... 538,000 718,861
*Luks Industrial Co., Ltd............................ 1,352,000 162,324
*Magnificent Estates, Ltd............................ 2,742,600 99,139
*Megga (S.) International Holdings, Ltd.............. 508,000 40,005
Melbourne Enterprises, Ltd........................... 31,500 229,764
Melco International Development, Ltd................. 104,000 34,908
Min Xin Holdings, Ltd................................ 360,000 248,644
Nam Hing Holdings, Ltd............................... 294,000 28,087
Nanyang Holdings, Ltd................................ 73,500 132,843
National Electronics Holdings, Ltd................... 1,106,000 99,948
Ocean-Land Development, Ltd.......................... 34,000 28,092
#Onfem Holdings, Ltd................................. 684,000 264,911
*Orient Telecom & Technology Holdings, Ltd........... 137,800 41,806
Pokfulam Development Co., Ltd........................ 166,000 128,582
*Poly Investments Holdings, Ltd...................... 1,428,000 153,013
Prestige Properties Holdings, Ltd.................... 1,006,000 205,200
*Process Automation Holdings, Ltd.................... 300,000 24,787
*Prod-Art Technology (Holdings), Ltd................. 618,000 73,400
*Rivera Holdings, Ltd................................ 1,912,000 83,925
Ryoden Development, Ltd.............................. 1,372,000 385,244
San Miguel Brewery Hong Kong, Ltd.................... 567,600 258,300
Sea Holdings, Ltd.................................... 822,000 517,332
Seapower Resources International, Ltd................ 1,170,000 164,640
#Semi-Tech (Global) Co., Ltd......................... 562,019 928,717
Shaw Brothers Hong Kong, Ltd......................... 158,000 169,300
Shougang Concord Century Holdings, Ltd............... 528,000 62,029
*Shun Ho Construction (Holdings), Ltd................ 775,600 86,111
*Shun Ho Resources Holdings, Ltd..................... 292,000 28,273
Sincere Co., Ltd..................................... 872,000 122,706
Singamas Container Holdings, Ltd..................... 360,000 39,969
South China Holdings, Ltd............................ 62,000 15,528
South China Industries, Ltd.......................... 646,000 90,070
*South Sea Development Co., Ltd...................... 553,000 47,832
Starlight International Holdings, Ltd................ 240,000 31,913
#Stelux Holdings International, Ltd.................. 1,292,000 243,522
*Sun Fook Kong Holdings, Ltd......................... 1,018,000 252,332
Swank International Manufacturing Co., Ltd........... 226,000 24,508
Tai Sang Land Development, Ltd....................... 428,900 221,482
Tak Sing Alliance Holdings, Ltd...................... 107,467 74,225
Tak Wing Investment Holdings, Ltd.................... 200,000 30,209
Tern Properties Co., Ltd............................. 140,000 67,777
Tian An China Investments Co., Ltd................... 1,388,000 202,484
Tian Teck Land, Ltd.................................. 720,000 183,114
*Top Form International, Ltd......................... 494,000 24,234
Tse Sui Luen Jewellry (International), Ltd........... 275,840 142,443
Tungtex (Holdings) Co., Ltd.......................... 348,000 36,390
UDL Holdings, Ltd.................................... 662,000 76,062
USI Holdings, Ltd.................................... 487,999 151,200
*Uniworld Holdings, Ltd.............................. 24,240,000 165,856
*Wah Nam Group, Ltd.................................. 630,000 17,812
</TABLE>
42
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Winfoong International, Ltd.......................... 499,000 $ 78,593
*Wing Fai International, Ltd......................... 342,000 34,438
Wing On Co. International, Ltd....................... 450,000 546,088
Wing Shan International, Ltd......................... 448,000 76,344
#Winsor Industrial Corp., Ltd........................ 394,500 86,071
*Winsor Properties Holdings, Ltd..................... 55,000 95,856
*Wo Kee Hong (Holdings), Ltd......................... 962,400 79,517
*Wong's Kong King International (Holdings), Ltd...... 478,000 32,089
World Houseware (Holdings), Ltd...................... 594,000 58,280
Yaohan International Holdings, Ltd................... 1,206,000 115,213
Yau Lee Holdings, Ltd................................ 500,000 37,439
*Yoshiya International Corp., Ltd.................... 216,000 26,491
------------
TOTAL COMMON STOCKS
(Cost $15,084,253)................................... 20,047,952
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Hong Kong Dollars (Cost $463,424)................... 463,297
------------
RIGHTS/WARRANTS -- (0.0%)
*Megga (S.) International Holdings, Ltd. Rights
06/18/97........................................... 203,200 2,886
*Stelux Holdings International, Ltd. Warrants
02/28/98........................................... 258,400 9,341
*Tian An China Investments Co., Ltd. Warrants
03/06/00........................................... 277,600 17,202
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 29,429
------------
TOTAL -- HONG KONG
(Cost $15,547,677)................................... 20,540,678
------------
NETHERLANDS -- (4.4%)
COMMON STOCKS -- (4.4%)
ACF Holding NV (Certificate)......................... 53,200 818,248
Athlon Groep NV...................................... 9,810 526,814
Bam Groep NV......................................... 16,389 1,012,563
Beers NV............................................. 6,330 217,821
Begemann Groep NV.................................... 44,600 674,348
*Beleggingsfonds Het Zonnespectrum NV................ 26,600 152,555
Cindu International NV............................... 1,790 140,923
Crown Van Gelder NV.................................. 8,064 731,562
Econosto NV.......................................... 22,327 424,888
Gamma Holding NV..................................... 53,690 3,009,215
Grand Hotel Krasnapopski NV.......................... 1,745 493,568
Kas-Associatie NV.................................... 16,350 1,072,383
Koninklijke Ten Cate NV.............................. 37,878 2,069,663
Landre & Glinderman NV............................... 3,218 143,954
MacIntosh NV......................................... 62,550 1,317,529
NKF Holding NV....................................... 36,158 957,678
Nagron Nationaal Grondbezit NV....................... 534 57,214
Nedlloyd Groep NV, Rotterdam......................... 14,000 343,796
*Norit NV............................................ 78,571 1,331,365
Polynorm NV.......................................... 12,800 1,177,894
Roto Smeets de Boer NV............................... 20,100 1,000,808
Sphinx NV............................................ 36,562 385,064
*Textielgroep Twenthe NV............................. 1,200 24,400
*Tulip Computers NV.................................. 38,643 282,066
*Ubbink NV........................................... 900 23,415
*Van der Giessen de Noord............................ 13,950 407,299
*Van Dorp Groep NV................................... 11,400 149,187
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Vredestein NV....................................... 64,470 $ 789,909
------------
TOTAL COMMON STOCKS
(Cost $18,173,054)................................... 19,736,129
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $16,067).................. 15,955
------------
RIGHTS/WARRANTS -- (0.0%)
*Econosto NV Rights 06/06/97......................... 16 9
*Landre & Glinderman NV Rights....................... 20 32
*Nagron Nationaal Grondbezit NV Rights 06/06/97...... 6 20
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 61
------------
TOTAL -- NETHERLANDS
(Cost $18,189,121)................................... 19,752,145
------------
MALAYSIA -- (4.1%)
COMMON STOCKS -- (3.6%)
Ancom Berhad......................................... 171,000 208,470
Angkasa Marketing Berhad............................. 130,000 166,773
*Aokam Perdana Berhad................................ 189,000 237,944
Asia Pacific Land Berhad............................. 681,000 358,135
Austral Amalgamated Berhad........................... 187,000 250,327
Austral Enterprises Berhad........................... 206,000 385,737
Bank Islam (Malaysia) Berhad......................... 39,000 102,550
Batu Kawan Berhad.................................... 9,000 19,721
Berjaya Industrial Berhad............................ 130,000 154,861
*Best World Land Berhad.............................. 145,000 113,805
Boustead Holdings Berhad............................. 82,000 184,582
Cement Industries of Malaysia Berhad................. 168,000 448,446
Chin Teck Plantations Berhad......................... 28,000 88,128
Chocolate Products (Malaysia) Berhad................. 334,000 212,908
Cold Storage (Malaysia) Berhad....................... 125,000 198,207
Diethelm Holdings (Malaysia) Berhad.................. 46,000 50,398
Eastern & Oriental Berhad............................ 98,000 192,876
Eastern Pacific Industrial Corp. Berhad.............. 66,000 89,402
*Faber Group Berhad Issue 96......................... 414,000 395,857
Far East Holdings Berhad............................. 78,000 107,522
Federal Flour Mills Berhad........................... 44,000 106,056
*General Corp. Berhad................................ 323,000 220,052
George Town Holdings Berhad.......................... 110,000 163,028
Gold Coin (Malaysia) Berhad.......................... 24,000 69,323
*Granite Industries Berhad........................... 214,000 293,291
*Gula Perak Berhad................................... 282,000 230,319
*Guthrie Ropel Berhad................................ 152,000 272,510
IGB Corp. Berhad..................................... 129,000 124,375
*Insas Berhad........................................ 545,000 390,837
*Intria Behard....................................... 158,000 321,036
Island & Peninsular Berhad........................... 91,000 293,665
*Jasa Megah Industries Berhad........................ 226,000 279,124
Jeram Kuantan (Malaysia) Berhad...................... 25,000 39,044
KIG Glass Industrial Berhad.......................... 71,000 74,960
Kamunting Corp. Berhad............................... 404,000 289,721
Keck Seng (Malaysia) Berhad.......................... 295,000 378,446
Kelanamas Industries Berhad.......................... 102,000 182,056
Kuala Sidim Berhad................................... 64,000 144,064
</TABLE>
43
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Kumpulan Emas Berhad................................ 371,000 $ 295,618
Landmarks Berhad..................................... 179,000 232,486
Larut Consolidated Berhad............................ 199,000 225,956
Leong Hup Holdings Berhad............................ 230,000 233,665
Lion Corp. Berhad.................................... 189,000 387,789
Lion Land Berhad..................................... 489,000 473,414
MCB Holdings Berhad.................................. 108,000 110,582
MUI Properties Berhad................................ 579,000 350,629
MWE Holdings Berhad.................................. 228,000 208,924
Malayan Flour Mills Berhad........................... 137,000 174,661
Malayawata Steel Berhad.............................. 204,000 331,602
Malaysia Buildings Society Berhad.................... 76,000 113,243
Malaysian Mosaics Berhad............................. 79,000 104,494
Mega First Corp. Berhad.............................. 358,000 248,175
Minho (Malaysia) Berhad.............................. 105,000 125,498
Muda Holdings Berhad................................. 148,000 130,900
Nam Fatt Berhad...................................... 143,000 361,773
PJ Development Holdings Berhad....................... 380,000 316,414
Palmco Holdings Berhad............................... 229,000 279,179
Parit Perak Holdings Berhad.......................... 228,000 294,311
SCB Developments Berhad.............................. 165,000 206,414
*Sateras Resources (Malaysia) Berhad................. 292,000 216,382
Selangor Dredging Berhad............................. 159,000 126,060
Selangor Properties Berhad........................... 439,000 468,733
Shangri-la Hotels (Malaysia) Berhad.................. 422,000 442,175
South Malaysia Industries Berhad..................... 240,000 185,498
Taiping Consolidated Berhad.......................... 292,000 238,486
Tan & Tan Developments Berhad........................ 409,000 400,853
Tradewinds Malaysia Berhad........................... 118,000 188,048
Tronoh Mines Malaysia Berhad......................... 62,000 217,371
Uniphone Telecommunications Berhad................... 212,000 224,669
Utusan Melayu (Malaysia) Berhad...................... 56,000 66,486
*Wembley Industries Holdings Berhad.................. 128,000 137,689
Westmont Industries Berhad........................... 139,000 153,398
Worldwide Holdings Berhad............................ 83,000 105,817
------------
TOTAL COMMON STOCKS
(Cost $18,285,094)................................... 16,215,948
------------
INVESTMENT IN CURRENCY -- (0.5%)
*Malaysian Ringetts (Cost $2,457,261)................ 2,456,957
------------
TOTAL -- MALAYSIA
(Cost $20,742,355)................................... 18,672,905
------------
AUSTRALIA -- (4.0%)
COMMON STOCKS -- (3.8%)
A.P. Eagers, Ltd..................................... 16,699 40,751
#AAPC, Ltd........................................... 831,029 526,008
*AWA, Ltd............................................ 295,133 173,303
Aberfoyle, Ltd....................................... 124,736 370,983
#Adelaide Brighton, Ltd.............................. 206,951 299,860
Aerodata Holdings, Ltd............................... 52,987 25,053
Ashton Mining, Ltd................................... 389,300 623,450
Atkins Carlyle, Ltd.................................. 40,465 138,864
Australian Chemical Holdings, Ltd.................... 46,022 126,347
Australian Oil & Gas Corp., Ltd...................... 60,837 95,109
Australian Resources, Ltd............................ 296,363 153,685
Avatar Industries, Ltd............................... 76,770 77,865
Bridgestone Australia, Ltd........................... 26,822 70,773
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Caltex Australia, Ltd................................ 147,680 $ 506,795
*Cambridge Gulf Exploration NL....................... 93,366 12,816
Capral Aluminium, Ltd................................ 143,208 518,751
Central Equity, Ltd.................................. 86,419 96,219
Centro Properties, Ltd............................... 148,233 247,564
Consolidated Rutile, Ltd............................. 223,352 149,889
*Coplex Resources NL................................. 261,219 80,679
Country Road, Ltd.................................... 73,108 93,106
Coventry Group, Ltd.................................. 43,852 173,896
Crane (G.E) Holdings, Ltd............................ 56,212 535,842
*Crevet, Ltd......................................... 46,997 31,181
*Cudgen RZ, Ltd...................................... 47,724 101,904
*Cumnock Coal, Ltd................................... 40,710 52,777
*Davids Limited...................................... 304,153 287,615
*Denehurst, Ltd...................................... 78,163 4,471
*Devex, Ltd.......................................... 141,218 38,231
*Dome Resources NL................................... 195,839 25,389
*Dominion Mining, Ltd................................ 116,119 66,414
*ERG, Ltd............................................ 147,737 183,643
Eltin, Ltd........................................... 101,114 202,028
*Equatorial Mining NL................................ 439,930 80,518
FAI Insurances, Ltd.................................. 403,996 215,662
FAI Life, Ltd........................................ 152,560 90,747
Finemore Holdings, Ltd............................... 38,076 92,918
*Foodland Associated, Ltd............................ 153,508 965,790
Forrester Parker Group, Ltd.......................... 70,669 70,060
Gazal Corp., Ltd..................................... 89,069 74,037
*General Gold Resources NL........................... 135,245 20,628
*Gold Mines of Australia, Ltd........................ 399,336 47,203
Goldfields, Ltd...................................... 307,753 509,284
Gowing Bros., Ltd.................................... 60,124 119,212
Green's Foods, Ltd................................... 81,301 29,760
Gwalia Consolidated, Ltd............................. 83,313 155,660
Hancock and Gore, Ltd................................ 48,711 47,548
Harris Scarfe Holdings, Ltd.......................... 63,600 80,027
*Healthscope, Ltd.................................... 84,380 40,540
*Hudson Conway, Ltd.................................. 20,628 203,716
Iama, Ltd............................................ 90,352 196,372
*Intag International, Ltd............................ 93,568 19,266
Ipoh, Ltd............................................ 103,132 173,027
JNA Telecommunications, Ltd.......................... 38,610 31,505
Jupiters, Ltd........................................ 311,350 712,308
KLZ, Ltd............................................. 74,394 182,680
*Kingstream Resources NL............................. 81,521 57,195
Kurts (Peter) Properties, Ltd........................ 95,367 99,636
*Lachlan Resources NL................................ 217,903 38,220
Lanes, Ltd........................................... 10,033 21,117
*MRI Holdings, Ltd................................... 87,075 51,795
*MacMahon Holdings, Ltd.............................. 131,384 104,201
Memtec, Ltd.......................................... 12,138 280,008
Metal Manufactures, Ltd.............................. 281,927 610,595
Mirvac, Ltd.......................................... 204,437 442,768
National Consolidated, Ltd........................... 260,155 208,314
National Foods, Ltd.................................. 410,849 579,631
Northern Building Society, Ltd....................... 23,034 47,428
*Orbital Engine Corp., Ltd........................... 165,000 103,180
*Payce Consolidated, Ltd............................. 74,466 42,023
*Peptide Technology, Ltd............................. 153,432 57,334
Permanent Trustee Co., Ltd........................... 17,733 63,153
Pirelli Cables Australia, Ltd........................ 111,800 57,976
Primac Holdings, Ltd................................. 22,084 53,555
#QUF Industries, Ltd................................. 115,523 273,104
</TABLE>
44
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Savage Resources, Ltd............................... 709,593 $ 692,655
Schaffer Corp., Ltd.................................. 14,106 26,893
Sea World Property Trust............................. 61,000 79,082
Simeon Wines, Ltd.................................... 32,174 83,422
*Solution 6 Holdings, Ltd............................ 28,900 22,039
Southern Cross Broadcasting (Australia), Ltd......... 35,265 143,878
*Spectrum Network Systems, Ltd. Series B............. 149,597 36,507
Spicers Paper, Ltd................................... 161,639 263,790
*St. Barbara Mines, Ltd.............................. 178,304 87,024
*Star Mining Corp. NL................................ 302,691 41,550
Tassal, Ltd.......................................... 179,116 36,197
*Techniche, Ltd...................................... 34,687 52,905
Thakral Holdings Group............................... 636,426 412,539
*Ticor, Ltd.......................................... 324,754 289,760
*Titan Resources NL.................................. 125,121 30,057
*Union Gold Mining Co. NL............................ 118,986 71,684
Visions Systems, Ltd................................. 15,722 83,927
Walker Corp., Ltd.................................... 343,043 248,525
Wesfi, Ltd........................................... 63,214 99,789
Westralian Sands, Ltd................................ 106,985 318,189
White (Joe) Maltings, Ltd............................ 24,899 92,472
*Wide Bay Capricorn Building Society, Ltd............ 13,872 29,092
Wills (W.D. & H.O.) Holdings, Ltd.................... 176,529 262,512
*Wiluna Mines, Ltd................................... 224,333 104,357
Yates (Arthur) and Co. Property, Ltd................. 119,804 84,967
------------
TOTAL COMMON STOCKS
(Cost $15,201,295)................................... 17,174,774
------------
INVESTMENT IN CURRENCY -- (0.2%)
*Australian Dollar (Cost $954,244)................... 948,357
------------
TOTAL -- AUSTRALIA
(Cost $16,155,539)................................... 18,123,131
------------
SWITZERLAND -- (3.6%)
COMMON STOCKS -- (3.6%)
*Attisholz Holding AG, Attisholz..................... 1,670 710,739
Banque Privee Edmond de Rothschild SA, Geneve........ 105 371,527
*Biber Holding AG, Biberist.......................... 22,500 5,567
Bucher Holding AG, Niederweningen.................... 2,125 2,133,263
Calida Holding AG, Oberkirch......................... 100 98,268
Canon (Schweiz) AG, Dietlikon........................ 9,900 601,909
Carlo Gavazzi Holding AG, Baar Series B.............. 230 172,358
Coop Bank, Basel..................................... 370 227,572
Daetwyler Holding AG, Atldorf........................ 940 1,741,110
*Feldschloesschen-Huerlimann Holding AG,
Rheinfelden........................................ 5,035 1,413,146
*Financiere Tradition, Lausanne...................... 30 18,452
*Galenica Holding AG, Bern Series B.................. 3,115 1,358,752
Golay-Buchel Holding SA, Lausanne.................... 125 93,673
*Industrieholding Cham AG, Cham...................... 325 225,168
Keramik Holding AG Laufen, Laufen.................... 1,540 838,317
Kuehne & Nagel International AG, Schindellegi........ 700 410,746
*Maag Holding AG, Zuerich............................ 1,900 361,329
Magazine Zum Globus, Zuerich......................... 2,175 1,260,869
Porst Holding AG, Jegenstorf......................... 1,500 222,693
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Sihl Zuercher Papierfabriek an der Sihl, Zuerich.... 50 $ 33,227
*Swisslog Holding AG, Aarau.......................... 1,360 480,735
*UMS Schweizerische Metallwerke Holding AG, Bern..... 3,200 264,687
Unigestion Holding, Geneve........................... 9,200 442,276
Vaudoise Assurances Holding, Lausanne................ 189 402,853
Vaudoise d'Electricite SA, Morges.................... 95 178,650
*Von Moos Holding AG, Luzern......................... 9,000 101,485
*WMH Walter Meier Holding AG, Staefa................. 260 156,607
Zellweger Luwa AG, Uster............................. 590 450,477
*Zschokke Holding SA, Geneve......................... 1,950 516,967
*Zueblin Holding AG, Zuerich......................... 3,300 163,309
Zuercher Ziegeleien Holding, Zuerich................. 2,000 1,046,306
------------
TOTAL COMMON STOCKS
(Cost $16,358,167)................................... 16,503,037
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $1).............................. 0
------------
TOTAL -- SWITZERLAND
(Cost $16,358,168)................................... 16,503,037
------------
SPAIN -- (2.9%)
COMMON STOCKS -- (2.9%)
*Acieras y Forjas de Azcoita SA...................... 2,613 74,631
*BAMI SA (Inmobiliara de Construcciones y
Terrenos).......................................... 36,200 84,617
*Banco de Vitoria SA................................. 3,678 53,033
Banco Guipuzcoano SA................................. 19,247 728,085
Banco Pastor SA...................................... 24,600 1,531,120
Banco Zaragozano SA.................................. 51,800 1,271,715
Bodegas y Bebidas SA................................. 5,959 200,694
Construcciones Lain SA............................... 230,300 417,279
Cubiertas y Mzov SA.................................. 1,925 208,342
*EPPIC (European Paper and Packaging Investment
Corporation SA) (In Liquidation)................... 43,400 30,914
ESSA (Estacionamientos Subterraneos SA).............. 9,400 187,870
Empresa Nacional de Celulosa SA...................... 54,900 806,795
Europistas Concesionaria Espanola SA................. 88,900 716,241
Fabricacion de Automoviles Renault de Espana SA...... 9,146 189,751
*Filo SA............................................. 65,600 212,769
GESA (Gas y Electricidad SA)......................... 20,500 1,141,252
Grupo Anaya SA....................................... 10,400 201,383
*Grupo Fosforera SA.................................. 12,060 30,025
*Huarte SA........................................... 12,900 61,110
Inbesos SA........................................... 3,200 33,527
*Inmobiliaria Urbis SA............................... 144,300 1,072,770
*Inmobiliaria Zabalburu SA........................... 7,501 150,435
*Nueva Montana Quijano SA Series B................... 122,740 101,859
OCP Construcciones SA................................ 20,100 973,029
Omsa Alimentacion SA................................. 6,820 33,581
*Pescanova SA........................................ 3,000 40,768
Sarrio SA............................................ 216,615 772,983
Tableros de Fibras SA Series B....................... 38,487 468,445
*#Tavex Algodonera SA................................ 17,800 214,806
</TABLE>
45
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Unipapel SA.......................................... 17,029 $ 329,746
Uralita SA........................................... 63,500 614,800
------------
TOTAL COMMON STOCKS
(Cost $10,735,173)................................... 12,954,375
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $69,845)....................... 69,871
------------
TOTAL -- SPAIN
(Cost $10,805,018)................................... 13,024,246
------------
ITALY -- (2.8%)
COMMON STOCKS -- (2.8%)
*Ansaldo Trasporti SpA............................... 497,000 463,581
*#Attivita Immobiliari............................... 310,000 334,908
*Banca Nazionale dell'Agricoltura SpA................ 1,637,500 946,403
Banco di Chiavari e della Riviera Ligure SpA,
Chiavari........................................... 172,500 259,682
*Banco di Napoli..................................... 1,430,000 493,523
Bassetti SpA......................................... 69,000 254,997
*Brioschi Finanziaria SpA, Milano.................... 100,000 9,741
#CEMENTIR (Cementarie del Tirreno SpA), Roma......... 810,000 462,406
#Caltagirone SpA..................................... 1,040,000 614,582
*Cantoni ITC SpA..................................... 37,500 42,173
#Cementeria di Augusta SpA........................... 142,500 182,973
*Cia Assicuratrice Unipol SpA........................ 196,728 521,464
#Comau SpA........................................... 295,500 950,750
Ericsson SpA......................................... 128,500 2,150,643
*FONSPA (Credito Fondiaro e Industriale Istituto per
i Finanziamenti a Medio e Lungo Termine SpA)....... 527,000 496,231
*Finarte Casa d'Aste SpA (Milano).................... 75,000 48,527
*Finarte Partecipazioni Pro Arte SpA................. 221,640 138,435
*Fincasa 44 SpA...................................... 175,000 15,497
*Gabetti Holding SpA................................. 110,000 50,003
*Grassetto SpA....................................... 110,000 26,313
*Impregilo SpA....................................... 655,000 477,165
*Linificio & Canapificio Nazionale SpA............... 185,000 83,550
#Maffei SpA.......................................... 90,500 117,539
Magona d'Italia SpA, Firenze......................... 9,000 44,960
Marangoni SpA, Rovereto.............................. 63,000 158,904
*Milano Assicurazioni SpA............................ 61,000 133,603
#Montefibre SpA, Milano.............................. 262,464 141,311
*Necchi SpA.......................................... 50,000 18,449
*Premafin Finanziaria SpA............................ 2,615,000 756,450
Riva Finanziaria SpA................................. 86,000 304,622
SISA (Societa Imballaggi Speciali Asti SpA).......... 100,000 69,662
#SOPAF (Societa Partecipazioni Finanziarie SpA)...... 580,000 552,984
*Saffa SpA, Milano................................... 172,060 311,839
*Stayer SpA.......................................... 65,000 49,693
*Stefanel SpA........................................ 240,000 361,296
Vianini Industria SpA................................ 255,000 107,787
#Vianini Lavori SpA.................................. 232,500 350,006
Zucchi (Vincenzo) SpA................................ 60,000 313,478
------------
TOTAL COMMON STOCKS
(Cost $13,380,832)................................... 12,816,130
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Banco di Napoli SpA Rights.......................... 1,430,000 $ 1,266
*Unipol SpA Warrants................................. 56,208 15,032
------------
TOTAL RIGHTS/WARRANTS
(Cost $82,659)....................................... 16,298
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira (Cost $15,940)......................... 15,755
------------
TOTAL -- ITALY
(Cost $13,479,431)................................... 12,848,183
------------
SWEDEN -- (2.5%)
COMMON STOCKS -- (2.3%)
Alma Industri & Handel AB Series B................... 8,000 190,119
Angpannefoereningen AB Series B...................... 7,650 128,447
Argonaut AB Series A................................. 88,100 166,130
*Argonaut AB Series B................................ 186,600 361,511
B & N Bylock & Nordsjoefrakt AB Series B............. 69,300 805,554
BPA AB Series A...................................... 64,900 180,220
BPA AB Series B...................................... 49,700 134,801
Beijer AB Series B................................... 8,000 115,725
Benima Ferator Engineering AB........................ 10,600 50,382
Berg (C.F.) & Co. AB Series B........................ 8,200 39,716
Bongs Fabriker AB Series B........................... 11,400 85,399
Boras Waefveri AB Series B........................... 15,900 129,377
*#Concordia Maritime AB Series B..................... 107,800 285,425
*Evidentia Fastigheter AB Series A................... 30,410 153,965
*Evidentia Fastigheter AB Series B................... 3,900 19,191
FFNS Gruppen AB Series B............................. 26,800 224,992
*Fastighits AB Celtica............................... 11,000 51,857
Forcenergy AB Series B............................... 40,700 494,130
*Frontline AB........................................ 167,500 592,767
Geveko AB Series B................................... 16,800 202,880
*ICB Shipping AB Series B............................ 101,000 1,141,427
JP Bank Series A..................................... 34,100 171,766
JP Bank Series B..................................... 18,400 92,683
Jacobson and Widmark AB.............................. 22,900 109,435
Kjessler & Mannerstrale AB........................... 4,900 29,745
Klippans Finpappersbruk AB........................... 23,400 93,086
Kloevern Foervaltnings AB Series B................... 258,200 710,321
NH Nordiska Holding AB............................... 86,500 120,659
*#Nordstroem & Thulin AB Series B.................... 326,400 800,982
*Piren AB............................................ 16,018 105,508
Platzer Bygg AB Series B............................. 77,200 169,506
*Prifast AB.......................................... 9,400 88,628
*Sandblom & Stohne AB Series B....................... 5,800 56,932
Scandiaconsult AB.................................... 18,700 113,516
*Sifab Fastignets AB................................. 35,500 197,158
*Solitair Kapital AB................................. 242,400 212,892
*Spendrups Bryggeri AB Series B...................... 23,600 170,694
*#Stena Line AB Series B............................. 212,300 1,028,253
VBB Gruppen AB Series B.............................. 40,500 164,772
Westergyllen AB Series B............................. 6,800 136,132
*Wihlborg & Son AB Series B.......................... 224,800 406,484
------------
TOTAL COMMON STOCKS
(Cost $9,565,460).................................... 10,533,167
------------
INVESTMENT IN CURRENCY -- (0.2%)
*Swedish Krona (Cost $949,267)....................... 945,744
------------
</TABLE>
46
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Wihlborg & Son AB Warrants Series B 12/20/00 (Cost
$0)................................................ 46,200 $ 32,819
------------
TOTAL -- SWEDEN
(Cost $10,514,727)................................... 11,511,730
------------
SINGAPORE -- (2.5%)
COMMON STOCKS -- (2.2%)
Apollo Enterprises, Ltd.............................. 138,000 122,688
Bonvests Holdings, Ltd............................... 319,000 267,973
*CK Tang, Ltd........................................ 52,000 63,339
Carnaudmetalbox Asia, Ltd............................ 110,000 232,552
Chevalier Singapore Holdings, Ltd.................... 144,000 48,890
Chuan Hup Holdings, Ltd.............................. 296,000 219,643
Cosco Investment (Singapore), Ltd.................... 165,000 146,692
Focal Finance, Ltd................................... 82,000 144,655
*General Magnetics, Ltd.............................. 128,000 39,426
Haw Par Brothers International, Ltd.................. 304,000 680,994
Hind Hotels International, Ltd....................... 99,000 167,021
Hong Kok Corp., Ltd.................................. 225,000 379,594
Hotel Grand Central, Ltd............................. 276,700 232,440
Hotel Plaza, Ltd..................................... 660,000 395,030
Hwa Hong Corp., Ltd.................................. 230,000 391,250
*Hwa Tat Lee, Ltd.................................... 207,000 55,789
Insurance Corp. of Singapore, Ltd.................... 83,000 174,309
Intraco, Ltd......................................... 145,000 194,890
Isetan (Singapore), Ltd.............................. 49,000 99,475
Jack Chia-MPH, Ltd................................... 208,000 209,674
*Jurong Engineering, Ltd............................. 54,000 129,282
Keppel Marine Industries, Ltd........................ 303,000 322,408
LC Development, Ltd.................................. 198,000 152,468
Lee Kim Tah Holdings, Ltd............................ 72,000 52,419
Liang Court Holdings, Ltd............................ 778,600 501,443
Lim Kah Ngam, Ltd.................................... 107,000 118,348
Low Keng Huat Singapore, Ltd......................... 181,000 73,490
Metro Holdings, Ltd.................................. 172,800 556,444
Neptune Orient Lines, Ltd............................ 900,000 812,741
Pacific Carriers, Ltd................................ 495,000 339,587
Prima, Ltd........................................... 56,000 192,874
Republic Hotels and Resorts, Ltd..................... 114,000 127,686
Robinson & Co., Ltd.................................. 3,000 15,121
SNP Corp., Ltd....................................... 72,500 49,737
*Scotts Holdings, Ltd................................ 358,000 288,204
Shangri-la Hotel, Ltd................................ 66,000 198,670
Singapura Building Society, Ltd...................... 65,000 63,248
*Tat Lee Finance, Ltd................................ 60,000 71,404
Tibs Holdings, Ltd................................... 75,000 110,781
Times Publishing, Ltd................................ 200,000 448,022
Tuan Sing Holdings, Ltd.............................. 283,000 104,998
United Engineers, Ltd................................ 254,000 400,070
United Overseas Finance, Ltd......................... 110,000 132,447
Vickers Ballas Holdings, Ltd......................... 298,000 260,763
WBL Corp., Ltd....................................... 82,000 243,388
------------
TOTAL COMMON STOCKS
(Cost $10,826,728)................................... 10,032,367
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.3%)
*Singapore Dollars (Cost $1,099,135)................. $ 1,100,928
------------
TOTAL -- SINGAPORE
(Cost $11,925,863)................................... 11,133,295
------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
Banque Belgo-Zairoise Belgolaise SA.................. 83 33,308
Belge des Betons..................................... 626 280,510
Belvuco NV........................................... 500 107,771
Bernheim-Comofi SA................................... 9,640 477,079
CFE (Compagnie Francois d'Entreprises)............... 2,996 803,805
Fabrique de Fer de Charleroi......................... 220 612,706
Floridienne NV....................................... 1,900 93,222
*Forges de Clabecq SA................................ 1,760 3,794
*Franki NV (Cie Internationale des Pieux Armes
Frankignoul SA).................................... 1,800 23,381
*Immobel (Cie Immobiliere de Belgique SA)............ 17,260 1,292,297
*Papeteries de Catala SA............................. 450 54,814
*Recticel SA......................................... 58,686 790,580
SIPEF (Societe Internationale de Plantations & de
Finance), Anvers................................... 275 60,444
Sapec SA............................................. 6,401 276,844
Ter Beke NV.......................................... 1,600 140,669
Uco Textiles NV...................................... 2,000 226,319
------------
TOTAL COMMON STOCKS
(Cost $4,879,662).................................... 5,277,543
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs (Cost $17,040)....................... 17,206
------------
TOTAL -- BELGIUM
(Cost $4,896,702).................................... 5,294,749
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.9%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
6.00%, 08/15/99)
(Cost $21,972,000)................................. $ 21,972 21,972,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $476,085,584)++................................ $452,127,726
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
++The cost for federal income tax purposes is $476,470,836.
</TABLE>
See accompanying Notes to Financial Statements.
47
<PAGE>
THE DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
AGENCY OBLIGATIONS -- (52.9%)
Farm Credit System Financial Assistance Corp.
9.375%, 07/21/03................................... $ 2,000 $ 2,252,500
8.800%, 06/10/05................................... 1,000 1,100,000
Federal Farm Credit Bank
6.560%, 08/05/02................................... 2,000 1,989,480
6.320%, 09/09/02................................... 1,000 984,150
6.875%, 04/04/03................................... 1,190 1,201,364
7.030%, 06/24/03................................... 2,000 2,028,820
7.160%, 05/19/10................................... 3,000 3,028,950
Federal Home Loan Bank
7.190%, 04/27/01................................... 7,000 7,120,189
6.290%, 07/03/02................................... 3,100 3,049,687
6.225%, 10/17/02................................... 2,000 1,959,400
5.930%, 03/07/03................................... 10,085 9,704,795
5.440%, 10/15/03................................... 1,000 934,190
Federal Home Loan Mortgage Corp.
7.350%, 03/22/05................................... 2,000 2,049,600
6.130%, 02/27/06................................... 1,000 946,840
Federal National Mortgage Association
7.050%, 11/12/02................................... 2,000 2,033,420
6.800%, 01/10/03................................... 6,000 6,041,819
6.710%, 05/21/03................................... 2,000 1,996,460
6.050%, 06/30/03................................... 3,000 2,897,069
5.450%, 10/10/03................................... 2,000 1,869,620
7.400%, 07/01/04................................... 1,000 1,034,210
7.375%, 03/28/05................................... 1,000 1,026,340
6.220%, 03/13/06................................... 3,070 2,924,144
Student Loan Marketing Association
5.850%, 06/01/07................................... 1,000 919,740
Tennessee Valley Authority
6.375%, 06/15/05................................... 5,000 4,831,250
------------
TOTAL AGENCY OBLIGATIONS
(Cost $64,073,668)................................... 63,924,037
------------
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- (45.5%)
U.S. Treasury Bonds
11.625%, 11/15/02.................................. $ 5,340 $ 6,576,050
10.750%, 02/15/03.................................. 4,000 4,787,599
10.750%, 05/15/03.................................. 8,000 9,628,960
11.125%, 08/15/03.................................. 2,000 2,456,340
11.875%, 11/15/03.................................. 3,000 3,820,410
12.375%, 05/15/04.................................. 1,000 1,316,530
12.000%, 05/15/05.................................. 5,000 6,624,399
10.750%, 08/15/05.................................. 2,000 2,508,920
9.375%, 02/15/06................................... 4,000 4,714,040
U.S. Treasury Notes
15.750%, 11/15/01.................................. 1,750 2,370,007
14.250%, 02/15/02.................................. 3,750 4,913,475
7.500%, 05/15/02................................... 2,000 2,083,060
7.250%, 05/15/04................................... 3,000 3,108,690
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $55,154,599)................................... 54,908,480
------------
SUPRANATIONAL OBLIGATIONS -- (0.9%)
European Investment Bank
9.125%, 06/01/02 (Cost $1,102,197)................. 1,000 1,101,250
------------
TEMPORARY CASH INVESTMENTS -- (0.7%)
Repurchase Agreement, PNC Capital Markets Inc.
5.25%, 06/02/97 (Collateralized by U.S. Treasury
Notes 6.00%, 08/15/99)
(Cost $854,000).................................. 854 854,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $121,184,464)++................................ $120,787,767
------------
------------
- --------------------
+See Note B to Financial Statements.
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
48
<PAGE>
SCHEDULES OF INVESTMENTS
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
---------------- ----------------
<S> <C> <C>
Investment in The DFA One-Year Fixed Income Series of The DFA Investment Trust Company.... 75,592,738 $ 756,281,051
----------------
Total Investments (100%) (Cost $749,766,623)++........................................ $ 756,281,051
----------------
----------------
</TABLE>
- --------------
++ The cost for federal income tax purposes is $753,930,942.
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
--------- -------------
(000)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- (99.0%)
U.S. Treasury Notes
5.875%, 01/31/99........................................................... $ 12,000 $ 11,954,759
5.875%, 02/28/99........................................................... 3,000 2,986,740
6.875%, 07/31/99........................................................... 7,000 7,086,449
8.000%, 08/15/99........................................................... 2,000 2,069,860
7.125%, 09/30/99........................................................... 6,000 6,108,719
7.500%, 10/31/99........................................................... 62,000 63,623,154
7.875%, 11/15/99........................................................... 47,000 48,644,995
7.750%, 11/30/99........................................................... 44,000 45,430,876
-------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $187,583,467).......................... 187,905,552
-------------
TEMPORARY CASH INVESTMENTS -- (1.0%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%, 06/02/97
(Collateralized by U.S. Treasury Notes 6.00%, 08/15/99) (Cost
$1,836,000).............................................................. 1,836 1,836,000
-------------
TOTAL INVESTMENTS -- (100.0%) (Cost $189,419,567)++........................ $ 189,741,552
-------------
-------------
</TABLE>
- --------------
++ Approximates cost for federal income tax purposes.
THE DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
---------------- ----------------
<S> <C> <C>
Investment in The DFA Two-Year Global Fixed Income Series of The DFA Investment Trust
Company................................................................................. 34,998,608 $ 361,539,424
----------------
Total Investments (100%) (Cost $351,814,454)++........................................ $ 361,539,424
----------------
----------------
</TABLE>
- --------------
++ Approximates cost for federal income tax purposes.
- --------------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements
49
<PAGE>
THE DFA GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
CANADA -- (24.0%)
BONDS -- (24.0%)
British Columbia (Province of)
7.750%, 06/16/03................................... 6,750 $ 5,257,658
Canada (Government of)
7.250%, 06/01/03................................... 14,000 10,723,296
European Investment Bank
9.000%, 12/06/01................................... 2,000 1,611,992
General Electric Capital Canada, Inc.
8.000%, 12/29/00................................... 5,000 3,879,716
8.250%, 12/29/00................................... 6,684 5,213,026
Kansai International Airport Co., Ltd.
8.000%, 07/02/03................................... 7,000 5,458,469
Oesterreichische Kontrollbank AG Euro Medium Term Notes
7.000%, 12/31/01................................... 7,140 5,356,681
SNCF (Societe Nationale des Chemins de Fer Francaise)
9.250%, 12/20/01................................... 3,570 2,890,332
Toyota Credit Canada Inc.
7.375%, 12/31/01................................... 10,503 7,993,811
------------
TOTAL BONDS
(Cost $49,324,208)................................... 48,384,981
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Canadian Dollars (Cost $1).......................... 2
------------
TOTAL -- CANADA
(Cost $49,324,209)................................... 48,384,983
------------
JAPAN -- (19.7%)
BONDS -- (19.7%)
Asian Development Bank
5.625%, 02/18/02................................... 400,000 3,993,127
5.000%, 02/05/03................................... 800,000 7,890,035
Austria (Republic of)
6.250%, 10/16/03................................... 500,000 5,268,041
Deutsche Siedlungs Landesrentenbank
2.600%, 07/10/02................................... 868,000 7,654,656
Inter-American Development Bank
6.000%, 10/30/01................................... 500,000 5,034,364
2.250%, 02/05/02................................... 500,000 4,342,784
Japan Development Bank
6.500%, 09/20/01................................... 550,000 5,622,852
------------
TOTAL BONDS
(Cost $39,624,188)................................... 39,805,859
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $2).............................. 2
------------
TOTAL -- JAPAN
(Cost $39,624,190)................................... 39,805,861
------------
GERMANY -- (17.0%)
BONDS -- (17.0%)
Belgium (Kingdom of)
7.000%, 05/30/02................................... 7,000 4,459,274
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
Germany (Federal Republic of)
8.250%, 09/20/01................................... 13,000 $ 8,640,550
8.000%, 01/21/02................................... 8,000 5,288,707
LB Rheinland-Pfalz Finance BV
5.375%, 02/12/02................................... 14,700 8,786,454
Minnesota Mining and Manufacturing Co.
5.000%, 10/15/01................................... 4,700 2,781,498
World Bank (International Bank for Reconstruction and
Development)
6.125%, 09/27/02................................... 7,000 4,300,761
------------
TOTAL BONDS
(Cost $37,481,899)................................... 34,257,244
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $2).............................. 2
------------
TOTAL -- GERMANY
(Cost $37,481,901)................................... 34,257,246
------------
FRANCE -- (16.6%)
BONDS -- (16.6%)
Caisse d'Amortissement et de Dette Sociale
5.500%, 04/25/02................................... 31,200 5,542,703
Credit Locale de France SA
7.000%, 05/12/03................................... 31,000 5,831,029
Europe Coal and Steel
7.000%, 05/14/03................................... 10,000 1,888,600
France (Government of)
6.750%, 10/25/03................................... 17,000 3,173,510
France (Government of) BTAN
4.750%, 03/12/02................................... 30,000 5,183,992
Regie Autonome des Transports Parisiens SA
6.000%, 09/24/03................................... 28,000 5,013,513
SNCF (Societe Nationale des Chemins de Fer Francais)
9.000%, 04/02/03................................... 20,000 4,104,989
Suedwestdeutsche Landesbank Giro & Suedwestlb Capital
Markets P.L.C.
6.000%, 03/08/02................................... 15,500 2,806,220
------------
TOTAL -- FRANCE
(Cost $35,210,895)................................... 33,544,556
------------
AUSTRALIA -- (9.2%)
BONDS -- (9.2%)
ABN-Amro Australia, Ltd.
8.250%, 11/03/00................................... 5,800 4,608,862
New South Wales Treasury Corp. Euro Medium Term Notes
8.750%, 04/18/02................................... 2,000 1,624,342
Queensland Treasury Corp.
8.000%, 05/14/03................................... 7,000 5,546,404
State Bank of New South Wales
11.750%, 08/16/01.................................. 3,800 3,373,431
10.750%, 03/12/02.................................. 2,000 1,737,970
</TABLE>
50
<PAGE>
THE DFA GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
State Bank of South Australia
11.000%, 04/10/02.................................. 2,000 $ 1,758,560
------------
TOTAL BONDS
(Cost $18,764,656)................................... 18,649,569
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $1)......................... 1
------------
TOTAL -- AUSTRALIA
(Cost $18,764,657)................................... 18,649,570
------------
UNITED STATES -- (5.6%)
U.S. TREASURY OBLIGATIONS -- (5.6%)
U.S. Treasury Notes
5.625%, 11/30/98................................... 3,000 2,981,279
8.000%, 08/15/99................................... 5,000 5,176,562
7.500%, 10/31/99................................... 3,000 3,079,219
------------
TOTAL -- UNITED STATES
(Cost $11,285,257)................................... 11,237,060
------------
UNITED KINGDOM -- (3.6%)
BONDS -- (3.6%)
Nippon Telegraph & Telephone Corp.
10.875%, 05/10/01.................................. 2,000 3,636,096
Tokyo Electric Power Co., Ltd.
11.000%, 06/05/01.................................. 2,000 3,634,138
------------
TOTAL -- UNITED KINGDOM
(Cost $6,840,238).................................... 7,270,234
------------
NETHERLANDS -- (2.7%)
BONDS -- (2.7%)
Netherlands (Kingdom of)
5.750%, 09/15/02 (Cost $5,382,653)................. 10,000 5,396,246
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $3,241)................... 3,281
------------
TOTAL -- NETHERLANDS
(Cost $5,385,894).................................... 5,399,527
------------
TEMPORARY CASH INVESTMENTS -- (1.6%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
5.50%, 11/15/98)................................... 3,356 3,356,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $207,273,241)++................................ $201,905,037
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
@Denominated in local currency.
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
51
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE ENHANCED
THE U.S. 9-10 6-10 SMALL LARGE U.S. LARGE
SMALL COMPANY COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------ ------------ --------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value.................................. $ 1,223,745 $ 279,221 $ 265,459 $ 26,018
Receivables
Dividends and Interest............................ 749 -- -- --
Investment Securities Sold........................ 2,341 -- -- --
Fund Shares Sold.................................. 801 131 320 39
Prepaid Expenses and Other Assets..................... 79 13 31 31
------------- ------------ ------------ --------------
Total Assets.................................. 1,227,715 279,365 265,810 26,088
------------- ------------ ------------ --------------
LIABILITIES:
Payable for Investment Securities Purchased........... 2,237 44 292 39
Payable for Fund Shares Redeemed...................... 203 87 28 --
Accrued Expenses and Other Liabilities................ 672 88 25 6
------------- ------------ ------------ --------------
Total Liabilities............................. 3,112 219 345 45
------------- ------------ ------------ --------------
NET ASSETS............................................ $ 1,224,603 $ 279,146 $ 265,465 $ 26,043
------------- ------------ ------------ --------------
------------- ------------ ------------ --------------
SHARES OUTSTANDING $.01 PAR VALUE..................... 105,099,936 19,364,484 10,501,099 2,126,134
------------- ------------ ------------ --------------
------------- ------------ ------------ --------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE........ $ 11.65 $ 14.42 $ 25.28 $ 12.25
------------- ------------ ------------ --------------
------------- ------------ ------------ --------------
PUBLIC OFFERING PRICE PER SHARE....................... $ 11.65 $ 14.42 $ 25.28 $ 12.25
------------- ------------ ------------ --------------
------------- ------------ ------------ --------------
Investments at Cost................................... $ 993,254 $ 221,051 $ 180,165 $ 22,696
------------- ------------ ------------ --------------
------------- ------------ ------------ --------------
</TABLE>
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE DFA REAL
SMALL CAP LARGE CAP ESTATE
VALUE VALUE SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ -------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE
AMOUNTS)
<S> <C> <C> <C>
ASSETS:
Investments at Value...................................................... $ 1,600,143 $ 683,153 $ 93,724
Receivables
Dividends and Interest................................................ -- -- 173
Fund Shares Sold...................................................... 875 872 28
Prepaid Expenses and Other Assets......................................... 104 54 13
------------ ------------ -------------
Total Assets...................................................... 1,601,122 684,079 93,938
------------ ------------ -------------
LIABILITIES:
Payable for Investment Securities Purchased............................... 875 735 2,348
Payable for Fund Shares Redeemed.......................................... -- 137 9
Accrued Expenses and Other Liabilities.................................... 381 85 47
------------ ------------ -------------
Total Liabilities................................................. 1,256 957 2,404
------------ ------------ -------------
NET ASSETS................................................................ $ 1,599,866 $ 683,122 $ 91,534
------------ ------------ -------------
------------ ------------ -------------
SHARES OUTSTANDING $.01 PAR VALUE......................................... 86,959,103 39,729,480 6,848,502
------------ ------------ -------------
------------ ------------ -------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE............................ $ 18.40 $ 17.19 $ 13.37
------------ ------------ -------------
------------ ------------ -------------
PUBLIC OFFERING PRICE PER SHARE........................................... $ 18.40 $ 17.19 $ 13.37
------------ ------------ -------------
------------ ------------ -------------
Investments at Cost....................................................... $ 1,227,417 $ 526,825 $ 80,274
------------ ------------ -------------
------------ ------------ -------------
</TABLE>
See accompanying Notes to Financial Statements
52
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
THE PACIFIC THE UNITED
THE JAPANESE RIM SMALL KINGDOM SMALL
SMALL COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- ---------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C>
ASSETS:
Investments at Value............................................... $ 243,896 $ 217,237 $ 170,438
Receivables
Investment Securities Sold..................................... 216 90 159
Fund Shares Sold............................................... 1 1 6
Prepaid Expenses and Other Assets.................................. 5 10 8
-------------- -------------- ---------------
Total Assets............................................... 244,118 217,338 170,611
-------------- -------------- ---------------
LIABILITIES:
Payable for Fund Shares Redeemed................................... 217 91 165
Accrued Expenses and Other Liabilities............................. 106 82 68
-------------- -------------- ---------------
Total Liabilities.......................................... 323 173 233
-------------- -------------- ---------------
NET ASSETS......................................................... $ 243,795 $ 217,165 $ 170,378
-------------- -------------- ---------------
-------------- -------------- ---------------
SHARES OUTSTANDING $.01 PAR VALUE.................................. 14,873,641 13,886,090 6,177,912
-------------- -------------- ---------------
-------------- -------------- ---------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE..................... $ 16.39 $ 15.64 $ 27.58
-------------- -------------- ---------------
-------------- -------------- ---------------
PUBLIC OFFERING PRICE PER SHARE.................................... $ 16.47 $ 15.80 $ 27.58
-------------- -------------- ---------------
-------------- -------------- ---------------
Investments at Cost................................................ $ 327,031 $ 186,616 $ 139,642
-------------- -------------- ---------------
-------------- -------------- ---------------
</TABLE>
<TABLE>
<CAPTION>
THE THE
CONTINENTAL INTERNATIONAL THE RWB/DFA
SMALL SMALL INTERNATIONAL
COMPANY COMPANY HIGH BOOK TO
PORTFOLIO PORTFOLIO MARKET PORTFOLIO
------------ ------------ ----------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C>
ASSETS:
Investments at Value.................................................. $ 309,999 $ 148,026 $ 288,691
Cash.................................................................. -- 25 --
Receivables
Investment Securities Sold........................................ 187 -- --
Fund Shares Sold.................................................. 51 171 373
Prepaid Expenses and Other Assets..................................... 13 53 43
------------ ------------ ----------------
Total Assets.................................................. 310,250 148,275 289,107
------------ ------------ ----------------
LIABILITIES:
Payable for Investment Securities Purchased........................... -- -- 38
Payable for Fund Shares Redeemed...................................... 238 14 335
Accrued Expenses and Other Liabilities................................ 126 54 43
------------ ------------ ----------------
Total Liabilities............................................. 364 68 416
------------ ------------ ----------------
NET ASSETS............................................................ $ 309,886 $ 148,207 $ 288,691
------------ ------------ ----------------
------------ ------------ ----------------
SHARES OUTSTANDING $.01 PAR VALUE..................................... 20,058,418 15,137,469 20,862,421
------------ ------------ ----------------
------------ ------------ ----------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE........................ $ 15.45 $ 9.79 $ 13.84
------------ ------------ ----------------
------------ ------------ ----------------
PUBLIC OFFERING PRICE PER SHARE....................................... $ 15.60 $ 9.86 $ 13.84
------------ ------------ ----------------
------------ ------------ ----------------
Investments at Cost................................................... $ 261,362 $ 150,342 $ 244,976
------------ ------------ ----------------
------------ ------------ ----------------
</TABLE>
See accompanying Notes to Financial Statements
53
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
THE DFA THE DFA
INTERNATIONAL INTERMEDIATE
THE EMERGING THE LARGE CAP SMALL CAP GOVERNMENT
MARKETS INTERNATIONAL VALUE FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------- ------------- --------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value.............................................. $ 214,785 $ 84,825 $ 452,128 $ 120,788
Cash.............................................................. -- 15 1,386 --
Receivables
Investment Securities Sold.................................... -- 77 3,192 --
Dividends and Interest........................................ -- 473 1,935 1,823
Fund Shares Sold.............................................. 301 99 561 475
Prepaid Expenses and Other Assets................................. 45 4 75 14
------------ ------------- ------------- --------------
Total Assets.............................................. 215,131 85,493 459,277 123,100
------------ ------------- ------------- --------------
LIABILITIES:
Payable for Investment Securities Purchased....................... 276 -- 14,660 --
Payable for Fund Shares Redeemed.................................. 25 5 135 86
Accrued Expenses and Other Liabilities............................ 78 44 347 36
------------ ------------- ------------- --------------
Total Liabilities......................................... 379 49 15,142 122
------------ ------------- ------------- --------------
NET ASSETS........................................................ $ 214,752 $ 85,444 $ 444,135 $ 122,978
------------ ------------- ------------- --------------
------------ ------------- ------------- --------------
SHARES OUTSTANDING $.01 PAR VALUE................................. 16,703,880 5,924,180 44,927,042 11,274,361
------------ ------------- ------------- --------------
------------ ------------- ------------- --------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE.................... $ 12.86 $ 14.42 $ 9.89 $ 10.91
------------ ------------- ------------- --------------
------------ ------------- ------------- --------------
PUBLIC OFFERING PRICE PER SHARE................................... $ 12.92 $ 14.42 $ 9.96 $ 10.91
------------ ------------- ------------- --------------
------------ ------------- ------------- --------------
Investments at Cost............................................... $ 195,519 $ 61,378 $ 476,086 $ 121,184
------------ ------------- ------------- --------------
------------ ------------- ------------- --------------
</TABLE>
<TABLE>
<CAPTION>
THE DFA
THE DFA THE DFA TWO-YEAR
ONE-YEAR FIXED FIVE-YEAR GLOBAL FIXED THE DFA GLOBAL
INCOME GOVERNMENT INCOME FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------- ------------- --------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value............................................ $ 756,281 $ 189,742 $ 361,539 $ 201,905
Cash............................................................ -- -- -- 11
Receivables
Investment Securities Sold.................................. 39 -- -- --
Dividends and Interest...................................... -- 2,851 -- 5,787
Fund Shares Sold............................................ 460 390 852 571
Unrealized Gain on Forward Currency Contracts............... -- -- -- 1,153
Prepaid Expenses and Other Assets............................... 59 11 134 107
-------------- ------------- ------------- --------------
Total Assets............................................ 756,839 192,994 362,525 209,534
-------------- ------------- ------------- --------------
LIABILITIES:
Payable for Investment Securities Purchased..................... -- -- 819 2,612
Payable for Fund Shares Redeemed................................ 499 69 33 5
Accrued Expenses and Other Liabilities.......................... 68 58 31 101
-------------- ------------- ------------- --------------
Total Liabilities....................................... 567 127 883 2,718
-------------- ------------- ------------- --------------
NET ASSETS...................................................... $ 756,272 $ 192,867 $ 361,642 $ 206,816
-------------- ------------- ------------- --------------
-------------- ------------- ------------- --------------
SHARES OUTSTANDING $.01 PAR VALUE............................... 74,032,074 18,888,977 34,971,231 19,492,375
-------------- ------------- ------------- --------------
-------------- ------------- ------------- --------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE.................. $ 10.22 $ 10.21 $ 10.34 $ 10.61
-------------- ------------- ------------- --------------
-------------- ------------- ------------- --------------
PUBLIC OFFERING PRICE PER SHARE................................. $ 10.22 $ 10.21 $ 10.34 $ 10.61
-------------- ------------- ------------- --------------
-------------- ------------- ------------- --------------
Investments at Cost............................................. $ 749,767 $ 189,420 $ 351,814 $ 207,273
-------------- ------------- ------------- --------------
-------------- ------------- ------------- --------------
</TABLE>
See accompanying Notes to Financial Statements
54
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE
THE U.S. THE U.S. THE U.S. ENHANCED
9-10 SMALL 6-10 SMALL LARGE U.S. LARGE
COMPANY COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends.................................................... $ 4,171 -- -- --
Interest..................................................... 453 -- -- --
Income from Securities Lending............................... 263 -- -- --
Income Distributions Received................................ -- $ 281 -- $ 543
Net Investment Income from The DFA Investment Trust
Company.................................................... -- -- $ 2,109 --
----------- ----------- ----------- -----------
Total Investment Income................................ 4,887 281 2,109 543
----------- ----------- ----------- -----------
EXPENSES
Investment Advisory Services................................. 2,929 -- -- --
Administrative Services...................................... -- 395 238 21
Accounting & Transfer Agent Fees............................. 324 10 53 10
Custodian's Fee.............................................. 103 -- -- --
Legal Fees................................................... 31 1 2 --
Audit Fees................................................... 33 -- 1 --
Filing Fees.................................................. 45 14 20 10
Shareholders' Reports........................................ 36 1 2 --
Directors' Fees and Expenses................................. 16 -- 1 --
Other........................................................ 35 1 1 4
----------- ----------- ----------- -----------
Total Expenses......................................... 3,552 422 318 45
Less: Expenses Reimbursed.................................... -- -- (226) --
----------- ----------- ----------- -----------
Net Expenses................................................. 3,552 422 92 45
----------- ----------- ----------- -----------
NET INVESTMENT INCOME (LOSS)................................. 1,335 (141) 2,017 498
----------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received............................ -- 25,830 -- 3,437
Net Realized Gain (Loss) on Investment Securities.............. 102,510 3,177 42 (202)
Change in Unrealized Appreciation (Depreciation) of Investment
Securities.................................................... (28,764) (10,740) 26,857 (769)
----------- ----------- ----------- -----------
NET GAIN ON INVESTMENT SECURITIES.......................... 73,746 18,267 26,899 2,466
----------- ----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........... $ 75,081 $ 18,126 $ 28,916 $ 2,964
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
</TABLE>
See accompanying Notes to Financial Statements
55
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S THE U.S. THE DFA
SMALL CAP LARGE CAP REAL ESTATE
VALUE VALUE SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends.................................................................. -- -- $ 2,422
Interest................................................................... -- -- 62
Income from Securities Lending............................................. -- -- 2
Income Distributions Received.............................................. $ 1,636 $ 3,324 --
----------- ----------- -----------
Total Investment Income.............................................. 1,636 3,324 2,486
----------- ----------- -----------
EXPENSES
Investment Advisory Services............................................... -- -- 128
Administrative Services.................................................... 2,092 444 --
Accounting & Transfer Agent Fees........................................... 10 10 45
Custodian's Fee............................................................ -- -- 7
Legal Fees................................................................. 1 1 3
Audit Fees................................................................. -- -- 3
Filing Fees................................................................ 72 35 9
Shareholders' Reports...................................................... 4 1 4
Directors' Fees and Expenses............................................... -- -- 1
Other...................................................................... 3 5 2
----------- ----------- -----------
Total Expenses....................................................... 2,182 496 202
----------- ----------- -----------
NET INVESTMENT INCOME (LOSS)................................................. (546) 2,828 2,284
----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received........................................ 55,250 28,840 --
Net Realized Gain (Loss) on Investment Securities.......................... (282) (80) 177
Change in Unrealized Appreciation (Depreciation) of Investment
Securities............................................................... 99,692 33,941 4,833
----------- ----------- -----------
NET GAIN ON INVESTMENT SECURITIES............................................ 154,660 62,701 5,010
----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS......................... $ 154,114 $ 65,529 $ 7,294
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
See accompanying Notes to Financial Statements
56
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE PACIFIC THE UNITED
THE JAPANESE RIM SMALL KINGDOM SMALL
SMALL COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ----------- ---------------
<S> <C> <C> <C>
INVESTMENT INCOME
Net Investment Income From The DFA Investment Trust Company......... $ 1,272 $ 1,794 $ 2,230
-------------- ----------- -------
EXPENSES
Administrative Services............................................. 471 426 342
Accounting & Transfer Agent Fees.................................... 19 19 19
Legal Fees.......................................................... 5 2 4
Audit Fees.......................................................... 1 1 1
Filing Fees......................................................... 16 11 10
Shareholders' Reports............................................... 7 4 3
Directors' Fees and Expenses........................................ 3 2 1
Other............................................................... 1 1 1
-------------- ----------- -------
Total Expenses................................................ 523 466 381
-------------- ----------- -------
NET INVESTMENT INCOME................................................. 749 1,328 1,849
-------------- ----------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY
Net Realized Gain on Investment Securities.......................... 283 1,849 6,543
Net Realized Gain (Loss) on Foreign Currency Transactions........... (40) (62) 68
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................ (49,666) 358 (1,537)
Translation of Foreign Currency Denominated Amounts............... 71 (9) 11
-------------- ----------- -------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY......... (49,352) 2,136 5,085
-------------- ----------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS....... $ (48,603) $ 3,464 $ 6,934
-------------- ----------- -------
-------------- ----------- -------
</TABLE>
See accompanying Notes to Financial Statements
57
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE THE THE RWB/DFA
CONTINENTAL INTERNATIONAL INTERNATIONAL
SMALL SMALL HIGH BOOK TO
COMPANY COMPANY MARKET
PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ --------------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest.......................................................... -- $ 22 --
Income Distributions Received..................................... -- -- $ 655
Net Investment Income from The DFA Investment Trust Company....... $ 2,753 1,071 --
----------- ------------ --------------
Total Investment Income....................................... 2,753 1,093 655
----------- ------------ --------------
EXPENSES
Administrative Services........................................... 607 249 13
Accounting & Transfer Agent Fees.................................. 19 16 10
Client Service Fee................................................ -- -- 170
Legal Fees........................................................ 5 1 1
Audit Fees........................................................ 1 1 --
Filing Fees....................................................... 14 18 27
Shareholders' Reports............................................. 6 1 1
Directors' Fees and Expenses...................................... 3 1 --
Other............................................................. 1 3 5
----------- ------------ --------------
Total Expenses................................................ 656 290 227
Less: Expenses Reimbursed......................................... -- (11) --
----------- ------------ --------------
Net Expenses...................................................... 656 279 227
----------- ------------ --------------
NET INVESTMENT INCOME............................................. 2,097 814 428
----------- ------------ --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY
Capital Gain Distributions Received............................... -- -- 5,179
Net Realized Gain (Loss) on Investment Securities................. 5,542 361 (343)
Net Realized Gain (Loss) on Foreign Currency Transactions......... (212) (33) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................... 20,289 (1,758) 4,909
Translation of Foreign Currency Denominated Amounts........... (143) (8) --
----------- ------------ --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY..... 25,476 (1,438) 9,745
----------- ------------ --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS....... $ 27,573 $ (624) $ 10,173
----------- ------------ --------------
----------- ------------ --------------
</TABLE>
See accompanying Notes to Financial Statements
58
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA THE DFA
THE INTERNATIONAL INTERMEDIATE
EMERGING THE LARGE CAP SMALL CAP GOVERNMENT
MARKETS INTERNATIONAL VALUE FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------- ------------ -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, (Net of Foreign Taxes Withheld of $0,
$82, $493 and $0, respectively)................ -- $ 858 $ 3,810 --
Interest......................................... -- 45 394 $ 3,778
Income from Securities Lending................... -- 28 143 --
Net Investment Income from The DFA Investment
Trust Company.................................. $ 2,654 -- -- --
----------- ------------- ------------ -------------
Total Investment Income...................... 2,654 931 4,347 3,778
----------- ------------- ------------ -------------
EXPENSES
Investment Advisory Services..................... -- 100 1,273 87
Administrative Services.......................... 380 -- -- --
Accounting & Transfer Agent Fees................. 19 52 216 31
Custodian's Fee.................................. -- 17 163 7
Legal Fees....................................... 4 4 16 2
Audit Fees....................................... 1 4 19 2
Filing Fees...................................... 25 12 54 12
Shareholders' Reports............................ 2 5 23 3
Directors' Fees and Expenses..................... 1 2 9 1
Other............................................ 4 4 20 1
----------- ------------- ------------ -------------
Total Expenses............................... 436 200 1,793 146
----------- ------------- ------------ -------------
NET INVESTMENT INCOME............................ 2,218 731 2,554 3,632
----------- ------------- ------------ -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain on Investment Securities....... 153 68 8,557 166
Net Realized Loss on Foreign Currency
Transactions................................... (61) (10) (91) --
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency... 15,825 2,615 (13,841) (3,492)
Translation of Foreign Currency Denominated
Amounts.................................... (13) (3) 29 --
----------- ------------- ------------ -------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY............................... 15,904 2,670 (5,346) (3,326)
----------- ------------- ------------ -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS......................................... $ 18,122 $ 3,401 $ (2,792) $ 306
----------- ------------- ------------ -------------
----------- ------------- ------------ -------------
</TABLE>
See accompanying Notes to Financial Statements
59
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA THE DFA THE DFA
ONE-YEAR THE DFA TWO-YEAR GLOBAL
FIXED FIVE-YEAR GLOBAL FIXED
INCOME GOVERNMENT FIXED INCOME INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ------------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest......................................... -- $ 5,806 -- $ 4,795
Income Distributions Received.................... $ 23,009 -- $ 9,220 --
----------- ----------- ------------- -----------
Total Investment Income........................ 23,009 5,806 9,220 4,795
----------- ----------- ------------- -----------
EXPENSES
Investment Advisory Services..................... -- 184 -- 229
Administrative Fees.............................. 391 -- 170 --
Accounting & Transfer Agent Fees................. 10 42 10 109
Custodian's Fee.................................. -- 11 -- 21
Legal Fees....................................... 1 3 1 7
Audit Fees....................................... -- 4 -- 9
Filing Fees...................................... 40 15 59 13
Shareholders' Reports............................ 1 4 1 10
Directors' Fees and Expenses..................... 1 2 -- 5
Other............................................ -- 6 5 1
----------- ----------- ------------- -----------
Total Expenses................................. 444 271 246 404
----------- ----------- ------------- -----------
NET INVESTMENT INCOME............................ 22,565 5,535 8,974 4,391
----------- ----------- ------------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Capital Gain Distributions Received.............. -- -- 251 --
Net Realized Gain (Loss) on Investment
Securities..................................... (336) 46 (215) 963
Net Realized Gain on Foreign Currency
Transactions................................... -- -- -- 8,399
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency... (2,338) (2,910) 162 (8,825)
Translation of Foreign Currency Denominated
Amounts.................................... -- -- -- 371
----------- ----------- ------------- -----------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY............................... (2,674) (2,864) 198 908
----------- ----------- ------------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS....................................... $ 19,891 $ 2,671 $ 9,172 $ 5,299
----------- ----------- ------------- -----------
----------- ----------- ------------- -----------
</TABLE>
See accompanying Notes to Financial Statements
60
<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. THE ENHANCED U.S.
SMALL COMPANY SMALL COMPANY LARGE COMPANY LARGE COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------ ---------------------- ---------------------- ----------------------
SIX MONTHS SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS JULY 3,
ENDED YEAR ENDED ENDED ENDED ENDED ENDED TO
MAY 31, ENDED NOV. MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
1997 30, 1996 1997 1996 1997 1996 1997 1996
----------- ---------- ----------- -------- ----------- -------- ----------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income
(Loss)..................... $ 1,335 $ 2,408 $ (141) $ 1,695 $ 2,017 $ 2,729 $ 498 $ 300
Capital Gain Distributions
Received................... -- -- 25,830 10,281 -- 685 3,437 --
Net Realized Gain (Loss) on
Investment Securities...... 102,510 112,062 3,177 (840) 42 83 (202) 1
Change in Unrealized
Appreciation (Depreciation)
of Investment Securities..... (28,764) 61,134 (10,740) 25,253 26,857 30,957 (769) 4,091
----------- ---------- ----------- -------- ----------- -------- ----------- --------
Net Increase in Net Assets
Resulting from
Operations............... 75,081 175,604 18,126 36,389 28,916 34,454 2,964 4,392
----------- ---------- ----------- -------- ----------- -------- ----------- --------
Distributions From:
Net Investment Income........ (2,613) (505) (1,724) (218) (2,091) (1,899) (825) --
Net Realized Gains........... (112,075) (63,526) (14,685) (5,838) (1,083) (32) (1,461) --
----------- ---------- ----------- -------- ----------- -------- ----------- --------
Total Distributions........ (114,688) (64,031) (16,409) (6,056) (3,174) (1,931) (2,286) --
----------- ---------- ----------- -------- ----------- -------- ----------- --------
Capital Share Transactions (1):
Shares Issued................ 144,831 244,685 111,983 72,430 64,567 84,328 9,454 25,636
Shares Issued in Lieu of Cash
Distributions.............. 102,836 59,632 14,417 5,852 2,501 1,569 461 --
Shares Redeemed.............. (165,261) (159,560) (83,165) (61,065) (15,102) (27,774) (13,786) (792)
----------- ---------- ----------- -------- ----------- -------- ----------- --------
Net Increase (Decrease)
From Capital Shares
Transactions............. 82,406 144,757 43,235 17,217 51,966 58,123 (3,871) 24,844
----------- ---------- ----------- -------- ----------- -------- ----------- --------
Total Increase (Decrease).. 42,799 256,330 44,952 47,550 77,708 90,646 (3,193) 29,236
NET ASSETS
Beginning of Period.......... 1,181,804 925,474 234,194 186,644 187,757 97,111 29,236 --
----------- ---------- ----------- -------- ----------- -------- ----------- --------
End of Period................ $1,224,603 $1,181,804 $279,146 $234,194 $265,465 $187,757 $26,043 $29,236
----------- ---------- ----------- -------- ----------- -------- ----------- --------
----------- ---------- ----------- -------- ----------- -------- ----------- --------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.............. 12,859 21,310 8,114 5,343 2,775 4,258 825 2,543
Shares Issued in Lieu of
Cash Distribution........ 9,206 5,684 1,066 469 110 80 43 --
Shares Redeemed............ (14,344) (13,545) (5,933) (4,459) (645) (1,436) (1,214) (71)
----------- ---------- ----------- -------- ----------- -------- ----------- --------
7,721 13,449 3,247 1,353 2,240 2,902 (346) 2,472
----------- ---------- ----------- -------- ----------- -------- ----------- --------
----------- ---------- ----------- -------- ----------- -------- ----------- --------
</TABLE>
See accompanying Notes to Financial Statements
61
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. THE DFA
THE U.S. LARGE CAP VALUE REAL ESTATE SECURITIES
SMALL CAP VALUE PORTFOLIO PORTFOLIO
PORTFOLIO ----------------------- -----------------------
------------------------- YEAR YEAR
SIX MONTHS YEAR ENDED SIX MONTHS ENDED SIX MONTHS ENDED
ENDED MAY NOV. 30, ENDED MAY NOV. 30, ENDED MAY NOV. 30,
31, 1997 1996 31, 1997 1996 31, 1997 1996
------------ ----------- ------------ --------- ------------ ---------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................. $ (546) $ 7,300 $ 2,828 $ 8,545 $ 2,284 $ 3,547
Capital Gain Distributions Received........... 55,250 15,384 28,840 7,389 -- --
Net Realized Gain (Loss) on Investment
Securities.................................. (282) (917) (80) (293) 177 (381)
Change in Unrealized Appreciation
(Depreciation) of Investment Securities..... 99,692 169,583 33,941 69,244 4,833 9,679
------------ ----------- ------------ --------- ------------ ---------
Net Increase in Net Assets Resulting from
Operations.............................. 154,114 191,350 65,529 84,885 7,294 12,845
------------ ----------- ------------ --------- ------------ ---------
Distributions From:
Net Investment Income......................... (7,820) (761) (5,495) (6,174) (3,559) (628)
Net Realized Gains............................ (26,324) (2,190) (11,813) (22) -- --
------------ ----------- ------------ --------- ------------ ---------
Total Distributions....................... (34,144) (2,951) (17,308) (6,196) (3,559) (628)
------------ ----------- ------------ --------- ------------ ---------
Capital Share Transactions (1):
Shares Issued................................. 333,164 503,665 122,054 254,835 24,349 21,011
Shares Issued in Lieu of Cash Distributions... 28,379 2,393 13,291 4,665 2,916 571
Shares Redeemed............................... (88,945) (97,109) (41,593) (77,955) (3,856) (12,844)
------------ ----------- ------------ --------- ------------ ---------
Net Increase From Capital Shares
Transactions............................ 272,598 408,949 93,752 181,545 23,409 8,738
------------ ----------- ------------ --------- ------------ ---------
Total Increase............................ 392,568 597,348 141,973 260,234 27,144 20,955
NET ASSETS
Beginning of Period........................... 1,207,298 609,950 541,149 280,915 64,390 43,435
------------ ----------- ------------ --------- ------------ ---------
End of Period................................. $1,599,866 $ 1,207,298 $ 683,122 $ 541,149 $ 91,534 $ 64,390
------------ ----------- ------------ --------- ------------ ---------
------------ ----------- ------------ --------- ------------ ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................ 19,413 33,774 7,620 17,878 1,824 1,878
Shares Issued in Lieu of Cash Distribution... 1,683 169 852 329 222 54
Shares Redeemed.............................. (5,139) (6,426) (2,601) (5,490) (289) (1,184)
------------ ----------- ------------ --------- ------------ ---------
15,957 27,517 5,871 12,717 1,757 748
------------ ----------- ------------ --------- ------------ ---------
------------ ----------- ------------ --------- ------------ ---------
</TABLE>
See accompanying Notes to Financial Statements
62
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE JAPANESE THE PACIFIC RIM THE UNITED KINGDOM
SMALL COMPANY SMALL COMPANY SMALL COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------ ----------------------- -----------------------
SIX MONTHS YEAR YEAR YEAR
ENDED MAY ENDED SIX MONTHS ENDED SIX MONTHS ENDED
31, NOV. 30, ENDED MAY NOV. 30, ENDED MAY NOV. 30,
1997 1996 31, 1997 1996 31, 1997 1996
------------ ---------- ------------ --------- ------------ ---------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.......................... $ 749 $ 884 $ 1,328 $ 3,482 $ 1,849 $ 4,164
Net Realized Gain on Investment Securities..... 283 17,037 1,849 11,893 6,543 8,116
Net Realized Gain (Loss) on Foreign Currency
Transactions................................. (40) (141) (62) (15) 68 (13)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency... (49,666) (31,890) 358 19,876 (1,537) 27,016
Translation of Foreign Currency Denominated
Amounts.................................... 71 (5) (9) 8 11 26
------------ ---------- ------------ --------- ------------ ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ (48,603) (14,115) 3,464 35,244 6,934 39,309
------------ ---------- ------------ --------- ------------ ---------
Distributions From:
Net Investment Income.......................... (778) (81) (4,235) (223) (4,223) (414)
Net Realized Gains............................. (16,082) (5,829) (11,345) (5,234) (7,613) (10,649)
------------ ---------- ------------ --------- ------------ ---------
Total Distributions........................ (16,860) (5,910) (15,580) (5,457) (11,836) (11,063)
------------ ---------- ------------ --------- ------------ ---------
Capital Share Transactions (1):
Shares Issued.................................. 25,312 60,653 7,640 37,822 7,832 23,463
Shares Issued in Lieu of Cash Distributions.... 16,860 5,910 15,580 5,457 11,836 11,063
Shares Redeemed................................ (27,034) (123,531) (9,481) (50,661) (11,177) (63,713)
------------ ---------- ------------ --------- ------------ ---------
Net Increase (Decrease) From Capital Shares
Transactions............................. 15,138 (56,968) 13,739 (7,382) 8,491 (29,187)
------------ ---------- ------------ --------- ------------ ---------
Total Increase (Decrease).................. (50,325) (76,993) 1,623 22,405 3,589 (941)
NET ASSETS
Beginning of Period............................ 294,120 371,113 215,542 193,137 166,789 167,730
------------ ---------- ------------ --------- ------------ ---------
End of Period.................................. $ 243,795 $ 294,120 $ 217,165 $ 215,542 $ 170,378 $ 166,789
------------ ---------- ------------ --------- ------------ ---------
------------ ---------- ------------ --------- ------------ ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................. 1,584 2,514 484 2,370 283 931
Shares Issued in Lieu of Cash Distribution.... 978 247 1,051 387 440 485
Shares Redeemed............................... (1,674) (5,069) (610) (3,225) (403) (2,522)
------------ ---------- ------------ --------- ------------ ---------
888 (2,308) 925 (468) 320 (1,106)
------------ ---------- ------------ --------- ------------ ---------
------------ ---------- ------------ --------- ------------ ---------
</TABLE>
See accompanying Notes to Financial Statements
63
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE RWB/DFA
THE CONTINENTAL THE INTERNATIONAL INTERNATIONAL
SMALL COMPANY SMALL COMPANY HIGH BOOK TO MARKET
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------- ----------------------- -------------------------
SIX MONTHS YEAR SIX MONTHS OCT. 1, SIX MONTHS YEAR
ENDED MAY ENDED NOV. ENDED MAY TO NOV. ENDED MAY ENDED NOV.
31, 1997 30, 1996 31, 1997 30, 1996 31, 1997 30, 1996
------------ ----------- ------------ --------- ------------ -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income...................... $ 2,097 $ 5,883 $ 814 $ 85 $ 428 $ 4,140
Capital Gain Distributions Received........ -- -- -- -- 5,179 1,341
Net Realized Gain (Loss) on Investment
Securities............................... 5,542 18,140 361 (75) (343) (162)
Net Realized Gain (Loss) on Foreign
Currency Transactions.................... (212) (82) (33) 11 -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................... 20,289 18,297 (1,758) (558) 4,909 23,232
Translation of Foreign Currency
Denominated Amounts.................... (143) (64) (8) (7) -- --
------------ ----------- ------------ --------- ------------ -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations............ 27,573 42,174 (624) (544) 10,173 28,551
------------ ----------- ------------ --------- ------------ -----------
Distributions From:
Net Investment Income...................... (5,597) (447) (200) -- (4,329) (187)
Net Realized Gains......................... (16,811) (16,253) -- -- (2,675) (33)
------------ ----------- ------------ --------- ------------ -----------
Total Distributions.................... (22,408) (16,700) (200) -- (7,004) (220)
------------ ----------- ------------ --------- ------------ -----------
Capital Share Transactions (1):
Shares Issued.............................. 9,478 36,520 51,595 104,726 45,164 98,529
Shares Issued in Lieu of Cash
Distributions............................ 22,408 16,700 200 -- 7,004 220
Shares Redeemed............................ (26,490) (93,485) (6,882) (64) (24,017) (41,726)
------------ ----------- ------------ --------- ------------ -----------
Net Increase (Decrease) From Capital
Shares Transactions.................. 5,396 (40,265) 44,913 104,662 28,151 57,023
------------ ----------- ------------ --------- ------------ -----------
Total Increase (Decrease).............. 10,561 (14,791) 44,089 104,118 31,320 85,354
NET ASSETS
Beginning of Period........................ 299,325 314,116 104,118 -- 257,371 172,017
------------ ----------- ------------ --------- ------------ -----------
End of Period.............................. $ 309,886 $ 299,325 $ 148,207 $ 104,118 $ 288,691 $ 257,371
------------ ----------- ------------ --------- ------------ -----------
------------ ----------- ------------ --------- ------------ -----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................. 633 2,469 5,391 10,456 3,469 7,546
Shares Issued in Lieu of Cash
Distribution............................ 1,582 1,233 21 -- 535 17
Shares Redeemed........................... (1,767) (6,315) (724) (6) (1,847) (3,173)
------------ ----------- ------------ --------- ------------ -----------
448 (2,613) 4,688 10,450 2,157 4,390
------------ ----------- ------------ --------- ------------ -----------
------------ ----------- ------------ --------- ------------ -----------
</TABLE>
See accompanying Notes to Financial Statements
64
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE LARGE CAP THE DFA
THE EMERGING INTERNATIONAL INTERNATIONAL
MARKETS PORTFOLIO SMALL CAP VALUE
PORTFOLIO ----------------------- PORTFOLIO
------------------------- YEAR -------------------------
SIX MONTHS YEAR SIX MONTHS ENDED SIX MONTHS YEAR
ENDED MAY ENDED NOV. ENDED MAY NOV. 30, ENDED MAY ENDED NOV.
31, 1997 30, 1996 31, 1997 1996 31, 1997 30, 1996
------------ ----------- ------------ --------- ------------ -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income...................... $ 2,218 $ 1,259 $ 731 $ 1,151 $ 2,554 $ 3,974
Net Realized Gain on Investment
Securities............................... 153 42 68 553 8,557 10,843
Net Realized Gain (Loss) on Foreign
Currency Transactions.................... (61) (78) (10) 5 (91) 8
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................... 15,825 5,535 2,615 6,974 (13,841) (3,936)
Translation of Foreign Currency
Denominated Amounts.................... (13) 8 (3) 1 29 (216)
------------ ----------- ------------ --------- ------------ -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations............ 18,122 6,766 3,401 8,684 (2,792) 10,673
------------ ----------- ------------ --------- ------------ -----------
Distributions From:
Net Investment Income...................... (1,330) (19) (1,189) (93) (4,587) (69)
Net Realized Gains......................... -- -- (464) -- (10,863) (18)
------------ ----------- ------------ --------- ------------ -----------
Total Distributions.................... (1,330) (19) (1,653) (93) (15,450) (87)
------------ ----------- ------------ --------- ------------ -----------
Capital Share Transactions (1):
Shares Issued.............................. 48,162 116,568 15,897 32,545 103,866 231,671
Shares Issued in Lieu of Cash
Distributions............................ 1,330 19 1,653 93 15,450 87
Shares Redeemed............................ (13,557) (10,646) (13,176) (29,847) (32,427) (13,981)
------------ ----------- ------------ --------- ------------ -----------
Net Increase From Capital Shares
Transactions......................... 35,935 105,941 4,374 2,791 86,889 217,777
------------ ----------- ------------ --------- ------------ -----------
Total Increase......................... 52,727 112,688 6,122 11,382 68,647 228,363
NET ASSETS
Beginning of Period........................ 162,025 49,337 79,322 67,940 375,488 147,125
------------ ----------- ------------ --------- ------------ -----------
End of Period.............................. $ 214,752 $ 162,025 $ 85,444 $ 79,322 $ 444,135 $ 375,488
------------ ----------- ------------ --------- ------------ -----------
------------ ----------- ------------ --------- ------------ -----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................. 3,825 10,008 1,179 2,443 10,782 22,038
Shares Issued in Lieu of Cash
Distribution............................ 114 1 122 7 1,604 9
Shares Redeemed........................... (1,075) (935) (970) (2,249) (3,380) (1,330)
------------ ----------- ------------ --------- ------------ -----------
2,864 9,074 331 201 9,006 20,717
------------ ----------- ------------ --------- ------------ -----------
------------ ----------- ------------ --------- ------------ -----------
</TABLE>
See accompanying Notes to Financial Statements
65
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA
INTERMEDIATE THE DFA THE DFA
GOVERNMENT ONE-YEAR FIVE-YEAR
FIXED INCOME FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------- ----------------------- -----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED MAY ENDED ENDED MAY ENDED ENDED MAY ENDED
31, NOV. 30, 31, NOV. 30, 31, NOV. 30,
1997 1996 1997 1996 1997 1996
------------ --------- ------------ --------- ------------ ---------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income........................... $ 3,632 $ 5,416 $ 22,565 $ 41,526 $ 5,535 $ 11,329
Net Realized Gain (Loss) on Investment
Securities.................................... 166 (28) (336) (278) 46 (887)
Change in Unrealized Appreciation (Depreciation)
of Investment Securities...................... (3,492) (323) (2,338) 4,048 (2,910) 3,233
------------ --------- ------------ --------- ------------ ---------
Net Increase in Net Assets Resulting from
Operations.................................... 306 5,065 19,891 45,296 2,671 13,675
------------ --------- ------------ --------- ------------ ---------
Distributions From:
Net Investment Income........................... (3,270) (3,946) (22,696) (41,474) (5,893) (6,632)
Net Realized Gains.............................. -- (313) (81) -- -- --
------------ --------- ------------ --------- ------------ ---------
Total Distributions........................... (3,270) (4,259) (22,777) (41,474) (5,893) (6,632)
------------ --------- ------------ --------- ------------ ---------
Capital Share Transactions (1):
Shares Issued................................... 25,905 39,452 243,298 671,259 43,051 92,309
Shares Issued in Lieu of Cash Distributions..... 578 1,047 18,774 31,884 4,941 4,746
Shares Redeemed................................. (8,485) (11,448) (357,435) (557,394) (26,289) (230,633)
------------ --------- ------------ --------- ------------ ---------
Net Increase (Decrease) From Capital Shares
Transactions................................ 17,998 29,051 (95,363) 145,749 21,703 (133,578)
------------ --------- ------------ --------- ------------ ---------
Total Increase (Decrease)..................... 15,034 29,857 (98,249) 149,571 18,481 (126,535)
NET ASSETS
Beginning of Period............................. 107,944 78,087 854,521 704,950 174,386 300,921
------------ --------- ------------ --------- ------------ ---------
End of Period................................... $ 122,978 $ 107,944 $ 756,272 $ 854,521 $ 192,867 $ 174,386
------------ --------- ------------ --------- ------------ ---------
------------ --------- ------------ --------- ------------ ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................. 2,387 3,606 23,883 65,904 4,258 9,105
Shares Issued in Lieu of Cash Distribution..... 53 97 1,847 3,139 492 479
Shares Redeemed................................ (784) (1,033) (35,109) (54,688) (2,598) (22,787)
------------ --------- ------------ --------- ------------ ---------
1,656 2,670 (9,379) 14,355 2,152 (13,203)
------------ --------- ------------ --------- ------------ ---------
------------ --------- ------------ --------- ------------ ---------
</TABLE>
See accompanying Notes to Financial Statements
66
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA TWO-YEAR THE DFA
GLOBAL FIXED INCOME GLOBAL FIXED INCOME
PORTFOLIO PORTFOLIO
----------------------- -----------------------
SIX MONTHS YEAR
ENDED MAY FEB. 9, SIX MONTHS ENDED
31, TO NOV. ENDED MAY NOV. 30,
1997 30, 1996 31, 1997 1996
------------ --------- ------------ ---------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................. $ 8,974 $ 6,638 $ 4,391 $ 7,357
Capital Gain Distributions Received... 251 -- -- --
Net Realized Gain (Loss) on Investment
Securities.......................... (215) (24) 963 4,823
Net Realized Gain (Loss) on Foreign
Currency Transactions............... -- -- 8,399 7,527
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.......................... 162 9,563 (8,825) (1,894)
Translation of Foreign Currency
Denominated Amounts............... -- -- 371 (1,417)
------------ --------- ------------ ---------
Net Increase in Net Assets
Resulting from Operations....... 9,172 16,177 5,299 16,396
------------ --------- ------------ ---------
Distributions From:
Net Investment Income................. (9,234) (6,015) (9,971) (8,834)
Net Capital Gains..................... (251) -- (1,383) --
------------ --------- ------------ ---------
Total Distributions............... (9,485) (6,015) (11,354) (8,834)
------------ --------- ------------ ---------
Capital Share Transactions (1):
Shares Issued......................... 69,296 338,432 53,691 73,085
Shares Issued in Lieu of Cash
Distributions....................... 4,234 5,844 7,062 5,176
Shares Redeemed....................... (30,918) (35,095) (13,654) (128,217)
------------ --------- ------------ ---------
Net Increase (Decrease) From
Capital Shares Transactions..... 42,612 309,181 47,099 (49,956)
------------ --------- ------------ ---------
Total Increase (Decrease)......... 42,299 319,343 41,044 (42,394)
NET ASSETS
Beginning of Period................... 319,343 -- 165,772 208,166
------------ --------- ------------ ---------
End of Period......................... $ 361,642 $ 319,343 $ 206,816 $ 165,772
------------ --------- ------------ ---------
------------ --------- ------------ ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................ 6,760 33,694 5,091 7,056
Shares Issued in Lieu of Cash
Distribution....................... 417 580 678 286
Shares Redeemed...................... (3,015) (3,465) (1,290) (12,144)
------------ --------- ------------ ---------
4,162 30,809 4,479 (4,802)
------------ --------- ------------ ---------
------------ --------- ------------ ---------
</TABLE>
See accompanying Notes to Financial Statements
67
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
-----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED
ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
MAY 31, 1997 1996 1995 1994 1993 1992 1991
<S> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value,
Beginning of
Period.............. $ 12.14 $ 11.03 $ 8.49 $ 8.69 $ 7.75 $ 6.33 $ 5.34
------------ ----------- --------- --------- -------- -------- --------
Income From Investment
Operations
Net Investment
Income............ 0.01 0.03 0.05 0.01 0.03 0.04 0.04
Net Gain (Losses) on
Securities
(Realized and
Unrealized)....... 0.69 1.85 2.61 0.40 1.67 1.53 1.64
------------ ----------- --------- --------- -------- -------- --------
Total From
Investment
Operations...... 0.70 1.88 2.66 0.41 1.70 1.57 1.68
- -----------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment
Income............ (0.03) (0.01) (0.04) (0.03) (0.05) (0.05) (0.07)
Net Realized
Gains............. (1.16) (0.76) (0.08) (0.58) (0.71) (0.10) (0.62)
------------ ----------- --------- --------- -------- -------- --------
Total
Distributions... (1.19) (0.77) (0.12) (0.61) (0.76) (0.15) (0.69)
- -----------------------------------------------------------------------------------------------------------
Net Asset Value, End
of Period........... $ 11.65 $ 12.14 $ 11.03 $ 8.49 $ 8.69 $ 7.75 $ 6.33
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
Total Return.......... 6.14%# 18.05% 31.37% 5.06% 23.91% 25.24% 39.08%
- -----------------------------------------------------------------------------------------------------------
Net Assets, End of
Period
(thousands)......... $1,224,603 $ 1,181,804 $ 925,474 $ 659,221 $630,918 $651,313 $722,289
Ratio of Expenses to
Average Net
Assets.............. 0.61%* 0.61% 0.62% 0.65% 0.70% 0.68% 0.64%
Ratio of Net
Investment Income to
Average Net
Assets.............. 0.23%* 0.22% 0.45% 0.16% 0.26% 0.53% 0.75%
Portfolio Turnover
Rate................ 21.76%* 23.68% 24.65% 16.56% 9.87% 9.72% 10.13%
Average Commission
Rate (1)............ $ 0.0601 $ 0.0604 N/A N/A N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1990 1989 1988 1987
<S> <C> <C> <C> <C>
- ---------------------- -----------------------------------------
Net Asset Value,
Beginning of
Period.............. $ 7.74 $ 7.66 $ 7.50 $ 8.94
-------- -------- -------- --------
Income From Investment
Operations
Net Investment
Income............ 0.07 0.07 0.10 0.09
Net Gain (Losses) on
Securities
(Realized and
Unrealized)....... (1.77) 0.98 1.48 (1.53)
-------- -------- -------- --------
Total From
Investment
Operations...... (1.70) 1.05 1.58 (1.44)
- ---------------------- -----------------------------------------
Less Distributions
Net Investment
Income............ (0.08) (0.09) (0.11) --
Net Realized
Gains............. (0.62) (0.88) (1.31) --
-------- -------- -------- --------
Total
Distributions... (0.70) (0.97) (1.42) --
- ---------------------- -----------------------------------------
Net Asset Value, End
of Period........... $ 5.34 $ 7.74 $ 7.66 $ 7.50
- ---------------------- -----------------------------------------
- ---------------------- -----------------------------------------
Total Return.......... (24.09)% 16.09% 24.36% (16.04)%
- ---------------------- -----------------------------------------
Net Assets, End of
Period
(thousands)......... $561,102 $949,291 $912,518 $788,821
Ratio of Expenses to
Average Net
Assets.............. 0.62% 0.62% 0.62% 0.61%
Ratio of Net
Investment Income to
Average Net
Assets.............. 0.99% 0.86% 1.19% 0.92%
Portfolio Turnover
Rate................ 3.79% 7.86% 25.98% 23.05%
Average Commission
Rate (1)............ N/A N/A N/A N/A
- ---------------------- -----------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements
68
<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
--------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED MARCH 20
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, TO NOV.
1997 1996 1995 1994 1993 30, 1992
- --------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 14.53 $ 12.64 $ 11.08 $ 11.43 $ 10.35 $ 10.00
----------- -------- -------- -------- -------- ----------
Income From Investment
Operations
Net Investment Income....... 0.01 0.11 0.09 0.09 0.08 0.04
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... 1.03 2.20 2.81 (0.07) 1.43 0.31
----------- -------- -------- -------- -------- ----------
Total From Investment
Operations.............. 1.04 2.31 2.90 0.02 1.51 0.35
- --------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income....... (0.12) (0.02) (0.14) (0.09) (0.11) --
Net Realized Gains.......... (1.03) (0.40) (1.20) (0.28) (0.32) --
----------- -------- -------- -------- -------- ----------
Total Distributions....... (1.15) (0.42) (1.34) (0.37) (0.43) --
- --------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 14.42 $ 14.53 $ 12.64 $ 11.08 $ 11.43 $ 10.35
- --------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------
Total Return.................. 7.68%# 18.73% 28.75% 0.22% 14.72% 6.70%#
- --------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $279,146 $234,194 $186,644 $112,137 $136,863 $134,418
Ratio of Expenses to Average
Net Assets**................ 0.46%* 0.48% 0.49% 0.53% 0.58% 0.48%*
Ratio of Net Investment Income
to Average Net Assets....... (0.11)%* 0.75% 0.83% 0.72% 0.70% 0.96%*
Portfolio Turnover Rate....... N/A*** N/A*** N/A*** N/A*** 1.81%*(b) 3.41%*
Average Commission Rate....... N/A*** N/A*** N/A N/A N/A N/A
- --------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE U.S. LARGE COMPANY PORTFOLIO
-----------------------------------------------------------------------------------------
SIX
MONTHS YEAR YEAR YEAR YEAR YEAR DEC. 31,
ENDED ENDED ENDED ENDED ENDED ENDED 1990 TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993 1992 1991
- ------------------------------ -----------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 22.73 $ 18.12 $ 13.58 $ 13.91 $ 13.12 $ 11.44 $ 10.00
--------- --------- --------- --------- --------- --------- ---------
Income From Investment
Operations
Net Investment Income....... 0.21 0.41 0.35 0.37 0.36 0.36 0.34
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... 2.71 4.52 4.57 (0.22) 0.87 1.69 1.34
--------- --------- --------- --------- --------- --------- ---------
Total From Investment
Operations.............. 2.92 4.93 4.92 0.15 1.23 2.05 1.68
- ------------------------------ -----------------------------------------------------------------------------------------
Less Distributions
Net Investment Income....... (0.24) (0.31) (0.36) (0.37) (0.44) (0.37) (0.24)
Net Realized Gains.......... (0.13) (0.01) (0.02) (0.11) -- -- --
--------- --------- --------- --------- --------- --------- ---------
Total Distributions....... (0.37) (0.32) (0.38) (0.48) (0.44) (0.37) (0.24)
- ------------------------------ -----------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 25.28 $ 22.73 $ 18.12 $ 13.58 $ 13.91 $ 13.12 $ 11.44
- ------------------------------ -----------------------------------------------------------------------------------------
- ------------------------------ -----------------------------------------------------------------------------------------
Total Return.................. 13.01%# 27.49% 36.54% 1.04% 9.48% 18.23% 16.80%#
- ------------------------------ -----------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $265,465 $ 187,757 $ 97,111 $ 48,638 $ 37,830 $ 34,908 $ 22,279
Ratio of Expenses to Average
Net Assets**................ 0.15%*(a) 0.21%(a) 0.24%(a) 0.24%(a) 0.24%(a) 0.11%(a) 0.00%*(a)
Ratio of Net Investment Income
to Average Net Assets....... 1.83%*(a) 2.10%(a) 2.29%(a) 2.75%(a) 2.48%(a) 2.86%(a) 3.42%*(a)
Portfolio Turnover Rate....... N/A*** N/A*** N/A*** N/A*** 27.67%*(b) 3.56% 0.97%*
Average Commission Rate....... N/A*** N/A*** N/A N/A N/A N/A N/A
- ------------------------------ -----------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series
for the year ended November 30, 1993 and subsequent periods.
*** Refer to the respective Master Fund Series
(a) Had certain waivers and reimbursements not been in effect the ratios of expenses to average net assets for the periods
ended May 31, 1997 and November 30, 1996, 1995, 1994, 1993, 1992 and 1991 would have been 0.35%, 0.45%, 0.46%, 0.66%,
0.79%, 0.53% and 0.52%, respectively, and the ratios of net investment income to average net assets for the periods ended
May 31, 1997 and November 30, 1996, 1995, 1994, 1993, 1992, and 1991 would have been 1.63%, 1.85 %, 2.23%, 2.64%, 2.28%,
2.44% and 2.90%, respectively.
(b) Portfolio turnover calculated for the period December 1, 1992 to February 2, 1993 and December 1, 1992 to February 7,
1993, respectively (through date of Exchange transaction, see respective Master Fund Series for rate subsequent to
Exchange transaction.)
</TABLE>
See accompanying Notes to Financial Statements
69
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE ENHANCED U.S.
LARGE COMPANY
PORTFOLIO
-------------------- THE U.S. SMALL CAP VALUE PORTFOLIO
SIX ------------------------------------------------------------------
MONTHS YEAR YEAR
ENDED JULY 3 SIX MONTHS YEAR ENDED ENDED ENDED MARCH 2
MAY 31, TO NOV. ENDED MAY NOV. 30, NOV. 30, NOV. 30, TO NOV.
1997 30, 1996 31, 1997 1996 1995 1994 30, 1993
- ------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 11.83 $ 10.00 $ 17.00 $ 14.03 $ 11.13 $ 11.04 $ 10.00
-------- -------- ----------- ---------- -------- -------- --------
Income From Investment
Operations
Net Investment Income....... 0.20 0.12 (0.01) 0.11 0.10 0.14 0.11
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... 1.16 1.71 1.88 2.93 3.06 0.10 1.03
-------- -------- ----------- ---------- -------- -------- --------
Total From Investment
Operations.............. 1.36 1.83 1.87 3.04 3.16 0.24 1.14
- ------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income....... (0.33 ) -- (0.11) (0.02) (0.10) (0.15) (0.10)
Net Realized Gains.......... (0.61 ) -- (0.36) (0.05) (0.16) -- --
-------- -------- ----------- ---------- -------- -------- --------
Total Distributions....... (0.94 ) -- (0.47) (0.07) (0.26) (0.15) (0.10)
- ------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 12.25 $ 11.83 $ 18.40 $ 17.00 $ 14.03 $ 11.13 $ 11.04
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
Total Return.................. 12.61%# 18.30%# 11.26%# 21.70% 28.41% 2.19% 11.39%#
- ------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $26,043 $29,236 $1,599,866 $1,207,298 $609,950 $344,148 $95,682
Ratio of Expenses to Average
Net Assets**................ 0.57%* 0.65%* 0.60%* 0.61% 0.64% 0.66% 0.70%*
Ratio of Net Investment Income
to Average Net Assets....... 3.63%* 3.44%* (0.08)%* 0.78% 0.85% 1.69% 1.97%*
Portfolio Turnover Rate....... N/A *** N/A *** N/A*** N/A*** N/A*** N/A*** N/A***
Average Commission Rate....... N/A *** N/A *** N/A*** N/A*** N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series
for the year ended November 30, 1993 and subsequent periods.
*** Refer to the respective Master Fund Series
</TABLE>
See accompanying Notes to Financial Statements
70
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. LARGE CAP VALUE PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR
SIX MONTHS ENDED ENDED ENDED FEB. 19
ENDED MAY NOV. 30, NOV. 30, NOV. 30, TO NOV.
31, 1997 1996 1995 1994 30, 1993
- -----------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 15.98 $ 13.29 $ 9.91 $ 10.60 $ 10.00
----------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income (Loss).......... 0.08 0.30 0.29 0.32 0.18
Net Gain (Losses) on Securities
(Realized and Unrealized)........... 1.64 2.62 3.55 (0.68) 0.59
----------- -------- -------- -------- --------
Total From Investment Operations.... 1.72 2.92 3.84 (0.36) 0.77
- -----------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income................. (0.16) (0.23) (0.29) (0.33) (0.17)
Net Realized Gain..................... (0.35) -- (0.17) -- --
Tax Return of Capital................. -- -- -- -- --
----------- -------- -------- -------- --------
Total Distributions................. (0.51) (0.23) (0.46) (0.33) (0.17)
- -----------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 17.19 $ 15.98 $ 13.29 $ 9.91 $ 10.60
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
Total Return............................ 11.04%# 22.20% 39.13% (3.27)% 7.59%#
- -----------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $683,122 $541,149 $280,915 $197,566 $ 90,288
Ratio of Expenses to Average Net
Assets**.............................. 0.35%* 0.36% 0.42% 0.44% 0.47%*
Ratio of Net Investment Income to
Average Net Assets.................... 0.96%* 2.17% 2.49% 3.50% 3.38%*
Portfolio Turnover Rate................. N/A*** N/A*** N/A*** N/A*** N/A***
Average Commission Rate(1).............. N/A*** N/A*** N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
-----------------------------------------------------------------
YEAR YEAR YEAR
SIX MONTHS ENDED ENDED ENDED JAN. 5
ENDED MAY 31, NOV. 30, NOV. 30, NOV. 30, TO NOV.
1997 1996 1995 1994 30, 1993
- ---------------------------------------- -----------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 12.65 $ 10.00 $ 9.28 $ 10.92 $ 10.00
------------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income (Loss).......... 0.34 0.71 0.61 0.37 0.20
Net Gain (Losses) on Securities
(Realized and Unrealized)........... 1.06 2.08 0.68 (1.65) 0.91
------------- -------- -------- -------- --------
Total From Investment Operations.... 1.40 2.79 1.29 (1.28) 1.11
- ---------------------------------------- -----------------------------------------------------------------
Less Distributions
Net Investment Income................. (0.68) (0.14) (0.46) (0.28) (0.19)
Net Realized Gain..................... -- -- -- -- --
Tax Return of Capital................. -- -- (0.11) (0.08) --
------------- -------- -------- -------- --------
Total Distributions................. (0.68) (0.14) (0.57) (0.36) (0.19)
- ---------------------------------------- -----------------------------------------------------------------
Net Asset Value, End of Period.......... $ 13.37 $ 12.65 $ 10.00 $ 9.28 $ 10.92
- ---------------------------------------- -----------------------------------------------------------------
- ---------------------------------------- -----------------------------------------------------------------
Total Return............................ 11.17%# 28.24% 14.00% (11.76)% 11.08%#
- ---------------------------------------- -----------------------------------------------------------------
Net Assets, End of Period (thousands)... $91,534 $64,390 $43,435 $30,456 $22,106
Ratio of Expenses to Average Net
Assets**.............................. 0.50%* 0.71% 0.82% 0.90% 0.88%*
Ratio of Net Investment Income to
Average Net Assets.................... 5.69%* 7.08% 6.76% 3.90% 2.63%*
Portfolio Turnover Rate................. 1.21%* 12.04% 0.66% 28.87% 0.55%*
Average Commission Rate(1).............. $0.0501 $0.0455 N/A N/A N/A
- ---------------------------------------- -----------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized.
** Represents the respective combined ratios for The U.S. Large Cap Value Portfolio and its pro-rata share of its Master
Fund Series.
*** Refer to the respective Master Fund Series
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements
71
<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
SIX MONTHS ENDED ENDED ENDED ENDED ENDED
ENDED MAY NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
31, 1997 1996 1995 1994 1993 1992
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 21.03 $ 22.78 $ 25.06 $ 19.96 $ 18.92 $ 25.05
----------- -------- -------- -------- -------- --------
Income From Investment
Operations
Net Investment Income
(Loss).................... 0.05 0.07 0.06 0.05 0.04 0.04
Net Gain (Losses) on
Securities
(Realized and
Unrealized)............... (3.47) (1.45) (1.65) 5.76 1.75 (5.69)
----------- -------- -------- -------- -------- --------
Total From Investment
Operations.............. (3.42) (1.38) (1.59) 5.81 1.79 (5.65)
- ----------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income....... (0.06) (0.01) (0.06) (0.04) (0.05) --
Net Realized Gains.......... (1.16) (0.36) (0.63) (0.67) (0.70) (0.48)
----------- -------- -------- -------- -------- --------
Total Distributions....... (1.22) (0.37) (0.69) (0.71) (0.75) (0.48)
- ----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 16.39 $ 21.03 $ 22.78 $ 25.06 $ 19.96 $ 18.92
- ----------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
Total Return.................. (16.58)%# (6.28)% (6.54)% 29.59% 9.52% (23.01)%
- ----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $243,795 $294,120 $371,113 $330,674 $209,244 $139,892
Ratio of Expenses to Average
Net Assets**................ 0.74%* 0.72% 0.74% 0.76% 0.82% 0.78%
Ratio of Net Investment Income
to Average Net Assets....... 0.64%* 0.24% 0.25% 0.10% 0.06% 0.10%
Portfolio Turnover Rate....... N/A*** 18.52%*(a) 7.79% 10.51% 9.36% 5.00%
Average Commission Rate (1)... N/A*** $ 0.0458(a) N/A N/A N/A N/A
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
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...................... $ 26.27 $ 38.33 $ 31.03 $ 24.87 $ 14.39
-------- -------- -------- -------- --------
Income From Investment
Operations
Net Investment Income
(Loss).................... (0.01) (0.03) (0.09) (0.05) (0.01)
Net Gain (Losses) on
Securities
(Realized and
Unrealized)............... 0.51 (10.74) 9.09 10.42 10.53
-------- -------- -------- -------- --------
Total From Investment
Operations.............. 0.50 (10.77) 9.00 10.37 10.52
- ------------------------------ ------------------------------------------------------------
Less Distributions
Net Investment Income....... -- -- -- -- --
Net Realized Gains.......... (1.72) (1.29) (1.70) (4.21) (0.04)
-------- -------- -------- -------- --------
Total Distributions....... (1.72) (1.29) (1.70) (4.21) (0.04)
- ------------------------------ ------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 25.05 $ 26.27 $ 38.33 $ 31.03 $ 24.87
- ------------------------------ ------------------------------------------------------------
- ------------------------------ ------------------------------------------------------------
Total Return.................. 1.68% (29.12)% 30.63% 47.62% 73.09%
- ------------------------------ ------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $159,475 $149,100 $168,820 $107,863 $60,450
Ratio of Expenses to Average
Net Assets**................ 0.78% 0.83% 0.76% 0.76% 0.78%
Ratio of Net Investment Income
to Average Net Assets....... (0.11)% (0.22)% (0.34)% (0.23)% (0.08)%
Portfolio Turnover Rate....... 2.71% 10.26% 5.76% 9.14% 0.07%
Average Commission Rate (1)... N/A N/A N/A N/A N/A
- ------------------------------ ------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratio for the portfolio and its pro-rata share of its Master Fund Series for the year ended
November 30, 1996 and subsequent periods.
*** Refer to the Master Fund Series
(a) Portfolio turnover and average commission calculated for the period December 1, 1995 to August 9, 1996, (through date of
Transfer transaction, see Master Fund Series for rates subsequent to Transfer transaction).
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements
72
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
----------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR JAN. 5
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993
- ------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period...... $ 16.63 $ 14.38 $ 15.98 $ 16.45 $ 10.00
----------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income................... 0.10 0.27 0.34 0.23 0.11
Net Gain (Losses) on Securities
(Realized and Unrealized)............. 0.12 2.40 (1.33) 0.47 6.46
----------- -------- -------- -------- --------
Total From Investment Operations...... 0.22 2.67 (0.99) 0.70 6.57
- ------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income................... (0.33) (0.02) (0.34) (0.23) (0.09)
Net Realized Gains...................... (0.88) (0.40) (0.27) (0.94) (0.03)
----------- -------- -------- -------- --------
Total Distributions................... (1.21) (0.42) (0.61) (1.17) (0.12)
- ------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 15.64 $ 16.63 $ 14.38 $ 15.98 $ 16.45
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
Total Return.............................. 1.75%# 19.06% (6.27)% 4.26% 65.71%#
- ------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $217,165 $215,542 $193,137 $212,953 $164,623
Ratio of Expenses to Average Net
Assets**................................ 0.81%* 0.84% 0.83% 0.95% 1.16%*
Ratio of Net Investment Income to Average
Net Assets.............................. 1.25%* 1.70% 2.22% 1.47% 1.27%*
Portfolio Turnover Rate................... N/A*** 7.05%*(a) 5.95% 26.05% 2.77%*
Average Commission Rate (1)............... N/A*** $ 0.0094(a) N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the portfolio and its pro-rata share of its Master Fund Series for the year ended
November 30, 1996 and subsequent periods.
*** Refer to the Master Fund Series.
(a) Portfolio turnover and average commission calculated for the period December 1, 1995 to August 9, 1996, (through date of
Transfer transaction, see Master Fund Series for rates subsequent to Transfer transaction).
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements
73
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
-----------------------------------------------------------------------------
SIX
MONTHS YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993 1992 1991
- ---------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period........................ $ 28.47 $ 24.09 $ 23.20 $ 21.22 $ 16.38 $ 21.37 $ 20.41
-------- -------- -------- -------- -------- -------- --------
Income From Investment
Operations
Net Investment Income......... 0.31 0.72 0.84 0.48 0.45 0.64 0.69
Net Gain (Losses) on
Securities (Realized and
Unrealized)................. 0.85 5.31 1.12 2.03 5.34 (4.98) 1.71
-------- -------- -------- -------- -------- -------- --------
Total From Investment
Operations................ 1.16 6.03 1.96 2.51 5.79 (4.34) 2.40
- ---------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income......... (0.73) (0.06) (0.76) (0.53) (0.95) (0.65) (0.90)
Net Realized Gains............ (1.32) (1.59) (0.31) -- -- -- (0.54)
-------- -------- -------- -------- -------- -------- --------
Total Distributions......... (2.05) (1.65) (1.07) (0.53) (0.95) (0.65) (1.44)
- ---------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 27.58 $ 28.47 $ 24.09 $ 23.20 $ 21.22 $ 16.38 $ 21.37
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
Total Return.................... 4.26%# 26.76% 8.39% 11.85% 36.42% (20.93)% 12.55%
- ---------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $170,378 $166,789 $167,730 $214,113 $181,789 $121,086 $146,873
Ratio of Expenses to Average Net
Assets**...................... 0.69%* 0.73% 0.72% 0.74% 0.78% 0.76% 0.84%
Ratio of Net Investment Income
to Average Net Assets......... 2.29%* 2.49% 2.51% 1.95% 2.22% 3.19% 3.44%
Portfolio Turnover Rate......... N/A*** 3.72%*(a) 7.82% 10.75% 8.21% 4.41% 4.50%
Average Commission Rate (1)..... N/A*** $ 0.0103(a) N/A N/A N/A N/A N/A
- ---------------------------------------------------------------------------------------------------------------
<CAPTION>
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1990 1989 1988 1987
- -------------------------------- -----------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period........................ $ 22.55 $ 28.29 $ 23.41 $ 16.29
-------- -------- -------- --------
Income From Investment
Operations
Net Investment Income......... 0.92 0.52 0.61 0.17
Net Gain (Losses) on
Securities (Realized and
Unrealized)................. (1.34) (4.75) 5.18 7.35
-------- -------- -------- --------
Total From Investment
Operations................ (0.42) (4.23) 5.79 7.52
- -------------------------------- -----------------------------------------
Less Distributions
Net Investment Income......... (0.75) (0.54) (0.28) (0.36)
Net Realized Gains............ (0.97) (0.97) (0.63) (0.04)
-------- -------- -------- --------
Total Distributions......... (1.72) (1.51) (0.91) (0.40)
- -------------------------------- -----------------------------------------
Net Asset Value, End of
Period........................ $ 20.41 $ 22.55 $ 28.29 $ 23.41
- -------------------------------- -----------------------------------------
- -------------------------------- -----------------------------------------
Total Return.................... (2.22)% (15.40)% 23.66% 47.44%
- -------------------------------- -----------------------------------------
Net Assets, End of Period
(thousands)................... $127,137 $119,385 $121,337 $ 82,197
Ratio of Expenses to Average Net
Assets**...................... 0.83% 0.70% 0.71% 0.85%
Ratio of Net Investment Income
to Average Net Assets......... 4.34% 2.24% 2.58% 1.92%
Portfolio Turnover Rate......... 10.86% 11.38% 12.55% 9.50%
Average Commission Rate (1)..... N/A N/A N/A N/A
- -------------------------------- -----------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the portfolio and its pro-rata share of its Master Fund Series for the year ended
November 30, 1996 and subsequent periods.
*** Refer to the Master Fund Series.
(a) Portfolio turnover and average commission calculated for the period December 1, 1995 to August 9, 1996, (through date of
Transfer transaction, see Master Fund Series for rates subsequent to Transfer transaction).
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements
74
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
SIX MONTHS ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
ENDED MAY NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
31, 1997 1996 1995 1994 1993 1992 1991 1990 1989
- ----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of
Period............ $ 15.26 $ 14.13 $ 14.63 $ 12.62 $ 11.39 $ 14.18 $ 16.24 $ 16.15 $ 12.02
----------- -------- -------- -------- -------- -------- -------- -------- --------
Income From
Investment
Operations
Net Investment
Income (Loss)... 0.11 0.30 0.29 0.18 0.23 0.28 0.27 0.25 0.12
Net Gain (Losses)
on Securities
(Realized and
Unrealized)..... 1.24 1.58 (0.48) 2.10 1.46 (2.11) (1.66) 0.31 4.10
----------- -------- -------- -------- -------- -------- -------- -------- --------
Total From
Investment
Operations.... 1.35 1.88 (0.19) 2.28 1.69 (1.83) (1.39) 0.56 4.22
- ----------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment
Income.......... (0.29) (0.02) (0.29) (0.19) (0.44) (0.26) (0.29) (0.20) (0.09)
Net Realized
Gains........... (0.87) (0.73) (0.02) (0.07) (0.02) (0.70) (0.38) (0.27) --
Tax Return of
Capital......... -- -- -- (0.01) -- -- -- -- --
----------- -------- -------- -------- -------- -------- -------- -------- --------
Total
Distributions... (1.16) (0.75) (0.31) (0.27) (0.46) (0.96) (0.67) (0.47) (0.09)
- ----------------------------------------------------------------------------------------------------------------------------
Net Asset Value,
End of Period..... $ 15.45 $ 15.26 $ 14.13 $ 14.63 $ 12.62 $ 11.39 $ 14.18 $ 16.24 $ 16.15
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Total Return........ 9.55%# 13.96% (1.33)% 18.19% 15.27% (13.85)% (9.11)% 3.50% 35.62%
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period
(thousands)....... $309,886 $299,325 $314,116 $340,992 $266,175 $196,845 $214,054 $245,465 $199,065
Ratio of Expenses to
Average Net
Assets**.......... 0.72%* 0.73% 0.74% 0.77% 0.83% 0.90% 0.86% 0.89% 0.82%
Ratio of Net
Investment Income
to Average Net
Assets............ 1.39%* 1.81% 1.69% 1.21% 1.61% 2.11% 1.68% 1.63% 1.41%
Portfolio Turnover
Rate.............. N/A*** 3.67%*(a) 9.79% 10.22% 8.99% 6.35% 7.69% 6.24% 5.70%
Average Commission
Rate (1).......... N/A*** $ 0.1030(a) N/A N/A N/A N/A N/A N/A N/A
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE INTERNATIONAL SMALL
COMPANY PORTFOLIO
------------------------
SIX
APRIL 15 MONTHS OCT. 1
TO ENDED MAY TO
NOV. 30, 31, NOV. 30,
1988 1997 1996
- -------------------- --------------------------------------
(UNAUDITED)
<S> <C> <C> <C>
Net Asset Value,
Beginning of
Period............ $ 10.00 $ 9.96 $ 10.00
-------- --------- ---------
Income From
Investment
Operations
Net Investment
Income (Loss)... 0.17 0.06 0.01
Net Gain (Losses)
on Securities
(Realized and
Unrealized)..... 1.85 (0.21) (0.05)
-------- --------- ---------
Total From
Investment
Operations.... 2.02 (0.15) (0.04)
- -------------------- --------------------------------------
Less Distributions
Net Investment
Income.......... -- (0.02) --
Net Realized
Gains........... -- -- --
Tax Return of
Capital......... -- -- --
-------- --------- ---------
Total
Distributions... -- (0.02) --
- -------------------- --------------------------------------
Net Asset Value,
End of Period..... $ 12.02 $ 9.79 $ 9.96
- -------------------- --------------------------------------
- -------------------- --------------------------------------
Total Return........ 20.01%# (1.53)%# (0.40)%#
- -------------------- --------------------------------------
Net Assets, End of
Period
(thousands)....... $ 78,689 $148,207 $ 104,118
Ratio of Expenses to
Average Net
Assets**.......... 1.05%* 0.75%*(b) 0.70%*(b)
Ratio of Net
Investment Income
to Average Net
Assets............ 3.27%* 1.31%*(b) 0.54%*(b)
Portfolio Turnover
Rate.............. 0.26%* N/A*** N/A***
Average Commission
Rate (1).......... N/A N/A*** N/A***
- -------------------- --------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its respective pro-rata shares of its Master Fund Series
for the year ended November 30, 1996 and subsequent periods.
*** Refer to the respective Master Fund Series.
(a) Portfolio turnover and average commission calculated for the period December 1, 1995 to August 9, 1996 (through date of
Transfer transaction, see Master Fund Series for rates subsequent to Transfer transaction.)
(b) Had certain waivers not been in effect, the ratios of expenses to average net assets for the periods ended May 31 1997
and November 30, 1996 would have been 0.77% and 0.79%, respectively, and the ratios of net investment income to average
net assets for the periods ended May 31, 1997 and November 30, 1996 would have been 1.29% and 0.45%, respectively.
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements
75
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE RWB/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
-------------------------------------------------------------------------
SIX MONTHS YEAR ENDED YEAR ENDED YEAR ENDED JUNE 10 TO
ENDED MAY NOV. 30, NOV. 30, NOV. 30, NOV. 30,
31, 1997 1996 1995 1994 1993
- ------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period........................... $ 13.76 $ 12.02 $ 11.44 $ 9.92 $ 10.00
----------- ----------- ----------- ----------- -----------
Income From Investment Operations
Net Investment Income (Loss)..... 0.02 0.22 0.19 0.14 0.06
Net Gain (Losses) on Securities
(Realized and Unrealized)...... 0.43 1.53 0.60 1.52 (0.11)
----------- ----------- ----------- ----------- -----------
Total From Investment
Operations................... 0.45 1.75 0.79 1.66 (0.05)
- ------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income............ (0.23) (0.01) (0.19) (0.14) (0.03)
Net Realized Gains............... (0.14) -- (0.02) -- --
----------- ----------- ----------- ----------- -----------
Total Distributions.............. (0.37) (0.01) (0.21) (0.14) (0.03)
- ------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..... $ 13.84 $ 13.76 $ 12.02 $ 11.44 $ 9.92
- ------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------
Total Return....................... 3.36%# 14.61% 6.95% 16.71% (0.50)%#
- ------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $288,691 $ 257,371 $ 172,017 $ 112,952 $ 63,235
Ratio of Expenses to Average Net
Assets**......................... 0.49%* 0.54% 0.68% 0.69%(a) 0.65%*(a)
Ratio of Net Investment Income to
Average Net Assets............... 0.33%* 1.88% 1.85% 1.39%(a) 1.40%*(a)
Portfolio Turnover Rate............ N/A*** N/A*** N/A*** 0.15%*(b) 0.41%*
Average Commission Rate............ N/A*** N/A*** N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE EMERGING MARKETS PORTFOLIO
--------------------------------------------------------------
SIX MONTHS YEAR ENDED YEAR ENDED APRIL 25 TO
ENDED MAY NOV. 30, NOV. 30, NOV. 30,
31, 1997 1996 1995 1994
- ----------------------------------- --------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period........................... $ 11.71 $ 10.35 $ 11.30 $ 10.00
----------- ----------- ----------- -----------
Income From Investment Operations
Net Investment Income (Loss)..... 0.13 0.09 0.06 (0.02)
Net Gain (Losses) on Securities
(Realized and Unrealized)...... 1.11 1.27 (0.96) 1.32
----------- ----------- ----------- -----------
Total From Investment
Operations................... 1.24 1.36 (0.90) 1.30
- ----------------------------------- --------------------------------------------------------------
Less Distributions
Net Investment Income............ (0.09) -- (0.05) --
Net Realized Gains............... -- -- -- --
----------- ----------- ----------- -----------
Total Distributions.............. (0.09) -- (0.05) --
- ----------------------------------- --------------------------------------------------------------
Net Asset Value, End of Period..... $ 12.86 $ 11.71 $ 10.35 $ 11.30
- ----------------------------------- --------------------------------------------------------------
- ----------------------------------- --------------------------------------------------------------
Total Return....................... 10.70%# 13.18% (7.96)% 13.00%#
- ----------------------------------- --------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $214,752 $ 162,025 $ 49,337 $ 15,731
Ratio of Expenses to Average Net
Assets**......................... 1.01%* 1.15% 1.58% 2.43%*
Ratio of Net Investment Income to
Average Net Assets............... 2.34%* 1.14% 0.98% (0.44)%*
Portfolio Turnover Rate............ N/A*** N/A*** N/A*** N/A***
Average Commission Rate............ N/A*** N/A*** N/A N/A
- ----------------------------------- --------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its respective 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.
(a) Had certain waivers not been in effect, the ratios of expenses to average net assets for the periods ended November 30,
1994 and 1993 would have been 0.73% and 0.82%, respectively, and the ratios of net investment income to average net
assets for the periods ended November 30, 1994 and 1993 would have been 1.38% and 1.23%, respectively.
(b) Portfolio turnover calculated for the period December 1, 1993 to February 15, 1994 (through date of Exchange transaction,
see respective Master Fund Series for rate subsequent to Exchange transaction).
</TABLE>
See accompanying Notes to Financial Statements
76
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE LARGE CAP INTERNATIONAL PORTFOLIO
-----------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED JULY 15, TO
ENDED MAY NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
31, 1997 1996 1995 1994 1993 1992 1991
- -----------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of
Period.............. $ 14.18 $ 12.60 $ 11.91 $ 11.26 $ 9.63 $ 10.64 $ 10.00
----------- ----------- ----------- ----------- ----------- ----------- -----------
Income From Investment
Operations
Net Investment
Income............ 0.12 0.21 0.15 0.09 0.15 0.11 0.06
Net Gains (Losses)
on Securities
(Realized and
Unrealized)....... 0.41 1.39 0.95 1.11 1.72 (1.04) 0.58
----------- ----------- ----------- ----------- ----------- ----------- -----------
Total From
Investment
Operations...... 0.53 1.60 1.10 1.20 1.87 (0.93) 0.64
- -----------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment
Income............ (0.21) (0.02) (0.18) (0.09) (0.24) (0.07) --
Net Realized
Gains............. (0.08) -- (0.23) (0.46) -- (0.01) --
----------- ----------- ----------- ----------- ----------- ----------- -----------
Total
Distributions... (0.29) (0.02) (0.41) (0.55) (0.24) (0.08) --
- -----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End
of Period........... $ 14.42 $ 14.18 $ 12.60 $ 11.91 $ 11.26 $ 9.63 $ 10.64
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
Total Return.......... 3.89%# 12.68% 9.37% 10.74% 19.55% (9.00)% 2.88%#
- -----------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period
(thousands)......... $ 85,444 $ 79,322 $ 67,940 $ 55,635 $ 78,472 $ 26,041 $ 4,360
Ratio of Expenses to
Average Net
Assets.............. 0.51%* 0.58% 0.57% 0.66% 0.55%(a) 0.50%(a) 0.50%*(a)
Ratio of Net
Investment Income to
Average Net
Assets.............. 1.84%* 1.57% 1.84% 1.18% 1.94%(a) 1.75%(a) 1.96%*(a)
Portfolio Turnover
Rate................ 0.31%* 17.65% 24.44% 33.15% 0.28% 0.20% 2.38%*
Average Commission
Rate (1)............ $ 0.0109 $ 0.0160 N/A N/A N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA INTERNATIONAL SMALL CAP VALUE
PORTFOLIO
---------------------------------------
DEC. 30,
SIX MONTHS YEAR ENDED 1994 TO
ENDED MAY NOV. 30, NOV. 30,
31, 1997 1996 1995
- ---------------------- ---------------------------------------
(UNAUDITED)
<S> <C> <C> <C>
Net Asset Value,
Beginning of
Period.............. $ 10.45 $ 9.68 $ 10.00
----------- ----------- -----------
Income From Investment
Operations
Net Investment
Income............ 0.06 0.11 0.05
Net Gains (Losses)
on Securities
(Realized and
Unrealized)....... (0.19) 0.66 (0.32)
----------- ----------- -----------
Total From
Investment
Operations...... (0.13) 0.77 (0.27)
- ---------------------- ---------------------------------------
Less Distributions
Net Investment
Income............ (0.13) -- (0.04)
Net Realized
Gains............. (0.30) -- (0.01)
----------- ----------- -----------
Total
Distributions... (0.43) -- (0.05)
- ---------------------- ---------------------------------------
Net Asset Value, End
of Period........... $ 9.89 $ 10.45 $ 9.68
- ---------------------- ---------------------------------------
- ---------------------- ---------------------------------------
Total Return.......... (1.22)%# 8.01% (2.73)%#
- ---------------------- ---------------------------------------
Net Assets, End of
Period
(thousands)......... $444,135 $ 375,488 $ 147,125
Ratio of Expenses to
Average Net
Assets.............. 0.92%* 0.99% 1.23%*
Ratio of Net
Investment Income to
Average Net
Assets.............. 1.31%* 1.38% 1.43%*
Portfolio Turnover
Rate................ 14.30%* 14.52% 1.62%*
Average Commission
Rate (1)............ $ 0.0062 $ 0.0092 N/A
- ---------------------- ---------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
(a) Had certain fees and expenses not been waived or reimbursed, the ratios of expenses to average net assets for the periods
ended November 30, 1993, 1992 and 1991 would have been 0.66%, 1.35% and 2.31%, respectively, and the ratios of net
investment income to average net assets for the periods ended November 30, 1993, 1992 and 1991 would have been 1.83%,
0.90% and 0.15%, respectively.
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements
77
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
--------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
SIX MONTHS ENDED ENDED ENDED ENDED ENDED ENDED OCT. 22
ENDED MAY NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, TO NOV.
31, 1997 1996 1995 1994 1993 1992 1991 30, 1990
- ---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period........................... $ 11.22 $ 11.24 $ 10.22 $ 11.59 $ 11.20 $ 11.02 $ 10.27 $ 10.00
----------- -------- --------- --------- --------- --------- --------- --------
Income From Investment Operations
Net Investment Income............ 0.33 0.65 0.70 0.69 0.55 0.76 0.84 0.09
Net Gain (Losses) on Securities
(Realized and Unrealized)...... (0.32) (0.13) 1.11 (1.22) 0.66 0.26 0.63 0.18
----------- -------- --------- --------- --------- --------- --------- --------
Total From Investment
Operations................... 0.01 0.52 1.81 (0.53) 1.21 1.02 1.47 0.27
- ---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income............ (0.32) (0.50) (0.70) (0.68) (0.73) (0.78) (0.72) --
Net Realized Gains............... -- (0.04) (0.09) (0.16) (0.09) (0.06) -- --
----------- -------- --------- --------- --------- --------- --------- --------
Total Distributions............ (0.32) (0.54) (0.79) (0.84) (0.82) (0.84) (0.72) --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..... $ 10.91 $ 11.22 $ 11.24 $ 10.22 $ 11.59 $ 11.20 $ 11.02 $ 10.27
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
Total Return....................... 0.13%# 4.98% 18.04% (4.72)% 12.84% 9.70% 14.94% 2.63%#
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $122,978 $107,944 $ 78,087 $ 60,827 $ 53,051 $ 40,160 $ 29,393 $25,567
Ratio of Expenses to Average Net
Assets........................... 0.25%* 0.26% 0.27% 0.29% 0.32% 0.29% 0.28% 0.23%*
Ratio of Net Investment Income to
Average Net Assets............... 6.31%* 6.22% 6.44% 6.45% 6.41% 7.05% 7.86% 8.73%*
Portfolio Turnover Rate............ 21.33%* 30.84% 40.79% 27.15% 16.91% 17.91% 19.72% 0.00%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
(Restated to reflect 900% stock dividend as of January 2, 1996)
* Annualized
# Non-annualized
</TABLE>
See accompanying Notes to Financial Statements
78
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO
-------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
SIX MONTHS ENDED ENDED ENDED ENDED ENDED
ENDED MAY NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
31, 1997 1996 1995 1994 1993 1992
- ------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period........................... $ 10.24 $ 10.21 $ 10.05 $ 10.28 $ 10.35 $ 10.33
----------- -------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income............ 0.29 0.56 0.60 0.46 0.35 0.43
Net Gain (Losses) on Securities
(Realized and Unrealized)...... (0.02) 0.03 0.17 (0.21) 0.11 0.06
----------- -------- -------- -------- -------- --------
Total From Investment
Operations................... 0.27 0.59 0.77 0.25 0.46 0.49
- ------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income............ (0.29) (0.56) (0.60) (0.46) (0.38) (0.44)
Net Realized Gains............... -- -- (0.01) (0.02) (0.15) (0.03)
----------- -------- -------- -------- -------- --------
Total Distributions............ (0.29) (0.56) (0.61) (0.48) (0.53) (0.47)
- ------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..... $ 10.22 $ 10.24 $ 10.21 $ 10.05 $ 10.28 $ 10.35
- ------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------
Total Return....................... 2.68%# 5.94% 7.80% 2.48% 4.62% 5.64%
Net Assets, End of Period
(thousands)...................... $756,272 $854,521 $704,950 $592,226 $608,400 $561,879
Ratio of Expenses to Average Net
Assets**......................... 0.21%* 0.21% 0.20% 0.21% 0.21% 0.21%
Ratio of Net Investment Income to
Average Net Assets............... 5.78%* 5.39% 5.86% 4.47% 3.38% 4.81%
Portfolio Turnover Rate............ N/A*** N/A*** N/A*** N/A*** 61.95%(a) 125.56%
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
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........................... $ 10.19 $ 10.16 $ 10.12 $ 10.12 $ 10.27
-------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income............ 0.68 0.83 0.82 0.78 0.69
Net Gain (Losses) on Securities
(Realized and Unrealized)...... 0.16 0.04 0.03 (0.04) (0.08)
-------- -------- -------- -------- --------
Total From Investment
Operations................... 0.84 0.87 0.85 0.74 0.61
- ----------------------------------- --------------------------------------------------------
Less Distributions
Net Investment Income............ (0.70) (0.84) (0.81) (0.74) (0.68)
Net Realized Gains............... -- -- -- -- (0.08)
-------- -------- -------- -------- --------
Total Distributions............ (0.70) (0.84) (0.81) (0.74) (0.76)
- ----------------------------------- --------------------------------------------------------
Net Asset Value, End of Period..... $ 10.33 $ 10.19 $ 10.16 $ 10.12 $ 10.12
- ----------------------------------- --------------------------------------------------------
- ----------------------------------- --------------------------------------------------------
Total Return....................... 8.61% 8.88% 9.53% 7.61% 6.14%
Net Assets, End of Period
(thousands)...................... $469,276 $412,907 $360,146 $341,551 $342,436
Ratio of Expenses to Average Net
Assets**......................... 0.21% 0.21% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to
Average Net Assets............... 6.75% 8.27% 8.77% 7.70% 6.82%
Portfolio Turnover Rate............ 82.26% 96.30% 0.00% 80.74% 162.18%
- ----------------------------------- --------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
(Restated to reflect 900% stock dividend as of January 2, 1996)
* Annualized
# Non-annualized
** Represents the combined ratio for the portfolio and its pro-rata share of its Master Fund Series for the year ended
November 30, 1993 and subsequent periods.
*** Refer to the Master Fund Series
(a) Portfolio turnover calculated for period December 1, 1992 to February 7, 1993 (through date of Exchange transaction, see
Master Fund Series for rate subsequent to Exchange transaction).
</TABLE>
See accompanying Notes to Financial Statements
79
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO (1)
--------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR
SIX MONTHS ENDED ENDED ENDED ENDED ENDED ENDED ENDED
ENDED MAY NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
31, 1997 1996 1995 1994 1993 1992 1991 1990
- ----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period............................ $ 10.42 $ 10.05 $ 9.75 $ 10.55 $ 10.88 $ 11.25 $ 10.64 $ 10.46
----------- -------- -------- -------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income............. 0.30 0.65 0.59 0.48 0.47 0.57 0.81 0.76
Net Gain (Losses) on Securities
(Realized and Unrealized)....... (0.16) 0.09 0.30 (0.80) 0.49 0.31 0.54 0.20
----------- -------- -------- -------- -------- -------- -------- --------
Total From Investment
Operations...................... 0.14 0.74 0.89 (0.32) 0.96 0.88 1.35 0.96
- ----------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income............. (0.35) (0.37) (0.59) (0.48) (0.73) (0.76) (0.74) (0.78)
Net Realized Gains................ -- -- -- -- (0.56) (0.49) -- --
----------- -------- -------- -------- -------- -------- -------- --------
Total Distributions............... (0.35) (0.37) (0.59) (0.48) (1.29) (1.25) (0.74) (0.78)
- ----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 10.21 $ 10.42 $ 10.05 $ 9.75 $ 10.55 $ 10.88 $ 11.25 $ 10.64
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Total Return........................ 1.40%# 7.51% 9.35% (3.13)% 9.46% 8.59% 13.44% 9.72%
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)....................... $192,867 $174,386 $300,921 $235,554 $164,504 $83,543 $56,971 $52,260
Ratio of Expenses to Average Net
Assets **......................... 0.30%* 0.30% 0.28% 0.31% 0.31% 0.31% 0.30% 0.30%
Ratio of Net Investment Income to
Average Net Assets................ 6.03%* 5.63% 6.14% 5.08% 4.75% 5.82% 7.16% 7.91%
Portfolio Turnover Rate............. 13.66%* 211.97% 398.09% 52.39% 152.10% 218.60% 223.18% 165.50%
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA TWO-YEAR
GLOBAL FIXED INCOME
PORTFOLIO
YEAR YEAR ----------------------
ENDED ENDED MAY 31, SIX MONTHS FEB. 9
NOV. 30, NOV. 30, TO NOV. ENDED MAY TO NOV.
1989 1988 30, 1987 31, 1997 30, 1996
- ------------------------------------ -------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period............................ $ 10.42 $10.33 $10.00 $ 10.37 $ 10.00
-------- -------- -------- ----------- --------
Income From Investment Operations
Net Investment Income............. 0.85 0.62 0.38 0.28 0.24
Net Gain (Losses) on Securities
(Realized and Unrealized)....... 0.05 0.09 (0.05) (0.01) 0.35
-------- -------- -------- ----------- --------
Total From Investment
Operations...................... 0.90 0.71 0.33 0.27 0.59
- ------------------------------------ -------------------------------------------------------
Less Distributions
Net Investment Income............. (0.86) (0.58) -- (0.29) (0.22)
Net Realized Gains................ -- (0.04) -- (0.01) --
-------- -------- -------- ----------- --------
Total Distributions............... (0.86) (0.62) -- (0.30) (0.22)
- ------------------------------------ -------------------------------------------------------
Net Asset Value, End of Period...... $ 10.46 $10.42 $10.33 $ 10.34 $ 10.37
- ------------------------------------ -------------------------------------------------------
- ------------------------------------ -------------------------------------------------------
Total Return........................ 9.33% 7.13% 3.26%# 2.66%# 6.01%#
- ------------------------------------ -------------------------------------------------------
Net Assets, End of Period
(thousands)....................... $53,039 $4,863 $4,258 $361,642 $319,343
Ratio of Expenses to Average Net
Assets **......................... 0.30% 0.28% 0.27%* 0.33%* 0.33%*
Ratio of Net Investment Income to
Average Net Assets................ 8.49% 7.97% 7.50%* 5.30%* 3.10%*
Portfolio Turnover Rate............. 312.59% 253.31% 100.85%* N/A*** N/A***
- ------------------------------------ -------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
(1) Restated to reflect a 900% stock dividend as of January 2, 1996.
* Annualized
# Non-annualized
** Represents the combined ratio for The DFA Two-Year Global Fixed Income Portfolio and its pro-rata share of its Master
Fund Series.
*** Refer to the Master Fund Series
</TABLE>
See accompanying Notes to Financial Statements
80
<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 YEAR
SIX MONTHS ENDED ENDED ENDED ENDED ENDED ENDED NOV. 6
ENDED MAY NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, TO NOV.
31, 1997 1996 1995 1994 1993 1992 1991 30, 1990
- ------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 11.04 $ 10.51 $ 9.81 $ 10.56 $ 10.36 $ 10.47 $ 10.02 $10.00
----------- -------- -------- -------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income (Loss).......... 0.25 0.50 0.39 0.35 0.40 0.54 0.66 0.04
Net Gain (Losses) on Securities
(Realized and Unrealized)........... 0.05 0.61 1.08 (0.65) 0.73 0.26 0.26 (0.02)
----------- -------- -------- -------- -------- -------- -------- --------
Total From Investment Operations.... 0.30 1.11 1.47 (0.30) 1.13 0.80 0.92 0.02
- ------------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income................. (0.64) (0.58) (0.77) (0.44) (0.45) (0.64) (0.47) --
Net Realized Gains.................... (0.09) -- -- (0.01) (0.48) (0.27) -- --
----------- -------- -------- -------- -------- -------- -------- --------
Total Distributions................. (0.73) (0.58) (0.77) (0.45) (0.93) (0.91) (0.47) --
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 10.61 $ 11.04 $ 10.51 $ 9.81 $ 10.56 $ 10.36 $ 10.47 $10.02
- ------------------------------------------------------------------------------------------------------------------------------
Total Return............................ 2.94%# 11.13% 15.23% (2.91)% 11.42% 8.00% 11.00% 0.22%#
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $206,816 $165,772 $208,166 $135,529 $101,528 $54,607 $31,647 $8,474
Ratio of Expenses to Average Net
Assets................................ 0.44%* 0.46% 0.46% 0.49% 0.52% 0.58% 0.67% 0.51%*
Ratio of Net Investment Income to
Average Net Assets.................... 4.81%* 4.41% 5.80% 5.75% 5.09% 5.52% 6.74% 6.92%*
Portfolio Turnover Rate................. 67.53%* 103.62% 130.41% 113.55% 139.57% 210.39% 194.25% 0.00%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
(Restated to reflect a 900% stock dividend as of January 2, 1996)
* Annualized
# Non-annualized
</TABLE>
See accompanying Notes to Financial Statements
81
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company whose shares are offered, without a sales charge, generally
to institutional investors and clients of registered investment advisors.
Twenty-one of the Fund's thirty portfolios (the "Portfolios") are included in
this report. Of the remaining nine portfolios, six portfolios are only available
through a select group of insurance products and are presented in a separate
report and the remaining three portfolios have not yet commenced operations.
On June 1, 1996, pursuant to an amendment to the organization document of
the U.S. Large Company Series ("the Series") which resulted in the
reorganization of the Series from an entity taxed as a corporation to an entity
taxed as a partnership for income tax purposes, the U.S. Large Company Portfolio
("this Portfolio") redeemed its shares invested in the Series in exchange for
the assets of the Series valued at $130,671,442. These assets were immediately
contributed to the Series from this Portfolio, along with a nominal contribution
from the Advisor, to create the partnership in exchange for an interest in the
Series. At the time of this event, this Portfolio had $37,143,056 of unrealized
appreciation on its investment in the Series. Immediately following the
reorganization, this Portfolio owned 99.9% of the Series. This transaction is
expected to be a tax-free event to the shareholders of this Portfolio based on
rulings obtained from the Internal Revenue Service. Subsequent to the
reorganization, an unrelated investment company became a partner of the Series
and reduced this Portfolio's percentage of ownership to 36.6%.
On August 9, 1996, The Japanese Small Company Portfolio, The Pacific Rim
Small Company Portfolio, The United Kingdom Small Company Portfolio and The
Continental Small Company Portfolio each transferred their investable assets in
exchange for assets of a corresponding series of The DFA Investment Trust
Company (the "Transfer"). At the same time, the Advisor also made a nominal
contribution to each series. Each corresponding series (The Japanese Small
Company Series, The Pacific Rim Small Company Series, The United Kingdom Small
Company Series and The Continental Small Company Series) is taxed as a
partnership for federal income tax purposes. The Transfer is not expected to
have any adverse tax effects on the Portfolios. In the opinion of counsel to the
Fund, the Transfer was a tax-free event and therefore resulted in no recognition
of taxable gain (loss) for each Portfolio.
The following Portfolios (the "Feeder Funds") invest in a corresponding
series of The DFA Investment Trust Company (the "Master Funds"):
<TABLE>
<CAPTION>
PERCENTAGE
OWNERSHIP
PORTFOLIOS (FEEDER FUNDS) CORRESPONDING SERIES (MASTER FUNDS) AT 05/31/97
- ------------------------------------------------------- ------------------------------------------------------- -------------
<S> <C> <C>
The U.S. 6-10 Small Company Portfolio The U.S. 6-10 Small Company Series 88%
The U.S. Large Company Portfolio The U.S. Large Company Series 42%
The Enhanced U.S. Large Company Portfolio The Enhanced U.S. Large Company Series 100%
The U.S. Small Cap Value Portfolio The U.S. Small Cap Value Series 96%
The U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 56%
The Japanese Small Company Portfolio The Japanese Small Company Series 83%
The Pacific Rim Small Company Portfolio The Pacific Rim Small Company Series 88%
The United Kingdom Small Company Portfolio The United Kingdom Small Company Series 89%
The Continental Small Company Portfolio The Continental Small Company Series 86%
</TABLE>
82
<PAGE>
<TABLE>
<CAPTION>
PERCENTAGE
OWNERSHIP
PORTFOLIOS (FEEDER FUNDS) CORRESPONDING SERIES (MASTER FUNDS) AT 05/31/97
- ------------------------------------------------------- ------------------------------------------------------- -------------
<S> <C> <C>
The International Small Company Portfolio The Japanese Small Company Series 17%
The Pacific Rim Small Company Series 12%
The United Kingdom Small Company Series 11%
The Continental Small Company Series 14%
The RWB/DFA International High Book to Market Portfolio The DFA International Value Series 19%
The Emerging Markets Portfolio The Emerging Markets Series 99%
The DFA One-Year Fixed Income Portfolio The DFA One-Year Fixed Income Series 99%
The DFA Two-Year Global Fixed Income Portfolio The DFA Two-Year Global Fixed Income Series 100%
</TABLE>
Each Feeder Fund, with the exception of The International Small Company
Portfolio, invests solely in a corresponding Master Fund. The International
Small Company Portfolio also invests in short term temporary cash investments
from time to time.
The financial statements of the Master Funds are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Feeder Funds.
On December 20, 1995, the Board of Directors of DFA Investment Dimensions
Group, Inc. approved a 900% stock dividend under Maryland Corporate Law, which
is treated as a 10 for 1 stock split for financial reporting purposes for The
DFA One-Year Fixed Income Portfolio, The DFA Five-Year Government Portfolio, The
DFA Global Fixed Income Portfolio and The DFA Intermediate Government Fixed
Income Portfolio. The record date of the stock dividend was January 1, 1996. The
ex-date and payable dates were January 2, 1996. This was a tax-free event to the
shareholders of these portfolios. Additionally, on this date, the Board approved
an amendment to increase the authorized number of shares of each of these
portfolios to 100,000,000. All share and per share data as of and for the period
ended November 30, 1995 and all prior periods have been restated to reflect the
stock dividend.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by The U.S. 9-10 Small Company
Portfolio and The DFA 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 Large Cap International Portfolio
and The DFA International Small Cap Value Portfolio (the "International Equity
Portfolios") which are listed on a securities exchange are valued at the last
quoted sale price. Price information on listed securities is taken from the
exchange where the security is primarily traded. Unlisted securities for which
market quotations are readily available are valued at the mean between the most
recent bid and asked prices. Securities for which quotations are not readily
available are valued in good faith at fair value using methods determined by the
Board of Directors.
Securities held by The DFA Intermediate Government Fixed Income Portfolio,
The DFA Five-Year Government Portfolio and The DFA Global 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.
83
<PAGE>
Master Fund shares held by the Feeder Funds are valued at their respective
daily net asset values or for The U.S. Large Company Portfolio, The Japanese
Small Company Portfolio, The Pacific Rim Small Company Portfolio, The United
Kingdom Small Company Portfolio, The Continental Small Company Portfolio, The
International Small Company Portfolio and The Emerging Markets Portfolio, their
investment reflects their proportionate interest in the net assets of the
corresponding Master Fund.
2. FOREIGN CURRENCY: Securities, other assets and liabilities of the
International Equity Portfolios and The DFA Global Fixed Income Portfolio whose
values are initially expressed in foreign currencies are translated to U.S.
dollars at the bid price of such currency against U.S. dollars last quoted by a
major bank. Dividend and interest income and certain expenses are translated to
U.S. dollars at the rate of exchange on their respective accrual dates.
Receivables and payables denominated in foreign currencies are marked to market
daily based on daily exchange rates and exchange gains or losses are realized
upon ultimate receipt or disbursement. The DFA Global Fixed Income Portfolio
also enters into forward foreign currency contracts solely for the purpose of
hedging against fluctuations in currency exchange rates.
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 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 U.S. Large Company Portfolio, The Japanese Small Company Portfolio, The
Pacific Rim Small Company Portfolio, The United Kingdom Small Company Portfolio,
The Continental Small Company Portfolio, The International Small Company
Portfolio and The Emerging Markets Portfolio each accrue their respective share
of income, net of expenses daily on their investment in their corresponding
Master Fund, which are treated as partnerships 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 Funds are
allocated pro rata among its investors at the time of such determination.
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
Dimensional Fund Advisors Inc. ("DFA") (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.
84
<PAGE>
For the six months ended May 31, 1997, the Portfolios' advisory fees were
computed daily and paid monthly to the Advisor based on the following effective
annual rates:
<TABLE>
<S> <C> <C>
The U.S. 9-10 Small Company Portfolio..................... .50 of 1%
The DFA Real Estate Securities Portfolio.................. .30 of 1% (a)
The Large Cap International Portfolio..................... .25 of 1%
The DFA International Small Cap Value Portfolio........... .65 of 1%
The DFA Intermediate Government Fixed Income Portfolio.... .15 of 1%
The DFA Five-Year Government Portfolio.................... .20 of 1%
The DFA Global Fixed Income Portfolio..................... .25 of 1%
</TABLE>
(a) Effective December 11, 1996, the sub-advisory agreement between The DFA/AEW
Real Estate Securities Portfolio and Aldrich, Eastman & Waltch L.P. terminated.
Effective December 20, 1996, the advisory fee for The DFA/ AEW Real Estate
Securities Portfolio was reduced from .325% to .30% and the name of the
portfolio was changed to The DFA Real Estate Securities Portfolio.
For the six months ended May 31, 1997, the Feeder Funds computed daily and
paid monthly to the Advisor an administrative fee based on the following
effective annual rates:
<TABLE>
<S> <C> <C>
The U.S. 6-10 Small Company Portfolio..................... .32 of 1%
The U.S. Large Company Portfolio.......................... .215 of 1%
The Enhanced U.S. Large Company Portfolio................. .15 of 1%
The U.S. Small Cap Value Portfolio........................ .30 of 1%
The U.S. Large Cap Value Portfolio........................ .15 of 1%
The Japanese Small Company Portfolio...................... .40 of 1% (b)
The Pacific Rim Small Company Portfolio................... .40 of 1% (b)
The United Kingdom Small Company Portfolio................ .40 of 1% (b)
The Continental Small Company Portfolio................... .40 of 1% (b)
The International Small Company Portfolio................. .40 of 1%
The RWB/DFA International High Book to Market Portfolio... .01 of 1% (c)
The Emerging Markets Portfolio............................ .40 of 1%
The DFA One-Year Fixed Income Portfolio................... .10 of 1%
The DFA Two-Year Global Fixed Income Portfolio............ .10 of 1%
</TABLE>
(b) For the period December 1, 1995 to August 8, 1996, the advisory fee was
computed daily and paid monthly to the Advisor at an effective annual ratio of
.50 of 1%. The administrative fee rate of .40 of 1% became effective on August
9, 1996 in connection with the Transfer.
(c) For the period December 1, 1995 to February 7, 1996, the administrative fee
was computed daily and paid monthly to the Advisor at an effective annual rate
of .20 of 1% of the first $40 million of average net assets. The rate of .01 of
1% became effective on February 8, 1996.
Effective February 8, 1996 pursuant to a Client Service Agreement with
Reinhardt Werba Bowen Advisory Services, ("RWBAS"), The RWB/DFA International
High Book to Market Portfolio pays to RWBAS a fee at the effective annual rate
of .13% of the average net assets of the portfolio. Prior to that time the
effective annual rate was .20% of the average net assets of the Portfolio in
excess of $40 million.
Effective August 9, 1996, the Advisor agreed to waive its administrative
service fee and/or assume the direct expenses of The U.S. Large Company
Portfolio to the extent necessary to keep the annual combined expenses of the
Portfolio and its respective Master Fund to not more than 0.15% of the average
daily net assets of the Portfolio. Prior to that date, the Advisor agreed to
waive its fees and reimburse the Portfolio to the extent necessary to keep the
annual combined expenses to not more than 0.24% of average daily net assets.
Effective August 9, 1996, the Advisor agreed to waive its administrative
service fee and/or assume the direct expenses of The Japanese Small Company
Portfolio, The Pacific Rim Small Company Portfolio, The United Kingdom Small
Company Portfolio and The Continental Small Company Portfolio to the extent
necessary to keep the direct annual expenses of each Portfolio to not more than
0.47% of the average daily net assets of the Portfolio.
85
<PAGE>
The Advisor has agreed to waive its administrative service fee and/or assume
the direct expenses of The International Small Company Portfolio to the extent
necessary to keep the direct annual expenses of the Portfolio to not more than
0.45% of the average daily net assets of the Portfolio.
Certain officers of the Portfolios are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 1997, the Portfolios made the following
purchases and sales of investment securities:
<TABLE>
<CAPTION>
OTHER
U.S. GOVERNMENT INVESTMENT
SECURITIES SECURITIES
----------------------- ------------------------
PURCHASES SALES PURCHASES SALES
----------- ---------- ----------- -----------
<S> <C> <C> <C> <C>
(000) (000) (000) (000)
The U.S. 9-10 Small Company Portfolio.................................... -- -- $ 125,295 $ 165,965
The DFA Real Estate Securities Portfolio................................. -- -- 23,592 472
The Large Cap International Portfolio.................................... -- -- 3,059 122
The DFA International Small Cap Value Portfolio.......................... -- -- 92,154 27,211
The DFA Intermediate Government Fixed Income Portfolio................... $ 19,138 $ 10,852 10,995 1,046
The DFA Five-Year Government Portfolio................................... 43,329 12,146 -- --
The DFA Global Fixed Income Portfolio.................................... 5,002 2,017 105,590 56,453
</TABLE>
E. INVESTMENT TRANSACTIONS:
At May 31, 1997, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities and
foreign currencies for each Portfolio were as follows:
<TABLE>
<CAPTION>
GROSS UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
----------------- ----------------- -----------
<S> <C> <C> <C>
(000) (000) (000)
The U.S. 9-10 Small Company Portfolio..................................... $ 397,186 $ (166,695) $ 230,491
The U.S. 6-10 Small Company Portfolio..................................... 58,170 -- 58,170
The U.S. Large Company Portfolio.......................................... 85,927 (633) 85,294
The Enhanced U.S. Large Company Portfolio................................. 3,322 -- 3,322
The U.S. Small Cap Value Portfolio........................................ 372,726 -- 372,726
The U.S. Large Cap Value Portfolio........................................ 156,328 -- 156,328
The DFA Real Estate Securities Portfolio.................................. 14,637 (1,187) 13,450
The Japanese Small Company Portfolio...................................... 24,223 (107,358) (83,135)
The Pacific Rim Small Company Portfolio................................... 59,927 (29,306) 30,621
The United Kingdom Small Company Portfolio................................ 65,783 (34,987) 30,796
The Continental Small Company Portfolio................................... 101,562 (52,925) 48,637
The International Small Company Portfolio................................. 7,223 (9,539) (2,316)
The RWB/DFA International High Book to Market Portfolio................... 43,715 -- 43,715
The Emerging Markets Portfolio............................................ 45,421 (26,155) 19,266
The Large Cap International Portfolio..................................... 27,230 (3,783) 23,447
The DFA International Small Cap Value Portfolio........................... 41,745 (65,703) (23,958)
The DFA Intermediate Government Fixed Income Portfolio.................... 767 (1,163) (396)
The DFA One-Year Fixed Income Portfolio................................... 6,514 -- 6,514
The DFA Five-Year Government Portfolio.................................... 383 (61) 322
The DFA Two-Year Global Fixed Income Portfolio............................ 9,725 -- 9,725
The DFA Global Fixed Income Portfolio..................................... -- (5,368) (5,368)
</TABLE>
86
<PAGE>
At November 30, 1996, the following Portfolios had capital loss carryovers
for federal income tax purposes:
<TABLE>
<CAPTION>
EXPIRES ON NOVEMBER 30, 1996
-------------------------------
(AMOUNTS IN THOUSANDS)
2002 2003 2004 TOTAL
--------- --------- --------- ----------
<S> <C> <C> <C> <C>
The DFA Real Estate Securities Portfolio................................. $ 1,013 -- $ 381 $ 1,394
The International Small Company Portfolio................................ -- -- 74 74
The Emerging Markets Portfolio........................................... -- -- 126 126
The DFA Intermediate Government Fixed Income Portfolio................... -- -- 28 28
The DFA Five-Year Government Portfolio................................... 2,306 $ 8,152 887 11,345
</TABLE>
F. COMPONENTS OF NET ASSETS AND SHARES AUTHORIZED:
<TABLE>
<CAPTION>
AT MAY 31, 1997 NET ASSETS CONSIST OF:
-------------------------------------------------------------------------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
UNREALIZED
UNDISTRIBUTED APPRECIATION
NET REALIZED (DEPRECIATION) OF
UNDISTRIBUTED UNDISTRIBUTED FOREIGN INVESTMENT
PAID-IN NET INVESTMENT NET REALIZED EXCHANGE SECURITIES AND
CAPITAL INCOME (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY
----------- --------------- ------------- --------------- -----------------
<S> <C> <C> <C> <C> <C>
The U.S. 9-10 Small Company
Portfolio......................... $ 891,639 $ 5,768 $ 96,705 -- $ 230,491
The U.S. 6-10 Small Company
Portfolio......................... 198,162 (399) 23,213 -- 58,170
The U.S. Large Company Portfolio... 179,968 758 (555) -- 85,294
The Enhanced U.S. Large Company
Portfolio......................... 20,973 (27) 1,775 -- 3,322
The U.S. Small Cap Value
Portfolio......................... 1,187,244 (1,848) 41,744 -- 372,726
The U.S. Large Cap Value
Portfolio......................... 504,640 (281) 22,435 -- 156,328
The DFA Real Estate Securities
Portfolio......................... 77,656 1,644 (1,216) -- 13,450
The Japanese Small Company
Portfolio......................... 328,105 947 (2,140) $ (40) (83,135)
The Pacific Rim Small Company
Portfolio......................... 183,836 419 2,352 (62) 30,621
The United Kingdom Small Company
Portfolio......................... 126,540 1,907 11,048 68 30,796
The Continental Small Company
Portfolio......................... 252,967 2,889 5,775 (212) 48,637
The International Small Company
Portfolio......................... 149,575 710 286 (33) (2,316)
The RWB/DFA International High Book
to Market Portfolio............... 241,862 71 3,043 -- 43,715
The Emerging Markets Portfolio..... 193,467 2,061 26 (61) 19,266
The Large Cap International
Portfolio......................... 61,877 654 (521) (10) 23,447
The DFA International Small Cap
Value Portfolio................... 457,707 1,945 8,529 (91) (23,958)
The DFA Intermediate Government
Fixed Income Portfolio............ 121,328 1,908 138 -- (396)
The DFA One-Year Fixed Income
Portfolio......................... 753,843 (66) (4,019) -- 6,514
The DFA Five-Year Government
Portfolio......................... 199,210 4,633 (11,298) -- 322
The DFA Two-Year Global Fixed
Income Portfolio.................. 351,793 363 (239) -- 9,725
The DFA Global Fixed Income
Portfolio......................... 200,304 1,352 950 8,399 (5,368)
<CAPTION>
UNREALIZED
NET FOREIGN NUMBER OF
EXCHANGE TOTAL NET SHARES
GAIN (LOSS) ASSETS AUTHORIZED
--------------- ----------- ------------
<S> <C> <C> <C>
The U.S. 9-10 Small Company
Portfolio......................... -- $ 1,224,603 300,000,000
The U.S. 6-10 Small Company
Portfolio......................... -- 279,146 100,000,000
The U.S. Large Company Portfolio... -- 265,465 200,000,000
The Enhanced U.S. Large Company
Portfolio......................... -- 26,043 100,000,000
The U.S. Small Cap Value
Portfolio......................... -- 1,599,866 100,000,000
The U.S. Large Cap Value
Portfolio......................... -- 683,122 100,000,000
The DFA Real Estate Securities
Portfolio......................... -- 91,534 100,000,000
The Japanese Small Company
Portfolio......................... $ 58 243,795 20,000,000
The Pacific Rim Small Company
Portfolio......................... (1) 217,165 20,000,000
The United Kingdom Small Company
Portfolio......................... 19 170,378 20,000,000
The Continental Small Company
Portfolio......................... (170) 309,886 50,000,000
The International Small Company
Portfolio......................... (15) 148,207 100,000,000
The RWB/DFA International High Book
to Market Portfolio............... -- 288,691 100,000,000
The Emerging Markets Portfolio..... (7) 214,752 100,000,000
The Large Cap International
Portfolio......................... (3) 85,444 150,000,000
The DFA International Small Cap
Value Portfolio................... 3 444,135 100,000,000
The DFA Intermediate Government
Fixed Income Portfolio............ -- 122,978 100,000,000
The DFA One-Year Fixed Income
Portfolio......................... -- 756,272 100,000,000
The DFA Five-Year Government
Portfolio......................... -- 192,867 100,000,000
The DFA Two-Year Global Fixed
Income Portfolio.................. -- 361,642 100,000,000
The DFA Global Fixed Income
Portfolio......................... 1,179 206,816 100,000,000
</TABLE>
87
<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 open repurchase
agreements were entered into on May 30, 1997.
2. FORWARD CURRENCY CONTRACTS: The DFA Global Fixed Income Portfolio may
enter into forward foreign currency contracts to hedge against adverse changes
in the relationship of the U.S. dollar to foreign currencies. At May 31, 1997,
The DFA Global Fixed Income Portfolio had entered into the following contracts
and the related net unrealized foreign exchange gain is reflected in the
accompanying financial statements:
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION VALUE AT MAY 31, EXCHANGE
DATE CURRENCY SOLD CONTRACT AMOUNT 1997 GAIN
- ---------- ---------------- ---------------- ---------------- -------------
<S> <C> <C> <C> <C> <C>
06/12/97.. 24,919,683 Australian Dollar $ 19,427,926 $ 19,003,800 $ 424,126
06/12/97.. 198,246,762 French Francs 34,474,559 34,346,286 128,273
06/30/97.. 4,502,001 British Pound Sterling 7,369,176 7,347,266 21,910
06/30/97.. 10,788,406 Netherlands Guilder 5,658,645 5,624,821 33,824
06/30/97.. 60,455,936 German Marks 35,704,994 35,375,036 329,958
06/30/97.. 68,560,808 Canadian Dollar 49,655,835 49,649,365 6,470
07/02/97.. 4,728,975,022 Japanese Yen 40,835,266 40,626,933 208,333
---------------- ---------------- -------------
$ 193,126,401 $ 191,973,507 $ 1,152,894
---------------- ---------------- -------------
---------------- ---------------- -------------
</TABLE>
3. FOREIGN MARKETS RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
Risks may arise upon entering into these contracts from the potential
inability of counter parties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. The DFA Global Fixed Income Portfolio will enter into forward contracts
only for hedging purposes.
H. LINE OF CREDIT:
In July, 1996, the Fund, together with other DFA-advised portfolios, entered
into a $50 million unsecured line of credit with its domestic custodian bank.
Each portfolio is permitted to borrow, subject to its investment limitations, up
to a maximum of $50 million. Borrowings under the line are charged interest at
the current overnight federal funds rate plus a variable rate determined at the
date of borrowing. Each portfolio is individually, and not jointly liable for
its particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. There were no borrowings under the line of credit
by the Fund during the six months ended May 31, 1997.
88
<PAGE>
I. REIMBURSEMENT FEES:
Shares of the Japanese Small Company Portfolio, The Pacific Rim Small
Company Portfolio, The Continental Small Company Portfolio, The International
Small Company Portfolio, The Emerging Markets Portfolio and The DFA
International Small Cap Value Portfolio are sold at a public offering price
which is equal to the current net asset value of such shares plus a
reimbursement fee. Reimbursement fees are recorded as an addition to paid in
capital.
The reimbursement fees for The Japanese Small Company Portfolio and The
Emerging Markets Portfolio are .50% of the net asset value of their shares. The
reimbursement fees for The Pacific Rim Small Company Portfolio and The
Continental Small Company Portfolio are 1.00% of the net asset value of their
shares. The reimbursement fee for The DFA International Small Cap Value
Portfolio is .70% of the net asset value of its shares. The current
reimbursement fee for The International Small Company Portfolio is .70% of the
net asset value of its shares.
J. SECURITIES LENDING:
Loans of domestic security are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on loan.
Loans of international securities are required at all times to be secured by
collateral at least equal to 105% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the Portfolio or, at the option of
the lending agent, replace the loaned securities. The market value of securities
on loan to brokers and the related collateral cash received by each Portfolio at
May 31, 1997, is as follows:
<TABLE>
<CAPTION>
VALUE
OF SECURITIES VALUE OF
ON LOAN COLLATERAL
-------------- --------------
<S> <C> <C>
DOMESTIC EQUITY PORTFOLIOS
- --------------------------------------------------------------------------------
The U.S. 9-10 Small Company Portfolio........................................... $ 26,689,633 $ 34,421,983
The DFA Real Estate Securities Portfolio........................................ 1,327,750 1,392,100
INTERNATIONAL EQUITY PORTFOLIOS
- --------------------------------------------------------------------------------
The Large Cap International Portfolio........................................... 15,470,917 16,369,078
The DFA International Small Cap Value Portfolio................................. 24,292,612 25,937,398
</TABLE>
89
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. 6-10 SMALL COMPANY SERIES
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (98.9%)
*3-D Systems Corp.................................... 7,700 $ 55,825
*3D0 Co.............................................. 13,900 62,984
*4 Health, Inc....................................... 500 2,906
*AAON, Inc........................................... 2,400 16,950
AAR Corp............................................. 10,800 334,800
ABC Bancorp.......................................... 1,625 27,016
*ABC Rail Products Corp.............................. 4,100 66,625
ABM Industries, Inc.................................. 11,600 224,750
*ABT Building Products Corp.......................... 6,300 154,350
*ACC Corp............................................ 9,950 254,969
*ACT Manufacturing, Inc.............................. 4,400 124,850
*ACT Networks, Inc................................... 4,600 80,787
*ACX Technologies, Inc............................... 16,800 357,000
*AEP Industries, Inc................................. 2,300 107,669
*AER Energy Resources, Inc........................... 14,200 40,825
*AFC Cable Systems, Inc.............................. 3,500 95,156
*AG Associates, Inc.................................. 100 587
*AG Services America, Inc............................ 2,800 44,800
*AMBI, Inc........................................... 12,400 26,350
*#AMC Entertainment, Inc............................. 3,300 75,900
APL, Ltd............................................. 15,000 453,750
*APS Holding Corp. Class A........................... 7,700 76,519
*ARI Network Services, Inc........................... 6,800 7,012
*ARV Assisted Living, Inc............................ 7,500 60,000
*AST Research, Inc................................... 34,613 181,177
*ATC Group Services, Inc............................. 3,900 43,144
*ATS Medical, Inc.................................... 11,100 67,641
*AW Computer Systems, Inc. Class A................... 2,400 1,950
Aames Financial Corp................................. 13,750 177,031
Aaron Rents, Inc. Class A............................ 1,500 18,000
Aaron Rents, Inc. Class B............................ 14,400 170,100
*#Aasche Transportation Services, Inc................ 2,000 9,937
*Abaxis, Inc......................................... 7,100 19,969
Abington Bancorp, Inc................................ 700 16,537
*Abiomed, Inc........................................ 3,400 37,187
*Able Telcom Holding Corp............................ 4,100 30,494
Abrams Industries, Inc............................... 200 1,175
*Abraxas Petroleum Corp.............................. 2,900 38,244
*Accell International Corp........................... 2,700 8,100
*Acceptance Insurance Companies, Inc................. 9,100 191,100
*Access Beyond, Inc.................................. 300 1,491
*Access Health Marketing, Inc........................ 9,600 210,600
*Acclaim Entertainment, Inc.......................... 29,800 122,925
*Ace Cash Express, Inc............................... 3,800 43,462
Aceto Corp........................................... 2,200 29,700
Ackerley Group, Inc.................................. 15,600 193,050
*Acme Electric Corp.................................. 2,500 17,500
*Acme Metals, Inc.................................... 7,000 106,750
*Acme United Corp.................................... 1,300 7,719
Acordia, Inc......................................... 8,400 298,200
*Actel Corp.......................................... 10,100 211,469
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Action Performance Companies, Inc................... 8,200 $ 197,312
*Active Voice Corp................................... 1,300 15,844
*Activision, Inc..................................... 8,400 108,150
*Actrade International, Ltd.......................... 2,400 34,200
*Acuson Corp......................................... 11,100 288,600
Adac Laboratories.................................... 10,066 261,087
*Adage, Inc.......................................... 3,100 12,497
*Adam Software, Inc.................................. 1,000 1,875
Adams Resources & Energy, Inc........................ 2,100 28,875
*Adelphia Communications Corp. Class A............... 8,400 49,350
*Adept Technology, Inc............................... 5,000 39,375
*Adflex Solutions, Inc............................... 5,200 85,150
*Advanced Digital Information Corp................... 6,000 93,375
*Advanced Energy Industries, Inc..................... 4,000 48,250
*Advanced Logic Research, Inc........................ 7,300 80,756
*Advanced Magnetics, Inc............................. 6,000 71,250
*Advanced Marketing Services, Inc.................... 2,700 28,012
*Advanced Medical, Inc............................... 9,300 31,969
*Advanced Photonix, Inc. Class A..................... 5,300 6,625
*Advanced Polymer Systems, Inc....................... 11,000 81,125
*Advanced Promotion Technologies, Inc................ 11,624 70
*Advanced Technology Labs, Inc....................... 8,500 332,031
*Advanced Technology Materials, Inc.................. 5,300 126,869
*#Advanced Tissue Sciences, Inc...................... 22,500 291,094
Advantage Bancorp, Inc............................... 1,250 48,594
Advest Group, Inc.................................... 5,000 81,250
*Advo, Inc........................................... 14,500 201,187
*Advocat, Inc........................................ 3,200 31,600
*Aeroflex, Inc....................................... 7,200 28,800
*Aerosonic Corp. DE.................................. 2,000 23,750
*Aerovox, Inc........................................ 2,700 12,994
*Aetrium, Inc........................................ 4,200 71,925
Affiliated Community Bancorp......................... 1,600 46,100
*Ag-Chem Equipment Co., Inc.......................... 2,300 45,137
*Agri-Nutrition Group, Ltd........................... 1,600 1,900
*Air & Water Technologies Corp. Class A.............. 19,200 91,200
Air Express International Corp....................... 9,250 336,469
*Air Methods Corp.................................... 4,000 10,875
Airborne Freight Corp................................ 12,700 485,775
*Airsensors, Inc..................................... 3,400 26,137
*Airways Corp........................................ 2,600 13,487
*Akorn, Inc.......................................... 7,800 17,550
*Alamco, Inc......................................... 1,800 27,450
Alamo Group, Inc..................................... 5,800 112,375
*Alarmguard Holdings, Inc............................ 5,000 32,500
*#Alaska Air Group, Inc.............................. 8,700 216,412
*Alba-Waldensian, Inc................................ 600 3,000
Albank Financial Corp................................ 8,040 309,540
Albany International Corp. Class A................... 5,000 113,750
*Alcide Corp......................................... 900 27,225
</TABLE>
90
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Aldila, Inc......................................... 9,700 $ 47,894
Alfa Corp............................................ 24,500 312,375
*Alfin, Inc.......................................... 4,500 2,812
Aliant Communications, Inc........................... 21,900 442,106
Alico, Inc........................................... 3,500 67,375
*Alkermes, Inc....................................... 18,100 298,650
*All American Communications, Inc.................... 3,200 47,200
*All American Semiconductor, Inc..................... 7,100 7,322
*Allcity Insurance Co................................ 200 1,562
*Allegro New Media, Inc.............................. 1,313 3,282
Allen Organ Co. Class B.............................. 200 7,975
*Allen Telecom, Inc.................................. 16,000 372,000
Alliance Bancorp..................................... 2,159 63,421
*Alliance Entertainment Corp......................... 18,100 15,837
*Alliance Gaming Corp................................ 24,928 93,480
*Alliance Pharmaceuticals Corp....................... 18,000 182,250
*#Alliance Semiconductor Corp........................ 23,300 193,681
*Alliant Techsystems, Inc............................ 7,800 375,375
*Allied Capital Advisers, Inc........................ 4,500 20,531
Allied Capital Lending Corp.......................... 1,900 27,194
Allied Group, Inc.................................... 10,125 402,469
Allied Healthcare Products, Inc...................... 4,700 28,200
*Allied Holdings, Inc................................ 5,000 49,375
Allied Life Financial Corp........................... 2,000 34,000
Allied Products Corp................................. 4,500 146,250
*Allied Research Corp................................ 2,200 18,425
*Allied Waste Industries, Inc........................ 36,700 539,031
*Allou Health & Beauty Care, Inc. Class A............ 1,900 11,341
*Allstate Financial Corp............................. 1,600 9,600
*Alltrista Corp...................................... 3,953 94,872
*Allwaste, Inc....................................... 19,800 165,825
*Aloette Cosmetics, Inc.............................. 1,000 3,062
*Alpha 1 Biomedicals, Inc............................ 407 49
*Alpha Beta Technology, Inc.......................... 10,000 91,875
*Alpha Industries, Inc............................... 6,200 45,725
*Alpha Microsystems, Inc............................. 3,300 4,537
*Alpha Technologies Group, Inc....................... 4,000 11,750
Alpharma, Inc. Class A............................... 8,100 135,675
*Alpine Group, Inc................................... 15,736 147,525
*Alpine Lace Brands, Inc............................. 2,600 16,250
*#Alta Gold Co....................................... 17,400 51,384
*Alteon, Inc......................................... 9,400 36,425
*Alternative Resources Corp.......................... 9,400 173,312
*Altris Software, Inc................................ 5,200 24,050
*Altron, Inc......................................... 9,100 151,287
*Amati Communications Corp........................... 10,600 136,475
*Amax Gold, Inc...................................... 49,600 328,600
Amcast Industrial Corp............................... 4,300 105,350
Amcol International Corp............................. 11,500 209,156
Amcore Financial, Inc................................ 8,550 240,469
*America Services Group, Inc......................... 1,600 17,000
*America West Holdings Corp. Class B................. 17,700 272,137
American Annuity Group, Inc.......................... 18,200 338,975
American Bancorporation Ohio......................... 200 6,200
American Bank of Connecticut......................... 1,100 37,950
*American Banknote Corp.............................. 9,900 42,075
American Biltrite, Inc............................... 1,400 31,237
*#American Biogenetic Sciences, Inc. Class A......... 8,100 24,680
*American Buildings Co............................... 2,700 75,600
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*American Business Information, Inc.................. 12,800 $ 267,200
American Business Products, Inc...................... 9,800 241,325
*American Claims Evaluation, Inc..................... 1,000 1,359
*American Classic Voyages Co......................... 7,400 78,162
American Eagle Group, Inc............................ 4,000 2,500
*American Eagle Outfitters, Inc...................... 5,900 66,744
*American Ecology Corp............................... 5,250 7,219
*American Exploration Co............................. 9,100 117,162
American Federal Bank FSB Greenville, SC............. 4,400 134,475
American Filtrona Corp............................... 200 8,950
*American Freightways Corp........................... 18,700 254,787
*American Healthcorp, Inc............................ 3,900 42,656
American Heritage Life Investment Corp............... 7,700 223,300
*American Homepatient, Inc........................... 8,800 169,400
*American Homestar Corp.............................. 5,437 108,400
American Indemnity Financial Corp.................... 800 10,200
American List Corp................................... 2,225 61,744
*American Media, Inc. Class A........................ 13,500 81,000
*American Medical Electronics, Inc. (Escrow-Bonus)... 4,400 0
*American Medical Electronics, Inc.
(Escrow-Earnings).................................. 4,400 0
*American Mobile Satellite Corp...................... 12,400 110,050
*American Oilfield Divers, Inc....................... 3,400 38,250
*American Oncology Resources, Inc.................... 5,000 71,250
*American Pacific Corp............................... 4,100 26,522
*American Paging, Inc................................ 12,000 27,000
*American Physicians Services Group, Inc............. 1,800 12,150
American Precision Industries, Inc................... 7,300 141,437
*American Safety Razor Co............................ 6,000 88,500
*#American Science & Engineering, Inc................ 6,500 65,812
*American Shared Hospital Services................... 600 544
*American Software, Inc. Class A..................... 10,500 77,109
*American Superconductor Corp........................ 4,800 40,200
*American Technical Ceramics Corp.................... 1,500 18,562
*American Telecasting, Inc........................... 11,900 12,830
*#American United Global, Inc........................ 3,600 16,537
*American Waste Services, Inc. Class A............... 12,400 21,700
American Woodmark Corp............................... 4,660 76,016
Americana Bancorp, Inc............................... 1,600 25,200
*Americredit Corp.................................... 17,300 324,375
*Amerihost Properties, Inc........................... 3,000 21,562
*AmeriLink Corp...................................... 1,400 11,200
*Ameristar Casinos, Inc.............................. 11,600 63,800
*Ameriwood Industries International Corp............. 3,200 23,000
Ameron, Inc.......................................... 2,000 111,000
*Ames Department Stores, Inc......................... 12,300 99,553
Ametek, Inc.......................................... 2,500 58,437
*Amistar Corp........................................ 1,300 7,028
Ampco-Pittsburgh Corp................................ 4,800 63,000
*Ampex Corp. Class A................................. 27,000 172,969
*#Amre, Inc.......................................... 12,500 62
*Amrep Corp.......................................... 3,900 14,625
*Amresco, Inc........................................ 23,000 402,500
*Amrion Corp......................................... 2,700 63,281
*Amtech Corp......................................... 8,800 47,300
</TABLE>
91
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Amtran, Inc......................................... 7,000 $ 60,375
Amvestors Financial Corp............................. 7,700 135,712
Amwest Insurance Group, Inc.......................... 1,200 17,100
*Amylin Pharmaceuticals, Inc......................... 33,500 433,406
*Anadigics, Inc...................................... 7,550 250,094
Analogic Corp........................................ 7,300 236,794
*Analogy, Inc........................................ 2,200 9,762
Analysis & Technology, Inc........................... 800 11,800
Analysts International Corp.......................... 8,200 293,150
*Analytical Surveys, Inc............................. 2,900 36,612
*Anaren Microwave, Inc............................... 2,000 19,500
Anchor Bancorp Wisconsin, Inc........................ 2,100 90,562
*Anchor Gaming, Inc.................................. 6,700 285,587
Andover Bancorp, Inc. DE............................. 2,600 74,750
*Andrea Electronics Corp............................. 1,900 21,850
*Anergen, Inc........................................ 11,200 32,900
*Anesta Corp......................................... 4,700 81,956
*Angeion Corp........................................ 14,600 73,912
Angelica Corp........................................ 9,000 162,000
*#Anicom, Inc........................................ 10,300 97,206
*Anika Therapeutics, Inc............................. 2,280 13,252
*Anixter International, Inc.......................... 6,200 105,400
*#Ann Taylor Stores Corp............................. 15,300 355,725
*Ansaldo Signal N.V.................................. 5,900 33,925
*Antec Corp.......................................... 29,050 355,862
*Anuhco, Inc......................................... 3,300 29,700
*Apertus Technologies, Inc........................... 5,500 8,164
*Aphton Corp......................................... 7,700 109,725
Apogee Enterprises, Inc.............................. 15,000 276,562
*Apogee, Inc......................................... 5,900 25,075
#Apple South, Inc.................................... 23,100 350,831
*#Appliance Recycling Centers of America, Inc........ 525 1,542
*Applied Digital Access, Inc......................... 7,300 46,537
*Applied Extrusion Technologies, Inc................. 5,600 66,500
Applied Industrial Technologies, Inc................. 7,500 263,437
*Applied Innovation, Inc............................. 9,500 55,812
*Applied Magnetics Corp.............................. 5,900 146,762
*Applied Microsystems Corp........................... 3,400 23,800
Applied Power, Inc. Class A.......................... 8,200 360,800
*Applied Science & Technology, Inc................... 2,000 28,000
*Applied Signal Technologies, Inc.................... 4,700 33,047
*Applied Voice Technology, Inc....................... 2,000 29,750
*Applix, Inc......................................... 4,700 20,856
Aptargroup, Inc...................................... 10,800 479,250
*#Aquagenix, Inc..................................... 2,000 13,531
Aquarion Co.......................................... 3,500 90,125
*Aquila Biopharmaceuticals, Inc...................... 1,130 5,156
Aquila Gas Pipeline Corp............................. 24,700 364,325
*Arabian Shield Development Co....................... 200 262
*Arbor Health Care Co................................ 3,400 95,625
*Arbor Software Corp................................. 5,000 148,437
*#Arcadia Financial, Ltd............................. 18,700 194,012
*Arch Communications Group, Inc...................... 12,400 98,425
*Arch Petroleum, Inc................................. 10,300 30,256
Arctic Cat, Inc...................................... 16,800 177,450
*Arden Industrial Products, Inc...................... 3,500 18,375
*#Argosy Gaming Corp................................. 20,600 64,375
*Ariad Pharmaceuticals, Inc.......................... 4,700 28,494
*Ariel Corp.......................................... 9,300 78,759
*Ark Restaurants Corp................................ 1,600 14,000
*Arkansas Best Corp.................................. 11,700 69,834
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Armco, Inc.......................................... 83,000 $ 311,250
Arnold Industries, Inc............................... 18,000 299,250
*Aronex Pharmaceuticals, Inc......................... 15,700 65,253
*Arrhythmia Research Technology, Inc................. 1,800 3,825
*Arris Pharmaceutical Corp........................... 10,100 135,087
*Arrow Automotive Industries, Inc.................... 1,000 3,375
Arrow Financial Corp................................. 3,500 89,250
*Artisoft, Inc....................................... 8,700 21,750
*Artistic Greetings, Inc............................. 2,900 12,687
*Artra Group, Inc.................................... 3,800 18,050
*Arts Way Manufacturing Co., Inc..................... 200 1,300
Arvin Industries, Inc................................ 13,500 374,625
*Asante Technologies, Inc............................ 4,400 17,187
*Aseco Corp.......................................... 1,400 17,675
Ashland Coal, Inc.................................... 8,100 216,675
*Ashworth, Inc....................................... 7,400 65,906
*Aspen Technology, Inc............................... 7,200 273,600
*Assisted Living Concepts, Inc....................... 1,600 40,000
Associated Banc-Corp................................. 8,414 318,680
*Astea International, Inc............................ 3,200 10,000
*Astec Industries, Inc............................... 7,200 84,600
Astro-Med, Inc....................................... 3,000 27,562
*Astronics Corp...................................... 2,375 15,289
*Astrosystems, Inc................................... 3,400 18,275
*Astrotech International Corp........................ 5,900 30,975
*Asyst Technologies, Inc............................. 3,200 127,800
Atalanta Sosnoff Capital Corp........................ 4,300 38,162
*Atchison Casting Corp............................... 2,200 37,675
*Athey Products Corp................................. 2,940 12,679
*Atkinson (Guy F.) of California..................... 5,400 37,462
*Atlantic American Corp.............................. 10,300 30,578
*Atlantic Beverage, Inc.............................. 2,000 7,125
*Atlantic Coast Airlines, Inc........................ 5,000 76,250
*Atlantic Gulf Communities Corp...................... 5,800 32,625
*Atlantic Tele-Network, Inc.......................... 7,400 92,500
*Atlantis Plastics, Inc.............................. 3,300 23,512
#Atmos Energy Corp................................... 9,600 222,000
Atrion Corp.......................................... 1,950 26,447
*Atrix Labs, Inc..................................... 6,100 70,912
*Atwood Oceanics, Inc................................ 3,300 219,862
*Au Bon Pain, Inc. Class A........................... 6,000 37,875
*Audiovox Corp. Class A.............................. 6,900 45,281
Audits & Surveys Worldwide, Inc...................... 5,100 14,344
*Ault, Inc........................................... 1,900 15,675
*#Aura Systems, Inc.................................. 26,900 49,177
*Auspex Systems, Inc................................. 14,700 152,512
Authentic Fitness Corp............................... 16,400 239,850
Autocam Corp......................................... 4,137 44,990
Autodesk, Inc........................................ 1,145 44,583
*Autoimmune, Inc..................................... 9,800 22,356
*Autoinfo, Inc....................................... 3,900 6,947
*Autologic Information International, Inc............ 2,300 11,931
*Autote Corp. Class A................................ 14,758 16,603
*Avatar Holdings, Inc................................ 5,500 179,437
*#Avatex Corp........................................ 6,300 7,087
*Avecor Cardiovascular, Inc.......................... 3,900 40,706
Avemco Corp.......................................... 3,400 87,975
*Avert, Inc.......................................... 1,300 8,369
*Aviall, Inc......................................... 10,900 160,775
*Avid Technology, Inc................................ 12,800 300,800
</TABLE>
92
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Avigen, Inc......................................... 1,000 $ 3,750
*Aviva Petroleum, Inc. Deposit Shares (Representing 5
Shares)............................................ 6,500 15,437
*Avondale Industries, Inc............................ 8,700 164,212
*Axent Technologies, Inc............................. 3,000 38,625
*Aydin Corp.......................................... 2,600 29,250
*Aztar Corp.......................................... 30,200 211,400
Aztec Manufacturing Co............................... 4,300 52,675
*BBN Corp............................................ 12,600 363,825
*BCT International, Inc.............................. 2,000 6,750
*BEC Group, Inc...................................... 10,683 48,073
BEI Electronics, Inc................................. 3,400 29,750
BGS Systems, Inc..................................... 5,200 161,850
BHA Group Holdings, Inc. Class A..................... 2,970 54,945
BHC Financial, Inc................................... 3,500 120,969
*BI, Inc............................................. 3,600 24,862
*BMC West Corp....................................... 5,600 74,550
*BNH Bancshares, Inc................................. 1,400 21,087
*BPI Packaging Technologies, Inc..................... 5,300 9,855
*BRC Holdings, Inc................................... 3,300 122,100
BSB Bancorp, Inc..................................... 2,800 96,425
BT Financial Corp.................................... 2,850 113,287
*BT Office Products International, Inc............... 3,400 26,775
*BTG, Inc............................................ 1,200 16,050
*BTU International, Inc.............................. 3,800 14,962
BW/IP, Inc. Class A.................................. 14,600 279,225
*BWAY Corp........................................... 3,200 69,600
*Back Bay Restaurant Group, Inc...................... 2,000 8,250
Badger Meter, Inc.................................... 800 20,000
Badger Paper Mills, Inc.............................. 1,000 7,750
Bairnco Corp......................................... 5,300 37,762
Baker (J.), Inc...................................... 6,900 56,062
*Baker (Michael) Corp................................ 3,900 27,056
Balchem Corp......................................... 1,200 11,700
Baldor Electric Co................................... 10,300 288,400
*Baldwin Piano & Organ Co............................ 1,300 17,875
*Baldwin Technology, Inc. Class A.................... 9,300 25,575
*Ballantyne Omaha, Inc............................... 4,200 67,725
Ballard Medical Products............................. 16,900 325,325
*Bally Total Fitness Holding Corp.................... 4,975 40,733
*Baltek Corp......................................... 1,500 11,344
*Bancfirst Ohio Corp................................. 600 22,800
*Bancinsurance Corp.................................. 2,900 11,781
Bancorp Connecticut, Inc............................. 1,000 24,750
BancorpSouth, Inc.................................... 11,800 343,675
*BancTec, Inc........................................ 12,462 314,665
Bangor Hydro-Electric Co............................. 4,400 23,100
Bank of Granite Corp................................. 1,700 49,512
*Bank Plus Corp...................................... 2,000 21,500
*Bank United Financial Corp. Class A................. 1,200 11,775
BankAtlantic Bancorp, Inc. Class A................... 2,968 40,068
BankAtlantic Bancorp, Inc. Class B................... 6,277 86,701
Bankers Corp......................................... 7,540 190,385
BankNorth Group, Inc. DE............................. 3,900 171,112
*Banner Aerospace, Inc............................... 17,500 140,000
*Banyan System, Inc.................................. 10,300 18,991
Barnes Group, Inc.................................... 12,000 322,500
*Barnwell Industries, Inc............................ 400 7,000
*Barr Laboratories, Inc.............................. 8,250 220,687
*Barra, Inc.......................................... 4,100 118,900
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Barrett Business Services, Inc...................... 4,100 $ 58,169
*Barringer Technologies, Inc......................... 2,400 35,400
*Barry (R.G.) Corp................................... 4,700 54,637
*Base Ten Systems, Inc. Class A...................... 3,700 37,000
*Basin Exploration, Inc.............................. 5,900 42,775
Bassett Furniture Industries, Inc.................... 5,200 130,325
Bay State Gas Co..................................... 7,600 202,350
Bay View Capital Corp................................ 4,000 201,500
*Baycorp Holdings, Ltd............................... 4,200 31,762
*Bayou Steel Corp. Class A........................... 4,600 14,950
*Be Aerospace, Inc................................... 13,100 316,037
Beauticontrol Cosmetics, Inc......................... 2,900 26,462
*Beazer Homes USA, Inc............................... 6,000 92,250
*Bel Fuse, Inc....................................... 2,500 34,687
*Belden & Blake Corp................................. 6,700 178,806
*Bell and Howell Co.................................. 7,200 192,600
*Bell Industries, Inc................................ 3,700 68,912
*Bell Microproducts, Inc............................. 4,200 46,987
*Bell Sports Corp.................................... 8,200 53,300
*Bellwether Exploration Co........................... 5,700 56,644
*Ben & Jerry's Homemade, Inc. Class A................ 3,600 48,600
*Benchmark Electronics, Inc.......................... 2,700 94,837
*Benihana, Inc....................................... 1,000 8,937
*Bentley International, Inc.......................... 55 82
*Bentley Pharmaceuticals, Inc........................ 1,960 6,860
*Benton Oil & Gas Co................................. 17,000 263,500
Berkshire Gas Co..................................... 1,000 15,250
*Berlitz International, Inc.......................... 4,700 112,212
Berry Petroleum Corp. Class A........................ 12,600 189,000
*Bertuccis, Inc...................................... 4,400 26,125
*Best Buy Co., Inc................................... 17,800 242,525
*Bet Holdings, Inc. Class A.......................... 6,700 215,237
*Big Flower Press Holding, Inc....................... 5,400 115,425
*Billing Information Concepts Corp................... 5,400 155,250
Bindley Western Industries, Inc...................... 6,800 149,600
Binks Sames Corp..................................... 1,100 46,475
*#Bio Technology General Corp........................ 22,400 322,000
*Bio Vascular, Inc................................... 3,000 14,625
*Bio-Logic Systems Corp.............................. 2,100 7,875
*Bio-Plexus, Inc..................................... 2,700 11,897
*Bio-Rad Laboratories, Inc. Class A.................. 5,800 147,900
*Biocircuits Corp.................................... 925 867
*Biocryst Pharmaceuticals, Inc....................... 7,800 103,350
*Biomatrix, Inc...................................... 6,300 107,494
*Biosepra, Inc....................................... 5,000 14,062
*Biosource International, Inc........................ 4,200 31,762
*Biospecifics Technologies Corp...................... 2,300 10,494
*Biospherics, Inc.................................... 4,000 20,000
*Biowhittaker, Inc................................... 6,500 69,062
*Bird Corp........................................... 2,500 9,531
Birmingham Steel Corp................................ 18,600 297,600
*Black Box Corp...................................... 9,900 348,975
*Black Hawk Gaming & Development, Inc................ 1,000 5,687
Black Hills Corp..................................... 8,700 250,125
Blair Corp........................................... 5,600 90,300
Blanch (E.W.) Holdings, Inc.......................... 6,600 163,350
Blessings Corp....................................... 6,000 63,000
Blimpie International................................ 5,000 29,687
Blount International, Inc. Class A................... 6,550 270,187
*Blowout Entertainment, Inc.......................... 791 1,088
</TABLE>
93
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Bluegreen Corp...................................... 12,195 $ 38,109
Bob Evans Farms, Inc................................. 22,500 319,219
*Boca Research, Inc.................................. 5,200 33,962
*Bombay Co., Inc..................................... 22,700 102,150
*Bon-Ton Stores, Inc................................. 5,700 36,872
*Bone Care International, Inc........................ 1,125 13,359
*Bontex, Inc......................................... 200 950
*Books-a-Million, Inc................................ 10,400 53,300
*Boole & Babbage, Inc................................ 9,750 200,484
*Boomtown, Inc....................................... 5,600 45,150
*Borg-Warner Security Corp........................... 13,100 203,050
*Borland International, Inc.......................... 21,500 154,531
Boston Acoustics, Inc................................ 2,200 54,725
*Boston Technology, Inc.............................. 15,200 437,000
*Bowmar Instrument Corp.............................. 11,700 21,206
Bowne & Co., Inc..................................... 10,800 322,650
*Box Energy Corp. Class A............................ 400 3,050
*Box Energy Corp. Class B............................ 10,500 78,094
*Boyd Gaming Corp.................................... 37,600 220,900
*Bradley Pharmaceuticals, Inc. Class A............... 1,500 2,156
Brady (W.H.) Co. Class A............................. 9,700 274,025
*Brauns Fashions Corp................................ 1,000 8,187
*Brazos Sportswear, Inc.............................. 230 2,099
Breed Technologies, Inc.............................. 3,900 76,537
Brenton Banks, Inc................................... 2,772 71,379
*Brewer (C.) Homes, Inc. Class A..................... 1,800 4,275
Bridgford Foods Corp................................. 3,705 34,040
*Brightpoint, Inc.................................... 11,343 350,215
*Brite Voice Systems, Inc............................ 7,100 58,575
Broad National Bancorporation........................ 2,120 31,800
*Broadband Technologies, Inc......................... 7,900 73,569
*Broadway & Seymour, Inc............................. 5,400 66,150
*Brock International, Inc............................ 2,500 10,000
*Broderbund Software, Inc............................ 10,800 271,350
#Brooke Group, Ltd................................... 11,100 55,500
*Brooks Automation, Inc.............................. 2,300 39,387
*Brookstone, Inc..................................... 3,900 33,637
*Brooktrout Technology, Inc.......................... 9,300 125,550
*Brothers Gourmet Coffees, Inc....................... 6,700 14,656
*Brown & Sharpe Manufacturing Co. Class A............ 7,300 104,025
*Brown (Tom), Inc.................................... 11,900 238,744
Brown Group, Inc..................................... 10,800 194,400
Brush Wellman, Inc................................... 9,800 208,250
Bryn Mawr Bank Corp.................................. 400 13,700
*Buckeye Cellulose Corp.............................. 9,700 305,550
*Buckhead America Corp............................... 900 6,244
*Buckle, Inc......................................... 7,600 161,500
*Buffets, Inc........................................ 27,086 242,081
*Buffton Corp........................................ 900 2,250
*Builders Transport, Inc............................. 1,800 4,781
*Bull Run Corp. GA................................... 21,300 47,925
*Burlington Coat Factory Warehouse Corp.............. 22,700 405,762
*Burr Brown Corp..................................... 14,175 443,855
*Bush Boake Allen, Inc............................... 9,600 279,600
Bush Industries, Inc. Class A........................ 4,300 96,750
*Business Resource Group............................. 2,400 10,500
*Butler International, Inc........................... 4,100 48,431
Butler Manufacturing Co.............................. 3,800 136,325
*Buttrey Food & Drug Stores Co....................... 5,200 54,600
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*C-COR Electronics, Inc.............................. 5,800 $ 57,275
*C-Cube Microsystems, Inc............................ 4,500 92,531
*#C-Phone Corp....................................... 2,500 21,406
*CAI Wireless Systems, Inc........................... 5,115 7,513
CBT Corp............................................. 200 4,600
*CCA Industries, Inc................................. 4,300 12,631
*CDI Corp............................................ 9,900 399,712
*CE Software Holdings, Inc........................... 2,900 1,586
*CEM Corp............................................ 3,800 33,725
*CFI Proservices, Inc................................ 1,800 30,825
CFSB Bancorp, Inc.................................... 1,464 32,393
CFW Communications Co................................ 6,600 122,100
CFX Corp............................................. 7,740 129,645
CKE Restaurants, Inc................................. 11,053 263,890
*CMC Industries, Inc................................. 3,300 25,163
*CMG Information Services, Inc....................... 4,600 78,200
CMI Corp. Class A.................................... 17,800 75,650
CML Group, Inc....................................... 33,800 80,275
CNB Bancshares, Inc.................................. 7,700 337,837
*#CNS Income......................................... 11,500 98,469
*CPAC, Inc........................................... 3,520 38,500
CPB, Inc............................................. 2,600 91,650
*CPI Aerostructures, Inc............................. 200 381
CPI Corp............................................. 7,000 131,250
*CRA Managed Care, Inc............................... 4,500 206,719
*CS Short Co......................................... 255 956
*CSG Systems International, Inc...................... 5,000 117,500
*CSP, Inc............................................ 2,000 14,250
*CSS Industries, Inc................................. 6,400 192,800
*CTC Communications Corp. Class 1.................... 5,500 46,406
CTG Resources, Inc................................... 6,400 138,400
CTS Corp............................................. 2,600 179,400
CU Bancorp........................................... 3,300 49,500
*CUNO, Inc........................................... 5,400 90,450
CVB Financial Corp................................... 5,997 124,438
*Cable Design Techologies Corp....................... 10,950 301,125
Cabot Oil & Gas Corp. Class A........................ 13,700 253,450
*Cache, Inc.......................................... 5,025 18,216
*Caci International, Inc. Class A.................... 1,000 18,375
*Cade Industries, Inc................................ 1,500 2,227
*Cadiz Land, Inc..................................... 13,300 74,812
Cadmus Communications Corp........................... 4,800 67,800
*Caere Corp.......................................... 7,500 61,406
Cagle's, Inc. Class A................................ 2,000 29,375
*Cairn Energy USA, Inc............................... 10,500 124,031
*Calcomp Technology, Inc............................. 1,500 3,187
*#Caldor Corp........................................ 9,700 14,550
Calgon Carbon Corp................................... 23,900 334,600
*California Amplifier, Inc........................... 7,000 27,562
*#California Culinary Academy, Inc................... 1,200 8,700
California Financial Holding Corp.................... 2,000 59,000
*California Micro Devices Corp....................... 6,300 51,187
*California Microwave, Inc........................... 9,700 118,219
California State Bank................................ 1,900 47,500
California Water Service Co.......................... 3,100 141,437
*Callon Petroleum Co................................. 2,900 43,500
Calmat Co............................................ 13,900 276,262
*Calumet Bancorp, Inc................................ 1,100 42,212
*Cambex Corp......................................... 5,200 6,906
Cambrex Corp......................................... 7,000 252,875
*Cambridge Neuroscience, Inc......................... 8,700 85,369
</TABLE>
94
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Cambridge Soundworks, Inc........................... 1,200 $ 5,850
*Cameron Ashley Building Products, Inc............... 2,300 30,187
*Campo Eletronics, Appliances & Computers, Inc....... 3,200 3,050
*Canandaigua Wine Co., Inc. Class A.................. 300 9,319
*Candela Laser Corp.................................. 2,700 18,394
*Candies, Inc........................................ 5,900 28,670
*Canisco Resources, Inc.............................. 500 937
*Cannon Express, Inc. Class A........................ 900 5,681
*Cannondale Corp..................................... 4,300 75,519
*Cantel Industries, Inc. Class B..................... 2,000 10,750
*Canyon Resources Corp............................... 20,800 67,600
Cape Cod Bank & Trust Co............................. 2,300 67,131
Capital Bancorp (FL)................................. 2,000 75,750
*Capital Pacific Holdings, Inc....................... 4,500 12,094
Capital Re Corp...................................... 8,100 355,387
Capitol Bancorp, Ltd................................. 1,990 31,840
Capitol Transamerica Corp............................ 6,050 126,672
*Capstone Pharmacy Services, Inc..................... 19,100 190,403
Capsure Holdings Corp................................ 8,600 107,500
Caraustar Industries, Inc............................ 2,600 74,750
Cardinal Health, Inc................................. 0 0
*Cardinal Realty Services, Inc....................... 2,700 65,475
*Cardiotech International, Inc....................... 1,301 2,358
*Care Group, Inc..................................... 3,400 3,506
*Caretenders Healthcorp.............................. 1,600 10,200
*Carlyle Industries, Inc............................. 175 372
*Carmike Cinemas, Inc. Class A....................... 6,700 232,825
Carnegie Bancorp..................................... 1,155 19,852
Carolina First Corp.................................. 6,122 94,891
Carpenter Technology Corp............................ 8,300 358,975
*Carr-Gottstein Foods Co............................. 7,654 37,313
*Carrington Laboratories, Inc........................ 5,300 39,750
*Carson Pirie Scott & Co............................. 9,600 309,600
Carter-Wallace, Inc.................................. 13,500 222,750
*Carver Corp. WA..................................... 1,400 1,969
Cascade Corp......................................... 5,900 99,562
Cascade Natural Gas Corp............................. 6,500 105,625
Casey's General Stores, Inc.......................... 15,700 312,037
Cash America International, Inc...................... 12,100 117,975
*Casino America, Inc................................. 19,600 45,937
*Casino Data Systems................................. 10,800 47,250
*Casino Magic Corp................................... 19,500 27,422
*Casino Resource Corp................................ 3,000 4,312
*Castelle............................................ 2,200 10,587
Castle (A.M.) & Co................................... 13,037 283,555
*Catalina Lighting, Inc.............................. 3,500 12,687
*Catalyst Semiconductor, Inc......................... 4,000 8,000
*Catalytica, Inc..................................... 9,700 78,509
Cathay Bancorp, Inc.................................. 1,100 23,787
*Catherines Stores Corp.............................. 6,300 27,169
Cato Corp. Class A................................... 21,300 103,837
Cavalier Homes, Inc.................................. 7,300 82,125
*#Cayenne Software, Inc.............................. 10,600 35,112
*Cel-Sci Corp........................................ 2,500 8,516
*Celadon Group, Inc.................................. 6,000 67,500
*Celebrity, Inc...................................... 3,200 10,600
*Celeritek, Inc...................................... 3,400 40,800
*Celestial Seasonings, Inc........................... 1,600 36,600
*#Celgene Corp....................................... 6,000 42,000
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Cell Genesys, Inc................................... 9,900 $ 55,687
*Cellpro, Inc........................................ 8,700 55,462
*#Cellstar Corp...................................... 9,600 343,800
*Cellular Technical Services Co., Inc................ 13,400 184,250
*Celtrix Pharmaceuticals, Inc........................ 5,000 14,687
Cenfed Financial Corp................................ 2,838 81,770
Cenit Bancorp, Inc................................... 800 35,200
*Centennial Bancorp.................................. 3,792 78,684
*Centennial Cellular Corp. Class A................... 9,900 139,837
Centex Construction Products, Inc.................... 12,200 245,525
*Centigram Communications Corp....................... 5,200 59,475
Central & Southern Holding Co........................ 1,400 23,362
Central Co-Operative Bank Somerville, MA............. 700 11,725
*#Central Garden & Pet Co............................ 7,600 182,400
Central Hudson Gas & Electric Corp................... 10,500 338,625
Central Louisiana Electric Co., Inc.................. 13,500 340,875
Central Maine Power Co............................... 19,500 216,937
Central Reserve Life Corp............................ 1,800 9,675
*Central Sprinkler Corp.............................. 2,500 51,875
Central Vermont Public Service Corp.................. 5,400 59,400
Centris Group, Inc................................... 5,700 107,587
*Centura Software Corp............................... 6,800 10,200
*Century Aluminum Co................................. 5,000 88,437
Century Bancorp Income Class A....................... 1,000 12,812
*Century Communications Corp. Class A................ 17,600 96,800
*Cephalon, Inc....................................... 14,700 182,831
*Ceradyne, Inc....................................... 6,900 32,344
Cerberonics, Inc. Class A............................ 200 1,900
*Cerner Corp......................................... 19,700 386,612
*#Cerplex Group, Inc................................. 5,300 3,180
*Cerprobe Corp....................................... 2,500 32,812
*Chad Therapeutics................................... 6,000 48,375
*Champion Enterprises, Inc........................... 6,108 112,234
#Champion Industries, Inc............................ 4,062 69,054
*Chancellor Broadcasting Co. Class A................. 5,200 178,100
Chaparral Steel Co................................... 17,000 255,000
*Charming Shoppes, Inc............................... 63,200 333,775
*Chart House Enterprises, Inc........................ 4,700 32,900
Chart Industries, Inc................................ 6,000 135,000
*Charter Federal Savings Bank (Escrow)............... 2,100 0
Charter Financial, Inc............................... 2,500 44,531
Charter Power Systems, Inc........................... 3,900 131,625
*Chase Corp.......................................... 1,100 8,937
*Chase Industries, Inc............................... 6,000 135,000
*Chattem, Inc........................................ 4,700 49,350
*Check Technology Corp............................... 3,100 19,569
*#Checkers Drive-In Restaurant, Inc.................. 12,000 14,250
*Checkfree Corp...................................... 24,900 434,194
*Checkmate Electronics, Inc.......................... 2,500 30,000
*Checkpoint System, Inc.............................. 17,300 246,525
*Cheesecake Factory, Inc............................. 6,600 131,587
Chemed Corp.......................................... 5,900 215,350
*Chemfab Corp........................................ 4,850 87,300
Chemfirst, Inc....................................... 13,600 351,900
Chemical Financial Corp.............................. 5,130 177,626
*#Chemtrak, Inc...................................... 4,400 5,775
*Cherry Corp. Class A................................ 3,000 35,437
</TABLE>
95
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Cherry Corp. Class B................................ 1,800 $ 21,937
Chesapeake Utilities Corp............................ 1,500 24,750
Chester Valley Bancorp............................... 275 5,225
*Chic by His, Inc.................................... 4,900 33,687
#Chicago Rivet & Machine Co.......................... 100 4,675
*Chicos Fas, Inc..................................... 4,500 16,312
*Children's Comprehensive Services, Inc.............. 2,150 33,325
*Children's Discovery Centers of America, Inc. Class
A.................................................. 3,200 23,400
*Chips & Technologies, Inc........................... 12,400 136,400
Chittenden Corp...................................... 6,733 201,990
*Chock Full O' Nuts Corp............................. 10,130 59,514
*Cholestech Corp..................................... 6,700 38,734
*Christiana Companies, Inc........................... 9,000 306,000
*Chromcraft Revington, Inc........................... 1,000 26,750
*Chronimed, Inc...................................... 6,900 67,922
*Chrysalis International Corp........................ 6,800 29,112
Church & Dwight Co., Inc............................. 11,700 310,050
*Ciber, Inc.......................................... 10,800 446,175
*Cidco, Inc.......................................... 8,600 124,700
Cilcorp, Inc......................................... 8,200 317,750
*Cima Laboratories, Inc.............................. 3,500 15,531
*Cinergi Pictures Entertainment, Inc................. 2,800 2,144
*Ciprico, Inc........................................ 2,500 41,562
Circle International, Inc............................ 7,900 217,744
*Circon Corp......................................... 7,390 94,684
*Circuit Systems, Inc................................ 2,600 14,544
*Citadel Holding Corp................................ 3,000 9,750
*Citation Computer System, Inc....................... 1,500 9,469
*Citation Corp....................................... 9,700 144,894
Citfed Bancorp, Inc.................................. 4,250 156,719
Citizens Bancshares, Inc............................. 2,000 76,250
Citizens Banking Corp................................ 5,600 182,700
*Citizens, Inc. Class A.............................. 9,600 75,000
City Holding Co...................................... 2,142 66,134
*Civic Bancorp....................................... 2,700 32,231
Clarcor, Inc......................................... 8,900 209,150
*Clark (Dick) Productions, Inc....................... 3,200 40,400
*Clean Harbors, Inc.................................. 3,800 5,700
Cleveland Cliffs, Inc................................ 6,800 287,300
*Cliffs Drilling Co.................................. 3,700 258,537
*Clintrials Research, Inc............................ 15,900 158,006
Coachmen Industries, Inc............................. 10,100 171,700
*Coast Distribution System........................... 4,000 13,000
*Coast Savings Financial, Inc........................ 7,300 311,162
Coastal Bancorp, Inc................................. 2,500 67,500
*Coastal Physician Group, Inc........................ 11,900 11,156
*Coastcast Corp...................................... 4,400 57,750
Cobancorp, Inc....................................... 206 5,536
*Cobra Electronic Corp............................... 3,100 9,494
*Cobra Industries ,Inc............................... 2,200 1,100
Coca-Cola Bottling Co. Consolidated.................. 5,200 231,400
*Cocensys, Inc....................................... 17,600 68,750
*Code-Alarm, Inc..................................... 800 1,850
*Coeur d'Alene Mines Corp. ID........................ 13,100 178,487
*Cognex Corp......................................... 7,500 195,469
*Cognitronics Corp................................... 2,100 22,312
*Coherent Communications Systems Corp................ 9,100 196,219
*Coherent, Inc....................................... 6,800 294,950
*Coho Energy, Inc.................................... 14,100 132,628
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Cohu, Inc............................................ 8,200 $ 284,437
*Cold Metal Products, Inc............................ 3,500 19,687
*Cole National Corp. Class A......................... 6,600 249,975
Collagen Corp........................................ 4,300 73,100
Collective Bancorp, Inc.............................. 8,049 346,107
*Collins & Aikman Corp............................... 41,400 481,275
Collins Industries, Inc.............................. 5,100 29,006
Colonial Bancgroup, Inc.............................. 12,800 308,800
Colonial Gas Co...................................... 8,050 168,044
*Columbia Banking System, Inc........................ 1,853 34,049
*Columbia Laboratories, Inc.......................... 16,800 327,600
*Columbus Energy Corp................................ 1,300 13,650
*Comarco, Inc........................................ 2,900 56,369
*Comcast Corp. Class A............................... 500 8,719
*Comdial Corp........................................ 4,300 29,294
*#Comforce Corp...................................... 7,400 43,475
Commerce Bancorp, Inc................................ 7,170 245,572
Commercial Bancshares, Inc........................... 1,365 22,522
*Commercial Bank of New York......................... 1,700 29,112
Commercial Federal Corp.............................. 6,613 230,628
Commercial Intertech Corp............................ 7,100 92,300
Commercial Metals Co................................. 9,100 269,587
*Commnet Cellular, Inc............................... 8,200 281,875
*Commodore Applied Technologies, Inc................. 2,000 12,250
*Commonwealth Bancorp, Inc........................... 5,000 74,062
Commonwealth Energy System........................... 12,900 280,575
*Commonwealth Industries, Inc........................ 2,500 47,500
*Communications Central, Inc......................... 3,600 36,900
Communications Systems, Inc.......................... 6,300 88,200
Community Bank System, Inc........................... 2,800 65,450
Community Bankshares, Inc. NH........................ 800 28,000
Community First Bankshares, Inc...................... 9,012 311,477
*Community Medical Transport, Inc.................... 2,400 7,350
Community Trust Bancorp, Inc......................... 5,060 125,235
*Comnet Corp......................................... 700 5,862
*Compdent Corp....................................... 2,500 45,625
*Competitive Technologies, Inc....................... 3,000 28,875
*#Complete Management, Inc........................... 1,933 24,646
*#Comprehensive Care Corp............................ 1,500 21,000
*Comptek Research, Inc............................... 2,600 15,925
*Compucom Systems, Inc............................... 26,900 193,344
Computer Data Systems, Inc........................... 5,700 156,394
*Computer Horizons Corp.............................. 11,687 645,707
Computer Language Research, Inc...................... 8,600 92,987
*Computer Manangement Sciences, Inc.................. 2,200 43,450
*Computer Network Technology Corp.................... 14,000 67,812
*Computer Outsourcing Services, Inc.................. 1,900 9,025
*Computer Products, Inc.............................. 14,200 315,062
Computer Task Group, Inc............................. 5,600 342,300
*Computervision Corp................................. 32,400 157,950
*Computrac, Inc...................................... 2,400 3,600
*Comshare, Inc....................................... 5,900 80,387
*Comstock Resources, Inc............................. 13,900 142,475
*Comtech Telecommunications Corp..................... 1,000 3,750
*Comverse Tecnology, Inc............................. 1,000 45,625
*Concentra Corp...................................... 2,700 21,262
*Concord Camera Corp................................. 3,900 10,359
*#Concord Fabrics, Inc. Class A...................... 700 4,637
</TABLE>
96
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Concurrent Computer Corp............................ 19,300 $ 37,695
*Conductus, Inc...................................... 3,400 22,950
*Cone Mills Corp. NC................................. 14,500 125,062
*Congoleum Corp. Class A............................. 1,900 21,494
*Conmed Corp......................................... 9,575 181,327
Connecticut Energy Corp.............................. 4,500 101,250
Connecticut Water Services, Inc...................... 1,100 30,662
*Connective Therapeutics, Inc........................ 3,300 22,687
*Consep, Inc......................................... 4,300 12,362
*Consilium, Inc...................................... 6,900 29,325
*Conso Products Co................................... 3,550 46,816
*Consolidated Delivery and Logistics, Inc............ 3,000 9,562
*Consolidated Graphics, Inc.......................... 7,400 252,525
*Consolidated Products, Inc.......................... 9,292 157,964
*Consolidated Stainless, Inc......................... 2,200 8,387
Consolidated Tokoma Land Co.......................... 3,100 51,537
*Consumer Portfolio Services, Inc.................... 9,000 101,250
Consumers Water Co................................... 5,200 83,525
*Continental Can, Inc. DE............................ 1,200 23,250
*Continental Circuits Corp........................... 3,100 41,656
Continental Homes Holding Corp....................... 3,300 54,037
*Control Data Systems, Inc........................... 8,200 118,387
*#Converse, Inc...................................... 9,100 188,825
*Convest Energy Corp................................. 1,000 7,500
Cooker Restaurant Corp............................... 6,000 69,000
*Cooper Companies, Inc............................... 7,000 145,250
*Cooperative Bankshares, Inc......................... 700 15,050
*Copart, Inc......................................... 7,600 118,750
*Copley Pharmaceutical, Inc.......................... 11,500 74,750
*Copytele, Inc....................................... 34,100 179,025
*Cor Therapeutics, Inc............................... 12,000 108,000
*Coram Healthcare Corp............................... 15,200 41,800
*Corcom, Inc......................................... 1,900 14,844
Core Industries, Inc................................. 6,400 115,200
*Core, Inc........................................... 4,300 35,206
*Cornerstone Imaging, Inc............................ 3,600 30,600
*Correctional Services Corp.......................... 3,800 44,650
*Corrpro Companies, Inc.............................. 3,100 26,737
*Cortech, Inc........................................ 7,200 5,850
Corus Bankshares, Inc................................ 8,900 230,844
*Corvas International, Inc........................... 8,200 52,275
*Corvel Corp......................................... 1,000 27,500
*Cosmetic Centers, Inc. Class C...................... 451 2,029
Cotton States Life Insurance Co...................... 1,687 19,822
Courier Corp......................................... 800 14,200
*Covenant Transport, Inc. Class A.................... 6,100 91,119
*Coventry Corp....................................... 19,800 288,337
*Cover-All Technologies, Inc......................... 3,300 4,950
Craftmade International, Inc......................... 2,000 14,875
*#Craig (Jenny), Inc................................. 10,400 63,700
*Craig Corp.......................................... 1,600 27,000
*Creative Biomolecules, Inc.......................... 18,700 188,169
*Creative Computers, Inc............................. 1,700 9,562
*Creative Technologies Corp.......................... 333 156
*Credence Systems Corp............................... 12,250 362,906
*Cree Research, Inc.................................. 6,000 73,500
*Criticare Systems, Inc.............................. 3,200 18,000
*Crop Growers Corp................................... 4,800 47,100
Cross (A.T.) Co. Class A............................. 8,800 97,900
Cross Timbers Oil Co................................. 12,400 240,250
*Crosscomm Corp...................................... 3,700 35,150
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Crossman Communities, Inc........................... 4,000 $ 84,500
*Crowley, Milner & Co................................ 1,000 7,062
*Crown Books Corp.................................... 2,700 33,750
*Crown Central Petroleum Corp. Class A............... 2,200 29,700
*Crown Central Petroleum Corp. Class B............... 2,600 33,637
Crown Crafts, Inc.................................... 4,000 41,500
*#Crown Resources Corp............................... 7,900 53,325
*Crown-Andersen, Inc................................. 1,000 6,500
*Cruise America, Inc................................. 2,600 13,325
*Cryenco Sciences, Inc. Class A...................... 3,500 8,586
*Cryolife, Inc....................................... 4,800 56,700
*Crystal Oil Co...................................... 1,200 42,150
Cubic Corp........................................... 4,500 105,750
*Culbro Corp......................................... 2,200 281,325
Cullen Frost Bankers, Inc............................ 8,460 333,641
Culp, Inc............................................ 13,518 234,875
*Curative Health Services, Inc....................... 5,900 164,094
Curtiss-Wright Corp.................................. 3,000 174,375
*Custom Chrome, Inc.................................. 2,600 31,200
*Cyberonics, Inc..................................... 3,800 22,800
*Cyberoptics Corp.................................... 2,700 44,887
*Cybex Corp.......................................... 1,300 23,562
*Cybex International, Inc............................ 3,100 31,775
*Cygnus, Inc......................................... 11,200 184,100
*Cypros Pharmaceutical Corp.......................... 7,000 32,375
*#Cyrix Corp......................................... 11,700 294,694
*Cyrk, Inc........................................... 6,500 75,969
*Cytel Corp.......................................... 15,000 28,594
*Cytogen Corp........................................ 30,125 167,570
*Cytotherapeutics, Inc............................... 9,300 51,731
*Cytrx Corp.......................................... 3,800 15,675
*D&N Financial Corp.................................. 6,800 121,975
*DBA Systems, Inc.................................... 2,700 15,356
*DBT Online, Inc..................................... 690 30,964
*DDL Electronics, Inc................................ 6,500 8,937
*DEP Corp............................................ 8,100 14,934
*DH Technology, Inc.................................. 4,050 64,800
*#DI Industries, Inc................................. 54,600 160,387
*DII Group, Inc...................................... 6,000 189,750
*DIY Home Warehouse, Inc............................. 3,000 11,437
*DM Management Co.................................... 1,700 14,662
*DMX, Inc............................................ 13,000 22,165
*DNAP Holding Corp................................... 1,270 5,001
DR Horten, Inc....................................... 19,452 187,225
*DSP Communications, Inc............................. 10,000 110,625
*DSP Group, Inc...................................... 4,800 67,500
*DSP Technology, Inc................................. 800 4,600
DT Industries, Inc................................... 6,800 215,900
*DVI, Inc............................................ 5,500 73,562
*Daily Journal Corp.................................. 200 6,675
*Dairy Mart Convenience Stores, Inc. Class A......... 1,600 9,400
*Daisytek International Corp......................... 3,300 104,775
*Daka International, Inc............................. 6,700 84,169
*Dakotah, Inc........................................ 1,800 5,231
Dallas Semiconductor Corp............................ 13,300 513,712
*Damark International, Inc. Class A.................. 4,200 64,575
Dames & Moore, Inc................................... 10,900 128,075
Daniel Industries, Inc............................... 10,296 137,709
*Danskin, Inc........................................ 3,000 4,125
</TABLE>
97
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Darling International, Inc.......................... 2,500 $ 63,437
Dart Group Corp. Class A............................. 700 69,650
*Data Broadcasting Corp.............................. 27,445 135,510
*Data Documents, Inc................................. 3,100 36,231
*Data General Corp................................... 19,400 414,675
*Data I/O Corp....................................... 3,400 19,762
*#Data Race, Inc..................................... 2,400 35,700
Data Research Association, Inc....................... 2,600 32,825
*Data Systems & Software, Inc........................ 3,700 18,962
*Data Translation, Inc............................... 1,450 5,347
*Data Transmission Network Corp...................... 6,100 164,319
*Dataflex Corp....................................... 2,800 9,275
*Datakey, Inc........................................ 1,000 2,750
*Datamarine International, Inc....................... 200 1,262
*Datametrics Corp.................................... 4,800 6,600
*Datapoint Corp...................................... 4,200 5,775
*Dataram Corp........................................ 1,400 14,350
*Datascope Corp...................................... 10,000 191,250
*Datastream Systems, Inc............................. 5,000 98,750
*Dataware Technologies, Inc.......................... 3,900 13,406
*Datawatch Corp...................................... 4,600 9,344
*Datron Systems, Inc................................. 1,800 18,450
*Datum, Inc.......................................... 1,600 39,100
*Davco Restaurants, Inc.............................. 3,000 27,750
*#Dave and Busters, Inc.............................. 2,200 49,775
*Davel Communications Group, Inc..................... 2,500 35,937
*Davox Corp.......................................... 5,550 179,681
*#Daw Technologies, Inc.............................. 7,400 17,806
*Dawson Geophysical Co............................... 2,100 27,825
Daxor Corp........................................... 2,400 22,800
*#Day Runner, Inc.................................... 3,200 89,000
Deb Shops, Inc....................................... 7,700 33,206
*Deckers Outdoor Corp................................ 4,800 35,700
Decorator Industries, Inc............................ 1,000 11,500
*Deeptech International, Inc......................... 9,800 67,375
Defiance, Inc........................................ 7,600 55,100
*Deflecta-Shield Corp................................ 1,900 17,337
*Del Global Technologies Corp........................ 3,610 32,039
Del Laboratories, Inc................................ 12,088 372,461
*Delaware Ostego Corp................................ 220 4,592
Delchamps, Inc....................................... 3,600 99,675
*Delphi Financial Group, Inc. Class A................ 1,591 60,466
Delta Natural Gas Co., Inc........................... 700 11,812
*Delta Woodside Industries, Inc...................... 14,700 86,362
*Denamerica Corp..................................... 7,200 19,800
*Dendrite International, Inc......................... 1,600 20,400
*Dense-Pac Microsystems, Inc......................... 9,300 22,378
*Department 56, Inc.................................. 10,800 228,150
*Depotech Corp....................................... 6,900 94,444
*Designs, Inc........................................ 9,400 39,950
*Detection Systems, Inc.............................. 1,900 35,150
*Detrex Corp......................................... 500 4,312
*Detroit Diesel Corp................................. 14,800 325,600
*Devcon International Corp........................... 2,000 10,625
*Devlieg-Bullard, Inc................................ 6,300 19,491
*Devon Group, Inc.................................... 3,700 115,162
*Dewolfe Companies, Inc.............................. 200 1,075
*Diagnostic Health Services, Inc..................... 8,000 62,500
Diagnostic Products Corp............................. 8,100 241,987
*#Diagnostic Retrieval Systems, Inc.................. 2,500 25,625
*Dialogic Corp....................................... 7,900 229,100
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Diametrics Medical, Inc............................. 7,200 $ 40,275
*Diamond Multimedia Systems, Inc..................... 10,000 79,063
*#Diana Corp......................................... 2,069 4,976
*Dianon Systems, Inc................................. 3,400 31,237
*Digi International, Inc............................. 8,000 72,500
*Digital Biometrics, Inc............................. 6,800 14,450
*Digital Communications Technology Corp.............. 2,520 1,890
*Digital Link Corp................................... 4,600 89,125
*Digital Microwave Corp.............................. 9,700 299,487
*Digital Sound Corp.................................. 7,900 9,381
Dime Financial Corp.................................. 2,300 52,325
*Diodes, Inc......................................... 2,500 23,750
*Dionex Corp......................................... 7,200 380,700
*Discount Auto Parts, Inc............................ 11,300 210,462
*Dixie Group, Inc.................................... 6,700 55,275
*Dixon Ticonderoga Co................................ 1,300 13,812
*Documentum, Inc..................................... 3,500 69,125
*Dominion Bridge Corp................................ 7,300 10,722
*Dominion Homes, Inc................................. 3,100 14,337
Donegal Group, Inc................................... 1,800 44,662
Donnelly Corp. Class A............................... 5,875 99,875
*Donnkenny, Inc...................................... 8,400 34,125
*Dorsey Trailers, Inc................................ 3,000 6,000
*Dover Downs Entertainment, Inc...................... 1,000 19,125
Downey Financial Corp................................ 13,387 267,740
*Dravo Corp.......................................... 8,900 97,900
*Dress Barn, Inc..................................... 13,600 232,900
*Drew Industries, Inc................................ 4,800 60,600
*Drexler Technology Corp............................. 5,300 58,300
Dreyer's Grand Ice Cream, Inc........................ 8,200 305,450
*Drug Emporium, Inc.................................. 7,900 34,562
*Drypers Corp........................................ 2,500 15,312
*Duckwall-Alco Stores, Inc........................... 1,900 23,512
*Ducommun, Inc....................................... 3,600 94,500
Duff & Phelps Credit Rating Co....................... 3,200 92,800
*Durakon Industries, Inc............................. 5,200 50,700
*Duramed Pharmaceuticals, Inc........................ 7,600 25,887
Durco International, Inc............................. 13,300 373,231
Duty Free International, Inc......................... 16,400 256,250
*Dwyer Group, Inc.................................... 2,800 4,550
*Dycom Industries, Inc............................... 4,300 59,125
Dyersburg Corp....................................... 7,900 63,200
Dynamics Corp. of America............................ 7,000 404,250
*Dynamics Research Corp.............................. 3,158 28,225
*Dynatech Corp....................................... 8,500 318,750
E'town Corp.......................................... 3,900 129,187
*E-Z-Em, Inc. Class A................................ 1,700 14,025
*E-Z-Em, Inc. Class B................................ 4,274 32,589
*EA Engineering Science & Technology, Inc............ 5,625 10,547
*EA Industries, Inc.................................. 3,100 7,362
*ECC International Corp.............................. 5,800 38,425
*#ECCS, Inc.......................................... 1,700 8,606
*EFI Electronics Corp................................ 800 1,150
*EIS International, Inc.............................. 6,600 44,550
*ELXSI Corp.......................................... 1,800 11,362
EMC Insurance Group, Inc............................. 5,900 71,537
*ERLY Industries, Inc................................ 1,810 17,987
*ERO, Inc............................................ 6,100 67,862
*ESCO Electronics Corp. Trust Receipts............... 10,100 104,787
</TABLE>
98
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
ESELCO, Inc.......................................... 218 $ 8,611
*ESSEF Corp.......................................... 3,410 78,430
*EZ Serve Corp....................................... 17,000 11,687
Eagle Bancshares, Inc................................ 1,800 29,025
*Eagle Finance Corp.................................. 2,100 4,725
Eagle Financial Corp................................. 2,200 60,500
*Eagle Food Centers, Inc............................. 8,100 50,625
*Eagle Hardware & Garden, Inc........................ 19,400 466,812
*Eagle Point Software Corp........................... 2,500 10,547
*Eagle River Interactive, Inc........................ 8,100 86,569
*Earthgrains Co...................................... 2,000 114,000
*Easco, Inc.......................................... 700 5,775
Eastern Bancorp, Inc................................. 1,450 37,972
Eastern Co........................................... 3,300 42,075
*Eastern Environment Services, Inc................... 5,900 85,181
Eastern Utilities Associates......................... 12,300 216,787
*Eateries, Inc....................................... 1,500 4,266
Eaton Vance Corp..................................... 9,400 231,475
*Echostar Communications Corp. Class A............... 4,400 57,200
*Ecogen, Inc......................................... 4,340 15,868
Ecology & Environment, Inc. Class A.................. 900 7,200
*Edelbrock Corp...................................... 2,600 54,600
*#Edison Brothers Stores, Inc........................ 11,000 7,562
*Edison Control Corp................................. 1,000 3,875
*Edisto Resources Corp............................... 7,400 74,000
Edo Corp............................................. 3,000 20,625
*#Education Alternatives, Inc........................ 5,000 22,500
*Educational Development Corp........................ 1,800 10,800
*Educational Insights, Inc........................... 2,700 5,062
*Effective Management Systems, Inc................... 1,400 7,700
*Egghead, Inc........................................ 10,600 49,687
Ekco Group, Inc...................................... 11,100 56,887
*El Chico Restaurants, Inc........................... 1,400 8,925
Elcor Corp........................................... 4,400 123,200
*Elcotel, Inc........................................ 4,900 29,400
*Electric Fuel Corp.................................. 7,100 44,597
*Electro Rent Corp................................... 5,500 129,250
*Electro Scientific Industries, Inc.................. 4,400 166,100
*Electroglas, Inc.................................... 10,900 274,544
*Electromagnetic Sciences, Inc....................... 9,000 172,125
*Electronic Fab Technology, Inc...................... 2,000 13,000
*Electronic Retailing System International, Inc...... 2,300 12,362
#Electronic Tele Communications, Inc. Class A........ 1,000 2,437
*#Elek-Tek, Inc...................................... 4,000 6,500
Ellett Brothers, Inc................................. 3,000 14,437
*Eltron International, Inc........................... 4,000 110,750
*Embrex, Inc......................................... 3,700 24,975
*Emcare Holdings, Inc................................ 1,600 47,800
*Emcon............................................... 4,200 14,175
Emerald Isle Bancorp, Inc............................ 250 4,453
*#Emerson Radio Corp................................. 16,100 11,069
*Emisphere Technologies, Inc......................... 4,700 97,525
*Emmis Broadcasting Corp. Class A.................... 4,200 160,912
*Empi, Inc........................................... 4,200 67,462
Empire District Electric Co.......................... 9,800 170,275
*#Empire of Carolina, Inc............................ 4,400 11,825
*#Employee Solutions, Inc. Class B................... 24,100 128,031
*Emulex Corp......................................... 3,050 61,762
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Encad, Inc.......................................... 6,700 $ 248,737
*Encore Computer Corp................................ 14,700 12,862
*Encore Wire Corp.................................... 2,700 67,837
*Endosonics Corp..................................... 9,700 107,912
Energen Corp......................................... 7,800 257,400
*Energy Biosystems Corp.............................. 6,000 28,875
*Energy Research Corp................................ 1,500 14,625
Energy West, Inc..................................... 200 1,675
Energynorth, Inc..................................... 2,400 51,900
Engineered Support Systems, Inc...................... 1,200 15,825
*Engineering Measurements Co......................... 1,000 5,562
#Engle Homes, Inc.................................... 3,500 32,156
Enhance Financial Services Group, Inc................ 7,100 296,425
*Enlighten Software Solutions, Inc................... 1,100 2,544
Ennis Business Forms, Inc............................ 8,900 87,887
*Enstar, Inc......................................... 1,300 6,419
*Envirogen, Inc...................................... 3,700 10,637
*Environmental Elements Corp......................... 4,200 9,187
*Environmental Technologies Corp..................... 3,200 28,400
*Environmental Tectonics Corp........................ 1,500 13,969
*Enviroq Corp........................................ 280 560
*Envirotest Systems Corp. Class A.................... 7,200 13,725
*#Envoy Corp......................................... 9,100 273,569
*Enzo Biochem, Inc................................... 11,500 172,500
*Enzon, Inc.......................................... 15,700 40,231
*Epitope, Inc........................................ 8,200 70,212
*Equimed, Inc........................................ 13,500 44,508
*Equinox Systems, Inc................................ 1,900 19,950
*Equitex, Inc........................................ 1,200 2,175
*Equitrac Corp....................................... 1,300 17,306
*Equity Corp. International.......................... 11,500 273,844
*Equity Marketing, Inc............................... 2,800 52,850
*Equity Oil Co....................................... 7,600 21,850
Eskimo Pie Corp...................................... 1,300 16,006
Espey Manufacturing & Electronics Corp............... 400 6,850
*Essex Corp.......................................... 1,000 406
Essex County Gas Co.................................. 800 19,800
*Esterline Technologies Corp......................... 4,200 126,525
Ethan Allen Interiors, Inc........................... 7,200 376,200
*Evans & Sutherland Computer Corp.................... 4,500 118,125
*Evans Systems, Inc.................................. 1,050 3,478
*Evans, Inc.......................................... 1,000 844
Evergreen Bancorp, Inc. DE........................... 5,500 83,187
*Evergreen Resources, Inc............................ 4,600 42,550
*Exabyte Corp........................................ 11,100 154,706
*Exar Corp........................................... 4,500 83,531
*Excalibur Technologies Corp......................... 7,500 31,875
Excel Industries, Inc................................ 5,400 97,875
*Excel Technology, Inc............................... 4,600 38,381
*#Excite, Inc........................................ 2,000 23,875
Executive Risk, Inc.................................. 4,700 244,987
*Executive Telecard, Ltd............................. 9,500 68,281
*Executone Information Systems, Inc.................. 28,800 58,500
#Exide Corp.......................................... 10,500 229,687
*Exide Electronics Group, Inc........................ 5,452 62,357
*Exogen, Inc......................................... 3,700 15,262
*Exogen, Inc......................................... 2,000 8,250
</TABLE>
99
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Expeditors International of Washington............... 12,100 $ 346,362
*Expert Software, Inc................................ 2,500 10,937
*Express Scripts, Inc. Class A....................... 4,500 204,469
*Ezcorp, Inc. Class A Non-Voting..................... 4,900 39,200
F & M Bancorp (MD)................................... 1,800 47,250
F & M Bancorporation, Inc............................ 3,410 107,841
F & M National Corp.................................. 9,500 224,437
FCB Financial Corp................................... 1,100 26,400
FCNB Corp............................................ 553 11,336
FDP Corp............................................. 3,250 23,562
FFLC Bancorp......................................... 1,200 33,000
FFY Financial Corp................................... 2,500 65,312
*FLIR Systems, Inc................................... 2,700 42,694
*FM Properties, Inc.................................. 7,100 25,737
FNB Rochester Corp................................... 1,400 20,475
*FPA Corp............................................ 2,000 1,500
*#FPA Medical Management, Inc........................ 15,348 308,878
*FRP Properties, Inc................................. 2,500 64,375
*FSI International, Inc.............................. 11,200 155,400
*FTP Software, Inc................................... 16,800 95,550
Fab Industries, Inc.................................. 4,500 140,625
*Fabri-Centers of America, Inc. Class A.............. 3,500 82,250
*Fabri-Centers of America, Inc. Class B.............. 3,400 72,675
*Factset Research Systems, Inc....................... 2,000 39,000
*Failure Group, Inc.................................. 4,300 25,800
Fair, Isaac & Co., Inc............................... 6,300 248,850
*Fairchild Corp. Class A............................. 7,000 114,625
*Falcon Building Products, Inc. Class A.............. 12,000 210,000
Falcon Products, Inc................................. 4,700 66,387
*Family Golf Centers, Inc............................ 5,900 164,094
*Fansteel, Inc....................................... 4,000 29,500
*Farah, Inc.......................................... 9,100 80,762
Farmer Brothers Co................................... 200 25,800
*Farr Co............................................. 2,100 30,844
Farrel Corp.......................................... 2,400 8,250
*#Fastcomm Communications Corp....................... 4,900 38,281
*Faulding Corp....................................... 9,000 98,437
*Featherlite Manufacturing, Inc...................... 3,100 22,669
Fed One Bancorp...................................... 600 11,850
Fedders Corp......................................... 8,700 55,462
#Fedders Corp. Class A............................... 7,700 47,162
Federal Screw Works.................................. 1,800 72,000
*Female Health Co.................................... 3,600 6,975
*Ferrofluidics Corp.................................. 3,031 25,385
*Fibermark, Inc...................................... 2,400 49,500
*Fiberstars, Inc..................................... 700 3,281
*Fibreboard Corp..................................... 5,100 277,312
Fidelity Bancorp, Inc. Delaware...................... 1,300 24,862
Fidelity Federal Bancorp............................. 1,100 9,075
Fidelity National Financial, Inc..................... 6,890 88,709
*Fieldcrest Cannon, Inc.............................. 4,500 84,375
*#Fifty-Off Stores, Inc.............................. 5,600 112
*Figgie International, Inc. Class A.................. 9,100 112,612
*Figgie International, Inc. Class B.................. 2,500 28,437
*Filenes Basement Corp............................... 17,400 108,750
*Filenet Corp........................................ 7,600 125,400
*Financial Bancorp., Inc............................. 1,000 17,000
*Financial Federal Corp.............................. 4,200 82,687
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Financial Trust Corp................................. 3,300 $ 161,081
Fingerhut Companies, Inc............................. 5,000 88,125
*Finish Line, Inc. Class A........................... 10,600 130,512
*Finishmaster, Inc................................... 3,000 21,187
First Albany Companies, Inc.......................... 2,076 26,728
*First Alert, Inc.................................... 14,500 35,797
First American Financial Corp........................ 5,800 206,625
*First American Health Concepts, Inc................. 1,100 3,094
First Bancorp........................................ 400 9,200
*First Cash, Inc..................................... 1,900 11,400
First Central Financial Corp......................... 9,300 12,787
First Charter Corp................................... 1,900 42,750
First Citizens Bancshares, Inc. NC................... 1,700 145,350
*First Citizens Financial Corp....................... 1,270 35,401
First Colorado Bancorp............................... 5,455 96,144
First Commercial Corp................................ 1,927 78,525
First Commonwealth Financial Corp.................... 13,300 257,687
First Defiance Financial Corp........................ 4,959 69,426
First Essex Bancorp.................................. 3,700 63,362
First Federal Capital Corp........................... 3,100 91,837
First Federal Savings & Loan Association of East
Hartford, CT....................................... 1,500 37,312
First Financial Bancorp.............................. 5,800 216,775
First Financial Bankshares, Inc...................... 1,050 42,000
First Financial Corp. of Western Maryland............ 900 32,737
First Financial Holdings, Inc........................ 3,000 79,125
First Franklin Corp.................................. 200 4,000
First Georgia Holdings, Inc.......................... 450 3,375
First Home Bancorp, Inc. NJ.......................... 266 4,971
First Indiana Corp................................... 8,048 161,966
*First Investors Financial Services Group, Inc....... 2,500 17,500
First Liberty Financial Corp......................... 5,300 113,619
*First Merchants Acceptance Corp..................... 3,300 18,098
First Merchants Corp................................. 3,300 95,700
First Michigan Bank Corp............................. 9,024 258,303
First Midwest Bancorp, Inc........................... 8,575 283,511
*First Midwest Financial, Inc........................ 1,400 21,700
First Mutual Savings Bank............................ 264 5,247
First Northern Capital Corp.......................... 1,800 36,000
First Oak Brook Bancshares, Inc. Class A............. 700 20,825
First Palm Beach Bancorp, Inc........................ 2,000 59,250
First Patriot Bankshares Corp........................ 700 11,550
*First Republic Bancorp, Inc......................... 3,000 60,000
First Savings Bancorp, Inc. North Carolina........... 1,400 27,562
First Savings Bank................................... 4,800 100,500
First Source Corp.................................... 6,850 173,819
First Southeast Financial Corp....................... 2,900 31,175
*#First Team Sports, Inc............................. 2,900 20,844
First United Bancorp................................. 3,700 56,194
First Western Bancorp, Inc........................... 3,850 133,306
*First Years, Inc.................................... 2,200 41,800
Firstbank of Illinois Co............................. 6,200 233,275
Firstfed Bancshares, Inc............................. 1,500 27,187
*FirstFed Financial Corp. DE......................... 5,300 144,425
#FirstFederal Financial Services Corp................ 1,802 60,367
*Fischer Imaging Corp................................ 3,400 21,887
</TABLE>
100
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Flag Financial Corp.................................. 200 $ 2,475
*#Flagstar Companies, Inc............................ 15,500 6,781
Flamemaster Corp..................................... 206 978
Fleming Companies, Inc............................... 18,900 359,100
Flexsteel Industries, Inc............................ 6,200 71,687
Florida Public Utilities Co.......................... 500 10,484
Florida Rock Industries, Inc......................... 4,300 144,050
*Florsheim Group, Inc................................ 3,300 28,669
*Flow International Corp............................. 7,300 61,594
Fluke Corp........................................... 4,400 219,450
*Fluor Daniel/GTI, Inc............................... 1,265 8,855
*Foamex International, Inc........................... 12,600 191,362
*Foilmark, Inc....................................... 1,600 5,750
*Foodarama Supermarkets, Inc......................... 300 5,681
*Foodmaker, Inc...................................... 19,400 271,600
*Foothill Independent Bancorp........................ 1,770 24,227
Foremost Corp. of America............................ 5,000 282,500
Forest City Enterprises, Inc. Class A................ 3,900 172,087
Forest City Enterprises, Inc. Class B................ 1,950 86,531
*Forest Oil Corp..................................... 3,540 49,339
Fort Wayne National Corp............................. 5,900 264,025
*Fortune Petroleum Corp.............................. 4,800 9,900
*Fossil, Inc......................................... 6,600 111,787
*Foster (L.B.) Co. Class A........................... 20,900 84,253
*Fountain Oil, Inc................................... 10,100 46,712
*Fountain Powerboat Industries, Inc.................. 1,200 21,300
*Fourth Shift Corp................................... 4,800 15,300
*Frankfort First Bancorp, Inc........................ 1,700 18,275
Franklin Bank National Associaton Southfield, MI..... 1,323 17,447
Franklin Electric Co., Inc........................... 3,200 152,000
*Franklin Electronic Publishers, Inc................. 4,000 40,500
*Franklin Quest Co................................... 10,300 247,200
Frederick's of Hollywood, Inc. Class A............... 3,100 16,275
Frederick's of Hollywood, Inc. Class B............... 3,633 18,619
Freds, Inc. Class A.................................. 4,200 56,437
*Frequency Electronics, Inc.......................... 2,400 29,400
*Fresh America Corp.................................. 1,400 22,750
*Fresh Choice, Inc................................... 2,800 10,412
Friedman Industries, Inc............................. 6,821 41,779
*Friedmans, Inc. Class A............................. 6,300 117,731
Frisch's Restaurants, Inc............................ 13,983 204,501
*Fritz Companies, Inc................................ 10,000 108,125
Frontier Adjusters of America, Inc................... 1,000 3,125
Frontier Insurance Group, Inc........................ 7,300 400,587
Frozen Food Express Industries, Inc.................. 8,307 74,244
Fuller (H.B.) Co..................................... 7,000 383,250
Fulton Financial Corp................................ 10,963 285,028
*Funco, Inc.......................................... 3,000 48,187
*Fuqua Enterprises, Inc.............................. 3,600 69,300
Furon Co............................................. 3,900 99,450
*Fusion Systems Corp................................. 3,800 118,512
*#Future Healthcare, Inc............................. 3,400 92
G & K Services, Inc. Class A......................... 10,000 323,750
*G-III Apparel Group, Ltd............................ 3,200 18,900
GBC Bancorp.......................................... 3,300 117,562
*GC Companies, Inc................................... 3,900 165,750
*GNI Group, Inc...................................... 2,400 14,700
*GRC International, Inc.............................. 9,100 47,775
*GTI Corp............................................ 4,300 28,219
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*GTS Duratek, Inc.................................... 7,500 $ 65,156
*GZA Geoenvironmental Technologies, Inc.............. 1,700 4,622
Gainsco, Inc......................................... 10,700 88,275
*Galey & Lord, Inc................................... 5,800 102,225
*Galileo Corp........................................ 3,400 24,437
Gallagher (Arthur J.) & Co........................... 9,700 307,975
*Galoob Toys, Inc. DE................................ 8,600 154,800
*Game Financial Corp................................. 2,300 21,850
Gamma Biologicals, Inc............................... 5,500 23,031
*Gantos, Inc......................................... 2,950 8,758
Garan, Inc........................................... 3,042 60,460
*Garden Fresh Restaurant Corp........................ 900 8,831
*Gardner Denver Machinery, Inc....................... 4,800 130,800
*Gasonics International, Inc......................... 6,650 79,800
*Gaylord Container Corp. Class A..................... 27,000 221,062
*Geerling & Wade, Inc................................ 1,600 6,400
*Gehl Co............................................. 3,100 48,050
*#Gemstar International Group, Ltd................... 6,122 127,031
Gencor Industries, Inc............................... 900 23,512
#Gencorp, Inc........................................ 15,900 335,887
*Genelabs Technologies, Inc.......................... 18,200 42,087
*Genemedicine, Inc................................... 6,500 52,406
General Binding Corp................................. 7,900 231,075
*General Communications, Inc. Class A................ 17,600 122,650
*General Datacomm Industries, Inc.................... 11,700 105,300
General Employment Enterprises, Inc.................. 1,300 15,275
*General Host Corp................................... 12,180 36,540
General Housewares Corp.............................. 1,500 15,000
General Magnaplate Corp.............................. 200 1,250
*Genesco, Inc........................................ 12,000 165,000
Genesee Corp. Class B................................ 200 8,175
*Geneva Steel Co. Class A............................ 9,200 21,850
*Genicom Corp........................................ 5,500 33,859
*Genlyte Group, Inc.................................. 8,900 115,144
*Genome Therapeutics Corp............................ 8,800 69,300
Genovese Drug Stores, Inc. Class A................... 3,110 49,760
*Genrad, Inc......................................... 12,200 227,225
*Gensia Sicor, Inc................................... 18,500 86,141
*Gentex Corp......................................... 9,500 190,000
*Genus, Inc.......................................... 8,300 47,984
*Genzyme Transgenics Corp............................ 8,500 64,281
Geon Co.............................................. 11,900 258,825
George Mason Bankshares, Inc......................... 2,500 52,031
*Geoscience Corp..................................... 3,000 28,125
*Geotek Communications, Inc.......................... 52,800 234,300
*Geoworks............................................ 7,000 43,969
Gerber Scientific, Inc............................... 18,600 351,075
*Getty Petroleum Marketing, Inc...................... 6,300 29,925
Getty Realty Corp.................................... 6,300 105,525
*Giant Cement Holding, Inc........................... 4,900 86,362
*Giant Group, Ltd.................................... 1,400 9,800
Giant Industries, Inc................................ 5,600 81,200
*Gibraltar Packaging Group, Inc...................... 3,000 9,375
*Gibraltar Steel Corp................................ 5,800 127,237
*Gibson Greetings, Inc............................... 8,100 174,656
Giddings & Lewis, Inc................................ 16,600 313,325
*Giga-Tronics, Inc................................... 1,600 11,900
*Gilead Sciences, Inc................................ 3,300 88,894
*Gish Biomedical, Inc................................ 1,300 6,622
</TABLE>
101
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Glacier Bancorp, Inc................................. 2,013 $ 32,711
*Glacier Water Services, Inc......................... 1,200 27,600
Gleason Corp......................................... 2,000 74,250
*Gliatech, Inc....................................... 3,700 29,600
*Global Industrial Technologies, Inc................. 16,300 301,550
*Global Village Communication, Inc................... 8,400 29,662
*Globalink, Inc...................................... 2,700 9,450
*Go Video, Inc....................................... 3,100 5,231
*Golden Books Family Entertainment, Inc.............. 13,000 146,250
Golden Enterprises, Inc.............................. 6,100 44,987
Golden Poultry Co., Inc.............................. 5,700 77,306
*Good Guys, Inc...................................... 6,800 39,950
GoodMark Foods, Inc.................................. 6,300 108,675
*#Goodys Family Clothing............................. 8,100 186,806
Gorman-Rupp Co....................................... 5,175 91,856
*Gottschalks, Inc.................................... 5,200 29,900
*Government Technology Services, Inc................. 3,000 14,625
Graco, Inc........................................... 8,600 240,800
*Gradco Systems, Inc................................. 3,900 16,331
Graham-Field Health Products, Inc.................... 7,100 75,437
*Grancare, Inc....................................... 11,800 109,150
*Grand Casinos, Inc.................................. 20,900 269,087
Grand Premier Financial, Inc......................... 2,901 34,631
Granite Construction, Inc............................ 9,100 182,000
Granite State Bankshares, Inc........................ 1,200 21,075
Graphic Industries, Inc.............................. 4,800 52,500
Gray Communications Systems, Inc..................... 1,100 20,625
Great Southern Bancorp, Inc.......................... 4,200 71,662
*#Greate Bay Casino Corp............................. 4,467 6,421
Greater Bay Bancorp.................................. 179 5,202
Greater New York Savings Bank NY..................... 6,700 128,975
Green (A.P.) Industries, Inc......................... 11,100 102,675
Green Mountain Power Corp............................ 2,500 59,062
*Greenbriar Corp..................................... 2,560 47,360
Greenbrier Companies, Inc............................ 7,100 79,875
Greenfield Industries, Inc. DE....................... 8,200 212,175
Greenwich Air Services, Inc. Class A................. 3,500 100,406
Greenwich Air Services, Inc. Class B................. 2,200 63,662
Grey Advertising, Inc................................ 200 57,700
*Greyhound Lines, Inc................................ 35,000 146,562
*Griffon Corp........................................ 51,500 701,687
*Grist Mill & Co..................................... 3,400 22,206
*Ground Round Restaurants, Inc....................... 4,400 6,531
*Group 1 Software, Inc............................... 3,000 22,125
*Group Technologies Corp............................. 6,400 8,800
*Grow Biz International, Inc......................... 2,900 30,812
*Gryphon Holdings, Inc............................... 2,700 39,825
Guaranty National Corp............................... 3,007 64,650
*Guest Supply, Inc................................... 3,100 27,900
Guilford Mills, Inc.................................. 10,850 212,931
*Guilford Pharmaceuticals, Inc....................... 400 10,050
*Gulfmark Offshore, Inc.............................. 3,000 57,750
*Gulfsouth Medical Supply, Inc....................... 10,200 198,900
*Gull Laboratories, Inc.............................. 2,900 29,000
*Gundle/SLT Environmental, Inc....................... 8,700 45,675
*Gymboree Corp....................................... 12,600 313,425
*HCIA, Inc........................................... 1,400 35,000
*HD Vest, Inc........................................ 2,200 9,075
*HDS Network Systems, Inc............................ 1,400 7,700
*HEI, Inc............................................ 2,000 11,000
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
HF Financial Corp.................................... 1,200 $ 23,550
*HMG Worldwide Corp.................................. 2,500 2,422
HMI Industries, Inc.................................. 5,400 31,387
*HMN Financial, Inc.................................. 2,200 48,675
*HNC Software, Inc................................... 400 13,225
*HPR, Inc............................................ 2,000 32,125
*HPSC, Inc........................................... 1,800 10,912
*HS Resources, Inc................................... 7,900 114,550
HUBCO, Inc........................................... 10,900 284,081
*Ha-Lo Industries, Inc............................... 8,200 190,137
Hach Co.............................................. 5,725 88,380
*Hadco Corp.......................................... 5,200 312,325
*Haemonetics Corp.................................... 13,700 234,612
Haggar Corp.......................................... 4,300 57,781
*Hahn Automotive Warehouse, Inc...................... 2,163 17,034
*Hain Food Group, Inc................................ 500 2,328
Halifax Corp......................................... 1,000 8,500
*#Hallwood Group, Inc................................ 950 25,650
*Halsey Drug Co., Inc................................ 5,600 25,200
*Hammons (John Q.) Hotels, Inc. Class A.............. 3,200 28,800
*Hampshire Group, Ltd................................ 1,400 21,262
*Hampton Industries, Inc............................. 1,900 14,962
Hancock Fabrics, Inc................................. 10,800 132,300
Hancock Holding Co................................... 5,080 213,360
*Handleman Co........................................ 18,200 120,575
Handy & Harman....................................... 5,300 88,112
*Hanger Orthopedic Group, Inc........................ 4,700 42,006
*Harbinger Corp...................................... 3,800 116,850
*Harcor Energy, Inc.................................. 9,500 57,297
*Harding Lawson Associates Group, Inc................ 5,000 34,375
*#Harken Energy Corp................................. 51,900 246,525
Harleysville Group, Inc.............................. 8,100 292,612
Harleysville National Corp PA........................ 510 14,981
Harmon Industries, Inc............................... 3,400 64,812
*Harmonic Lightwaves, Inc............................ 2,200 35,750
*Harolds Stores, Inc................................. 2,199 20,341
*Harris & Harris Group, Inc.......................... 4,100 16,912
Harris Savings Bank PA............................... 3,300 67,650
*Harry's Farmers Market, Inc. Class A................ 2,100 8,269
*Hartmarx Corp....................................... 16,600 163,925
*Harvard Industries, Inc............................. 2,600 1,706
*Harvey Entertainment Co............................. 2,000 23,375
Harvey's Casino Resorts.............................. 4,900 82,687
Haskel International, Inc............................ 1,900 19,000
Hastings Manufacturing Co............................ 350 9,253
*Hathaway Corp....................................... 1,600 4,200
*Hauser, Inc......................................... 5,000 30,625
Haven Bancorp, Inc................................... 2,200 74,800
Haverfield Corp...................................... 220 5,527
Haverty Furniture Co., Inc........................... 4,400 51,975
Haverty Furniture Co., Inc. Class A.................. 200 2,325
*Hawaiian Airlines, Inc.............................. 2,000 8,125
Hawkins Chemical, Inc................................ 5,145 42,446
*Hawthorne Financial Corp............................ 1,300 14,625
*Hays Wheels International, Inc...................... 1,760 38,060
*Health Management Systems, Inc...................... 9,400 52,287
*Health Management, Inc.............................. 4,500 1,125
*Health Power, Inc................................... 1,900 6,769
*#Health Professionals, Inc.......................... 1,250 1,875
</TABLE>
102
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Health Risk Management, Inc......................... 1,600 $ 18,800
*Health-Chem Corp.................................... 4,789 3,891
*Healthcare Imaging Services, Inc.................... 1,200 2,156
*Healthcare Services Group, Inc...................... 4,000 45,250
*Healthdyne Information Enterprises, Inc............. 10,100 32,825
*Healthdyne Technologies, Inc........................ 9,272 137,921
*Healthplan Services Corp............................ 1,470 24,622
*Healthy Planet Products, Inc........................ 700 2,581
*Heartland Express, Inc.............................. 11,976 255,987
*Heartland Wireless Communications, Inc.............. 2,316 6,586
*Heartport, Inc...................................... 6,100 146,781
*Heartstream, Inc.................................... 1,400 11,200
*Hechinger Co. Class A............................... 12,500 15,625
*Hechinger Co. Class B............................... 4,300 13,437
*Hecla Mining Co..................................... 30,600 175,950
*#Hector Communications Corp......................... 1,200 11,325
*Heftel Broadcasting Corp. Class A................... 1,100 54,175
Heico Corp........................................... 2,080 46,280
Heilig-Meyers Co..................................... 11,800 194,700
*Hein-Werner Corp.................................... 2,161 15,127
*Heist (C.H.) Corp................................... 2,100 13,650
Helix Technology Corp................................ 14,800 593,850
*Hello Direct, Inc................................... 1,000 6,437
Henry Jack & Associates, Inc......................... 9,000 198,562
Herbalife International, Inc......................... 16,000 330,000
Heritage Financial Services, Inc..................... 3,600 97,200
*Heritage Media Corp. Class A........................ 22,800 416,100
*Hexcel Corp......................................... 8,100 145,800
*Hf Bancorp, Inc..................................... 1,400 18,900
*Hi-Lo Automotive, Inc............................... 5,400 14,175
*Hi-Shear Industries, Inc............................ 500 1,250
*Hi-Shear Technology Corp............................ 1,300 7,312
*Hi-Tech Pharmacal, Inc.............................. 2,200 10,725
*Hibbett Sporting Goods, Inc......................... 2,000 34,250
*High Plains Corp.................................... 7,900 27,650
*Highway Master Communications, Inc.................. 3,100 41,850
Hilb Rogal Hamilton Co............................... 7,900 116,525
*Hilite Industries, Inc.............................. 1,900 7,006
*Hirsch International Corp. Class A.................. 2,500 57,969
*Hitox Corp.......................................... 2,500 8,906
Hoenig Group, Inc.................................... 4,400 23,375
*Holiday RV Superstores, Inc......................... 3,000 5,719
Holly Corp........................................... 4,100 102,500
*Hollywood Casino Corp. Class A...................... 14,700 51,909
*Hollywood Entertainment Corp........................ 8,100 162,000
*Hologic, Inc........................................ 6,400 152,400
*Holopak Technologies, Inc........................... 2,500 7,187
*Holophane Corp...................................... 5,750 120,750
Home Federal Bancorp................................. 1,350 36,281
*Home Health Corp. of America........................ 2,500 25,781
Home Port Bancorp, Inc............................... 600 11,775
*Home Products International, Inc.................... 1,000 9,312
*Home State Holdings, Inc............................ 3,700 1,734
*Homecorp, Inc....................................... 200 4,250
*Homeowners Group, Inc............................... 1,700 3,241
*Hondo Oil and Gas Co................................ 6,900 62,962
Hooper Holmes, Inc................................... 3,400 74,800
Horizon Bancorp, Inc................................. 400 10,050
Horizon Financial Corp............................... 3,953 60,036
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Horizon/CMS Healthcare Corp......................... 3,000 $ 54,750
*Hospital Staffing Services, Inc..................... 2,390 5,826
*Hovnanian Enterprises, Inc. Class A................. 10,600 62,937
*Hovnanian Enterprises, Inc. Class B................. 1,150 6,828
Howell Corp.......................................... 1,900 32,062
Howell Industries, Inc............................... 100 3,487
*Howtek, Inc......................................... 3,100 5,231
Hudson Chartered Bancorp, Inc........................ 500 14,000
Hudson Foods, Inc. Class A........................... 16,800 266,700
Hudson General Corp.................................. 400 16,000
*Hudson Technologies, Inc............................ 2,200 21,519
Huffy Corp........................................... 6,700 87,100
Hughes Supply, Inc................................... 5,200 198,900
*Hugoton Energy Corp................................. 16,900 189,069
*Human Genome Sciences, Inc.......................... 2,100 81,112
Hunt (J.B.) Transport Services, Inc.................. 14,200 213,887
Hunt Manufacturing Co................................ 5,200 97,500
Huntco, Inc. Class A................................. 2,600 34,775
*Hurco Companies, Inc................................ 3,300 18,150
*Hutchinson Technology, Inc.......................... 8,100 222,244
*Hycor Biomedical, Inc............................... 5,600 10,500
*Hyde Athletic Industries, Inc. Class A.............. 1,000 4,937
*Hyde Athletic Industries, Inc. Class B.............. 1,500 7,500
Hydron Technologies, Inc............................. 9,000 13,078
*Hyperion Software Corp.............................. 8,500 153,531
*I-Stat Corp......................................... 5,600 100,100
*ICF Kaiser International, Inc....................... 8,800 20,900
ICN Pharmaceuticals, Inc............................. 11,092 239,865
ICO, Inc............................................. 10,120 50,284
*ICOS Corp........................................... 26,700 214,434
*ICU Medical, Inc.................................... 4,500 39,656
*IDEC Pharmaceuticals Corp........................... 9,000 201,937
*IDEXX Laboratories, Inc............................. 5,500 78,031
*IDM Environmental Corp.............................. 1,200 2,400
*IDT Corp............................................ 16,000 127,000
*IEC Electronics Corp................................ 3,700 43,706
*IFR Systems, Inc.................................... 3,700 58,506
*IGEN, Inc........................................... 8,200 50,994
*IGI, Inc............................................ 6,200 28,675
*IHOP Corp........................................... 4,700 132,481
*II-VI, Inc.......................................... 3,200 61,600
*ILC Technology, Inc................................. 1,800 20,250
IMCO Recycling, Inc.................................. 5,900 104,725
*IMP, Inc............................................ 13,200 23,100
*IPC Information Systems, Inc........................ 5,400 65,475
*#IPL Systems, Inc. Class A.......................... 1,800 1,828
*IQ Software Corp.................................... 2,300 21,562
*ISB Financial Corp. LA.............................. 900 19,912
*ITC Learning Corp................................... 1,800 8,550
*ITEQ, Inc........................................... 6,900 53,906
*ITI Technologies, Inc............................... 4,500 72,281
*ITT Educational Services, Inc....................... 750 16,969
*#IVI Publishing, Inc................................ 3,800 11,875
*Ibah, Inc........................................... 10,700 41,462
*Identix, Inc........................................ 12,200 123,525
*Ikos Systems, Inc................................... 4,100 100,450
*#Illinois Superconductor Corp....................... 2,300 28,750
*Image Entertainment, Inc............................ 7,900 33,328
*#Imatron, Inc....................................... 53,300 148,241
*Imclone Systems, Inc................................ 11,000 68,062
</TABLE>
103
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Immucor, Inc........................................ 4,000 $ 34,750
*Immulogic Pharmaceutical Corp....................... 10,100 39,769
*Immune Response Corp. DE............................ 13,600 114,750
*#Immunogen, Inc..................................... 8,500 11,289
*Immunomedics, Inc................................... 19,700 103,425
*Imnet Systems, Inc.................................. 2,400 60,000
*Imo Industries, Inc................................. 8,600 25,800
*Impact Systems, Inc................................. 4,000 5,250
*Imperial Bancorp.................................... 13,715 341,161
*Imperial Credit Industries, Inc..................... 9,150 172,134
*Imperial Holly Corp................................. 9,100 111,475
*In Focus Systems, Inc............................... 5,300 137,469
*In Home Health, Inc................................. 6,400 9,600
*#Inacom Corp........................................ 9,300 300,506
*Inbrand Corp........................................ 5,900 155,612
*Incontrol, Inc...................................... 8,500 80,219
*Incstar Corp........................................ 7,800 47,409
*Incyte Pharmaceuticals, Inc......................... 5,100 332,775
*Indenet, Inc........................................ 8,500 12,219
Independence Holding Co.............................. 2,500 21,719
Independent Bank Corp. MA............................ 12,100 128,562
Independent Bank East................................ 1,653 45,354
Indiana Energy, Inc.................................. 10,300 245,912
Indiana Federal Corp................................. 2,400 62,700
*Individual, Inc..................................... 1,800 10,012
Industrial Acoustics Co., Inc........................ 200 1,825
*Industrial Holdings, Inc............................ 2,100 22,181
*Industrial Scientific Corp.......................... 700 13,737
*Inference Corp. Class A............................. 1,400 6,125
*Information Resource Engineering, Inc............... 2,700 36,281
*Information Resources, Inc.......................... 13,900 208,500
*Infu-tech, Inc...................................... 800 2,900
Ingles Market, Inc. Class A.......................... 4,900 70,437
*Inhale Therapeutic Systems.......................... 5,900 118,737
*Innerdyne, Inc...................................... 14,700 40,884
*Innodata Corp....................................... 1,800 1,237
*Innoserv Technologies, Inc.......................... 200 394
*Innovative Gaming Corp. of America.................. 3,200 15,900
#Innovex, Inc........................................ 7,100 198,800
*Inphynet Medical Management, Inc.................... 7,900 170,837
*Insight Enterprises, Inc............................ 2,000 56,500
*Insignia Financial Group, Inc. Class A.............. 5,200 92,300
*Insilco Corp........................................ 4,700 178,012
*Insite Vision, Inc.................................. 6,500 40,219
Insituform East, Inc................................. 1,700 4,728
*Insituform Technologies, Inc. Class A............... 14,710 90,099
*#Inso Corp.......................................... 7,100 198,356
Insteel Industries, Inc.............................. 3,300 25,575
Instron Corp......................................... 9,600 120,000
*Insurance Auto Auctions, Inc........................ 5,600 44,450
Integon Corp......................................... 7,900 98,750
*Integra Lifesciences Corp........................... 11,400 35,625
*Integramed America, Inc............................. 3,600 5,062
*Integrated Circuit Systems, Inc..................... 5,800 103,675
Integrated Health Services, Inc...................... 10,300 370,800
*Integrated Orthopedics, Inc......................... 2,600 13,650
*Integrated Process Equipment Corp................... 7,400 135,512
*#Integrated Silicon Solution, Inc................... 8,800 86,075
*Integrated Systems, Inc............................. 11,500 163,875
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Integrated Waste Services, Inc...................... 2,400 $ 750
*Intellicall, Inc.................................... 4,300 19,887
*Intellidata Technologies Corp....................... 13,700 69,998
*Intelligent Electronics, Inc........................ 17,828 47,356
*Intelligent Systems Corp............................ 200 825
*Inter-Tel, Inc...................................... 6,500 102,375
*Interactive Group, Inc.............................. 1,100 7,631
Intercargo Corp...................................... 3,800 38,950
*Intercel, Inc....................................... 16,500 222,750
Interchange Financial Services Corp. Saddle Brook.... 1,380 26,220
*Interdigital Communications Corp.................... 24,000 159,000
*Interface Systems, Inc.............................. 3,400 11,262
Interface, Inc. Class A.............................. 8,300 191,419
*Interferon Sciences, Inc............................ 3,975 32,545
*Intergraph Corp..................................... 23,300 163,828
*Interim Services, Inc............................... 3,336 130,104
*Interlake Corp...................................... 17,000 65,875
*Interleaf, Inc...................................... 10,000 13,750
*Interlink Electronics............................... 2,200 14,437
*Interlinq Software Corp............................. 2,900 11,373
*Intermagnetics General Corp......................... 7,406 103,684
*Intermedia Communications of Florida, Inc........... 8,100 242,494
Intermet Corp........................................ 12,600 173,250
*International Alliance Services, Inc................ 4,400 40,150
International Aluminum Corp.......................... 2,100 55,125
*International Dairy Queen, Inc. Class A............. 6,900 159,131
*International Imaging Materials, Inc................ 4,400 77,000
*International Lottery, Inc.......................... 1,600 13,000
International Multifoods Corp........................ 9,000 254,250
*International Remote Imaging Systems, Inc........... 3,000 12,375
International Shipholding Corp....................... 3,375 57,797
*International Technology Corp....................... 5,025 36,431
*International Thoroughbred Breeders, Inc............ 5,800 26,100
*Interphase Corp..................................... 2,700 21,262
Interpool, Inc....................................... 17,550 245,700
*Interpore International............................. 3,500 16,187
Interra Financial, Inc............................... 6,100 265,350
*Interscience Computer Corp.......................... 1,000 250
*Intersolv, Inc...................................... 9,900 97,144
Interstate Johnson Lane, Inc......................... 2,300 44,850
Interstate Power Co.................................. 2,400 67,800
*Intertan, Inc....................................... 5,700 21,375
*Intervisual Books, Inc. Class A..................... 1,000 1,812
*Intervoice, Inc..................................... 8,100 89,606
Interwest Bancorp.................................... 3,900 134,550
*Investment Technology Group, Inc.................... 8,100 182,250
Investors Financial Services Corp.................... 503 17,794
Investors Financial Services Corp. Class A........... 96 3,396
Investors Title Co................................... 1,400 20,475
*Invivo Corp......................................... 1,600 15,200
*#Ion Laser Technology, Inc.......................... 2,900 23,200
*Iridex Corp......................................... 800 4,800
Iroquois Bancorp..................................... 400 8,200
Irwin Financial Corp................................. 5,100 135,150
Isco, Inc............................................ 38,935 316,347
*#Isis Pharmaceuticals, Inc.......................... 14,100 221,194
</TABLE>
104
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Isolyser Co., Inc................................... 20,010 $ 78,789
*Isomedix, Inc....................................... 3,600 56,250
*Itron, Inc.......................................... 6,700 177,969
*Iwerks Entertainment, Inc........................... 5,824 26,208
*J & J Snack Foods Corp.............................. 4,400 63,250
J & L Specialty Steel, Inc........................... 19,300 246,075
*J. Alexander's Corp................................. 2,000 16,500
*JDA Software Group, Inc............................. 3,200 88,200
JLG Industries, Inc.................................. 33,300 507,825
*JMAR Industries, Inc................................ 6,400 17,100
*JP Foodservice, Inc................................. 3,100 89,706
*JPE, Inc............................................ 1,800 12,150
JSB Financial, Inc................................... 4,000 174,000
*#JTS Corp........................................... 31,300 44,994
*Jabil Circuit, Inc.................................. 2,000 117,125
Jackpot Enterprises, Inc............................. 4,700 49,937
*Jaclyn, Inc......................................... 1,000 4,250
*Jaco Electronics, Inc............................... 1,973 13,318
*Jacobs Engineering Group, Inc....................... 12,800 344,000
#Jacobson Stores, Inc................................ 2,900 26,644
*Jalate, Ltd......................................... 1,000 2,625
*Jan Bell Marketing, Inc............................. 14,300 32,175
*Jason, Inc.......................................... 10,087 63,044
*#Jayhawk Acceptance Corp............................ 1,000 1,625
*Jean Philippe Fragrances, Inc....................... 4,350 25,556
Jeffbanks, Inc....................................... 1,706 46,702
Jefferies Group, Inc................................. 6,000 323,250
Jefferson Bankshares, Inc............................ 10,100 295,425
Jefferson Savings Bancorp, Inc....................... 1,600 46,000
*Jennifer Convertibles, Inc.......................... 1,300 2,925
John Alden Financial Corp............................ 15,400 327,250
*Johnson Worldwide Associates, Inc. Class A.......... 6,700 83,331
Johnston Industries, Inc............................. 6,000 41,250
*Johnstown American Industries, Inc.................. 4,900 26,031
*Jones Intercable, Inc............................... 2,300 24,869
*Jones Intercable, Inc. Class A...................... 14,100 149,812
*Jos. A. Bank Clothiers, Inc......................... 5,400 20,250
*Jumbosports, Inc.................................... 10,000 43,750
Juno Lighting, Inc................................... 9,200 144,900
*Just for Feet, Inc.................................. 14,200 280,450
*Just Toys, Inc...................................... 1,600 2,050
Justin Industries, Inc............................... 13,200 155,100
*K & G Men's Center, Inc............................. 2,500 42,031
K Swiss, Inc. Class A................................ 1,600 21,200
*K-Tron International, Inc........................... 6,200 80,600
*K-V Pharmaceutical Co. Class A...................... 3,200 51,600
*K-V Pharmaceutical Co. Class B...................... 1,800 29,025
K2, Inc.............................................. 8,300 239,663
KCS Energy, Inc...................................... 7,300 303,862
*KLA-Tencor Corp..................................... 12,200 580,262
*KLLM Transport Services, Inc........................ 1,600 19,700
*KTI, Inc............................................ 200 1,612
*Kaiser Ventures, Inc................................ 9,700 92,756
Kaman Corp. Class A.................................. 8,600 117,712
*Kaneb Services, Inc................................. 16,100 62,387
Katy Industries, Inc................................. 4,100 64,062
*Katz Digital Technologies, Inc...................... 1,100 3,300
*Katz Media Group Inc................................ 3,400 18,275
Kaydon Corp.......................................... 6,900 342,412
Kaye Group, Inc...................................... 3,000 14,812
Keithley Instruments, Inc............................ 1,000 9,125
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Kelley Oil & Gas Corp............................... 64,600 $ 153,425
Kellwood Co.......................................... 10,600 276,925
*Kent Electronics Corp............................... 10,000 325,000
*Kentucky Electric Steel, Inc........................ 1,800 9,900
Kentucky First Bancorp, Inc.......................... 200 2,137
*Kenwin Shops, Inc................................... 200 237
*Kerr Group, Inc..................................... 2,400 5,700
Kewaunee Scientific Corp............................. 1,500 9,281
*#Key Energy Group, Inc.............................. 5,200 85,800
*Key Production Co., Inc............................. 5,800 55,100
*Key Technology, Inc................................. 2,300 42,981
*Key Tronic Corp..................................... 13,000 76,375
*Keystone Consolidated Industries, Inc............... 4,600 41,400
Keystone Heritage Group, Inc......................... 1,600 45,200
Kimball International, Inc. Class B.................. 500 19,656
*Kimmins Corp........................................ 3,400 12,537
*Kinark Corp......................................... 3,000 10,125
Kinetic Concepts, Inc................................ 21,600 361,800
*Kinnard Investment, Inc............................. 2,300 13,656
*Kirby Corp.......................................... 12,400 234,050
*Kit Manufacturing Co................................ 300 2,887
Klamath First Bancorp, Inc........................... 6,100 112,087
Knape & Vogt Manufacturing Co........................ 2,900 46,400
*Knickerbocker (L.L.) Co., Inc....................... 5,000 26,250
*Knight Transportation, Inc.......................... 2,500 57,812
*Koala Corp.......................................... 1,200 14,925
Kollmorgen Corp...................................... 4,900 64,312
*#Koo Koo Roo, Inc................................... 19,324 77,900
*Kopin Corp.......................................... 5,500 75,625
*Koss Corp........................................... 1,600 15,200
*Kronos, Inc......................................... 4,100 107,625
*Krug International Corp............................. 1,048 5,436
*Krystal Co.......................................... 4,900 24,500
Kuhlman Corp......................................... 6,899 190,585
*Kulicke & Soffa Industries, Inc..................... 9,700 327,981
*#L.A. Gear, Inc..................................... 12,600 20,475
*LAT Sportswear, Inc................................. 200 112
LCS Industries, Inc.................................. 1,700 26,775
LSB Bancshares, Inc. NC.............................. 2,525 49,553
LSB Industries, Inc.................................. 6,000 27,000
LSI Industries, Inc.................................. 5,767 86,505
*LTX Corp............................................ 17,500 108,281
*LXR Biotechnology, Inc.............................. 8,000 20,000
*La Jolla Pharmceutical Co........................... 8,100 33,919
La-Z-Boy, Inc........................................ 9,100 312,812
*LaBarge, Inc........................................ 8,600 54,825
Labone, Inc.......................................... 6,500 116,187
*#Laboratory Corp. of America Holdings, Inc.......... 10,000 28,750
Laclede Gas Co....................................... 8,200 177,325
*Laclede Steel Co.................................... 2,700 10,969
LaCrosse Footwear, Inc............................... 3,000 36,750
*Ladd Furniture, Inc................................. 3,566 46,804
*Laidlaw Environmental Services, Inc................. 33,800 97,175
*Lakeland Industries, Inc............................ 1,000 3,656
*Lamson & Sessions Co................................ 10,200 79,050
Lance, Inc........................................... 16,600 324,737
*Lancer Corp......................................... 5,400 135,000
*Lancit Media Productions, Ltd....................... 3,300 10,622
*Landair Services, Inc............................... 2,900 40,600
</TABLE>
105
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Landauer, Inc........................................ 3,300 $ 75,075
*Landrys Seafood Restaurants, Inc.................... 12,618 232,644
*Landstar Systems, Inc............................... 6,400 170,800
*Lasermaster Technologies, Inc....................... 7,120 13,795
*Laserscope.......................................... 5,900 36,875
*#LaserSight Corporation............................. 4,100 28,828
Lawson Products, Inc................................. 5,800 144,637
Lawter International, Inc............................ 24,800 285,200
Lawyers Title Corp................................... 6,400 115,200
*Layne Christensen Co................................ 2,900 62,712
*Lazare Kaplan International, Inc.................... 5,100 82,875
*Learning Co., Inc................................... 25,100 178,838
Learonal, Inc........................................ 4,300 116,100
*Leasing Solutions, Inc.............................. 4,100 61,500
*Lechters, Inc....................................... 12,600 46,856
*Lectec Corp......................................... 1,902 12,244
*Legato Systems, Inc................................. 2,100 41,738
Lennar Corp.......................................... 9,700 254,625
Lesco, Inc........................................... 5,225 92,744
*Leslie Building Products, Inc....................... 3,200 5,300
*Leslie's Poolmart................................... 3,774 54,015
*Level 8 Systems, Inc................................ 200 3,238
*Level One Communications, Inc....................... 6,500 246,188
*Levitz Furniture, Inc............................... 14,200 33,725
Libbey, Inc.......................................... 8,500 283,688
Liberty Bancorp, Inc. Oklahoma....................... 4,700 235,881
Liberty Homes, Inc. Class A.......................... 200 2,000
*Liberty Technologies, Inc........................... 1,900 6,413
*Lidak Pharmaceuticals Class A....................... 16,900 37,497
*Life Bancorp, Inc................................... 1,200 25,950
*Life Medical Sciences, Inc.......................... 3,900 19,013
*Life Quest Medical, Inc............................. 1,000 4,875
Life Re Corp......................................... 6,800 292,400
Life Technologies, Inc............................... 11,500 317,688
*Life USA Holdings, Inc.............................. 10,400 125,450
*Lifecore Biomedical, Inc............................ 5,900 82,231
*Lifeline Systems, Inc............................... 2,800 50,050
*#Lifetime Hoan Corp................................. 3,462 25,965
*Ligand Pharmaceuticals, Inc. Class B................ 3,021 35,497
Lillian Vernon Corp.................................. 4,900 77,175
Lilly Industry, Inc. Class A......................... 11,300 237,300
*Lindal Cedar Homes, Inc............................. 4,482 18,348
Lindberg Corp........................................ 8,200 71,750
Lindsay Manufacturer Co.............................. 4,800 168,600
*Liposome Co., Inc................................... 4,400 111,650
Liqui Box Corp....................................... 2,500 84,375
Litchfield Financial Corp............................ 2,100 33,469
*Littlefield, Adams & Co............................. 900 1,013
*Littlefuse, Inc..................................... 5,000 256,563
*Liuski International, Inc........................... 1,800 2,419
*Living Centers of America, Inc...................... 8,000 305,000
*Lodgenet Entertainment Corp......................... 7,200 78,750
*Loehmanns, Inc...................................... 5,800 42,050
*Logans Roadhouse, Inc............................... 1,000 23,375
*#Logic Devices, Inc................................. 2,400 5,550
*Logic Works, Inc.................................... 4,500 31,641
Logicon, Inc......................................... 6,900 346,725
*Lojack Corp......................................... 10,100 116,150
Lomak Petroleum, Inc................................. 11,400 202,350
Lone Star Industries, Inc............................ 4,800 190,800
*Lone Star Technologies, Inc......................... 10,300 243,338
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Loronix Information Systems, Inc.................... 2,200 $ 7,150
*Louis Dreyfus Natural Gas Corp...................... 13,900 220,663
Luby's Cafeterias, Inc............................... 12,000 232,500
Lufkin Industries, Inc............................... 3,300 78,169
Lukens, Inc. DE...................................... 7,400 145,225
*Lunar Corp.......................................... 8,150 162,491
*Lund International Holdings, Inc.................... 2,200 23,100
*#Luria (L.) & Son, Inc.............................. 2,500 5,625
*Lydall, Inc. DE..................................... 8,500 194,438
*Lynch Corp.......................................... 2,200 187,550
*M-Wave, Inc......................................... 1,500 3,375
*#M.H. Meyerson & Co., Inc........................... 2,500 12,344
M/A/R/C, Inc......................................... 1,527 28,250
MAF Bancorp, Inc..................................... 5,200 217,100
*MAI Systems Corp.................................... 4,700 22,031
*MAIC Holdings, Inc.................................. 4,216 160,208
#MDC Holdings, Inc................................... 9,000 76,500
MDU Resources Group, Inc............................. 11,400 276,450
*MFRI, Inc........................................... 1,700 13,706
*MGI Pharma, Inc..................................... 11,400 44,531
*MI Schottenstein Homes, Inc......................... 4,500 49,500
*MK Gold Corp........................................ 7,800 13,406
*MLX Corp............................................ 1,000 15,031
MMI Companies, Inc................................... 5,600 133,000
*MRS Technology, Inc................................. 3,300 3,455
*#MRV Communications, Inc............................ 10,300 253,638
*MS Carriers, Inc.................................... 8,900 184,119
*MTI Technology Corp................................. 5,900 26,919
MTS Systems Corp..................................... 4,200 107,888
MYR Group, Inc....................................... 1,200 17,400
MacDermid, Inc....................................... 4,100 183,219
*MacFrugals Bargain Close-outs, Inc.................. 13,100 389,725
*Macheezmo Mouse Restaurants, Inc.................... 1,500 820
MacNeal-Schwendler Corp.............................. 6,700 68,675
*Macromedia, Inc..................................... 17,600 177,100
Madison Gas & Electric Co............................ 7,850 158,963
*Magainin Pharmaceuticals, Inc....................... 14,900 109,888
*Magellan Health Services, Inc....................... 6,000 163,500
Magna Bancorp........................................ 6,000 140,625
*Magnetek, Inc....................................... 12,800 224,000
*Magnetic Technologies Corp.......................... 1,100 3,781
*Magnum Hunter Resources, Inc........................ 6,800 37,400
*Mail Boxes, Etc..................................... 5,600 130,200
*Mail-Well, Inc...................................... 1,400 45,150
*Main Street & Main, Inc............................. 1,450 3,172
Maine Public Service Co.............................. 700 8,269
Mainstreet Bankgroup, Inc............................ 5,000 108,125
*Mallon Resources Corp............................... 2,200 18,975
*Managed Care Solutions, Inc......................... 2,366 7,985
*Manatron, Inc....................................... 1,102 1,997
*Manhattan Bagel Co., Inc............................ 3,700 25,669
Manitowoc Co., Inc................................... 5,800 259,550
*Manugistic Group, Inc............................... 5,400 349,650
*Mapinfo Corp........................................ 3,300 36,713
*Marcam Corp......................................... 5,100 63,113
Marcus Corp.......................................... 11,450 280,525
*Marine Drilling Companies, Inc...................... 16,000 321,000
*Mariner Health Group, Inc........................... 14,500 173,094
*Marisa Christina, Inc............................... 3,300 31,350
Maritrans, Inc....................................... 7,700 56,788
*Mark VII, Inc....................................... 1,800 54,225
</TABLE>
106
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Markel Corp......................................... 2,700 $ 325,013
*Marker International................................ 8,100 35,438
*Marlton Technologies, Inc........................... 2,200 7,700
Marsh Supermarkets, Inc. Class A..................... 1,600 21,400
Marsh Supermarkets, Inc. Class B..................... 1,900 25,294
*Marshall Industries................................. 8,500 309,188
*Martek Biosciences Corp............................. 6,700 113,063
*Marten Transport, Ltd............................... 2,800 35,700
*#Marvel Entertainment Group, Inc.................... 1,000 2,250
Maryland Federal Bancorp............................. 1,260 47,880
Massbank Corp. Reading, MA........................... 1,000 41,938
*Matec Corp. DE...................................... 1,100 4,984
*Material Sciences Corp.............................. 10,200 142,800
*Mathsoft, Inc....................................... 3,900 10,725
*Matlack Systems, Inc................................ 7,500 55,313
*Matria Healthcare, Inc.............................. 14,300 64,350
*Matrix Pharmaceutical, Inc.......................... 10,600 73,538
*Matrix Service Co................................... 4,700 39,656
Matthews International Corp. Class A................. 3,400 115,175
*Matthews Studio Equipment Group..................... 2,500 7,891
*Mattson Technology, Inc............................. 7,100 74,994
*Maverick Tube Corp.................................. 3,300 99,206
*Max & Ermas Restaurants, Inc........................ 2,037 12,859
*Maxco, Inc.......................................... 1,900 13,419
*Maxicare Health Plans, Inc.......................... 8,800 209,550
*Maxim Group, Inc.................................... 8,000 91,500
*Maxwell Technologies, Inc........................... 2,900 57,275
*Maxxam, Inc......................................... 3,800 167,200
*Maxxim Medical, Inc................................. 6,600 96,525
*Maynard Oil Co...................................... 2,400 33,600
*Mays (J.W.), Inc.................................... 200 1,900
*McClain Industries, Inc............................. 266 1,180
McDonald & Co. Investment, Inc....................... 4,500 172,688
*McFarland Energy, Inc............................... 2,200 28,463
McGrath Rent Corp.................................... 7,300 132,313
*McWhorter Technologies, Inc......................... 5,200 114,400
*Measurement Specialties, Inc........................ 1,400 5,425
*Mecklermedia Corp................................... 4,200 80,850
*Medalliance, Inc. Liquidating Trust Escrow.......... 3,800 0
*Medaphis Corp....................................... 18,100 144,234
*Medar, Inc.......................................... 4,400 25,300
*Medarex, Inc........................................ 8,600 54,825
*Medcath, Inc........................................ 500 7,500
*Medco Research, Inc................................. 5,300 43,725
Medford Savings Bank MA.............................. 2,300 62,675
*Media 100, Inc...................................... 5,800 33,713
*Media Arts Group, Inc............................... 5,900 25,628
*#Media Logic, Inc................................... 2,400 7,350
*Medic Computer Systems, Inc......................... 6,100 105,606
*Medical Action Industries, Inc...................... 3,200 10,100
*Medical Graphics Corp............................... 1,000 4,125
*Medical Resources, Inc.............................. 9,050 125,569
*Medicalcontrol, Inc................................. 1,500 5,625
*Medicore, Inc....................................... 2,200 5,638
*Medicus Systems Corp................................ 3,200 18,200
*Medimmune, Inc...................................... 10,800 168,075
*Mediq, Inc.......................................... 10,100 74,488
*Medplus, Inc........................................ 3,000 18,188
*Medquist Inc........................................ 5,900 153,400
*Medstone International, Inc......................... 2,800 21,700
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Medusa Corp.......................................... 8,100 $ 312,863
*Mego Financial Corp................................. 3,600 23,850
*Melamine Chemicals, Inc............................. 3,300 38,775
*Mens Warehouse, Inc................................. 10,500 349,125
Mentor Corp. MN...................................... 12,400 324,725
*Mentor Graphics Corp................................ 16,100 121,756
Mercer International, Inc............................ 5,200 59,475
Merchants Bancorp, Inc............................... 500 18,813
Merchants Bancshares, Inc............................ 1,300 25,675
Merchants Group, Inc................................. 1,300 24,863
Merchants New York Bancorp, Inc...................... 400 15,525
#Mercury Air Group, Inc.............................. 3,700 23,125
*Mercury Interactive Corp............................ 14,000 246,750
*Meridian Data, Inc.................................. 4,800 19,950
Meridian Diagnostics, Inc............................ 7,100 60,350
*#Meridian Gold, Inc................................. 29,300 146,500
Meridian Insurance Group, Inc........................ 2,700 40,163
*Meridian Medical Technology, Inc.................... 2,400 11,700
*Meridian Sports, Inc................................ 3,200 4,500
*#Merisel, Inc....................................... 11,900 21,197
*Merit Medical Systems, Inc.......................... 3,500 25,813
*Merix Corp.......................................... 2,400 38,400
Merrill Corp......................................... 3,550 114,931
Merrimac Industries, Inc............................. 600 6,975
*Mesa Air Group, Inc................................. 22,100 111,191
*Mesa Labs, Inc...................................... 2,200 13,475
*#Mesa, Inc.......................................... 33,000 181,500
*Mesaba Holdings, Inc................................ 6,400 94,400
*Mestek, Inc......................................... 4,200 81,900
*Met-Coil Systems Corp............................... 1,000 2,156
Met-Pro Corp......................................... 11,175 164,831
*Metal Management, Inc............................... 3,921 34,554
*Metatec Corp. Class A............................... 5,300 16,231
Methode Electronics, Inc. Class A.................... 16,500 274,313
Methode Electronics, Inc. Class B.................... 500 8,313
*Metra Biosystems, Inc............................... 3,000 14,625
*#Metricom, Inc...................................... 6,700 54,019
*Metrocall, Inc...................................... 14,464 70,512
*Metrologic Instruments, Inc......................... 2,600 46,963
*#Metrotrans Corp.................................... 1,600 15,000
Metrowest Bank MA.................................... 6,500 35,344
*Michael Anthony Jewelers, Inc....................... 4,100 13,325
Michael Foods, Inc................................... 12,891 182,891
*Michaels Stores, Inc................................ 15,200 299,250
*Micrel, Inc......................................... 1,700 89,250
*Micrion Corp........................................ 2,000 33,875
*Micro Bio-Medics, Inc............................... 2,100 41,475
*Micro Linear Corp................................... 6,200 124,000
*Micro Warehouse, Inc................................ 17,200 295,625
*Microage, Inc....................................... 7,250 130,953
*Microdyne Corp...................................... 6,000 35,250
*Microfluidics International Corp.................... 1,000 1,969
*Micrografx, Inc..................................... 5,000 33,750
*Microlog Corp....................................... 1,500 8,813
*Micronics Computers, Inc............................ 6,000 17,250
*Micros Systems, Inc................................. 3,100 122,450
*Micros to Mainframes, Inc........................... 1,800 6,750
*Microsemi Corp...................................... 4,000 52,000
*Microtel International, Inc......................... 1,960 5,513
*Microtest, Inc...................................... 5,800 24,288
*Microtouch Systems, Inc............................. 3,800 95,475
*Microwave Power Dynamics, Inc....................... 7,500 22,500
</TABLE>
107
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Mid Am, Inc.......................................... 10,306 $ 181,643
Mid America Banccorp................................. 5,192 108,383
*Midcom Communications, Inc.......................... 1,000 7,438
Midconn Bank Kensington, CT.......................... 900 21,094
*Middleby Corp....................................... 1,900 18,169
Middlesex Water Co................................... 2,300 38,381
*Midisoft Corp....................................... 1,800 2,081
Midland Co........................................... 1,100 51,288
*Midwest Express Holdings, Inc....................... 1,050 33,338
*Midwest Grain Products, Inc......................... 4,400 51,150
Mikasa, Inc.......................................... 9,700 115,188
*Mikohn Gaming Corp.................................. 6,400 27,200
*Millennium Pharmaceuticals, Inc..................... 3,600 61,650
*Miller Building Systems, Inc........................ 1,600 12,200
*Miller Industries, Inc.............................. 18,800 307,850
*Miltope Group, Inc.................................. 11,000 39,188
*Mindspring Enterprises, Inc......................... 1,700 16,256
Mine Safety Appliances Co............................ 1,900 118,038
Minntech Corp........................................ 3,700 45,788
Minuteman International, Inc......................... 1,000 9,250
Mississippi Chemical Corp............................ 15,242 346,756
*Mitcham Industries, Inc............................. 2,200 18,563
*Mity-Lite, Inc...................................... 1,600 20,900
Mobile Gas Service Corp.............................. 2,000 53,250
*Mobile Mini, Inc.................................... 2,600 9,588
*Mobile Telecommunications Technologies Corp......... 26,800 326,625
Modern Controls, Inc................................. 4,300 51,600
*Modtech, Inc........................................ 800 9,750
*Mohawk Industries, Inc.............................. 8,400 176,925
*Molecular Biosystems, Inc........................... 8,800 81,400
*Molecular Dynamics, Inc............................. 5,000 71,875
*Molten Metal Technology, Inc........................ 13,800 97,463
*Monaco Coach Corp................................... 2,100 46,463
*Monaco Finance, Inc. Class A........................ 2,300 3,091
*Monarch Casino and Resort, Inc...................... 5,800 17,763
Monarch Machine Tool Co.............................. 1,400 10,500
*Mondavi (Robert) Corp. Class A...................... 3,700 164,419
*Monro Muffler Brake, Inc............................ 3,757 70,913
*Monroc, Inc......................................... 1,700 16,044
*#Monterey Pasta Co.................................. 3,400 6,906
*Moog, Inc. Class A.................................. 2,700 67,838
*Moore Medical Corp.................................. 2,100 23,625
*Moore Products Co................................... 1,600 36,200
*Moovies, Inc........................................ 5,700 32,597
Morgan Keegan, Inc................................... 10,200 183,600
*Morgan Products, Ltd................................ 5,100 45,263
*Morningstar Group, Inc.............................. 7,200 189,450
Morrison Fresh Cooking, Inc.......................... 3,025 15,125
Morrison Health Care, Inc............................ 4,033 65,536
*Morrison Knudsen Corp............................... 25,000 315,625
*#Morrow Snowboards, Inc............................. 1,000 3,938
*Morton's Restaurant Group, Inc...................... 3,200 53,200
*Mosaix, Inc......................................... 4,700 65,213
*Moscom Corp......................................... 3,400 14,875
Mosinee Paper Corp................................... 7,800 209,138
*Mossimo, Inc........................................ 13,500 114,750
*Mother's Work, Inc.................................. 1,200 9,150
*Motivepower Industries, Inc......................... 8,500 118,469
*Motor Car Parts & Accessories, Inc.................. 2,400 40,200
*Motor Club of America............................... 700 9,669
Movado Group, Inc.................................... 1,500 33,563
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Movie Gallery, Inc.................................. 10,000 $ 65,625
*Moviefone, Inc. Class A............................. 2,200 15,538
Mueller (Paul) Co.................................... 2,200 78,375
*Mueller Industries, Inc............................. 14,200 566,225
*Multi Color Corp.................................... 1,000 6,375
*#Multicare Companies, Inc........................... 15,100 375,613
*Musicland Stores Corp............................... 17,100 34,200
*Mutual Savings Bank FSB Bay City, MI................ 1,700 13,919
*Mycogen Corp........................................ 16,900 395,038
Myers Industries, Inc................................ 8,500 148,750
*Mylex Corp.......................................... 10,500 105,656
*Mysoftware Co....................................... 1,000 2,125
*N & F Worldwide Corp................................ 1,500 11,625
*NAB Asset Corp...................................... 150 450
NAB Asset Corp. Liquidating Trust.................... 200 60
*NABI, Inc........................................... 17,300 122,181
NAC RE Corp.......................................... 3,500 139,563
*NAI Technologies, Inc............................... 4,087 21,968
NBT Bancorp.......................................... 3,446 71,505
*NBTY, Inc........................................... 9,300 216,225
NCH Corp............................................. 3,900 253,988
*NCI Building Systems, Inc........................... 4,800 138,900
NL Industries, Inc................................... 25,600 326,400
NN Ball & Roller, Inc................................ 10,800 128,250
*NPC International, Inc.............................. 12,300 144,525
*NPS Pharmaceuticals, Inc............................ 7,200 74,700
*NS Group, Inc....................................... 6,900 48,300
*NSA International, Inc.............................. 2,400 4,350
NSC Corp............................................. 5,700 10,331
*NTL, Inc............................................ 5,000 114,063
*#NTN Communications, Inc............................ 12,400 34,875
NUI Corp............................................. 5,500 120,313
NYMAGIC, Inc......................................... 7,600 147,250
Nacco Industries, Inc. Class A....................... 4,050 206,044
*Nanometrics, Inc.................................... 4,000 28,125
*Nantucket Industries, Inc........................... 1,200 1,800
*Napco Security Systems, Inc......................... 4,850 24,553
Nash Finch Co........................................ 4,700 92,825
*Nashua Corp......................................... 3,800 44,175
*Nathans Famous, Inc................................. 1,900 5,819
*National Auto Credit, Inc........................... 18,560 180,960
National Bancorp of Alaska, Inc...................... 2,200 174,350
*National Beverage Corp.............................. 9,200 105,225
*National City Bancorp............................... 3,590 74,052
National City Bankshares, Inc........................ 3,252 119,308
National Computer Systems, Inc....................... 7,600 193,800
*National Dentex Corp................................ 3,000 51,750
*National Education Corp............................. 17,800 373,800
*National Energy Group, Inc.......................... 17,670 56,323
National Gas & Oil Co................................ 6,652 58,621
*National Home Centers, Inc.......................... 3,000 5,344
*National Home Health Care Corp...................... 1,054 6,192
*National Instruments Corp........................... 1,500 49,406
National Insurance Group............................. 2,600 18,038
*National Media Corp................................. 11,700 86,288
*National Mercantile Bancorp......................... 200 300
*National Patent Development Corp.................... 6,580 48,116
National Penn Bancshares, Inc........................ 2,525 75,119
*National Picture and Frame Co....................... 4,500 49,219
National Presto Industries, Inc...................... 3,700 139,675
*National Record Mart, Inc........................... 1,900 2,939
</TABLE>
108
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*National RV Holdings, Inc........................... 3,100 $ 47,081
National Sanitary Supply Co.......................... 200 2,725
*National Standard Co................................ 6,500 45,500
*National Steel Corp. Class B........................ 10,500 141,750
National Technical Systems, Inc...................... 3,400 13,069
*National Techteam, Inc.............................. 7,400 182,225
*National Vision Association, Ltd.................... 10,200 52,913
*National Western Life Insurance Co. Class A......... 1,000 88,625
*Natural Alternatives International, Inc............. 3,400 24,438
*Natural Microsystems Corp........................... 5,000 122,813
*Natural Wonders, Inc................................ 3,000 13,031
Natures Sunshine Products, Inc....................... 10,159 170,163
*Navarre Corp........................................ 3,400 9,456
*Navigators Group, Inc............................... 3,200 55,800
Nelson (Thomas), Inc................................. 8,600 89,225
*Neogen Corp......................................... 2,700 19,406
*Neoprobe Corp....................................... 10,300 154,500
*Neorx Corp.......................................... 9,125 39,352
*Neose Technologies, Inc............................. 1,200 15,675
*Netcom On-Line Communication Services, Inc.......... 2,900 41,144
*Netframe Systems, Inc............................... 6,900 7,331
*Netmanage, Inc...................................... 22,500 78,750
*Netrix Corp......................................... 4,700 9,547
*Network Computing Devices, Inc...................... 8,400 107,100
*Network Equipment Technologies, Inc................. 10,400 179,400
*Network Imaging Corp................................ 11,600 23,381
*Network Peripherals, Inc............................ 6,000 57,938
*Network Six, Inc.................................... 275 438
*Neurex Co........................................... 10,400 151,450
*Neurobiological Technologies, Inc................... 800 1,825
*Neurogen Corp....................................... 7,100 134,013
*Neuromedical Systems, Inc........................... 10,200 67,894
*New Brunswick Scientific Co., Inc................... 2,541 17,628
New England Business Services, Inc................... 6,500 189,313
New England Community Bancorp, Inc. Class A.......... 1,200 19,725
New Hampsire Thrift BancShares, Inc.................. 200 2,963
*New Horizons Worldwide, Inc......................... 3,400 33,575
New Jersey Resources Corp............................ 9,100 283,238
*New Jersey Steel Corp............................... 2,300 15,238
*New Mexico & Arizona Land Co........................ 1,700 24,650
*New World Power Corp................................ 1,000 297
New York Bancorp, Inc................................ 8,500 278,375
Newcor, Inc.......................................... 2,300 19,406
Newmil Bancorp, Inc.................................. 3,500 34,125
*Newpark Resources, Inc.............................. 6,500 341,250
#Newport Corp........................................ 6,800 80,325
*Nexstar Pharmaceuticals, Inc........................ 4,396 46,982
*Nexthealth, Inc..................................... 3,400 6,163
*Nichols Research Corp............................... 5,450 104,913
Nitches, Inc......................................... 785 4,367
*Nobility Homes...................................... 1,500 18,938
*Noel Group, Inc..................................... 8,000 29,750
Noland Co............................................ 200 4,875
*Noodle Kidoodle, Inc................................ 3,800 13,775
*Nord Resources Corp................................. 10,400 29,900
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Norland Medical System, Inc......................... 400 $ 3,475
Norrell Corp......................................... 6,500 209,625
*Norstan, Inc........................................ 4,600 68,425
*Nortek, Inc......................................... 5,000 116,250
North American Mortgage Co........................... 7,000 140,875
North Carolina Natural Gas Corp...................... 3,200 98,800
Northern Technologies International.................. 1,700 14,344
*Northfield Laboratories, Inc........................ 7,000 69,125
#Northland Cranberries, Inc. Class A................. 7,100 91,856
*Northstar Health Services, Inc...................... 1,000 2,313
Northwest Natural Gas Co............................. 11,250 272,109
*Northwest Teleproductions, Inc...................... 200 788
Northwestern Public Service Co....................... 9,000 176,625
*Northwestern Steel & Wire Co........................ 17,500 42,109
*Norton McNaughton, Inc.............................. 6,000 31,125
Norwest Corp......................................... 0 1
Norwich Financial Corp............................... 2,400 47,400
*Norwood Promotional Products, Inc................... 2,200 32,038
*Novacare, Inc....................................... 32,900 415,363
*Novadigm, Inc....................................... 3,100 16,469
*Novametrix Medical Systems, Inc..................... 6,100 32,597
*Novavax, Inc........................................ 8,700 32,081
*Noven Pharmaceuticals, Inc.......................... 9,900 77,344
*Novitron International, Inc......................... 1,300 3,088
*Nu Horizons Electronics Corp........................ 4,400 38,225
*Nu-Kote Holding, Inc. Class A....................... 17,600 46,200
*Nuclear Metals, Inc................................. 13,000 212,063
*Numar Corp.......................................... 4,100 80,463
Numerex Corp. Class A................................ 2,000 9,938
*Nutramax Products, Inc.............................. 3,300 38,569
*Nview Corp.......................................... 3,000 7,031
*O'Charleys, Inc..................................... 4,100 57,656
*O'Reilly Automotive, Inc............................ 5,200 187,200
O'Sullivan Corp...................................... 9,400 84,600
*O'Sullivan Industries Holdings, Inc................. 8,400 131,250
*O.I. Corp........................................... 1,600 7,400
*#ODS Networks, Inc.................................. 8,200 132,738
*OEC Medical Systems, Inc............................ 6,600 110,550
*OHM Corp............................................ 13,500 108,000
OM Group, Inc........................................ 9,300 292,950
*OMI Corp............................................ 21,300 205,013
*OTR Express, Inc.................................... 200 800
*Oacis Healthcare Holdings Corp...................... 3,500 19,906
*Oak Hill Sportswear Corp............................ 800 1,175
*Oak Industries, Inc................................. 9,200 227,700
*Oak Technology, Inc................................. 10,000 94,375
*Oceaneering International, Inc...................... 11,900 202,300
*Odetics, Inc. Class A............................... 300 3,600
*#Odwalla, Inc....................................... 2,500 32,969
*Offshore Logistics, Inc............................. 9,800 177,013
Oglebay Norton Co.................................... 2,200 96,800
Oil-Dri Corp. of America............................. 4,000 61,500
*Old America Stores, Inc............................. 1,800 7,538
*Old Dominion Freight Lines, Inc..................... 7,200 91,800
*Olympic Steel, Inc.................................. 10,000 165,000
*Omega Environmental, Inc............................ 18,065 8,468
Omega Financial Corp................................. 3,150 103,950
*#Omni Multimedia Group, Inc......................... 1,500 1,688
*On Assignment, Inc.................................. 2,600 98,800
*On Technology Corp.................................. 1,700 6,056
OnbanCorp, Inc....................................... 6,200 291,788
*Oncogene Science, Inc............................... 12,600 80,325
</TABLE>
109
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Oncor, Inc.......................................... 11,800 $ 47,200
*One Price Clothing Stores, Inc...................... 5,200 22,100
Oneida, Ltd.......................................... 4,900 116,988
*Oneita Industries, Inc.............................. 2,700 2,194
*Onyx Acceptance Corp................................ 200 1,575
*Opinion Research Corp............................... 1,700 6,428
*Opta Food Ingredients, Inc.......................... 9,000 70,313
*Opti, Inc........................................... 6,300 32,878
Optical Coating Laboratory, Inc...................... 6,900 72,450
*Option Care, Inc.................................... 5,300 32,794
Orange & Rockland Utilities, Inc..................... 6,800 215,900
Orange Co., Inc...................................... 4,800 37,200
*Oravax, Inc......................................... 2,300 7,188
*Orbit International Corp............................ 2,400 4,575
*Orbital Sciences Corp............................... 16,900 279,906
*Orcad, Inc.......................................... 300 2,756
*Oregon Metallurgical Corp........................... 8,500 218,875
Oregon Steel Mills, Inc.............................. 12,800 240,000
*#Organogenesis, Inc................................. 8,875 166,406
*Oriole Homes Corp. Class A Convertible.............. 800 5,900
*Oriole Homes Corp. Class B.......................... 1,000 7,000
*Oroamerica, Inc..................................... 2,500 12,188
*Orphan Medical, Inc................................. 285 1,692
*Ortel Corp.......................................... 5,500 75,625
*#Orthodontic Centers of America, Inc................ 4,400 73,425
*Orthologic Corp..................................... 14,800 87,875
Oshkosh B'Gosh, Inc. Class A......................... 6,200 106,175
Oshkosh B'Gosh, Inc. Class B......................... 600 11,775
Oshkosh Truck Corp. Class B.......................... 3,800 51,775
*Oshman's Sporting Goods, Inc........................ 2,900 13,503
*Osmonics, Inc....................................... 7,100 116,263
*Osteotech, Inc...................................... 3,900 35,100
*#Ostex International, Inc........................... 7,100 14,422
Otter Tail Power Co.................................. 5,600 170,800
Outboard Marine Corp................................. 17,900 264,025
*Outlook Group Corp.................................. 1,800 8,100
Overseas Shipholding Group, Inc...................... 11,200 211,400
Owens & Minor, Inc................................... 16,000 202,000
Owosso Corp.......................................... 3,600 27,675
Oxford Industries, Inc............................... 4,400 106,150
*Oxigene, Inc........................................ 2,300 76,475
*#Oxis International, Inc............................ 8,400 7,219
*P&F Industries, Inc. Class A........................ 1,300 7,109
*P-Com, Inc.......................................... 8,400 269,850
*PAM Transportation Services, Inc.................... 2,500 18,594
*PC Quote, Inc....................................... 3,600 4,725
PCA International, Inc............................... 3,400 62,475
*PDT, Inc............................................ 6,200 175,150
*#PHP Healthcare Corp................................ 5,200 78,650
*PICO Holdings, Inc.................................. 7,909 32,625
*PLM International, Inc.............................. 5,100 28,688
*PMR Corp............................................ 2,400 43,200
*PMT Services, Inc................................... 16,600 263,525
*PPT Vision, Inc..................................... 2,700 21,263
*PRI Automation, Inc................................. 7,200 276,300
PS Group Holdings, Inc............................... 3,000 39,000
*PSC, Inc............................................ 5,600 37,100
*PST Vans, Inc....................................... 1,300 3,819
PXRE Corp............................................ 7,820 211,140
*Pacific Crest Capital, Inc.......................... 1,060 13,250
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Pacific Scientific Co................................ 6,100 $ 81,588
*Pacific Sunwear of California, Inc.................. 4,000 145,500
*Pages, Inc.......................................... 1,700 3,028
*Palatin Technologies, Inc........................... 250 363
Palfed, Inc.......................................... 2,000 32,750
*Palm Harbor Homes, Inc.............................. 3,500 97,781
*Palmer (Arnold) Golf Co............................. 1,600 7,200
*Palmer Wireless, Inc. Class A....................... 1,300 20,719
*Pamida Holdings Corp................................ 4,000 11,500
Pamrapo Bancorp, Inc................................. 1,300 25,838
*Panaco, Inc......................................... 5,000 19,844
Pancho's Mexican Buffet, Inc......................... 5,000 8,750
*Par Technology Corp................................. 7,500 73,125
*Paracelsus Healthcare Corp.......................... 3,300 13,613
*Paragon Trade Brands, Inc........................... 6,100 98,363
*Parallel Petroleum Corp............................. 8,700 39,694
*Parcplace-Digitalk, Inc............................. 4,600 5,750
*Paris Corp.......................................... 200 375
Park Electrochemical Corp............................ 5,600 140,700
Park National Corp................................... 1,200 75,150
*Park-Ohio Industries, Inc........................... 6,634 85,827
*Parker Drilling Co.................................. 34,200 329,175
*#Parkervision, Inc.................................. 5,500 90,063
Parkvale Financial Corp.............................. 1,952 54,168
*Parlux Fragrances, Inc.............................. 8,100 22,275
*Patina Oil & Gas Corp............................... 3,134 27,423
Patrick Industries, Inc.............................. 3,000 42,188
*Patterson Dental Co................................. 10,200 349,350
*#Patterson Energy, Inc.............................. 2,370 85,024
*Paul Harris Stores, Inc............................. 6,300 110,250
*Paul-Son Gaming Corp................................ 1,000 13,563
*Paxar Corp.......................................... 29,932 576,191
*Paxson Communications Corp.......................... 24,300 246,038
*Payless Cashways, Inc............................... 15,900 25,838
*Peak Technologies Group, Inc........................ 4,600 82,513
*Pediatric Services of America, Inc.................. 3,500 69,344
Peerless Manufacturing Co............................ 200 2,038
*Penederm, Inc....................................... 3,600 40,050
Penn Engineering & Manufacturing Corp. Class A....... 600 13,688
Penn Engineering & Manufacturing Corp. Non-voting.... 7,500 148,125
*Penn National Gaming, Inc........................... 6,700 119,344
*#Penn Traffic Co.................................... 6,300 46,463
*Penn Treaty American Corp........................... 3,800 103,550
Penn Virginia Corp................................... 4,100 198,338
Penn-America Group, Inc.............................. 2,850 43,106
Pennfed Financial Services, Inc...................... 2,100 50,925
Pennsylvania Enterprises, Inc........................ 4,800 118,800
*Penske Motorsports, Inc............................. 600 19,050
*Pentech International, Inc.......................... 4,100 8,200
Penwest, Ltd......................................... 3,200 62,000
Peoples Bancorp...................................... 200 4,450
Peoples Bancshares, Inc. Massachusetts............... 1,000 13,000
*Peoples Choice TV Corp.............................. 6,350 8,930
Peoples Heritage Financial Group, Inc................ 10,800 356,400
Peoples Savings Financial Corp....................... 900 30,150
*Peoples Telephone Co., Inc.......................... 8,050 27,672
*Perceptron, Inc..................................... 3,550 99,622
*Performance Food Group Co........................... 5,800 119,625
</TABLE>
110
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Perfumania, Inc..................................... 3,900 $ 14,625
*Perini Corp......................................... 2,800 20,125
*Periphonics Corp.................................... 2,500 45,781
*Perseptive Biosystems, Inc.......................... 10,700 67,209
*Personnel Group of America, Inc..................... 10,800 328,050
*Petco Animal Supplies, Inc.......................... 9,304 249,464
*Petrocorp, Inc...................................... 4,300 37,088
*Petroleum Development Corp.......................... 5,200 25,756
Petroleum Heat & Power Co., Inc. Class A............. 11,500 41,688
Petrolite Corp....................................... 4,500 270,563
*#Pharmaceutical Marketing Services, Inc............. 6,600 65,588
*Pharmaceutical Products Development Service Co...... 3,600 69,525
*Pharmaceutical Resources, Inc....................... 10,800 28,350
*Pharmchem Laboratories, Inc......................... 3,300 13,509
*Pharmos Corp........................................ 6,200 9,300
Philadelphia Suburban Corp........................... 9,500 178,125
*Phildelphia Consolidated Holding Corp............... 2,000 68,250
Phillips-Van Heusen Corp............................. 13,500 189,000
Phoenix Duff & Phelps Corp........................... 22,100 165,750
*Phoenix Gold International, Inc..................... 1,000 5,438
*Phoenix Network, Inc................................ 10,200 20,400
*Phoenix Technologies, Ltd........................... 12,700 174,625
*Photo Control Corp.................................. 1,000 3,375
*#Photronics, Inc.................................... 5,900 262,919
*Physician Computer Network, Inc..................... 26,500 150,719
*Physician Corp. of America.......................... 15,200 107,350
*Physician Reliance Network, Inc..................... 10,000 87,813
*Physician Sales & Service, Inc...................... 17,900 257,313
*Physicians Health Services, Inc. Class A............ 2,800 74,200
Piccadilly Cafeterias, Inc........................... 5,300 54,988
*Picturetel Corp..................................... 16,800 208,950
Piedmont Natural Gas Co.............................. 9,600 234,000
Pier 1 Imports, Inc. DE.............................. 13,540 302,958
*Piercing Pagoda, Inc................................ 1,700 45,263
*Pilgrim America Capital Corp........................ 1,900 25,769
Pilgrim Pride Corp................................... 16,600 207,500
Pillowtex Corp....................................... 5,100 109,013
*Pinkertons, Inc..................................... 3,300 96,938
Pinnacle Financial Services, Inc..................... 900 23,963
*#Pinnacle Micro, Inc................................ 3,800 4,988
*Pinnacle Systems, Inc............................... 3,700 67,294
Pioneer Financial Services, Inc...................... 4,600 129,375
Pioneer Group, Inc................................... 12,500 311,719
Pioneer Standard Electronics, Inc.................... 21,900 266,906
Piper Jaffray Companies, Inc......................... 9,100 178,588
Pitt-Des Moines, Inc................................. 3,600 108,000
*Pittencrieff Communications, Inc.................... 14,400 58,950
Pittston Co. Burlington Group........................ 10,400 267,800
Pittston Co. Minerals Group.......................... 4,200 57,750
*Plains Resources, Inc............................... 8,300 118,275
*Planar Systems, Inc................................. 5,500 64,969
*Plantronics, Inc.................................... 3,200 140,400
Plasti-Line, Inc..................................... 800 8,250
*Platinum Software Corp.............................. 11,600 104,763
*Play By Play Toys and Novelties, Inc................ 1,200 18,900
*Playboy Enterprises, Inc. Class A................... 2,800 31,150
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Playboy Enterprises, Inc. Class B................... 7,800 $ 91,650
*Players International, Inc.......................... 15,550 59,770
*Playtex Products, Inc............................... 25,400 244,475
Plenum Publishing Corp............................... 1,500 54,938
*Plexus Corp......................................... 3,200 121,600
Ply-Gem Industries, Inc. DE.......................... 10,500 175,875
Poe & Brown, Inc..................................... 3,400 102,638
*Polk Audio, Inc..................................... 500 4,500
*Pollo Tropical, Inc................................. 4,100 26,394
*Polycom, Inc........................................ 2,400 9,300
*Polymedica Industries, Inc.......................... 3,700 22,200
*Polyphase Corp...................................... 6,600 13,200
*Pomeroy Computer Resource, Inc...................... 3,250 75,563
*Ponder Industries, Inc.............................. 2,700 2,236
*Pool Energy Services Co............................. 9,400 155,688
Pope & Talbot, Inc................................... 6,700 110,550
*Porta Systems Corp.................................. 880 1,650
Portec, Inc.......................................... 7,610 83,234
Portsmouth Bank Shares, Inc.......................... 2,948 44,957
*Positive Response Television, Inc. Escrow........... 1,400 0
*Positron Corp....................................... 1,400 1,838
*Possis Medical, Inc................................. 6,000 91,125
Poughkeepsie Savings Bank FSB NY..................... 6,300 41,738
*Powell Industries, Inc.............................. 5,300 80,163
*Pre-Paid Legal Services, Inc........................ 10,700 216,006
*Precision Standard, Inc............................. 3,800 4,394
*Premenos Technology Corp............................ 9,500 65,313
*Premier Laser Systems, Inc. Class A................. 900 10,631
*Premiere Radio Networks, Inc........................ 1,800 32,625
*Premiere Radio Networks, Inc. Class A............... 600 10,875
Premiumwear, Inc..................................... 800 4,900
Presidential Life Corp............................... 16,500 238,219
*Presley Companies Class A........................... 5,600 8,400
*Price Communications Corp........................... 4,600 35,650
Price Enterprises, Inc............................... 10,300 190,550
*Pride Petroleum Services, Inc....................... 11,300 250,013
Prima Energy Corp.................................... 2,400 39,300
*Primadonna Resorts, Inc............................. 15,000 329,063
*Primark Corp........................................ 900 21,375
Prime Bancorp, Inc................................... 1,465 33,146
*Prime Hospitality Corp.............................. 14,700 273,788
*Prime Medical Services, Inc......................... 9,500 106,875
Primesource Corp..................................... 2,581 18,874
*Printronix, Inc..................................... 3,925 53,969
*#Procept, Inc....................................... 5,000 2,969
*Procyte Corp........................................ 5,200 7,719
Production Operators Corp............................ 5,100 339,788
*Profit Recovery Group International, Inc............ 9,000 108,000
*Programmers Paradise, Inc........................... 1,200 9,825
Progress Financial Corp.............................. 1,000 8,938
*Progress Software Corp.............................. 6,300 109,069
Progressive Bank, Inc................................ 1,500 39,188
*Project Software & Development, Inc................. 6,800 130,900
*Pronet, Inc......................................... 5,800 18,488
*Protection One, Inc................................. 6,000 75,000
*Protein Design Labs, Inc............................ 7,400 232,638
</TABLE>
111
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Proteon, Inc........................................ 7,700 $ 19,491
*Protocol Systems, Inc............................... 5,900 44,619
Providence & Worcester Railroad Co................... 800 9,800
Providence Energy Corp............................... 5,300 92,750
*Provident American Corp............................. 8,500 43,031
Provident Bankshares Corp............................ 4,410 167,304
*Proxim, Inc......................................... 4,900 124,644
*Proxima Corp........................................ 6,300 29,925
*Psinet, Inc......................................... 9,300 70,331
Psychemedics Corp.................................... 10,800 81,675
Public Service Co. of North Carolina................. 9,600 181,200
Pulaski Furniture Corp............................... 1,300 22,100
*Pure Atria Corp..................................... 2,204 35,126
*Pure World, Inc..................................... 3,800 12,588
*Puretec Corp........................................ 10,000 15,469
*Q Logic Corp........................................ 2,800 66,150
*QMS, Inc............................................ 6,400 20,800
*Quad Systems Corp................................... 3,600 33,750
Quaker Chemical Corp................................. 4,300 70,413
*Quaker City Bancorp, Inc............................ 1,400 27,125
*Quaker Fabric Corp.................................. 4,000 64,500
Quaker State Corp.................................... 18,000 272,250
*Quality Dining, Inc................................. 8,400 48,563
*Quality Food Centers, Inc........................... 9,300 353,400
*Quality Semiconductor, Inc.......................... 3,200 31,200
*Quality Systems, Inc................................ 2,700 20,756
Quanex Corp.......................................... 6,300 171,675
*#Quarterdeck Office Systems, Inc.................... 32,300 87,311
Queens County Bancorp................................ 4,500 186,188
Quest Medical, Inc................................... 4,200 30,975
*Quickresponse Services, Inc......................... 4,200 159,075
*Quickturn Design Systems, Inc....................... 6,600 67,650
*Quidel Corp......................................... 10,600 39,088
*Quiksilver, Inc..................................... 3,500 94,719
*Quipp, Inc.......................................... 800 11,100
Quixote Corp......................................... 4,300 33,594
*R & B, Inc.......................................... 4,100 30,750
RCSB Financial, Inc.................................. 7,300 299,300
*RDM Sports Group, Inc............................... 16,900 21,125
*RF Monolithics, Inc................................. 2,300 33,925
RLI Corp............................................. 4,500 143,438
*RMI Titanium Co..................................... 10,100 234,825
*RPC, Inc............................................ 22,700 309,288
*Racotek, Inc........................................ 12,300 29,981
*Rag Shops, Inc...................................... 2,300 7,475
*Ragan (Brad), Inc................................... 3,800 89,775
*Railtex, Inc........................................ 6,600 121,275
*Rainbow Technologies, Inc........................... 3,700 59,431
*Ralcorp Holdings, Inc............................... 10,000 121,250
*#Rally's Hamburgers, Inc............................ 18,300 51,469
Ramapo Financial Corp................................ 4,000 23,625
*Ramsay Health Care, Inc............................. 4,200 13,519
*Ramtron International Corp.......................... 18,300 92,072
*Rare Hospitality International, Inc................. 5,781 90,328
Raritan Bancorp, Inc. DE............................. 200 6,025
Raven Industries, Inc................................ 2,100 49,088
*Rawlings Sporting Goods, Inc........................ 3,800 32,775
Raymond Corp......................................... 4,035 131,138
Raymond James Financial, Inc......................... 15,600 429,000
*Reading Entertainment, Inc.......................... 2,000 23,125
*Recoton Corp........................................ 5,666 70,825
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Recovery Engineering, Inc........................... 1,600 $ 23,100
*#Redhook Ale Brewery, Inc........................... 2,000 14,750
*Redwood Empire Bancorp.............................. 900 11,813
*Reeds Jewelers, Inc................................. 220 1,540
Refac Technology Development Corp.................... 7,000 47,688
Regal Beloit Corp.................................... 10,300 274,238
*Regency Health Services, Inc........................ 8,400 102,900
*Regeneron Pharmaceuticals, Inc...................... 10,500 108,938
Regis Corp........................................... 11,270 240,192
*Rehabcare Group, Inc................................ 2,300 79,925
*Rehabilicare, Inc................................... 1,800 6,300
*Reliability, Inc.................................... 1,600 24,200
Reliance Steel and Aluminum Co....................... 5,200 188,500
Reliv International, Inc............................. 4,950 33,103
*Renal Treatment Centers, Inc........................ 12,200 350,750
*#Reno Air, Inc...................................... 5,200 40,950
*#Rent-Way, Inc...................................... 1,000 12,313
*Rentrak Corp........................................ 6,600 22,378
*Repligen Corp....................................... 6,100 7,530
*Reptron Electronics, Inc............................ 3,200 65,800
*Republic Automotive Parts, Inc...................... 1,300 20,881
Republic Bancorp, Inc................................ 7,800 101,400
*Republic Engineered Steels, Inc..................... 7,800 11,213
Republic Group, Inc.................................. 5,830 96,195
Republic Security Financial Corp..................... 3,900 30,713
*Res-Care, Inc....................................... 4,800 93,900
*Resound Corp........................................ 9,700 47,288
Resource America, Inc................................ 1,800 39,150
Resource Bancshares Mortgage Group, Inc.............. 13,986 210,664
*Respironics, Inc.................................... 9,900 199,238
*#Response Oncology, Inc............................. 4,800 33,600
*Retirement Care Association, Inc.................... 6,700 67,838
*Retix, Inc.......................................... 12,400 67,038
*Rex Stores Corp..................................... 5,000 51,250
*Rexel, Inc.......................................... 12,800 233,600
Rexene Corp.......................................... 7,400 110,075
*Rexhall Industries, Inc............................. 1,102 6,405
*Rexworks, Inc....................................... 1,000 3,625
*Ribi Immunochem Research, Inc....................... 16,400 70,725
*Riddell Sports, Inc................................. 4,055 19,008
*#Ride, Inc.......................................... 5,400 18,900
Riggs National Corp.................................. 15,200 279,300
*Right Management Consultants, Inc................... 3,300 34,444
*Right Start, Inc.................................... 5,200 16,250
*Rightchoice Managed Care, Inc. Class A.............. 1,400 16,450
*Rimage Corp......................................... 2,000 5,875
*Ringer Corp......................................... 6,500 9,445
*Rio Hotel & Casino, Inc............................. 10,600 155,025
Riser Foods, Inc. Class A............................ 4,400 183,425
Rival Co............................................. 4,900 68,906
*River Oaks Furniture, Inc........................... 2,400 4,725
Riverside Group, Inc................................. 1,000 2,188
Rivianna Foods, Inc.................................. 7,900 153,556
*Riviera Holdings Corporation........................ 2,500 33,594
Roanoke Electric Steel Corp.......................... 3,800 62,225
Robbins & Myers, Inc................................. 6,800 232,900
*Roberds, Inc........................................ 2,500 13,438
*Roberts Pharmaceutical Corp......................... 11,100 137,363
</TABLE>
112
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Robertson-Ceco Corp................................. 8,018 $ 65,647
Robinson Nugent, Inc................................. 1,900 10,925
*Robotic Vision Systems, Inc......................... 9,500 109,844
*Rochester Medical Corp.............................. 2,100 27,563
*Rock Bottom Restaurants, Inc........................ 4,000 43,000
Rock-Tenn Co. Class A................................ 19,600 296,450
*Rocky Mountain Chocolate Factory.................... 1,500 6,375
*Rocky Shoes & Boots, Inc............................ 2,000 26,750
*Rodman & Renshaw Capital Group, Inc................. 1,300 650
*Rogers Corp......................................... 10,000 330,000
*Rohr, Inc........................................... 12,600 266,175
Rollins Truck Leasing Corp........................... 21,400 294,250
Roper Industries, Inc................................ 10,800 530,550
*Ross Systems, Inc................................... 9,300 34,003
*Rotech Medical Corp................................. 12,700 216,694
Rotonics Manufacturing, Inc.......................... 2,500 3,594
*Rottlund, Inc....................................... 2,300 10,638
Rouge Steel Co. Class A.............................. 11,500 169,625
Rowe Furniture Corp.................................. 12,200 96,075
*Royal Appliance Manufacturing Co.................... 12,000 85,500
Royal Bancshares of Pennsylvania Class A............. 2,548 33,920
*Royal Grip, Inc..................................... 1,100 4,056
*Ruby Tuesday, Inc................................... 8,000 172,000
Ruddick Corp......................................... 18,600 281,325
*Rural/Metro Corp.................................... 5,700 182,400
Russ Berrie & Co., Inc............................... 11,900 246,925
Ryan Beck & Co....................................... 210 945
*Ryans Family Steak Houses, Inc...................... 25,500 232,688
Rykoff-Sexton, Inc................................... 18,100 346,163
Ryland Group, Inc.................................... 11,600 150,800
*S&K Famous Brands, Inc.............................. 2,500 26,094
S&T Bancorp, Inc..................................... 4,900 175,175
*S3, Inc............................................. 12,000 146,250
*SABA Petroleum Co................................... 4,600 71,300
*SBE, Inc............................................ 900 6,413
*SBS Technologies, Inc............................... 3,500 64,313
SC Bancorp........................................... 2,000 25,375
*SDL, Inc............................................ 8,100 163,013
SEI Investments Co................................... 9,200 206,425
SEMCO Energy, Inc.................................... 5,721 99,402
*SFX Broadcasting, Inc. Class A...................... 3,200 103,200
SI Handling, Inc..................................... 1,050 19,622
*SIS Bancorp, Inc.................................... 1,200 33,975
SJNB Financial Corp.................................. 1,300 31,281
SJW Corp............................................. 1,600 86,000
SL Industries, Inc................................... 9,200 78,200
*SLH Corp............................................ 875 48,344
*SMC Corp............................................ 3,300 27,638
*SMT Health Services, Inc............................ 1,677 18,028
*SOS Staffing Services, Inc.......................... 1,200 16,050
*SPS Technologies, Inc............................... 3,000 220,500
*SPS Transaction Service, Inc........................ 13,600 261,800
*SPSS, Inc........................................... 3,700 117,475
SPX Corp............................................. 7,300 435,263
*SSE Telecom, Inc.................................... 3,500 24,063
*STB Systems, Inc.................................... 2,300 73,888
*STM Wireless, Inc. Class A.......................... 2,900 22,113
*Safeguard Health Enterprises, Inc................... 4,400 51,700
*Safeskin Corp....................................... 12,700 322,263
*Safety 1st, Inc..................................... 4,400 28,875
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Safety Components International, Inc................ 2,600 $ 26,000
*Saga Communications, Inc. Class A................... 3,476 63,872
*Saint Jude Medical, Inc............................. 4,950 167,681
*Salant Corp. DE..................................... 6,500 22,750
Salient 3 Communications, Inc. Class A............... 2,400 30,150
*Salton/Maxim Housewares, Inc........................ 6,100 46,894
*San Filippo (John B.) & Son, Inc.................... 5,000 30,625
*San Francisco Co. Class A........................... 400 140
Sanderson Farms, Inc................................. 7,200 107,550
*Sands Regent Casino Hotel........................... 2,000 4,375
Sandwich Co-Operative Bank MA........................ 900 27,563
*Sangstat Medical Corp............................... 6,600 163,763
*Santa Cruz Operation, Inc........................... 18,700 82,397
*Santa Fe Gaming Corp................................ 2,400 1,950
Santa Monica Bank CA................................. 3,500 63,875
*Satcon Technology Corp.............................. 4,000 38,750
Savannah Foods & Industries, Inc..................... 13,100 204,688
Sbarro, Inc.......................................... 10,200 298,350
*Scan-Optics, Inc.................................... 14,900 76,363
*ScanSource, Inc..................................... 1,600 23,100
Schawk, Inc. Class A................................. 6,200 53,475
*Schieb (Earl), Inc.................................. 1,700 11,475
*Scholastic Corp..................................... 4,600 135,413
*Schuler Homes, Inc.................................. 10,100 57,444
Schult Homes Corp.................................... 1,320 22,935
Schultz Sav-O Stores, Inc............................ 1,700 29,325
*Sciclone Pharmaceuticals, Inc....................... 8,800 60,363
*Scientific Games Holdings Corp...................... 8,600 210,700
Scientific Technologies, Inc......................... 4,100 33,313
*Scios-Nova, Inc..................................... 17,987 113,543
Scope Industries, Inc................................ 3,500 182,000
*#Score Board, Inc................................... 3,400 3,613
Scotsman Industries, Inc............................. 4,900 130,463
*Scott's Liquid Gold, Inc............................ 4,000 10,000
*Scotts Co. Class A.................................. 9,600 280,800
Seacoast Banking Corp. Class A....................... 1,500 39,750
Seafield Capital Corp................................ 3,500 114,625
Sealright Co., Inc................................... 5,400 63,788
*Seattle Filmworks, Inc.............................. 8,100 95,175
Seaway Food Town, Inc................................ 400 9,100
*Secom General Corp.................................. 700 1,925
Second Bancorp, Inc.................................. 600 12,900
Security Capital Corp................................ 600 55,125
Security Connecticut Corp............................ 4,300 209,088
*Security First Corp................................. 200 4,325
*Seda Specialty Packaging Corp....................... 2,000 39,250
*Seeq Technology, Inc. DE............................ 16,600 40,722
*Segue Software, Inc................................. 3,500 35,219
*Seitel, Inc......................................... 5,000 185,625
Selas Corp. of America............................... 1,300 21,125
Selective Insurance Group, Inc....................... 7,300 324,394
*Semiconductor Packaging Materials Co., Inc.......... 3,000 28,688
*Semitool, Inc....................................... 6,400 79,600
*Semtech Corp........................................ 3,000 94,500
*Seneca Foods Corp. Class A.......................... 200 3,563
*Seneca Foods Corp. Class B.......................... 1,100 19,525
*Sentry Technology Corp.............................. 1,829 5,487
*Sepracor, Inc....................................... 12,800 312,800
*Sequa Corp. Class A................................. 2,600 126,750
</TABLE>
113
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Sequa Corp. Class B................................. 1,700 $ 93,500
*Sequana Therapeutics, Inc........................... 8,000 96,000
*Sequent Computer Systems, Inc....................... 16,800 282,450
*Sequus Pharmaceuticals, Inc......................... 24,100 169,453
*Seragen, Inc........................................ 8,300 12,191
*Serv-Tech, Inc...................................... 2,600 14,300
*Service Merchandise Co., Inc........................ 49,800 161,850
*Servico, Inc........................................ 8,400 124,950
*Servotronics, Inc................................... 900 4,781
Sevenson Environmental Services, Inc................. 1,300 23,725
*Shaman Pharmaceuticals.............................. 6,900 39,675
*Shared Technologies Fairchild, Inc.................. 7,600 39,425
*Sharper Image Corp.................................. 5,900 21,388
*Shaw Group, Inc..................................... 5,800 100,775
*Sheffield Medical Technologies, Inc................. 5,400 14,850
Shelby Williams Industries, Inc...................... 4,400 57,200
*Sheldahl, Inc....................................... 6,900 147,488
Shelter Components, Inc.............................. 3,800 46,075
*Sheridan Healthcare, Inc............................ 400 3,475
*Sherwood Group, Inc................................. 6,500 80,438
*Shiloh Industries, Inc.............................. 6,500 108,875
*#Shiva Corp......................................... 19,300 247,281
*Shoe Carnival, Inc.................................. 5,800 44,588
*Sholodge, Inc....................................... 3,600 49,050
*Shoney's, Inc....................................... 24,200 136,125
Shopko Stores, Inc................................... 19,400 458,325
Shoreline Financial Corp............................. 1,764 48,069
*Shorewood Packaging Corp............................ 9,200 188,025
*Show Biz Pizza Time, Inc............................ 7,200 162,900
Showboat, Inc........................................ 8,800 173,800
*Showscan Entertainment, Inc......................... 2,800 6,650
*Shuffle Master, Inc................................. 5,600 47,950
*Sierra Health Services, Inc......................... 8,900 277,013
*Sierra Semiconductor Corp........................... 14,300 344,094
Sierrawest Bancorp................................... 1,400 29,138
Sifco Industries, Inc................................ 7,000 101,500
Sigcorp, Inc......................................... 11,850 299,213
*Sight Resource Corp................................. 4,000 15,750
*Sigma Circuits, Inc................................. 1,500 6,188
*Sigma Designs, Inc.................................. 5,200 28,925
*Sigmatron International, Inc........................ 1,400 21,788
*#Signal Apparel Co., Inc. Class A................... 6,200 7,750
*Signal Technology Corp.............................. 2,700 19,913
*Signature Brands USA, Inc........................... 6,100 22,303
*Silicon Storage Technology, Inc..................... 3,500 12,688
*Silicon Valley Bancshares........................... 4,700 183,888
*Silicon Valley Group, Inc........................... 13,000 310,375
*Siliconix, Inc...................................... 4,000 97,250
*#Silverado Foods, Inc............................... 2,400 2,850
Simmons First National Corp. Class A................. 1,650 45,375
Simpson Industries, Inc.............................. 9,450 96,272
*#Simula, Inc........................................ 4,950 88,481
*Sinclair Broadcast Group, Inc. Class A.............. 1,300 32,500
*Sinter Metals, Inc. Class A......................... 2,000 73,750
*Sirena Apparel Group, Inc........................... 2,100 7,481
*Sizzler International, Inc.......................... 11,500 27,313
Skaneateles Bancorp, Inc............................. 600 11,325
Skyline Corp......................................... 5,100 125,588
Skywest, Inc......................................... 5,000 74,688
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Sloan Supermarket, Inc.............................. 1,200 $ 2,775
Smart & Final Food, Inc.............................. 10,200 218,025
Smith (A.O.) Corp.................................... 8,500 312,375
Smith (A.O.) Corp. Convertible Class A............... 2,400 88,050
*Smithfield Foods, Inc............................... 9,000 492,188
*Smiths Food & Drug Centers, Inc. Class B............ 6,000 283,500
Smucker (J.M.) Co. Class A........................... 7,200 139,500
Smucker (J.M.) Co. Class B........................... 13,000 242,125
Snyder Oil Corp...................................... 15,600 284,700
*Sodak Gaming, Inc................................... 11,400 166,013
*Softech, Inc........................................ 1,600 5,350
*Softnet Systems, Inc................................ 3,236 20,630
*#Software Spectrum, Inc............................. 1,900 26,363
*Somatix Therapies Corp.............................. 11,600 25,013
*#Somatogen, Inc..................................... 10,400 56,225
Somerset Group, Inc.................................. 312 4,563
*Sonic Corp.......................................... 6,600 114,675
*Sonic Solutions..................................... 3,300 19,800
*Sound Advice, Inc................................... 1,422 2,222
South Jersey Industries, Inc......................... 5,348 119,662
Southdown, Inc....................................... 8,600 347,225
Southern California Water Co......................... 3,000 69,750
*Southern Electronics Corp........................... 3,550 36,388
*Southern Energy Homes, Inc.......................... 7,175 78,925
*Southern Union Co................................... 6,785 160,296
*Southwall Technologies, Inc......................... 3,200 22,000
Southwest Bancorp, Inc............................... 1,500 32,813
Southwest Bancshares, Inc. DE........................ 1,350 26,494
Southwest Gas Corp................................... 13,300 227,763
Southwest National Corp.............................. 200 8,625
Southwest Securities Group, Inc...................... 4,400 70,950
Southwest Water Co................................... 2,080 26,780
Southwestern Energy Co............................... 12,400 164,300
Sovereign Bancorp, Inc............................... 28,076 370,252
*Spacehab, Inc....................................... 1,000 6,813
*Spacelabs Medical, Inc.............................. 5,000 111,875
*Spaghetti Warehouse, Inc............................ 2,800 14,175
Span-American Medical System, Inc.................... 1,700 8,713
Spartan Motors, Inc.................................. 6,200 46,500
Spartech Corp........................................ 13,200 166,650
*Sparton Corp........................................ 5,100 44,625
*Special Devices, Inc................................ 3,800 69,113
*Specialty Chemical Resources, Inc................... 1,500 3,000
*Specialty Equipment Co., Inc........................ 8,700 118,538
*Specialty Teleconstructors, Inc..................... 1,000 10,813
*Spectran Corp....................................... 2,400 44,400
*Spectranetics Corp.................................. 11,702 28,158
*Spectrian Corp...................................... 4,100 90,713
*Spectrum Control, Inc............................... 5,400 20,925
*Spectrum Holobyte, Inc.............................. 13,500 84,375
*Speedfam International, Inc......................... 6,300 229,556
*Speizman Industries, Inc............................ 1,200 6,450
*Spelling Entertainment Group, Inc................... 12,000 81,000
*Spice Entertainment Companies, Inc.................. 6,500 17,063
*Spine-Tech, Inc..................................... 2,500 86,719
*Spire Corp.......................................... 3,200 16,000
*Sport Chalet, Inc................................... 1,400 3,938
*Sport Supply Group, Inc............................. 4,200 27,300
*Sport-Haley, Inc.................................... 2,200 41,525
</TABLE>
114
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Sportmart, Inc..................................... 2,100 $ 5,644
*Sportmart, Inc. Class A............................. 2,000 4,344
*Sports Authority, Inc............................... 15,700 282,600
*Sports Club Co., Inc................................ 5,700 28,500
*Springs Industries, Inc. Class A.................... 3,200 162,000
*#Spyglass, Inc...................................... 2,000 18,750
St. Francis Capital Corp............................. 2,900 87,000
St. Joseph Light & Power Co.......................... 54,400 870,400
St. Mary Land & Exploration Co....................... 4,400 139,700
St. Paul Bancorp, Inc................................ 11,025 347,288
*Staar Surgical Co................................... 6,500 85,719
*#Stac, Inc.......................................... 15,300 65,025
*Staff Builders, Inc. Class A........................ 13,300 26,600
*Stage II Apparel Corp............................... 1,700 3,081
*Standard Commercial Corp............................ 4,730 79,816
*Standard Management Corp............................ 2,100 12,075
*Standard Microsystems Corp.......................... 6,900 61,238
Standard Motor Products, Inc. Class A................ 6,600 90,750
Standard Pacific Corp. DE............................ 15,000 153,750
Standard Products Co................................. 8,400 208,950
Standex International Corp........................... 6,700 182,575
*Stanford Telecommunications, Inc.................... 13,800 225,975
Stanhome, Inc........................................ 8,900 279,238
*Stanley Furniture, Inc.............................. 1,800 31,725
*Star Multi Care Services, Inc....................... 1,885 8,365
*Starcraft Corp...................................... 1,300 3,656
Starret Corp......................................... 3,300 33,000
Starrett (L.S.) Co. Class A.......................... 3,500 104,125
*Starter Corp........................................ 13,900 62,550
State Auto Financial Corp............................ 7,500 144,375
State Financial Services Corp. Class A............... 1,560 32,955
*State of the Art, Inc............................... 5,600 63,350
*Station Casinos, Inc................................ 17,700 157,088
*Steck-Vaughn Publishing Corp........................ 1,700 22,844
*Steel of West Virginia, Inc......................... 4,400 42,900
Steel Technologies, Inc.............................. 6,000 62,625
*Stein Mart, Inc..................................... 11,400 343,425
Stepan Co............................................ 4,000 78,500
Stephan Co........................................... 1,600 14,800
Sterling Bancorp..................................... 3,700 69,375
Sterling Bancshares.................................. 4,725 72,647
*Sterling Electronics Corp........................... 2,600 31,200
*Sterling Financial Corp. WA......................... 2,720 49,640
*Sterling House Corp................................. 1,900 29,213
*Stevens International, Inc. Class A................. 4,000 5,000
Stewart Information Services Corp.................... 2,700 52,819
Stifel Financial Corp................................ 2,364 18,617
*Stillwater Mining Co................................ 5,000 115,938
*Stimsonite Corp..................................... 5,900 34,478
*Stokely USA, Inc.................................... 4,400 4,744
Stone & Webster, Inc................................. 6,400 274,400
*Stone Energy Corp................................... 7,300 204,400
*Storage Computer Corp............................... 2,100 28,613
*Strategic Diagnostics, Inc.......................... 1,000 1,500
*Strategic Distribution, Inc......................... 26,792 105,494
*Stratus Computer, Inc............................... 5,000 228,750
Strawbridge & Clothier Class A....................... 4,200 70,088
Stride Rite Corp..................................... 24,500 373,625
*Strouds, Inc........................................ 7,200 14,400
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Structural Dynamics Research Corp................... 2,400 $ 58,500
*Struthers Industries, Inc........................... 1,997 936
*Stuart Entertainment, Inc........................... 2,700 8,269
Student Loan Corp.................................... 5,600 214,200
Sturm Ruger & Co., Inc............................... 13,500 254,813
*#Submicron Systems Corp............................. 8,400 21,525
*Substance Abuse Technologies, Inc................... 17,700 23,231
*Successories, Inc................................... 2,600 15,600
Suffolk Bancorp...................................... 2,000 49,250
*Sugen, Inc.......................................... 8,500 105,719
*Sulcus Computer Corp................................ 6,285 10,999
Sullivan Dental Products, Inc........................ 4,800 74,700
Sumitomo Bank of California.......................... 8,200 230,625
*Summa Four, Inc..................................... 3,000 23,250
Summit Bancshares, Inc............................... 1,000 25,750
*Summit Care Corp.................................... 3,400 41,225
*Summit Technology, Inc.............................. 12,300 94,556
*Summitt Medical Systems, Inc........................ 7,700 20,694
*Sun Coast Industries, Inc........................... 3,200 10,800
*Sun Healthcare Group, Inc........................... 17,100 286,425
Sun Television and Appliances, Inc................... 10,400 21,450
*Sunair Electronics, Inc............................. 3,000 5,625
*Sunbelt Nursery Group, Inc.......................... 2,600 2,763
*Sundance Homes, Inc................................. 3,000 6,750
*Sunglass Hut International, Inc..................... 27,100 184,619
*Sunrise Medical, Inc................................ 9,400 121,025
*Sunrise Resources, Inc.............................. 2,800 10,150
*Superconductor Technologies, Inc.................... 3,000 10,500
*#Superior Energy Services, Inc...................... 7,000 34,563
Superior Surgical Manufacturing Co., Inc............. 9,900 113,850
*Supertex, Inc....................................... 26,500 395,844
*Suprema Specialties, Inc............................ 3,400 13,069
*Supreme Industries, Inc............................. 3,675 26,184
*Supreme International Corp.......................... 2,200 35,475
*Surety Capital Corp................................. 2,900 14,681
*Surgical Laser Technologies, Inc.................... 3,800 4,631
Susquehanna Bancshares, Inc.......................... 6,575 255,603
*Swift Energy Corp................................... 7,500 200,625
*Swift Transportation, Inc........................... 9,500 306,375
*Swing-n-Slide Corp.................................. 1,936 7,684
*#Swisher International, Inc......................... 700 5,950
*Swiss Army Brands, Inc.............................. 4,100 48,944
*Sybron Chemicals, Inc............................... 1,100 19,525
*Sylvan Learning Systems, Inc........................ 2,250 81,141
*Sylvan, Inc......................................... 5,700 61,988
*Symantec Corp....................................... 20,800 397,800
*Symetrics Industries, Inc........................... 800 7,000
*Symix Systems, Inc.................................. 2,800 25,025
*Symmetricom, Inc.................................... 13,300 210,306
*Syms Corp........................................... 9,900 96,525
Synalloy Corp. DE.................................... 11,500 184,000
*Synaptic Pharmaceutical Corp........................ 900 11,869
*Synbiotics Corp..................................... 3,700 14,684
*Syncor International Corp. DE....................... 5,500 50,875
*Synetic, Inc........................................ 6,600 256,575
*Syntellect, Inc..................................... 6,000 19,688
*#Syquest Technology, Inc............................ 7,900 15,677
*System Software Associates, Inc..................... 21,300 196,359
*Systems & Computer Technology Corp.................. 13,900 333,600
</TABLE>
115
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Systemsoft Corp..................................... 11,200 $ 133,000
*T Cell Sciences, Inc................................ 9,900 15,159
*T-HQ, Inc........................................... 200 1,619
*T-Netix, Inc........................................ 3,200 31,000
*TBC Corp............................................ 11,950 91,119
TCBY Enterprises, Inc................................ 12,400 74,400
*TCC Industries, Inc................................. 1,100 2,475
*TCI International, Inc.............................. 1,200 7,650
*TCSI Corp........................................... 11,500 74,031
*TESSCO Technologies, Inc............................ 1,700 35,913
*TFC Enterprises, Inc................................ 4,500 7,313
*TII Industries, Inc................................. 2,960 16,280
TJ International, Inc................................ 8,200 190,138
*TMBR/Sharp Drilling, Inc............................ 1,300 14,625
TNP Enterprises, Inc................................. 6,500 143,000
TR Financial Corp.................................... 8,800 179,300
*TRC Companies, Inc.................................. 2,600 9,425
*TRM Copy Centers Corp............................... 4,000 42,500
*TRO Learning, Inc................................... 2,400 24,300
*TSF Communications Corp............................. 2,400 63,450
TSI, Inc. MN......................................... 6,600 59,400
*#TSR, Inc........................................... 1,200 29,550
Tab Products Co. DE.................................. 2,100 19,819
*Taco Cabana, Inc.................................... 7,900 39,994
*Talley Industries, Inc.............................. 7,400 62,900
*Tandy Brand Accessories, Inc........................ 2,700 24,638
*Tandy Crafts, Inc................................... 6,300 30,713
*Tanknology Environmental, Inc....................... 5,600 9,450
*Targeted Genetics Corp.............................. 10,100 31,563
Tasty Baking Co...................................... 3,100 49,988
*Team, Inc........................................... 2,800 5,250
*Tech-Sym Corp....................................... 2,400 76,500
Tech/Ops Sevcon, Inc................................. 1,300 14,950
*Techne Corp......................................... 4,700 130,719
*Technical Communications Corp....................... 400 3,550
Technitrol, Inc...................................... 6,200 155,000
*Technol Medical Products, Inc....................... 10,000 191,250
Technology Research Corp............................. 2,100 8,138
*Technology Solutions Corp........................... 7,800 284,700
Tejon Ranch Co....................................... 9,100 154,700
*Tekelec............................................. 5,200 181,350
*Tel-Save Holdings, Inc.............................. 5,500 84,563
*Telco Systems, Inc.................................. 5,300 54,988
*Telcom Semiconductor, Inc........................... 1,100 5,638
*#Telemundo Group, Inc. Class A...................... 3,200 79,600
*Teltrend, Inc....................................... 1,600 26,600
*Telular Corp........................................ 3,900 14,016
Telxon Corp.......................................... 8,100 149,850
*Temtex Industries, Inc.............................. 1,400 3,763
Tennant Co........................................... 4,000 121,500
*Terex Corp.......................................... 6,100 96,075
*Tesoro Petroleum Corp............................... 14,200 186,375
*Tetra Tech, Inc..................................... 5,312 103,916
*Tetra Technologies, Inc............................. 6,400 155,600
*#Texas Biotechnology Corp........................... 12,700 68,263
Texas Industries, Inc................................ 11,200 268,800
*Texas Meridian Resources Corp....................... 7,200 90,000
*Texas Micro, Inc.................................... 6,100 20,778
Texas Regional Banchshares, Inc. Class A............. 2,500 79,375
*Texfi Industries, Inc............................... 3,700 13,875
*Thackeray Corp...................................... 3,600 9,000
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Theragenics Corp.................................... 10,400 $ 229,450
*Theratech, Inc. UT.................................. 10,150 112,919
*Thermedics, Inc..................................... 5,200 87,100
*#Thermo Ecotek Corp................................. 9,500 152,000
*Thermo Fibertek, Inc................................ 9,800 107,188
*Thermo Power Corp................................... 6,200 37,200
Thermo Remediation, Inc.............................. 6,400 44,800
*#Thermo Terratech, Inc.............................. 12,000 131,250
*Thermo Voltek Corp.................................. 4,800 41,400
*#Thermolase Corp.................................... 20,300 300,694
*Thermotrex Corp..................................... 9,600 277,200
*Thermwood Corp...................................... 1,000 1,625
*Thomas Group, Inc................................... 2,800 31,850
Thomas Industries, Inc............................... 5,300 149,063
Thomaston Mills, Inc................................. 1,900 20,663
*Thompson PBE, Inc................................... 4,800 22,200
Thor Industries, Inc................................. 4,300 102,663
*Thorn Apple Valley, Inc............................. 3,900 69,225
*Three-Five Systems, Inc............................. 3,100 46,113
*Timberland Co. Class A.............................. 4,200 246,225
Timberline Software Corp............................. 2,200 16,913
*Tipperary Corp...................................... 6,500 28,844
*Titan Corp.......................................... 8,100 33,413
Titan Holdings, Inc.................................. 7,350 141,488
Titan International, Inc............................. 8,800 134,200
Toastmaster, Inc..................................... 3,000 10,500
*#Today's Man, Inc................................... 4,300 13,169
*Todd Shipyards Corp................................. 5,000 21,875
Todd-AO Corp. Class A................................ 220 1,898
*Toddhunter International, Inc....................... 3,600 26,325
*Tokheim Corp........................................ 3,300 32,588
*Toll Brothers, Inc.................................. 16,700 304,775
Tompkins County Trustco, Inc......................... 220 7,150
*Top Source Technologies, Inc........................ 14,200 25,738
*Topps, Inc.......................................... 24,100 91,128
*#Tops Appliance City, Inc........................... 2,900 3,127
*Toreador Royalty Corp............................... 1,500 4,500
Toro Co.............................................. 6,000 225,000
*Total-Telephone USA Communications, Inc............. 1,500 27,563
*Touchstone Software Corp............................ 3,100 6,878
Tower Air, Inc....................................... 7,400 23,588
*Tower Automotive, Inc............................... 7,100 281,338
*Toy Biz, Inc. Class A............................... 10,200 90,525
*Tracor, Inc......................................... 12,300 310,575
*Tractor Supply Co................................... 7,000 142,625
*Trak Auto Corp...................................... 3,300 41,869
Trans Financial, Inc................................. 5,100 126,225
*#Trans World Airlines, Inc.......................... 24,000 205,500
*Trans World Entertainment Corp...................... 4,400 66,275
*Transact Technologies, Inc.......................... 1,507 18,272
*Transaction Network Services, Inc................... 10,600 159,000
*Transcend Services, Inc............................. 9,700 37,588
*Transitional Hospitals Corp......................... 22,200 352,425
*Transmation, Inc.................................... 1,000 13,250
Transmedia Network, Inc.............................. 5,100 17,213
*TransNet Corp....................................... 2,000 5,313
Transport Leasing International, Inc................. 1,500 11,531
Transtechnology Corp................................. 2,800 56,000
*Transwitch Corp..................................... 6,000 37,875
*Transworld Healthcare, Inc.......................... 5,000 48,750
*Travel Ports of America, Inc........................ 2,332 6,122
</TABLE>
116
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Treadco, Inc......................................... 1,900 $ 18,525
Tredegar Industries, Inc............................. 5,500 300,438
*Tremont Corp. DE.................................... 2,900 118,900
*Trend-Lines, Inc. Class A........................... 2,400 17,175
Trenwick Group, Inc.................................. 3,900 131,869
*Trescom International, Inc.......................... 2,000 14,250
*Tri-Lite, Inc....................................... 29 1
*Triad Guaranty, Inc................................. 2,600 89,050
Triangle Bancorp, Inc................................ 5,200 99,775
*Triangle Pacific Corp............................... 7,300 216,719
*Triarc Companies, Inc. Class A...................... 9,600 219,600
*Trico Bancshares.................................... 500 11,813
*Tricord Systems, Inc................................ 5,300 3,727
*Trident Microsystems, Inc........................... 6,300 90,169
*Tridex Corp......................................... 1,500 5,156
*#Trikon Technologies, Inc........................... 1,000 8,438
*Trimark Holdings, Inc............................... 1,700 6,694
*Trimble Navigation, Ltd............................. 11,000 167,750
*Trimedyne, Inc...................................... 5,400 16,875
*Trinitec Systems, Inc. Class A...................... 2,900 15,950
Trion, Inc........................................... 2,800 12,775
*Triple S Plastics, Inc.............................. 700 5,206
*Tripos, Inc......................................... 1,100 17,325
*Triquint Semiconductor, Inc......................... 4,100 162,463
*Trism, Inc.......................................... 1,100 3,231
*Tristar Corp........................................ 1,000 9,500
True North Communications, Inc....................... 11,900 236,513
*Truevision, Inc..................................... 6,300 12,600
*Trump Hotels & Casino Resorts, Inc.................. 7,500 73,125
Trust Co. of New Jersey.............................. 9,300 170,306
Trustco Bank Corp. NY................................ 11,941 247,776
*Tseng Laboratories, Inc............................. 9,500 35,625
*Tuboscope Vetco International, Inc.................. 20,800 335,400
*Tucson Electric Power Co............................ 16,080 237,180
*Tuesday Morning Corp................................ 3,100 83,700
*Tultex Corp......................................... 14,700 93,713
*Turner Corp......................................... 2,600 40,300
Tuscarora, Inc....................................... 4,700 71,381
Twin Disc, Inc....................................... 1,000 24,000
*Tyler Corp.......................................... 10,900 20,438
U.S. Bancorp, Inc.................................... 2,000 95,250
*U.S. Bioscience, Inc................................ 11,400 119,700
*U.S. Diagnostic, Inc................................ 13,200 99,825
U.S. Freightways Corp................................ 11,300 272,613
*UFP Technologies, Inc............................... 2,300 9,919
*UNC, Inc............................................ 9,200 133,400
UNR Industries, Inc.................................. 26,200 160,475
*URS Corp............................................ 4,300 47,300
*US Can Corp......................................... 10,500 170,625
*US Servis, Inc...................................... 2,500 6,016
US Trust Corp........................................ 7,600 356,250
*US Xpress Enterprises, Inc. Class A................. 2,700 46,406
*USA Truck, Inc...................................... 1,900 18,763
*USCI, Inc........................................... 4,500 16,594
*USData Corp......................................... 3,450 16,172
*USMX, Inc........................................... 5,900 5,900
UST Corp............................................. 15,340 324,058
USX-Delhi Group...................................... 8,000 109,000
*UTI Energy Corp..................................... 1,000 37,375
*Ultimate Electronics, Inc........................... 2,700 8,100
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Ultra Pacific, Inc.................................. 1,700 $ 12,538
*Ultradata Corp...................................... 1,000 3,063
*Ultradata Systems, Inc.............................. 1,000 6,188
*Ultrak, Inc......................................... 7,900 101,219
*#Ultralife Batteries, Inc........................... 3,100 37,975
*Ultratech Stepper, Inc.............................. 10,100 205,156
*#Unapix Entertainment, Inc.......................... 2,100 9,188
Uni-Marts, Inc....................................... 4,500 23,063
Unico American Corp.................................. 2,300 24,438
*UniComp, Inc........................................ 2,800 24,500
Unifirst Corp........................................ 10,300 202,138
*Uniflex, Inc........................................ 1,700 11,794
Uniforce Temporary Personnel, Inc.................... 1,100 18,219
*#Unigene Laboratories, Inc.......................... 13,900 47,130
*Unimark Group, Inc.................................. 3,800 25,175
*Unimed Pharmaceuticals, Inc......................... 3,900 21,450
*Union Acceptance Corp. Class A...................... 1,600 14,100
*Union Corp. DE...................................... 3,900 88,238
*Uniphase Corp....................................... 6,000 313,500
*Unique Mobility, Inc................................ 5,900 28,763
*Uniroyal Technology Corp............................ 5,900 17,884
*Unison Software, Inc................................ 2,700 20,419
*Unit Corp........................................... 12,100 130,075
*Unit Instruments, Inc............................... 1,700 15,725
*United American Healthcare Corp.,................... 4,000 25,000
United Bankshares, Inc. WV........................... 7,400 277,500
United Carolina Bancshares Corp...................... 9,450 421,706
United Cities Gas Co................................. 5,200 117,650
*United Dental Care, Inc............................. 1,500 25,313
United Financial Corp. MN............................ 400 7,750
United Fire Casualty Co.............................. 3,200 116,400
*United Foods, Inc. Class A.......................... 1,000 2,063
United Guardian, Inc................................. 1,900 5,938
United Illuminating Co............................... 7,100 203,238
United Industrial Corp............................... 7,800 64,350
United National Bancorp.............................. 1,172 45,855
*United Retail Group, Inc............................ 5,500 16,156
*United States Energy Corp........................... 5,600 51,450
*United States Home Corp............................. 5,700 150,338
*United States Long Distance Corp.................... 7,100 110,494
*United Stationers, Inc.............................. 222 4,829
*United Video Satellite Group, Inc. Class A.......... 8,700 144,638
United Water Resources, Inc.......................... 17,100 307,800
United Wisconsin Services, Inc....................... 8,100 288,563
*Unitel Video, Inc................................... 700 4,200
Unitil Corp.......................................... 1,400 28,000
Unitog Co............................................ 4,800 111,600
*Unitrode Corp....................................... 5,800 287,825
*Universal Electronics, Inc.......................... 2,700 15,019
Universal Forest Products, Inc....................... 14,000 191,625
*Universal Hospital Services, Inc.................... 2,100 30,975
*Universal International, Inc........................ 2,000 2,125
*Universal Seismic Association, Inc.................. 1,600 3,200
*Universal Stainless & Alloy Products, Inc........... 1,700 22,206
*Universal Standard Medical Labs, Inc................ 2,500 8,438
*Uno Restaurant Corp................................. 7,000 41,125
Upper Peninsula Energy Corp.......................... 1,000 19,250
*Uranuim Resources, Inc.............................. 8,900 50,619
*Urban Outfitters, Inc............................... 10,300 166,088
</TABLE>
117
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Urogen Corp. (Restricted)........................... 2,100 $ 0
*#Urohealth Systems, Inc. Class A.................... 10,500 88,922
*Uromed Corp......................................... 14,700 67,988
*Utah Medical, Inc................................... 4,400 33,550
*Utilx Corp.......................................... 2,800 11,900
*Utopia Marketing, Inc............................... 3,400 680
*V Band Systems, Inc................................. 2,100 4,200
*V Mark Software, Inc................................ 3,238 25,702
*VLSI Technology, Inc................................ 2,200 53,763
*VTEL Corp........................................... 11,048 67,324
*VWR Scientific Products Corp........................ 8,600 130,075
*Valence Technology, Inc............................. 10,800 98,550
*Vallen Corp......................................... 4,200 75,600
Valley Forge Corp.................................... 850 13,866
Valley Resources, Inc................................ 2,600 30,713
Valmont Industries, Inc.............................. 6,000 250,500
*Value City Department Stores, Inc................... 22,200 191,475
Value Line, Inc...................................... 4,000 146,000
*Valuevision International, Inc. Class A............. 14,700 57,422
*Vanguard Cellular System, Inc. Class A.............. 15,900 209,681
*Vans, Inc........................................... 8,000 99,500
*#Vari L Co., Inc.................................... 1,400 9,713
*Variflex, Inc....................................... 3,900 19,013
#Varlen Corp......................................... 3,900 97,988
#Varsity Spirit Corp................................. 200 3,763
*Vaughn Communications, Inc.......................... 1,100 7,838
*Vectra Banking Corp................................. 1,000 20,875
*Vectra Technologies, Inc............................ 2,700 1,519
*Ventana Medical Systems, Inc........................ 8,000 104,500
*Venture Stores, Inc................................. 10,800 28,350
*Venturian Corp...................................... 200 2,050
Veritas DGC, Inc..................................... 4,500 93,375
Vermont Financial Services Corp...................... 1,800 75,938
*Vermont Teddy Bear, Inc............................. 2,000 2,375
Versa Technologies, Inc.............................. 2,100 30,450
*Versar, Inc......................................... 2,000 7,000
*Vertex Communications Corp.......................... 2,800 64,925
Vesta Insurance Group, Inc........................... 5,800 266,075
*Veterinary Centers of America, Inc.................. 8,400 102,375
*Vical, Inc.......................................... 7,200 90,450
*Vicorp Restaurants, Inc............................. 3,600 42,525
*#Vidamed, Inc....................................... 6,500 47,125
*Video Display Corp.................................. 1,200 4,575
*Video Lottery Technologies, Inc..................... 4,200 22,575
*Video Update, Inc................................... 7,800 33,638
*Videonics, Inc...................................... 1,100 7,494
*Vidioserver, Inc.................................... 3,100 52,894
*Vie de France Corp.................................. 5,400 7,594
*View Technology, Inc................................ 2,400 8,475
*Viewlogic Systems, Inc.............................. 8,300 125,019
Virco Manufacturing Corp............................. 2,910 60,746
Virginia Beach Federal Financial Corp................ 2,000 22,000
Virginia First Financial Corp........................ 1,400 30,013
*Vision Sciences, Inc................................ 5,100 6,056
*Visx, Inc. DE....................................... 7,300 214,894
Vital Signs, Inc..................................... 5,800 114,913
*Vitalcom, Inc....................................... 6,000 28,125
*#Vitalink Pharmacy Services, Inc.................... 12,840 245,565
*Vitronics Corp...................................... 3,000 3,000
*#Vivus, Inc......................................... 6,500 266,094
*Voice Control Systems, Inc.......................... 5,600 26,950
*Volt Information Sciences, Inc...................... 3,000 130,125
Vulcan International Corp............................ 700 25,725
*WCI Steel Inc. Escrow............................... 11,600 0
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
WD-40 Co............................................. 3,900 $ 217,425
*#WFS Financial, Inc................................. 15,800 199,475
*WHG Resorts & Casinos, Inc.......................... 3,025 31,763
*WHX Corp............................................ 12,900 85,463
WICOR, Inc........................................... 8,500 312,375
WLR Foods, Inc....................................... 8,444 83,912
*WMS Industries, Inc................................. 12,100 251,075
*WPI Group, Inc...................................... 2,300 18,544
*WPS Resources Corp.................................. 4,500 119,250
Wabash National Corp................................. 10,500 232,313
Wackenhut Corp. Class A.............................. 1,400 24,675
Wackenhut Corp. Class B Non-Voting................... 5,000 75,625
*Wackenhut Corrections Corp.......................... 11,000 215,875
*Wainoco Oil Corp.................................... 14,900 57,738
Walbro Corp.......................................... 3,300 65,794
*Walker Interactive Systems, Inc..................... 6,600 95,288
*Wall Data, Inc...................................... 4,600 114,713
*Wall Street Deli, Inc............................... 1,500 6,000
Walshire Assurance Co................................ 2,370 23,552
*#Wandel & Goltermann Technologies, Inc.............. 2,000 24,875
*Warrantech Corp..................................... 6,500 79,625
Warren Bancorp, Inc.................................. 1,400 23,450
*Washington Homes, Inc............................... 4,400 16,500
Washington National Corp............................. 4,800 134,400
Washington Savings Bank FSB Waldorf, MD.............. 1,600 8,000
*Washington Scientific Industries, Inc............... 1,000 3,500
Waters Instruments, Inc.............................. 200 1,038
Watkins-Johnson Co................................... 4,200 132,825
Watsco, Inc. Class A................................. 5,850 169,650
#Watsco, Inc. Class B................................ 900 25,650
Watts Industries, Inc. Class A....................... 6,600 164,175
*Wave Technologies International, Inc................ 1,500 9,750
*Wavephore, Inc...................................... 100 831
Waverly, Inc......................................... 3,600 75,600
*Waxman Industries, Inc.............................. 4,300 17,738
Webb (Del) Corp...................................... 15,800 240,950
*Webco Industries, Inc............................... 2,200 12,650
Webster Financial Corp............................... 5,197 210,479
*Weirton Steel Corp.................................. 19,200 57,600
*Welcome Home, Inc................................... 1,000 98
*Wellcare Management Group, Inc...................... 1,900 8,788
Wellman, Inc......................................... 15,600 278,850
*Wells-Gardner Electronics Corp...................... 1,500 5,719
Werner Enterprises, Inc.............................. 8,750 171,172
Wesbanco, Inc........................................ 2,500 90,625
West Coast Bancorp................................... 2,662 65,552
*West Coast Entertainment Corp....................... 6,000 28,500
*#West Marine, Inc................................... 7,300 191,169
West, Inc............................................ 7,300 215,350
Westamerica Bancorporation........................... 5,543 380,388
*#Westbridge Capital Corp............................ 3,000 27,750
Westco Bancorp, Inc.................................. 1,100 25,988
Westcorp, Inc........................................ 14,496 242,808
Westerfed Financial Corp............................. 1,400 28,263
*Western Beef, Inc................................... 2,700 24,469
Western Gas Resources, Inc........................... 15,600 308,100
*Western Micro Technology, Inc....................... 1,600 21,100
*Western Water Co.................................... 3,100 45,338
*Westinghouse Air Brake Co........................... 3,100 51,150
*Weston (Roy F.), Inc. Class A....................... 2,900 8,700
*Westwood One, Inc................................... 14,500 393,313
*Wet Seal, Inc. Class A.............................. 4,900 143,325
*Whitehall Corp...................................... 3,200 62,000
</TABLE>
118
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Whitman Education Group, Inc........................ 8,200 $ 30,750
Whitney Holdings Corp................................ 6,700 255,438
*Whittaker Corp...................................... 5,600 62,300
*Whole Foods Market, Inc............................. 9,200 288,075
*Wholesome & Hearty Foods, Inc....................... 4,300 34,938
*Wickes Lumber Co.................................... 5,500 29,219
Wiley (John) & Sons, Inc. Class A.................... 400 12,700
*Williams Clayton Energy, Inc........................ 4,400 59,950
*Williams Controls, Inc.............................. 6,900 17,250
*Williams-Sonoma, Inc................................ 7,625 281,648
Wilshire Oil Co. of Texas............................ 3,700 19,888
*Wind River Systems, Inc............................. 900 30,375
Windmere Corp........................................ 8,700 128,325
Winnebago Industries, Inc............................ 12,700 87,313
*Winsloew Furniture, Inc............................. 1,000 10,813
*Winstar Communications, Inc......................... 16,000 226,000
Winthrop Resources Corp.............................. 4,600 147,200
Wireless Telecom Group, Inc.......................... 15,600 171,600
Wiser Oil Co......................................... 5,500 85,938
Wolohan Lumber Co.................................... 2,800 34,475
*Wolverine Tube, Inc................................. 6,900 202,688
*Wonderware Corp..................................... 6,900 94,444
Woodhead Industries, Inc............................. 5,200 89,700
*World Acceptance Corp............................... 9,300 55,800
World Fuel Services Corp............................. 4,000 80,500
*Worldcorp, Inc...................................... 9,400 27,025
*Worldtex, Inc....................................... 7,200 51,300
Worthington Foods, Inc............................... 4,233 88,628
*Wyant Corp.......................................... 200 950
Wyle Laboratories, Inc............................... 6,300 233,100
*Wyman-Gordon Co..................................... 1,000 22,750
Wynns International, Inc............................. 6,850 169,538
X-Rite, Inc.......................................... 10,500 192,281
*Xcellent, Inc....................................... 1,300 20,638
*Xicor, Inc.......................................... 9,400 64,038
*Xircom, Inc......................................... 9,200 132,825
*Xoma Corp........................................... 15,800 80,481
*Xpedite Systems, Inc................................ 4,400 83,050
*Xytronyx, Inc....................................... 3,200 3,800
Yankee Energy Systems, Inc........................... 4,900 113,313
*Yellow Corp......................................... 14,100 270,544
*#Yes Entertainment Corp............................. 5,600 17,500
York Financial Corp.................................. 3,401 65,469
*York Research Corp.................................. 7,000 54,688
*Young Broadcasting, Inc. Class A.................... 6,100 163,556
*Youth Services International, Inc................... 3,000 41,438
*Zale Corp........................................... 17,600 354,200
*Zaring National Corp................................ 1,500 14,625
*Zebra Technologies Corp. Class A.................... 7,300 225,388
*Zemex Corp.......................................... 3,598 25,636
*Zenith Electronics Corp............................. 18,100 199,100
Zenith National Insurance Corp....................... 8,800 220,000
Zero Corp............................................ 6,100 140,300
*Zila, Inc........................................... 2,557 17,659
*Zilog, Inc.......................................... 10,000 222,500
*Zimmerman Sign Co................................... 500 1,813
*Zing Technologies, Inc.............................. 1,500 14,531
Zions Bancorp........................................ 3,638 111,414
*Zitel Corp.......................................... 7,400 171,125
*Zoll Medical Corp................................... 5,200 45,500
*#Zoltek Companies, Inc.............................. 8,100 250,088
Zurn Industries, Inc................................. 6,200 164,300
*#Zycad Corp......................................... 11,400 8,906
*Zygo Corp........................................... 5,200 148,200
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Zytec Corp.......................................... 4,100 $ 73,288
------------
TOTAL COMMON STOCKS (Cost $254,032,027)................ 312,616,033
------------
PREFERRED STOCKS -- (0.02%)
*Alliance Gaming Corp. 15% Non-Voting Senior Class
B.................................................. 158 16,156
Phoenix Duff & Phelps Corp. Exchangeable Class A..... 770 19,828
*Sentry Technology Corp. Class A..................... 1,829 5,258
------------
TOTAL PREFERRED STOCKS (Cost $36,574).................. 41,242
------------
RIGHTS/WARRANTS -- (0.00%)
*American Satellite Network, Inc. Warrants
06/30/99........................................... 2,525 0
*Amvestors Financial Corp. Warrants Class A
04/02/02........................................... 391 2,175
*Banner Aerospace, Inc. Rights 06/18/97.............. 3,889 0
*CSF Holdings, Inc. Litigation Rights 12/30/99....... 3,250 0
*Fifty-off Stores, Inc. Non-Transferrable Rights..... 5,600 0
*Laboratory Corp. of America Holdings, Inc. Rights
06/16/97........................................... 813 6,507
*Millicom, Inc. Contingent Value Rights.............. 10,100 0
*Sound Advice, Inc. Warrants 06/14/99................ 478 239
*Statesman Group, Inc. Contingent Payment Rights..... 9,765 0
------------
TOTAL RIGHTS/WARRANTS (Cost $4,880).................... 8,921
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.6%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
6.00%, 08/15/99) (Cost $5,055,000)................. $ 5,055 5,055,000
------------
TOTAL INVESTMENTS -- (100.5%)
(Cost $259,128,481)++................................ 317,721,196
------------
OTHER ASSETS AND LIABILITIES -- (-0.5%)
Other Assets....................................... 4,877,718
Payable for Investment Securities Purchased........ (6,311,941)
Other Liabilities.................................. (64,998)
------------
(1,499,221)
------------
NET ASSETS -- (100%) Applicable to 26,679,911
Outstanding $.01 Par Value Shares (Unlimited Number
of Shares Authorized)................................ $316,221,975
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 11.85
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
++The cost for federal income tax purposes is $260,314,462.
</TABLE>
See accompanying Notes to Financial Statements.
119
<PAGE>
THE U.S. LARGE COMPANY SERIES
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (99.7%)
AMP, Inc.............................................. 21,404 $ 880,239
*AMR Corp............................................. 8,900 884,437
AON Corp.............................................. 15,975 778,781
#AT & T Corp.......................................... 158,239 5,835,063
Abbott Laboratories................................... 75,900 4,781,700
Adobe Systems, Inc.................................... 6,900 308,991
*Advanced Micro Devices, Inc.......................... 13,200 528,000
Aeroquip Vickers, Inc................................. 2,800 121,450
Aetna, Inc............................................ 14,737 1,488,437
Ahmanson (H.F.) & Co.................................. 10,400 423,800
Air Products & Chemicals, Inc......................... 10,800 839,700
*Airtouch Communications, Inc......................... 49,100 1,368,662
Alberto-Culver Co. Class B............................ 5,600 159,600
Albertson's Inc....................................... 24,500 820,750
Alcan Aluminum, Ltd................................... 22,100 792,837
Allegheny Teledyne, Inc............................... 16,900 435,175
Allergan, Inc......................................... 6,400 189,600
AlliedSignal, Inc..................................... 27,700 2,125,975
Allstate Corp......................................... 43,427 3,197,313
Alltel Corp........................................... 18,400 604,900
#Aluminium Co. of America............................. 16,800 1,236,900
*Alza Corp............................................ 8,300 244,850
*Amdahl Corp.......................................... 11,900 119,000
Amerada Hess Corp..................................... 9,100 486,850
*American Brands, Inc................................. 16,500 808,500
American Electric Power Co., Inc...................... 18,400 749,800
American Express Co................................... 46,300 3,217,850
American General Corp................................. 20,000 885,000
*American Greetings Corp. Class A..................... 7,200 247,050
American Home Products Corp........................... 62,300 4,750,375
American International Group, Inc..................... 45,762 6,195,031
American Stores Co.................................... 14,100 641,550
Ameritech Corp........................................ 53,700 3,517,350
Amgen, Inc............................................ 25,800 1,726,987
Amoco Corp............................................ 48,500 4,334,687
Andrew Corp........................................... 8,793 239,609
Anheuser-Busch Companies, Inc......................... 48,700 2,088,012
*Apple Computer, Inc.................................. 12,200 203,587
*Applied Materials, Inc............................... 17,600 1,147,300
*Archer-Daniels Midland Co............................ 52,878 1,057,560
*Armco, Inc........................................... 10,500 39,375
Armstrong World Industries, Inc....................... 4,000 272,000
Asarco, Inc........................................... 4,050 126,056
Ashland, Inc.......................................... 7,200 344,700
Atlantic Richfield Co................................. 15,700 2,284,350
Autodesk, Inc......................................... 4,700 183,006
Automatic Data Processing, Inc........................ 28,500 1,400,062
*Autozone, Inc........................................ 14,800 345,950
Avery Dennison Corp................................... 10,100 380,012
Avon Products, Inc.................................... 13,100 835,125
Baker Hughes, Inc..................................... 14,200 532,500
Ball Corp............................................. 3,000 87,375
Baltimore Gas & Electric Co........................... 14,550 381,937
#Banc One Corp........................................ 41,711 1,804,001
#Bank of New York Co., Inc............................ 38,300 1,632,537
BankAmerica Corp...................................... 35,068 4,098,572
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
BankBoston Corp....................................... 14,900 $ 1,087,700
#Bankers Trust New York Corp.......................... 8,100 685,462
Bard (C.R.), Inc...................................... 5,700 182,400
Barnett Banks, Inc.................................... 20,400 1,073,550
#Barrick Gold Corp.................................... 34,900 881,225
Battle Mountain Gold Co............................... 21,900 134,137
Bausch & Lomb, Inc.................................... 5,500 221,375
Baxter International, Inc............................. 26,600 1,403,150
*Bay Networks, Inc.................................... 19,400 475,300
Becton Dickinson & Co................................. 11,900 586,075
Bell Atlantic Corp.................................... 42,800 2,996,000
Bellsouth Corp........................................ 96,700 4,387,762
Bemis Co., Inc........................................ 5,200 208,000
Beneficial Corp....................................... 5,400 346,950
*Bethlehem Steel Corp................................. 10,800 108,000
*Beverly Enterprises.................................. 9,700 137,012
Biomet, Inc........................................... 11,100 207,431
#Black & Decker Corp.................................. 9,300 323,175
Block (H.&R.), Inc.................................... 10,100 333,300
#Boeing Co............................................ 35,043 3,688,276
Boise Cascade Corp.................................... 4,600 174,800
*Boston Scientific Corp............................... 18,900 1,008,787
Briggs & Stratton Corp................................ 2,500 129,062
Bristol Myers Squibb Co............................... 97,500 7,154,062
Brown-Forman Corp. Class B............................ 6,700 342,537
Browning-Ferris Industries, Inc....................... 20,800 681,200
Brunswick Corp........................................ 9,600 292,800
Burlington Northern Santa Fe Corp..................... 14,937 1,239,771
Burlington Resources, Inc............................. 12,100 562,650
CIGNA Corp............................................ 7,300 1,268,375
CPC International, Inc................................ 13,900 1,195,400
CSX Corp.............................................. 21,200 1,123,600
*CUC International, Inc............................... 38,750 891,250
CVS Corp.............................................. 10,200 488,325
*Cabletron Systems, Inc............................... 15,200 668,800
Caliber Systems, Inc.................................. 3,800 121,600
Campbell Soup Co...................................... 45,500 2,093,000
Cardinal Health, Inc.................................. 10,600 617,450
#Carolina Power & Light Co............................ 14,900 517,775
#Case Corp............................................ 7,100 418,900
Caterpillar, Inc...................................... 18,800 1,835,350
Centex Corp........................................... 2,900 115,637
Central & South West Corp............................. 20,600 437,750
*Ceridian Corp........................................ 7,800 286,650
Champion International Corp........................... 9,400 464,125
*Charming Shoppes, Inc................................ 10,200 53,869
#Chase Manhattan Corp................................. 42,896 4,053,672
Chevron Corp.......................................... 63,700 4,459,000
Chrysler Corp......................................... 68,500 2,174,875
Chubb Corp............................................ 17,100 1,043,100
Cincinnati Milacron, Inc.............................. 3,800 87,875
Cinergy Corp.......................................... 15,293 535,255
#Circuit City Stores, Inc. (Circuit City Group)....... 9,500 375,250
*Cisco Sytems, Inc.................................... 64,100 4,330,756
Citicorp.............................................. 45,200 5,169,750
Clorox Co............................................. 5,200 656,500
Coastal Corp.......................................... 10,250 513,781
</TABLE>
120
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Coca-Cola Co.......................................... 242,900 $ 16,577,925
Cognizant Corp........................................ 16,500 610,500
Colgate-Palmolive Co.................................. 28,700 1,779,400
Columbia Gas System, Inc.............................. 5,500 354,062
Columbia/HCA Healthcare Corp.......................... 65,482 2,398,278
Comcast Corp. Class A Special......................... 31,750 553,641
Comerica, Inc......................................... 10,400 650,000
*Compaq Computer Corp................................. 26,400 2,857,800
Computer Associates International, Inc................ 35,575 1,947,731
*#Computer Sciences Corp.............................. 7,600 588,050
Conagra, Inc.......................................... 23,350 1,403,919
Conseco, Inc.......................................... 17,400 696,000
Consolidated Edison Co. of New York, Inc.............. 23,000 669,875
Consolidated Natural Gas Co........................... 9,300 494,062
Cooper Industries, Inc................................ 11,400 581,400
Cooper Tire & Rubber Co............................... 7,600 170,050
Coors (Adolph) Co. Class B............................ 3,700 90,187
Corestates Financial Corp............................. 21,800 1,152,675
Corning, Inc.......................................... 22,300 1,123,362
*Costco Companies, Inc................................ 20,503 693,258
Crane Co.............................................. 4,400 180,400
Crown Cork & Seal Co., Inc............................ 12,400 722,300
Cummins Engine Co., Inc............................... 3,800 242,250
#Cyprus Amax Minerals Co., Inc........................ 9,150 223,031
*DSC Communications Corp.............................. 11,500 293,969
#DTE Energy Co........................................ 14,300 380,737
#Dana Corp............................................ 9,900 357,637
*Darden Restaurants, Inc.............................. 15,600 130,650
*Data General Corp.................................... 3,800 81,225
Dayton-Hudson Corp.................................... 21,200 1,020,250
*Dean Witter, Discover & Co........................... 31,254 1,289,227
Deere & Co............................................ 25,000 1,278,125
*Dell Computer Corp................................... 17,100 1,922,681
Delta Air Lines, Inc.................................. 7,100 665,625
Deluxe Corp........................................... 7,900 256,750
*Digital Equipment Corp............................... 15,400 552,475
Dillards, Inc. Class A................................ 11,200 378,000
Disney (Walt) Co...................................... 65,800 5,387,375
Dominion Resources, Inc. VA........................... 17,700 612,862
Donnelley (R.R.) & Sons Co............................ 14,700 545,737
Dover Corp............................................ 11,100 635,475
Dow Chemical Co....................................... 23,700 1,975,987
Dow Jones & Co., Inc.................................. 9,400 365,425
#Dresser Industries, Inc.............................. 17,300 592,525
DuPont (E.I.) de Nemours & Co......................... 54,800 5,966,350
#Duke Power Co........................................ 19,800 891,000
Dun & Bradstreet Corp................................. 16,500 431,062
E G & G, Inc.......................................... 4,500 87,750
*EMC Corp. MA......................................... 24,000 957,000
Eastern Enterprises................................... 2,100 72,450
Eastman Chemical Co................................... 7,650 455,175
Eastman Kodak Co...................................... 32,600 2,701,725
Eaton Corp............................................ 7,400 590,150
Echlin, Inc........................................... 6,100 203,587
Echo Bay Mines, Ltd................................... 13,500 82,687
Ecolab, Inc........................................... 6,300 262,237
Edison International.................................. 42,200 986,425
Emerson Electric Co................................... 43,600 2,354,400
Engelhard Corp........................................ 14,174 306,513
#Enron Corp........................................... 24,800 1,010,600
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Enserch Corp.......................................... 6,800 $ 145,350
Entergy Corp.......................................... 22,500 593,437
Exxon Corp............................................ 242,400 14,362,200
*FMC Corp............................................. 3,600 259,200
#FPL Group, Inc....................................... 18,000 837,000
*#Federal Express Corp................................ 11,200 586,600
#Federal Home Loan Mortgage Corp...................... 69,700 2,300,100
Federal National Mortgage Association................. 106,300 4,637,337
*#Federated Department Stores, Inc.................... 20,300 751,100
Fifth Third Bancorp................................... 10,300 796,962
First Bank System, Inc................................ 13,000 1,066,000
First Chicago NBD Corp................................ 30,993 1,836,335
#First Data Corp...................................... 43,700 1,748,000
First Union Corp...................................... 27,640 2,373,585
#Fleet Financial Group, Inc........................... 25,464 1,556,487
Fleetwood Enterprises, Inc............................ 3,500 94,500
Fleming Companies, Inc................................ 3,700 70,300
#Fluor Corp........................................... 8,300 438,862
Ford Motor Co......................................... 115,400 4,327,500
Foster Wheeler Corp................................... 3,950 153,062
Freeport McMoran Copper & Gold, Inc. Class B.......... 18,800 547,550
Frontier Corp......................................... 15,900 292,162
*Fruit of The Loom, Inc. Class A...................... 7,400 258,075
GPU, Inc.............................................. 11,900 416,500
GTE Corp.............................................. 94,000 4,147,750
Gannett Co., Inc...................................... 13,900 1,285,750
Gap, Inc.............................................. 27,200 931,600
General Dynamics Corp................................. 6,200 464,225
General Electric Co................................... 321,400 19,404,525
*General Instrument Corp.............................. 13,280 322,040
General Mills, Inc.................................... 15,900 1,005,675
General Motors Corp................................... 73,600 4,213,600
General RE Corp....................................... 7,900 1,384,475
General Signal Corp................................... 5,000 210,625
Genuine Parts Co...................................... 17,675 592,112
Georgia-Pacific Corp.................................. 9,000 794,250
Giant Food, Inc. Class A.............................. 5,900 194,331
Giddings & Lewis, Inc................................. 3,250 61,344
Gillette Co........................................... 54,000 4,799,250
Golden West Financial Corp............................ 5,700 386,175
Goodrich (B.F.) Co.................................... 5,400 232,200
Goodyear Tire & Rubber Co............................. 15,100 883,350
Grace (W.R.) and Co................................... 7,000 365,750
Grainger (W.W.), Inc.................................. 5,300 425,325
Great Atlantic & Pacific Tea Co., Inc................. 3,700 102,212
Great Lakes Chemical Corp............................. 5,900 288,362
Great Western Financial Corp.......................... 13,300 645,050
Green Tree Financial Corp............................. 13,300 465,500
Guidant Corp.......................................... 7,200 558,900
*HFS, Inc............................................. 15,300 824,287
Halliburton Co........................................ 12,300 951,712
Harcourt General, Inc................................. 6,923 327,977
Harland (John H.) Co.................................. 3,050 69,769
Harnischfeger Industries, Inc......................... 4,676 200,483
*Harrahs Entertainment, Inc........................... 10,000 186,250
Harris Corp........................................... 3,800 336,775
Hartford Financial Services Group, Inc................ 11,600 904,800
Hasbro, Inc........................................... 12,525 363,225
*Healthsouth Corp..................................... 30,700 702,262
</TABLE>
121
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Heinz (H.J.) Co....................................... 35,950 $ 1,545,850
Helmerich & Payne, Inc................................ 2,600 145,925
Hercules, Inc......................................... 10,000 468,750
Hershey Foods Corp.................................... 15,100 847,487
Hewlett-Packard Co.................................... 98,900 5,093,350
Hilton Hotels Corp.................................... 24,100 680,825
Home Depot, Inc....................................... 46,848 2,951,424
Homestake Mining Co................................... 14,400 199,800
Honeywell, Inc........................................ 12,400 902,100
Household International, Inc.......................... 9,400 923,550
Houston Industries, Inc............................... 22,900 475,175
*Humana, Inc.......................................... 15,800 357,475
*ITT Corp............................................. 11,500 685,687
ITT Industries, Inc................................... 11,600 287,100
Ikon Office Solutions, Inc............................ 13,000 377,000
Illinois Tool Works, Inc.............................. 24,300 1,205,887
Inco, Ltd............................................. 16,300 537,900
#Ingersoll-Rand Co.................................... 10,600 577,700
Inland Steel Industries, Inc.......................... 4,900 120,662
Intel Corp............................................ 80,100 12,130,144
*Intergraph Corp...................................... 4,800 33,750
International Business Machines Corp.................. 101,000 8,736,500
International Flavors & Fragrances, Inc............... 10,700 474,812
International Paper Co................................ 29,300 1,406,400
Interpublic Group of Companies, Inc................... 7,800 467,025
#James River Corp. of Virginia........................ 8,500 298,562
Jefferson-Pilot Corp.................................. 6,950 442,194
Johnson & Johnson..................................... 130,100 7,789,738
Johnson Controls, Inc................................. 8,000 339,000
Jostens, Inc.......................................... 3,700 91,113
*#K Mart Corp......................................... 47,200 660,800
Kaufman & Broad Home Corp............................. 3,800 57,000
Kellogg Co............................................ 20,600 1,519,250
Kerr-McGee Corp....................................... 4,900 317,275
Keycorp............................................... 22,000 1,196,250
#Kimberly Clark Corp.................................. 55,284 2,771,111
King World Productions, Inc........................... 3,600 135,450
Knight Ridder, Inc.................................... 9,200 396,750
*Kroger Co............................................ 24,700 632,938
*LSI Logic Corp....................................... 13,700 571,975
Laidlaw, Inc. Class B Non-Voting...................... 30,600 413,100
Lilly (Eli) & Co...................................... 53,800 5,003,400
Limited, Inc.......................................... 26,600 538,650
Lincoln National Corp................................. 10,100 614,838
Liz Claiborne, Inc.................................... 6,900 314,813
Lockheed Martin Corp.................................. 18,757 1,756,124
Loews Corp............................................ 11,300 1,098,925
Longs Drug Stores Corp................................ 3,800 90,250
Louisiana Land & Exploration Co....................... 3,300 169,950
Louisiana-Pacific Corp................................ 10,700 208,650
Lowe's Companies, Inc................................. 17,000 669,375
Lucent Technologies, Inc.............................. 62,290 3,963,201
MBIA, Inc............................................. 4,100 440,238
MBNA Corp............................................. 32,687 1,107,272
MCI Communications Corp............................... 66,900 2,571,469
MGIC Investment Corp.................................. 5,800 516,200
Mallinckrodt, Inc..................................... 7,300 272,838
Manor Care, Inc....................................... 6,200 177,475
Marriott International, Inc........................... 12,500 721,875
Marsh & McLennan Companies, Inc....................... 7,900 1,040,825
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Masco Corp............................................ 15,600 $ 606,450
Mattel, Inc........................................... 28,052 838,054
May Department Stores Co.............................. 23,900 1,126,288
Maytag Corp........................................... 9,700 259,475
McDermott International, Inc.......................... 5,500 152,625
McDonalds Corp........................................ 68,000 3,417,000
McDonnell Douglas Corp................................ 20,700 1,332,563
McGraw-Hill Companies, Inc............................ 9,700 529,863
Mead Corp............................................. 5,200 331,500
Medtronic, Inc........................................ 23,500 1,739,000
Mellon Bank Corp...................................... 12,650 1,106,875
Mercantile Stores Co., Inc............................ 3,600 193,500
Merck & Co., Inc...................................... 117,800 10,587,275
Meredith Corp......................................... 5,100 131,963
Merrill Lynch & Co., Inc.............................. 16,200 1,717,200
*Micron Technology, Inc............................... 20,500 871,250
*Microsoft Corp....................................... 117,500 14,577,344
Millipore Corp........................................ 4,100 176,813
Minnesota Mining & Manufacturing Co................... 40,900 3,752,575
Mobil Corp............................................ 38,500 5,385,188
Monsanto Co........................................... 57,500 2,530,000
#Moore Corp., Ltd..................................... 8,500 189,125
#Morgan (J.P.) & Co., Inc............................. 18,200 1,956,500
Morgan Stanley Group, Inc............................. 14,700 992,250
*Morton International, Inc............................ 14,000 451,500
Motorola, Inc......................................... 58,000 3,849,750
Nacco Industries, Inc. Class A........................ 800 40,700
#Nalco Chemical Co.................................... 6,600 245,025
National City Corp.................................... 21,900 1,127,850
*National Semiconductor Corp.......................... 13,600 382,500
National Service Industries, Inc...................... 4,500 197,438
NationsBank Corp...................................... 71,176 4,190,487
*Navistar International Corp.......................... 7,170 119,201
New York Times Class A................................ 9,500 437,594
Newell Co............................................. 15,400 589,050
Newmont Mining Corp................................... 15,113 591,296
*Niagara Mohawk Power Corp............................ 14,200 124,250
Nicor, Inc............................................ 5,000 171,875
Nike, Inc. Class B.................................... 28,300 1,613,100
Noram Energy Corp..................................... 13,300 202,825
Nordstrom, Inc........................................ 7,800 374,888
Norfolk Southern Corp................................. 12,300 1,194,638
Northern States Power Co. MN.......................... 6,700 328,300
Northern Telecom, Ltd................................. 25,100 2,108,400
Northrop Grumman Corp................................. 5,700 483,075
Norwest Corp.......................................... 36,200 1,936,700
*Novell, Inc.......................................... 33,900 267,492
Nucor Corp............................................ 8,700 513,300
Nynex Corp............................................ 43,000 2,311,250
Occidental Petroleum Corp............................. 32,200 748,650
#Ohio Edison Co....................................... 14,900 316,625
Oneok, Inc............................................ 2,800 84,700
*Oracle Systems Corp.................................. 65,975 3,080,208
*Oryx Energy Co....................................... 10,200 235,875
Owens Corning......................................... 5,200 217,100
#PECO Energy Co....................................... 21,700 412,300
PG&E Corp. (Holding Co.).............................. 40,300 931,938
PNC Bank Corp......................................... 32,650 1,367,219
#PP&L Resources, Inc.................................. 15,800 317,975
PPG Industries, Inc................................... 18,000 1,046,250
Paccar, Inc........................................... 7,520 339,340
</TABLE>
122
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Pacific Enterprises................................... 8,400 $ 275,100
#PacifiCorp........................................... 28,900 574,388
Pall Corp............................................. 12,366 292,147
Panenergy Corp........................................ 14,700 687,225
*Parametric Technology Corp........................... 12,400 557,225
Parker-Hannifin Corp.................................. 7,150 376,269
#Penney (J.C.) Co., Inc............................... 24,200 1,246,300
Pennzoil Co........................................... 4,700 260,263
Peoples Energy Corp................................... 3,400 120,700
Pep Boys - Manny, Moe & Jack.......................... 5,800 181,250
Pepsico, Inc.......................................... 151,600 5,571,300
Perkin Elmer Corp..................................... 4,400 334,400
Pfizer, Inc........................................... 63,000 6,481,125
Pharmacia & Upjohn, Inc............................... 49,580 1,716,708
Phelps Dodge Corp..................................... 6,300 526,838
Philip Morris Companies, Inc.......................... 238,600 10,498,400
Phillips Petroleum Co................................. 25,700 1,092,250
Pioneer Hi-Bred International, Inc.................... 7,900 551,025
Pitney Bowes, Inc..................................... 14,500 1,018,625
Placer Dome, Inc...................................... 23,400 427,050
Polaroid Corp......................................... 4,600 234,600
Potlatch Corp......................................... 2,900 124,338
Praxair, Inc.......................................... 15,200 799,900
Procter & Gamble Co................................... 66,316 9,143,319
Providian Corp........................................ 9,200 550,850
#Public Service Enterprise Group, Inc................. 23,200 574,200
*Pulte Corp........................................... 2,100 66,413
Quaker Oats Co........................................ 13,400 552,750
Ralston Purina Group.................................. 10,300 878,075
Raychem Corp.......................................... 4,300 318,738
Raytheon Co........................................... 23,100 1,103,025
Reebok International, Ltd............................. 5,500 225,500
#Republic New York Corp............................... 5,500 548,625
Reynolds Metals Co.................................... 7,100 481,913
Rite Aid Corp......................................... 12,000 558,000
Rockwell International Corp........................... 21,400 1,380,300
Rohm & Haas Co........................................ 6,300 543,375
*Rowan Companies, Inc................................. 8,500 196,563
Royal Dutch Petroleum Co.............................. 52,200 10,192,050
#Rubbermaid, Inc...................................... 14,600 406,975
*Russell Corp......................................... 3,700 113,313
Ryder System, Inc..................................... 7,500 248,438
SBC Communications, Inc............................... 89,404 5,230,134
Safeco Corp........................................... 12,200 529,938
Safety Kleen Corp..................................... 5,800 90,625
*Saint Jude Medical, Inc.............................. 8,850 299,794
Saint Paul Companies, Inc............................. 8,200 587,325
Salomon, Inc.......................................... 10,500 563,063
*Santa Fe Energy Resources, Inc....................... 9,680 146,410
Sara Lee Corp......................................... 46,900 1,917,038
Schering-Plough Corp.................................. 36,100 3,276,075
Schlumberger, Ltd..................................... 24,000 2,859,000
*Schwab (Charles) Corp................................ 17,000 690,625
Scientific-Atlanta, Inc............................... 7,700 139,563
*#Seagate Technology, Inc............................. 24,100 979,063
#Seagram Co., Ltd..................................... 36,300 1,461,075
Sears, Roebuck & Co................................... 38,200 1,876,575
Service Corp. International........................... 23,000 810,750
Shared Medical Systems Corp........................... 2,400 126,450
Sherwin-Williams Co................................... 16,900 507,000
Sigma-Aldrich Corp.................................... 9,700 298,275
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Silicon Graphics, Inc................................ 17,200 $ 324,650
Snap-On, Inc.......................................... 6,000 239,250
Sonat, Inc............................................ 8,500 488,750
#Southern Co.......................................... 65,700 1,396,125
Southwest Airlines Co................................. 14,300 368,225
*Springs Industries, Inc. Class A..................... 1,850 93,656
Sprint Corp........................................... 42,000 2,052,750
Stanley Works......................................... 8,700 356,700
Stone Container Corp.................................. 9,600 132,000
Stride Rite Corp...................................... 5,000 76,250
Sun Co., Inc.......................................... 7,100 212,113
*Sun Microsystems..................................... 35,940 1,161,311
Suntrust Banks, Inc................................... 21,800 1,163,575
Supervalu, Inc........................................ 6,600 220,275
Sysco Corp............................................ 17,200 599,850
TJX Companies, Inc.................................... 7,500 360,000
TRW, Inc.............................................. 12,400 663,400
*Tandem Computers, Inc................................ 11,500 163,875
Tandy Corp............................................ 5,815 314,010
Tektronix, Inc........................................ 3,200 183,600
*Tele-Communications, Inc. Class A (TCI Group)........ 64,900 985,669
*Tellabs, Inc......................................... 17,500 880,469
Temple-Inland, Inc.................................... 5,400 326,700
*Tenet Healthcare Corp................................ 29,300 805,750
Tenneco, Inc.......................................... 16,800 751,800
Texaco, Inc........................................... 25,800 2,815,425
Texas Instruments, Inc................................ 18,700 1,680,663
Texas Utilities Co.................................... 21,900 752,813
Textron, Inc.......................................... 8,200 971,700
*Thermo-Electron Corp................................. 14,700 507,150
Thomas & Betts Corp................................... 5,300 269,638
*#Three COM Corp...................................... 17,300 836,888
#Time Warner, Inc..................................... 55,360 2,574,240
Times Mirror Co. Class A.............................. 9,000 505,125
Timken Co............................................. 3,100 212,738
Torchmark Corp........................................ 6,850 449,531
*Toys R Us, Inc....................................... 28,300 880,838
Transamerica Corp..................................... 6,500 590,688
*Transitional Hospitals Corp.......................... 118 1,873
Travelers Group, Inc.................................. 62,396 3,423,965
Tribune Co............................................ 12,100 523,325
Tupperware Corp....................................... 6,100 221,125
#Tyco International, Ltd.............................. 16,400 1,041,400
UNUM Corp............................................. 7,100 561,788
US Bancorp............................................ 14,700 903,131
US West, Inc. Communications Group Class.............. 46,700 1,710,388
*US West, Inc. Media Group Class...................... 61,000 1,212,375
*USAir Group, Inc..................................... 6,300 218,925
USF&G Corp............................................ 11,400 245,100
USLIFE Corp........................................... 3,325 162,094
UST, Inc.............................................. 18,100 515,850
USX-Marathon Group, Inc............................... 28,000 833,000
USX-US Steel Group.................................... 8,220 265,095
Unicom Corp., Inc..................................... 21,100 480,025
Unilever NV........................................... 15,600 3,022,500
Union Camp Corp....................................... 6,800 357,000
Union Carbide Corp.................................... 12,500 584,375
Union Electric Co..................................... 9,900 362,588
#Union Pacific Corp................................... 23,900 1,619,225
Union Pacific Resources Group, Inc.................... 24,376 703,857
</TABLE>
123
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Unisys Corp.......................................... 17,200 $ 118,250
United Healthcare Corp................................ 18,100 1,022,650
United States Surgical Corp........................... 6,800 229,500
United Technologies Corp.............................. 23,200 1,864,700
#Unocal Corp.......................................... 24,400 1,040,050
VF Corp............................................... 6,200 484,375
*Viacom, Inc. Class B................................. 34,634 1,028,197
Wachovia Corp......................................... 16,000 974,000
Wal-Mart Stores, Inc.................................. 224,100 6,666,975
Walgreen Co........................................... 24,000 1,122,000
Warner-Lambert Co..................................... 26,600 2,679,950
Waste Management, Inc................................. 44,200 1,403,350
Wells Fargo & Co...................................... 9,099 2,397,587
Wendy's International, Inc............................ 12,500 292,188
*Western Atlas, Inc................................... 5,100 346,163
Westinghouse Electric Corp............................ 58,800 1,190,700
Westvaco Corp......................................... 9,950 310,938
Weyerhaeuser Co....................................... 19,500 972,563
Whirlpool Corp........................................ 7,200 359,100
Whitman Corp.......................................... 10,100 243,663
Willamette Industries, Inc............................ 5,500 409,750
Williams Companies, Inc............................... 15,235 672,244
Winn-Dixie Stores, Inc................................ 14,800 566,100
*#Woolworth Corp...................................... 13,000 313,625
*Worldcom, Inc........................................ 84,420 2,506,219
Worthington Industries, Inc........................... 9,275 172,167
#Wrigley (Wm.) Jr. Co................................. 11,400 675,450
Xerox Corp............................................ 31,800 2,154,450
------------
TOTAL COMMON STOCKS (Cost $423,324,516)................ 635,547,775
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.5%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
6.00%, 08/15/99) (Cost $3,284,000).................. $ 3,284 3,284,000
------------
TOTAL INVESTMENTS -- (100.3%) (Cost $426,608,516)++.... 638,831,775
------------
OTHER ASSETS AND LIABILITIES -- (-0.3%)
Other Assets.......................................... 1,721,671
Payable for Investment Securities Purchased........... (3,293,550)
Other Liabilities..................................... (46,872)
------------
(1,618,751)
------------
NET ASSETS -- (100.0%)................................. $637,213,024
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
124
<PAGE>
THE ENHANCED U.S. LARGE COMPANY SERIES
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
UNITED STATES -- (57.7%)
COMMERCIAL PAPER -- (30.0%)
Barton Capital Corp. C.P.
5.540%, 06/25/97.................................... 910 $ 906,639
BellSouth Capital Funding C.P.
5.540%, 06/06/97.................................... 1,000 999,231
Campbell Soup Co. C.P.
5.540%, 06/06/97.................................... 1,000 999,231
Enterprise Funding Corp. C.P.
5.600%, 06/02/97.................................... 300 299,953
5.600%, 06/16/97.................................... 700 698,367
McKenna Triangle National Corp. C.P.
5.600%, 07/07/97.................................... 250 248,626
Novartis Finance Corp. C.P.
5.490%, 06/04/97.................................... 870 869,602
Paccar Financial Corp. C.P.
5.600%, 06/02/97.................................... 1,000 999,844
Triple-A-One Plus Funding Corp. C.P.
5.530%, 06/16/97.................................... 1,000 997,696
Union Bank of Switzerland C.P.
5.600%, 06/02/97.................................... 790 789,877
------------
TOTAL COMMERCIAL PAPER (Cost $7,809,040)............... 7,809,066
------------
BONDS -- (15.5%)
Associates Corp of North America Corporate Bonds
6.680%, 05/10/99.................................... 1,000 1,004,200
Australia & New Zealand Banking Group
6.500%, 12/30/98.................................... 1,000 1,003,300
Chubu Electric Power Corp., Inc.
8.250%, 09/25/98.................................... 1,000 1,022,100
Denmark (Kingdom of)
5.450%, 09/24/98.................................... 1,000 990,800
------------
TOTAL BONDS
(Cost $4,029,878).................................... 4,020,400
------------
AGENCY OBLIGATIONS -- (3.9%)
Federal Agriculture Mortgage Corp.
7.200%, 10/15/98 (Cost $1,018,714).................. 1,000 1,013,983
------------
VARIABLE RATE OBLIGATIONS -- (3.8%)
American Express Centurion Bank
5.718%, 06/05/97 (Cost $1,000,000).................. 1,000 1,000,000
------------
U.S. TREASURY OBLIGATIONS -- (3.8%)
U.S. Treasury Bills
++5.060%, 07/31/97 (Cost $991,567)............... 1,000 992,494
------------
SHARES VALUE+
------------ ------------
COMMON STOCKS -- (0.7%)
Standard & Poors Depository Receipts (Cost
$170,602)........................................... 2,000 $ 170,250
------------
TOTAL -- UNITED STATES (Cost $15,019,801).............. 15,006,193
------------
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
CANADA -- (27.8%)
BONDS -- (27.8%)
Alberta (Province of)
6.000%, 03/01/99.................................... 1,000 741,183
Bayerische Landesbank Girozentrale
8.375%, 11/23/98.................................... 1,000 762,546
Canada (Government of)
4.000%, 03/15/99.................................... 1,000 719,386
General Electric Capital Corp. Series B & C Euro Medium
Term Notes
6.375%, 11/09/98.................................... 1,000 741,545
Kellogg Co.
6.250%, 10/12/98.................................... 1,000 738,649
Minnesota Mining & Manufacturing Co.
6.500%, 10/15/98.................................... 1,500 1,112,318
Norway (Kingdom of)
7.250%, 10/22/98.................................... 1,000 749,946
Norwest Financial Canada, Inc.
6.250%, 12/21/98.................................... 1,238 922,874
World Bank (International Bank for Reconstruction and
Development)
6.250%, 10/15/98.................................... 1,000 740,821
------------
TOTAL BONDS
(Cost $7,406,962).................................... 7,229,268
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Canadian Dollars (Cost $38).......................... 38
------------
TOTAL -- CANADA
(Cost $7,407,000).................................... 7,229,306
------------
NETHERLANDS -- (6.2%)
BONDS -- (6.2%)
Austria (Republic of)
6.500%, 05/07/99.................................... 1,000 547,185
European Investment Bank
5.000%, 02/16/99.................................... 1,000 530,501
Netherlands (Kingdom of)
6.500%, 01/15/99.................................... 1,000 544,056
------------
TOTAL BONDS
(Cost $1,661,379).................................... 1,621,742
------------
</TABLE>
125
<PAGE>
THE ENHANCED U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $4)........................ $ 3
------------
TOTAL -- NETHERLANDS
(Cost $1,661,383).................................... 1,621,745
------------
GERMANY -- (5.1%)
BONDS -- (5.1%)
Bank voor Nederlandsche Gemeenten BNG Euro Medium Term
Notes
4.250%, 04/09/99.................................... 1,000 589,818
Suedwestdeutsche Landesbank Giro & Suedwestlb Capital
Markets P.L.C.
6.500%, 04/26/99.................................... 1,191 731,047
------------
TOTAL BONDS
(Cost $1,324,188).................................... 1,320,865
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $1,704)........................... 1,726
------------
TOTAL -- GERMANY
(Cost $1,325,892).................................... 1,322,591
------------
AUSTRALIA -- (1.5%)
BONDS -- (1.5%)
Rural and Industries Bank of Western Australia
6.500%, 10/29/98 (Cost $397,633).................... 500 383,589
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $12)......................... 11
------------
TOTAL -- AUSTRALIA
(Cost $397,645)...................................... 383,600
------------
VALUE+
------------
FRANCE -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs (Cost $333)............................ $ 301
------------
JAPAN -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $21).............................. 22
------------
UNITED KINGDOM -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling (Cost $4)..................... 4
------------
TOTAL INVESTMENTS -- (98.3%)
(Cost $25,812,079)++................................. 25,563,762
------------
OTHER ASSETS AND LIABILITIES -- (1.7%)
Other Assets.......................................... 1,311,249
Unrealized Gain on Forward Currency Contracts......... 75,750
Payable for Investment Securities Purchased........... (920,178)
Other Liabilities..................................... (12,790)
------------
454,031
------------
NET ASSETS -- (100%) Applicable to 2,282,844
Outstanding $.01 Par Value Shares (Unlimited Number
of Shares Authorized)................................ $ 26,017,793
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 11.40
------------
------------
- --------------------
+See Note B to Financial Statements.
=/=Face amount of securities pledged as margin requirement for open futures
contracts.
*Non-Income Producing Securities
@Denominated in local currency.
++Approximates cost for federal income tax purposes.
</TABLE>
126
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
COMMON STOCKS -- (97.5%)
*3-D Systems Corp.................................... 92,000 $ 667,000
AAR Corp............................................. 155,400 4,817,400
*ACX Technologies, Inc............................... 221,200 4,700,500
*AEP Industries, Inc................................. 25,150 1,177,334
*AG Services America, Inc............................ 2,900 46,400
APL, Ltd............................................. 119,250 3,607,312
*APS Holding Corp. Class A........................... 116,300 1,155,731
*AST Research, Inc................................... 353,506 1,850,383
Aames Financial Corp................................. 12,000 154,500
*#Aasche Transportation Services, Inc................ 31,000 154,031
Abington Bancorp, Inc................................ 15,500 366,187
Abrams Industries, Inc............................... 10,000 58,750
*Abraxas Petroleum Corp.............................. 55,000 725,312
*Accell International Corp........................... 53,000 159,000
*Acceptance Insurance Companies, Inc................. 168,100 3,530,100
*Access Beyond, Inc.................................. 30,400 151,050
*Acclaim Entertainment, Inc.......................... 77,700 320,512
Aceto Corp........................................... 39,840 537,840
*Acme Metals, Inc.................................... 93,100 1,419,775
*Acme United Corp.................................... 8,700 51,656
Acordia, Inc......................................... 24,000 852,000
*Adage, Inc.......................................... 41,754 168,321
*Adam Software, Inc.................................. 3,000 5,625
*Adflex Solutions, Inc............................... 7,300 119,537
*Advanced Logic Research, Inc........................ 104,300 1,153,819
*Advanced Marketing Services, Inc.................... 47,500 492,812
*Advanced Technology Labs, Inc....................... 100,827 3,938,555
Advantage Bancorp, Inc............................... 25,725 1,000,059
Advest Group, Inc.................................... 80,200 1,303,250
*Aeroflex, Inc....................................... 99,100 396,400
*Aerosonic Corp. DE.................................. 9,200 109,250
*Aerovox, Inc........................................ 60,800 292,600
Affiliated Community Bancorp......................... 6,800 195,925
*Air Methods Corp.................................... 67,900 184,603
Airborne Freight Corp................................ 199,600 7,634,700
*Airways Corp........................................ 14,600 75,737
*Alamco, Inc......................................... 31,100 474,275
*Alarmguard Holdings, Inc............................ 10,000 65,000
*#Alaska Air Group, Inc.............................. 131,500 3,271,062
*Alba-Waldensian, Inc................................ 4,700 23,500
Albank Financial Corp................................ 85,080 3,275,580
*Aldila, Inc......................................... 129,500 639,406
Alfa Corp............................................ 58,900 750,975
Alico, Inc........................................... 22,400 431,200
*Alkermes, Inc....................................... 78,000 1,287,000
*Allegro New Media, Inc.............................. 23,052 57,630
Alliance Bancorp..................................... 28,372 833,427
*Alliance Entertainment Corp......................... 67,600 59,150
*#Alliance Semiconductor Corp........................ 284,100 2,361,581
Allied Group, Inc.................................... 24,500 973,875
Allied Healthcare Products, Inc...................... 64,000 384,000
*Allied Holdings, Inc................................ 61,900 611,262
Allied Life Financial Corp........................... 31,600 537,200
*Allied Research Corp................................ 49,500 414,562
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
*Allou Health & Beauty Care, Inc. Class A............ 43,200 $ 256,500
*Allstate Financial Corp............................. 20,900 125,400
*Allwaste, Inc....................................... 270,600 2,266,275
*Aloette Cosmetics, Inc.............................. 17,300 52,981
*Alpha Industries, Inc............................... 87,200 643,100
*Alpha Microsystems, Inc............................. 28,500 39,187
*Alpha Technologies Group, Inc....................... 53,700 157,744
Alpharma, Inc. Class A............................... 122,500 2,051,875
*Alteon, Inc......................................... 13,400 51,925
Amcast Industrial Corp............................... 69,400 1,700,300
Amcore Financial, Inc................................ 37,900 1,065,937
*America Services Group, Inc......................... 18,000 191,250
*America West Holdings Corp. Class B................. 289,900 4,457,212
American Annuity Group, Inc.......................... 60,850 1,133,331
American Bank of Connecticut......................... 22,200 765,900
*American Banknote Corp.............................. 157,800 670,650
American Biltrite, Inc............................... 30,900 689,456
*American Classic Voyages Co......................... 1,100 11,619
American Eagle Group, Inc............................ 75,600 47,250
*American Eagle Outfitters, Inc...................... 99,600 1,126,725
*American Ecology Corp............................... 51,900 71,362
*American Exploration Co............................. 34,800 452,400
*American Freightways Corp........................... 472,000 6,431,000
American Heritage Life Investment Corp............... 124,300 3,604,700
*American Homepatient, Inc........................... 200 3,850
American Indemnity Financial Corp.................... 14,200 181,050
*American Medical Electronics, Inc. (Escrow-Bonus)... 20,800 0
*American Medical Electronics, Inc.
(Escrow-Earnings).................................. 20,800 0
*American Mobile Satellite Corp...................... 186,200 1,652,525
*American Oilfield Divers, Inc....................... 41,800 470,250
*American Pacific Corp............................... 67,700 437,934
*American Physicians Services Group, Inc............. 38,000 256,500
*American Software, Inc. Class A..................... 122,100 896,672
*#American Technical Ceramics Corp................... 32,100 397,237
American Vanguard Corp............................... 7,040 54,120
*American Waste Services, Inc. Class A............... 200,900 351,575
American Woodmark Corp............................... 35,010 571,101
Americana Bancorp, Inc............................... 23,300 366,974
*Ameristar Casinos, Inc.............................. 30,900 169,950
*Ameriwood Industries International Corp............. 34,900 250,844
Ameron, Inc.......................................... 33,300 1,848,150
*Ames Department Stores, Inc......................... 169,700 1,373,509
*Amistar Corp........................................ 29,200 157,862
Ampco-Pittsburgh Corp................................ 133,100 1,746,937
*Amrep Corp.......................................... 74,992 281,220
*Amresco, Inc........................................ 10,000 175,000
*Amtech Corp......................................... 143,700 772,387
*Amtran, Inc......................................... 102,900 887,512
</TABLE>
127
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
Amvestors Financial Corp............................. 137,348 $ 2,420,758
Amwest Insurance Group, Inc.......................... 28,050 399,712
Analogic Corp........................................ 79,500 2,578,781
Analysis & Technology, Inc........................... 19,200 283,200
*Anaren Microwave, Inc............................... 35,800 349,050
Anchor Bancorp Wisconsin, Inc........................ 29,925 1,290,516
Andover Bancorp, Inc. DE............................. 47,760 1,373,100
Angelica Corp........................................ 163,400 2,941,200
*#Ann Taylor Stores Corp............................. 223,400 5,194,050
*Ansaldo Signal N.V.................................. 69,550 399,912
*Antec Corp.......................................... 327,800 4,015,550
*Anuhco, Inc......................................... 53,700 483,300
*Apertus Technologies, Inc........................... 107,400 159,422
*Apogee, Inc......................................... 77,500 329,375
*Applied Extrusion Technologies, Inc................. 85,700 1,017,687
Applied Industrial Technologies, Inc................. 17,100 600,637
*Applied Signal Technologies, Inc.................... 64,700 454,922
Aquila Gas Pipeline Corp............................. 40,000 590,000
*#Arcadia Financial, Ltd............................. 255,000 2,645,625
*Arch Communications Group, Inc...................... 220,400 1,749,425
*Arden Industrial Products, Inc...................... 59,200 310,800
*Argosy Gaming Corp.................................. 355,800 1,111,875
*Arkansas Best Corp.................................. 219,000 1,307,156
*Armco, Inc.......................................... 225,000 843,750
*Arrow Automotive Industries, Inc.................... 21,600 72,900
Arrow Financial Corp................................. 5,234 133,467
*Artisoft, Inc....................................... 119,100 297,750
*Artistic Greetings, Inc............................. 40,600 177,625
Arvin Industries, Inc................................ 180,000 4,995,000
*Asante Technologies, Inc............................ 39,700 155,078
*Aseco Corp.......................................... 29,500 372,437
Ashland Coal, Inc.................................... 105,000 2,808,750
*Ashworth, Inc....................................... 7,400 65,906
*Astec Industries, Inc............................... 85,400 1,003,450
Astoria Financial Corp............................... 133,400 5,486,075
Astro-Med, Inc....................................... 40,675 373,702
*Astronics Corp...................................... 20,625 132,773
*Astrosystems, Inc................................... 31,600 169,850
*Astrotech International Corp........................ 83,800 439,950
*Asyst Technologies, Inc............................. 38,200 1,525,612
*Atchison Casting Corp............................... 58,000 993,250
*Athey Products Corp................................. 17,140 73,916
*Atkinson (Guy F.) of California..................... 85,900 595,931
*Atlantic Gulf Communities Corp...................... 102,200 574,875
*Atlantic Tele-Network, Inc.......................... 97,900 1,223,750
*Atlantis Plastics, Inc.............................. 60,000 427,500
Atrion Corp.......................................... 26,750 362,797
*Au Bon Pain, Inc. Class A........................... 81,900 516,994
*Audiovox Corp. Class A.............................. 137,300 901,031
*Autoimmune, Inc..................................... 22,000 50,187
*Autoinfo, Inc....................................... 64,100 114,178
*Autologic Information International, Inc............ 7,100 36,831
*Avatar Holdings, Inc................................ 22,400 730,800
*#Avatex Corp........................................ 189,340 213,007
*Aviall, Inc......................................... 127,500 1,880,625
*Avid Technology, Inc................................ 143,400 3,369,900
*Avondale Industries, Inc............................ 121,400 2,291,425
*Aydin Corp.......................................... 51,200 576,000
*Aztar Corp.......................................... 559,700 3,917,900
Aztec Manufacturing Co............................... 45,000 551,250
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
*BEC Group, Inc...................................... 8,380 $ 37,710
BEI Electronics, Inc................................. 59,200 518,000
*BF Enterprises, Inc................................. 2,300 20,125
BHC Financial, Inc................................... 60,800 2,101,400
*BI, Inc............................................. 107,300 741,041
*BMC West Corp....................................... 98,300 1,308,619
*BPI Packaging Technologies, Inc..................... 78,200 145,403
*BRC Holdings, Inc................................... 11,900 440,300
BSB Bancorp, Inc..................................... 69,800 2,403,737
BT Financial Corp.................................... 26,284 1,044,789
*BTU International, Inc.............................. 51,500 202,781
*BWAY Corp........................................... 50,800 1,104,900
*Back Bay Restaurant Group, Inc...................... 31,600 130,350
Badger Meter, Inc.................................... 21,200 530,000
Badger Paper Mills, Inc.............................. 10,400 80,600
Bairnco Corp......................................... 77,900 555,037
Baker (J.), Inc...................................... 155,818 1,266,021
*Baker (Michael) Corp................................ 62,500 433,594
Baldwin & Lyons, Inc. Class B........................ 1,600 28,400
*Baldwin Piano & Organ Co............................ 27,000 371,250
*Baldwin Technology, Inc. Class A.................... 166,900 458,975
*Bally Total Fitness Holding Corp.................... 48,175 394,433
*Baltek Corp......................................... 4,500 34,031
*Bancinsurance Corp.................................. 22,000 89,375
Bancorp Connecticut, Inc............................. 21,500 532,125
*Bank Plus Corp...................................... 17,000 182,750
*Bank United Financial Corp. Class A................. 19,900 195,269
#BankAtlantic Bancorp, Inc. Class A.................. 45,910 619,785
BankAtlantic Bancorp, Inc. Class B................... 86,231 1,191,066
Bankers Corp......................................... 96,340 2,432,585
BankNorth Group, Inc. DE............................. 27,200 1,193,400
*Banner Aerospace, Inc............................... 310,500 2,484,000
*Banyan System, Inc.................................. 153,000 282,094
*Barry (R.G.) Corp................................... 18,000 209,250
*Basin Exploration, Inc.............................. 90,600 656,850
Bassett Furniture Industries, Inc.................... 108,050 2,708,003
Bay View Capital Corp................................ 49,000 2,468,375
*Bayou Steel Corp. Class A........................... 90,100 292,825
*Be Aerospace, Inc................................... 111,100 2,680,287
*Beazer Homes USA, Inc............................... 111,200 1,709,700
*Bel Fuse, Inc....................................... 42,600 591,075
*Belden & Blake Corp................................. 94,600 2,524,637
*Bell Industries, Inc................................ 61,135 1,138,639
*Bell Microproducts, Inc............................. 70,700 790,956
*Bell Sports Corp.................................... 148,500 965,250
*Bellwether Exploration Co........................... 69,600 691,650
*Ben & Jerry's Homemade, Inc. Class A................ 55,400 747,900
*Berlitz International, Inc.......................... 79,100 1,888,512
*Bertuccis, Inc...................................... 99,100 588,406
*Best Buy Co., Inc................................... 261,400 3,561,575
Bindley Western Industries, Inc...................... 94,800 2,085,600
Binks Sames Corp..................................... 30,918 1,306,285
*Bio Vascular, Inc................................... 7,000 34,125
*Bio-Rad Laboratories, Inc. Class A.................. 15,400 392,700
*Bird Corp........................................... 18,800 71,675
Birmingham Steel Corp................................ 339,500 5,432,000
*Biscayne Apparel, Inc............................... 2,093 2,093
*Black Hawk Gaming & Development, Inc................ 22,400 127,400
</TABLE>
128
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
Blair Corp........................................... 107,100 $ 1,726,987
Blessings Corp....................................... 46,300 486,150
*Blowout Entertainment, Inc.......................... 7,553 10,385
*Bluegreen Corp...................................... 164,898 515,306
Bob Evans Farms, Inc................................. 234,100 3,321,294
*Boca Research, Inc.................................. 73,100 477,434
*Bombay Co., Inc..................................... 359,100 1,615,950
*Bon-Ton Stores, Inc................................. 106,900 691,509
*Books-a-Million, Inc................................ 123,300 631,912
*Boomtown, Inc....................................... 77,600 625,650
*Borland International, Inc.......................... 149,900 1,077,406
Bowl America, Inc. Class A........................... 45,000 315,000
Bowne & Co., Inc..................................... 136,516 4,078,415
*Boyd Gaming Corp.................................... 322,100 1,892,337
*Brauns Fashions Corp................................ 22,200 181,762
*Brazos Sportswear, Inc.............................. 4,190 38,234
Brenton Banks, Inc................................... 786 20,239
*Brite Voice Systems, Inc............................ 2,000 16,500
*Brock International, Inc............................ 45,700 182,800
*Brookstone, Inc..................................... 62,200 536,475
*Brothers Gourmet Coffees, Inc....................... 94,000 205,625
*Brown & Sharpe Manufacturing Co. Class A............ 62,700 893,475
Brown Group, Inc..................................... 297,200 5,349,600
Brush Wellman, Inc................................... 132,900 2,824,125
*Buckhead America Corp............................... 5,700 39,544
*Buffets, Inc........................................ 55,000 491,562
*Buffton Corp........................................ 53,800 134,500
*Builders Transport, Inc............................. 42,900 113,953
*Bull Run Corp. GA................................... 64,900 146,025
*Burlington Coat Factory Warehouse Corp.............. 322,500 5,764,687
*Burlington Industries, Inc.......................... 12,000 132,000
*Burr Brown Corp..................................... 69,300 2,169,956
*Butler International, Inc........................... 23,200 274,050
*Buttrey Food & Drug Stores Co....................... 70,700 742,350
CFX Corp............................................. 59,796 1,001,583
*CMC Industries, Inc................................. 11,200 85,400
CML Group, Inc....................................... 326,300 774,962
CPB, Inc............................................. 38,000 1,339,500
CPI Corp............................................. 100,800 1,890,000
*CS Short Co......................................... 1,770 6,637
*CSP, Inc............................................ 29,200 208,050
*CSS Industries, Inc................................. 17,900 539,237
CTS Corp............................................. 60,100 4,146,900
CU Bancorp........................................... 46,200 693,000
Cadmus Communications Corp........................... 65,800 929,425
*Caere Corp.......................................... 21,900 179,306
*Calcomp Technology, Inc............................. 25,200 53,550
*#Caldor Corp........................................ 111,100 166,650
California Financial Holding Corp.................... 38,830 1,145,485
*California Microwave, Inc........................... 157,700 1,921,969
Calmat Co............................................ 188,800 3,752,400
*Calumet Bancorp, Inc................................ 18,000 690,750
*Cambridge Soundworks, Inc........................... 24,300 118,462
*Campo Eletronics, Appliances & Computers, Inc....... 43,900 41,842
*Canandaigua Wine Co., Inc. Class A.................. 87,400 2,714,862
*Canisco Resources, Inc.............................. 5,700 10,687
Cape Cod Bank & Trust Co............................. 11,200 326,900
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
*Capital Pacific Holdings, Inc....................... 39,950 $ 107,366
Capital Re Corp...................................... 132,900 5,830,987
Capitol Bancorp, Ltd................................. 31,570 505,120
Capsure Holdings Corp................................ 130,600 1,632,500
*Cardinal Realty Services, Inc....................... 15,500 375,875
*Cardiotech International, Inc....................... 15,572 28,224
*Care Group, Inc..................................... 71,130 73,353
*Carmike Cinemas, Inc. Class A....................... 42,400 1,473,400
#Carnegie Bancorp.................................... 18,195 312,727
Carolina First Corp.................................. 26,522 411,091
Carpenter Technology Corp............................ 56,600 2,447,950
*Carr-Gottstein Foods Co............................. 100,657 490,703
*Carson Pirie Scott & Co............................. 136,900 4,415,025
Carter-Wallace, Inc.................................. 237,800 3,923,700
*Carver Corp. WA..................................... 16,200 22,781
Cash America International, Inc...................... 224,100 2,184,975
*Casino America, Inc................................. 323,400 757,969
*Casino Data Systems................................. 150,000 656,250
*Casino Magic Corp................................... 151,600 213,187
*Castle & Cooke, Inc................................. 2,800 42,700
*Catalina Lighting, Inc.............................. 85,700 310,662
*Catalyst Semiconductor, Inc......................... 66,700 133,400
*Catherines Stores Corp.............................. 114,400 493,350
Cato Corp. Class A................................... 371,700 1,858,500
*Cayenne Software, Inc............................... 52,100 172,581
*Celadon Group, Inc.................................. 100,000 1,125,000
*Celebrity, Inc...................................... 51,500 170,594
*Cell Genesys, Inc................................... 35,500 199,687
*Cellpro, Inc........................................ 23,800 151,725
*Cellstar Corp....................................... 15,200 544,350
Cenfed Financial Corp................................ 46,222 1,331,771
Cenit Bancorp, Inc................................... 13,300 585,200
*Centennial Cellular Corp. Class A................... 139,800 1,974,675
*Centigram Communications Corp....................... 86,800 992,775
Central & Southern Holding Co........................ 14,700 245,306
Central Co-Operative Bank Somerville, MA............. 17,900 299,825
Central Reserve Life Corp............................ 26,600 142,975
*Central Sprinkler Corp.............................. 31,900 661,925
Centris Group, Inc................................... 46,800 883,350
*Cephalon, Inc....................................... 48,600 604,462
*Ceradyne, Inc....................................... 11,100 52,031
*Chancellor Broadcasting Co. Class A................. 4,800 164,400
Chaparral Steel Co................................... 225,500 3,382,500
*Charming Shoppes, Inc............................... 694,800 3,669,412
*Chart House Enterprises, Inc........................ 72,500 507,500
Charter Financial, Inc............................... 25,500 454,219
Charter Power Systems, Inc........................... 10,000 337,500
*Check Technology Corp............................... 7,600 47,975
*#Checkers Drive-In Restaurant, Inc.................. 100 119
*Checkpoint System, Inc.............................. 84,700 1,206,975
Chemed Corp.......................................... 16,000 584,000
*Chemfab Corp........................................ 16,050 288,900
Chemfirst, Inc....................................... 40,100 1,037,587
*Cherry Corp. Class A................................ 48,700 575,269
*Cherry Corp. Class B................................ 32,500 396,094
Chesapeake Corp...................................... 6,000 201,000
Chester Valley Bancorp............................... 757 14,383
*Chic by His, Inc.................................... 75,800 521,125
#Chicago Rivet & Machine Co.......................... 5,900 275,825
</TABLE>
129
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
*Children's Discovery Centers of America, Inc. Class
A.................................................. 76,200 $ 557,212
*Chips & Technologies, Inc........................... 19,300 212,300
Chittenden Corp...................................... 30,820 924,600
*Chock Full O' Nuts Corp............................. 107,323 630,523
*Christiana Companies, Inc........................... 60,000 2,040,000
*Chrysalis International Corp........................ 65,000 278,281
*Cidco, Inc.......................................... 112,600 1,632,700
*Cincinnati Microwave, Inc........................... 18,500 18
*Cinergi Pictures Entertainment, Inc................. 73,700 56,427
*Circon Corp......................................... 26,500 339,531
*Circuit Systems, Inc................................ 42,500 237,734
*Cirrus Logic, Inc................................... 7,500 90,469
*Citadel Holding Corp................................ 50,600 164,450
*Citation Computer System, Inc....................... 11,200 70,700
*Citation Corp....................................... 143,000 2,136,062
Citfed Bancorp, Inc.................................. 48,400 1,784,750
Citizens Banking Corp................................ 59,600 1,944,450
*Civic Bancorp....................................... 35,900 428,556
*Clean Harbors, Inc.................................. 117,500 176,250
Cleveland Cliffs, Inc................................ 131,300 5,547,425
*Clintrials Research, Inc............................ 286,300 2,845,106
*Coast Distribution System........................... 85,100 276,575
*Coast Savings Financial, Inc........................ 61,000 2,600,125
Coastal Bancorp, Inc................................. 43,100 1,163,700
*Coastal Physician Group, Inc........................ 185,000 173,437
*#Coastcast Corp..................................... 18,500 242,812
*Cobra Electronic Corp............................... 51,300 157,106
Coca-Cola Bottling Co. Consolidated.................. 9,700 431,650
*Code-Alarm, Inc..................................... 23,200 53,650
*Coeur d'Alene Mines Corp. ID........................ 175,000 2,384,375
*Coherent, Inc....................................... 36,800 1,596,200
*Coho Energy, Inc.................................... 270,200 2,541,569
Collagen Corp........................................ 72,100 1,225,700
Collective Bancorp, Inc.............................. 43,600 1,874,800
Collins Industries, Inc.............................. 12,500 71,094
*Columbia Banking System, Inc........................ 32,697 600,807
*Columbus Energy Corp................................ 16,700 175,350
*Comdial Corp........................................ 71,700 488,456
Commercial Bancshares, Inc........................... 24,045 396,742
Commercial Federal Corp.............................. 34,294 1,196,003
Commercial Intertech Corp............................ 91,600 1,190,800
Commercial Metals Co................................. 133,800 3,963,825
*Commonwealth Industries, Inc........................ 9,100 172,900
*Communications Central, Inc......................... 57,200 586,300
Community Bank System, Inc........................... 58,000 1,355,750
Community Bankshares, Inc. NH........................ 20,500 717,500
Community Trust Bancorp, Inc......................... 29,370 726,907
Computer Data Systems, Inc........................... 18,700 513,081
*Computer Outsourcing Services, Inc.................. 33,600 159,600
*Computrac, Inc...................................... 25,900 38,850
*Comshare, Inc....................................... 14,250 194,156
*Comstock Resources, Inc............................. 5,900 60,475
*Comtech Telecommunications Corp..................... 19,600 73,500
*#Concord Fabrics, Inc. Class A...................... 16,400 108,650
*Cone Mills Corp. NC................................. 250,400 2,159,700
*Conmed Corp......................................... 198,561 3,760,249
*Continental Can, Inc. DE............................ 32,400 627,750
Continental Homes Holding Corp....................... 58,248 953,811
*Continental Materials Corp.......................... 2,300 50,456
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
*Control Data Systems, Inc........................... 81,800 $ 1,180,987
*Convest Energy Corp................................. 10,000 75,000
Cooker Restaurant Corp............................... 150,000 1,725,000
*Cooperative Bankshares, Inc......................... 10,400 223,600
*Copart, Inc......................................... 52,900 826,562
*Copley Pharmaceutical, Inc.......................... 54,600 354,900
*Coram Healthcare Corp............................... 34,300 94,325
Core Industries, Inc................................. 106,000 1,908,000
*Core, Inc........................................... 7,400 60,587
*Cornerstone Imaging, Inc............................ 72,000 612,000
*Corrpro Companies, Inc.............................. 54,800 472,650
*Cortech, Inc........................................ 71,900 58,419
*Cosmetic Centers, Inc. Class C...................... 8,646 38,906
Courier Corp......................................... 15,600 276,900
*Cover-All Technologies, Inc......................... 50,000 75,000
*Craig Corp.......................................... 37,300 629,437
*Criticare Systems, Inc.............................. 53,900 303,187
*Crop Growers Corp................................... 64,200 629,962
Cross (A.T.) Co. Class A............................. 94,500 1,051,312
*Crosscomm Corp...................................... 78,100 741,950
*Crowley, Milner & Co................................ 18,000 127,125
*Crown Books Corp.................................... 20,300 253,750
*Crown Central Petroleum Corp. Class A............... 40,300 544,050
*Crown Central Petroleum Corp. Class B............... 43,300 560,194
Crown Crafts, Inc.................................... 78,300 812,362
*Crown Vantage, Inc.................................. 4,820 42,476
*Crown-Andersen, Inc................................. 13,600 88,400
*Cruise America, Inc................................. 45,500 233,187
Cubic Corp........................................... 74,250 1,744,875
Culp, Inc............................................ 8,100 140,737
Curtiss-Wright Corp.................................. 43,600 2,534,250
*Custom Chrome, Inc.................................. 62,500 750,000
*Cyberoptics Corp.................................... 42,900 713,212
*Cybex International, Inc............................ 42,300 433,575
*Cyrk, Inc........................................... 90,600 1,058,887
*Cytrx Corp.......................................... 63,500 261,937
*D&N Financial Corp.................................. 49,700 891,494
*DBA Systems, Inc.................................... 40,600 230,912
*DII Group, Inc...................................... 52,200 1,650,825
*DIY Home Warehouse, Inc............................. 71,400 272,212
*DM Management Co.................................... 32,300 278,587
*DSP Group, Inc...................................... 7,300 102,656
*DSP Technology, Inc................................. 13,600 78,200
DT Industries, Inc................................... 50,000 1,587,500
*DVI, Inc............................................ 68,500 916,187
*Dairy Mart Convenience Stores, Inc. Class A......... 9,000 52,875
*Daka International, Inc............................. 98,000 1,231,125
*Damark International, Inc. Class A.................. 68,800 1,057,800
Dames & Moore, Inc................................... 149,300 1,754,275
Daniel Industries, Inc............................... 145,700 1,948,737
*Danskin, Inc........................................ 29,600 40,700
Dart Group Corp. Class A............................. 5,600 557,200
*Data Broadcasting Corp.............................. 63,870 315,358
*Data General Corp................................... 34,100 728,887
*Data I/O Corp....................................... 57,400 333,637
*Data Race, Inc...................................... 29,800 443,275
*Data Systems & Software, Inc........................ 69,300 355,162
*Data Translation, Inc............................... 8,250 30,422
</TABLE>
130
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
*Dataflex Corp....................................... 51,200 $ 169,600
*Datakey, Inc........................................ 19,100 52,525
*Dataram Corp........................................ 26,600 272,650
*Datascope Corp...................................... 12,000 229,500
*Dataware Technologies, Inc.......................... 52,200 179,437
*Datron Systems, Inc................................. 25,600 262,400
*Datum, Inc.......................................... 27,000 659,812
*Davco Restaurants, Inc.............................. 42,800 395,900
*#Dave and Busters, Inc.............................. 2,140 48,417
*Dawson Geophysical Co............................... 36,600 484,950
Daxor Corp........................................... 44,000 418,000
*DeGeorge Financial Corp............................. 19,900 25,497
Deb Shops, Inc....................................... 102,500 442,031
*Deckers Outdoor Corp................................ 75,800 563,762
Decorator Industries, Inc............................ 13,333 153,329
Defiance, Inc........................................ 52,200 378,450
*Deflecta-Shield Corp................................ 39,400 359,525
*Del Global Technologies Corp........................ 64,477 572,233
*Delaware Ostego Corp................................ 1,214 25,342
Delchamps, Inc....................................... 88,200 2,442,037
Delta Natural Gas Co., Inc........................... 19,500 329,062
*Delta Woodside Industries, Inc...................... 201,500 1,183,812
*Designs, Inc........................................ 167,600 712,300
*Detection Systems, Inc.............................. 30,000 555,000
*Detrex Corp......................................... 2,800 24,150
*Detroit Diesel Corp................................. 89,500 1,969,000
*Devcon International Corp........................... 37,400 198,687
*Devlieg-Bullard, Inc................................ 6,600 20,419
*Dianon Systems, Inc................................. 40,000 367,500
*Digi International, Inc............................. 112,000 1,015,000
*Digital Sound Corp.................................. 25,000 29,687
Dime Financial Corp.................................. 38,900 884,975
*Discount Auto Parts, Inc............................ 141,000 2,626,125
*Dixie Group, Inc.................................... 97,300 802,725
*#Dixon Ticonderoga Co............................... 27,250 289,531
*Dominion Bridge Corp................................ 137,100 201,366
*Dominion Homes, Inc................................. 53,000 245,125
Donegal Group, Inc................................... 34,000 843,625
Donnelly Corp. Class A............................... 78,250 1,330,250
*Donnkenny, Inc...................................... 112,000 455,000
*Dotronix, Inc....................................... 1,000 1,062
*Dover Downs Entertainment, Inc...................... 13,000 248,625
Downey Financial Corp................................ 252,527 5,050,540
*Dress Barn, Inc..................................... 170,223 2,915,069
*Drug Emporium, Inc.................................. 111,500 487,812
*Drypers Corp........................................ 49,400 302,575
*Durakon Industries, Inc............................. 107,400 1,047,150
Duty Free International, Inc......................... 51,700 807,812
Dyersburg Corp....................................... 108,700 869,600
Dynamics Corp. of America............................ 62,300 3,597,825
*Dynamics Research Corp.............................. 51,964 464,428
*Dynatech Corp....................................... 41,800 1,567,500
*E-Z-Em, Inc. Class A................................ 33,900 279,675
*E-Z-Em, Inc. Class B................................ 2,473 18,857
*EA Engineering Science & Technology, Inc............ 55,825 104,672
*#EA Industries, Inc................................. 44,400 105,450
*ECC International Corp.............................. 67,100 444,537
*EIS International, Inc.............................. 132,800 896,400
*ELXSI Corp.......................................... 27,900 176,119
EMC Insurance Group, Inc............................. 33,600 407,400
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
*ERO, Inc............................................ 8,800 $ 97,900
*ESCO Electronics Corp. Trust Receipts............... 193,400 2,006,525
Eagle Bancshares, Inc................................ 38,400 619,200
Eagle Financial Corp................................. 38,537 1,059,767
*Eagle Food Centers, Inc............................. 74,300 464,375
*Eagle Hardware & Garden, Inc........................ 129,400 3,113,687
Eastern Bancorp, Inc................................. 25,800 675,637
Eastern Co........................................... 19,600 249,900
Eaton Vance Corp..................................... 159,846 3,936,208
Ecology & Environment, Inc. Class A.................. 18,300 146,400
*#Edison Brothers Stores, Inc........................ 44,500 30,594
*Edisto Resources Corp............................... 102,200 1,022,000
Edo Corp............................................. 31,500 216,562
*#Education Alternatives, Inc........................ 60,000 270,000
*Educational Insights, Inc........................... 49,300 92,437
*Egghead, Inc........................................ 224,625 1,052,930
Ekco Group, Inc...................................... 214,300 1,098,287
*El Chico Restaurants, Inc........................... 40,900 260,737
Elcor Corp........................................... 15,700 439,600
*Electro Rent Corp................................... 39,000 916,500
*Electro Scientific Industries, Inc.................. 51,700 1,951,675
*Electroglas, Inc.................................... 147,500 3,715,156
*Electromagnetic Sciences, Inc....................... 66,350 1,268,944
*Electronic Fab Technology, Inc...................... 34,700 225,550
*Elek-Tek, Inc....................................... 49,300 80,112
*Emcon............................................... 86,700 292,612
*Empire of Carolina, Inc............................. 87,550 235,291
*Emulex Corp......................................... 11,750 237,937
Energen Corp......................................... 116,300 3,837,900
Engineered Support Systems, Inc...................... 24,500 323,094
#Engle Homes, Inc.................................... 53,800 494,287
Enhance Financial Services Group, Inc................ 141,100 5,890,925
*Enstar, Inc......................................... 20,866 103,026
*Environmental Elements Corp......................... 30,300 66,281
*Enviroq Corp........................................ 2,420 4,840
*Envirotest Systems Corp. Class A.................... 98,100 187,003
*Equinox Systems, Inc................................ 32,500 341,250
*Equitex, Inc........................................ 9,400 17,037
*Equitrac Corp....................................... 26,500 352,781
*Equity Oil Co....................................... 122,000 350,750
Espey Manufacturing & Electronics Corp............... 3,500 59,937
*Esterline Technologies Corp......................... 63,600 1,915,950
*Evans & Sutherland Computer Corp.................... 76,100 1,997,625
*Evans Systems, Inc.................................. 23,585 78,125
*Evans, Inc.......................................... 20,800 17,550
Evergreen Bancorp, Inc. DE........................... 63,100 954,387
*Evergreen Resources, Inc............................ 39,000 360,750
*Exabyte Corp........................................ 115,000 1,602,812
*Exar Corp........................................... 74,100 1,375,481
Excel Industries, Inc................................ 85,900 1,556,937
*Executone Information Systems, Inc.................. 86,900 176,516
#Exide Corp.......................................... 168,600 3,688,125
*Exide Electronics Group, Inc........................ 146,000 1,669,875
*Ezcorp, Inc. Class A Non-Voting..................... 80,000 640,000
FCB Financial Corp................................... 18,200 436,800
FDP Corp............................................. 10,500 76,125
</TABLE>
131
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
FFLC Bancorp......................................... 20,500 $ 563,750
FFY Financial Corp................................... 42,100 1,099,862
*FM Properties, Inc.................................. 97,700 354,162
FNB Rochester Corp................................... 30,300 443,137
*FPA Corp............................................ 20,100 15,075
*FSI International, Inc.............................. 181,200 2,514,150
*FTP Software, Inc................................... 142,200 808,762
Fab Industries, Inc.................................. 67,081 2,096,281
*Fabri-Centers of America, Inc. Class A.............. 35,700 838,950
*Fabri-Centers of America, Inc. Class B.............. 35,700 763,087
*Failure Group, Inc.................................. 59,100 354,600
*Fairchild Corp. Class A............................. 113,700 1,861,837
*Fansteel, Inc....................................... 74,700 550,912
*Farah, Inc.......................................... 163,600 1,451,950
Farmer Brothers Co................................... 84 10,836
*Farr Co............................................. 34,800 511,125
Farrel Corp.......................................... 47,800 164,312
Federal Screw Works.................................. 2,000 80,000
*Fibermark, Inc...................................... 41,550 856,969
*Fibreboard Corp..................................... 71,200 3,871,500
Fidelity Bancorp, Inc. Delaware...................... 23,600 451,350
*Fieldcrest Cannon, Inc.............................. 104,600 1,961,250
*Fifty-Off Stores, Inc............................... 42,600 852
*Figgie International, Inc. Class B.................. 17,700 201,337
*Filenes Basement Corp............................... 196,900 1,230,625
*Filenet Corp........................................ 5,200 85,800
*Financial Bancorp., Inc............................. 25,000 425,000
Fingerhut Companies, Inc............................. 55,500 978,187
First Albany Companies, Inc.......................... 27,492 353,959
*First Alert, Inc.................................... 191,900 473,753
First American Financial Corp........................ 106,700 3,801,187
*First Cash, Inc..................................... 30,100 180,600
First Central Financial Corp......................... 49,600 68,200
First Citizens Bancshares, Inc. NC................... 30,400 2,599,200
*First Citizens Financial Corp....................... 20,716 577,458
First Commonwealth Financial Corp.................... 9,500 184,062
First Defiance Financial Corp........................ 72,700 1,017,800
First Essex Bancorp.................................. 54,500 933,312
First Federal Capital Corp........................... 43,740 1,295,797
First Federal Savings & Loan Association of East
Hartford, CT....................................... 22,600 562,175
First Financial Corp. of Western Maryland............ 15,000 545,625
First Financial Corp. WI............................. 15,000 420,937
First Financial Holdings, Inc........................ 50,300 1,326,662
First Indiana Corp................................... 53,522 1,077,130
First Liberty Financial Corp......................... 47,850 1,025,784
*#First Merchants Acceptance Corp.................... 65,300 358,130
First Northern Capital Corp.......................... 40,700 814,000
First Oak Brook Bancshares, Inc. Class A............. 14,500 431,375
First Palm Beach Bancorp, Inc........................ 40,800 1,208,700
*First Republic Bancorp, Inc......................... 64,603 1,292,060
First Savings Bancorp, Inc. North Carolina........... 29,500 580,781
First Savings Bank................................... 46,800 979,875
First Southeast Financial Corp....................... 52,400 563,300
*#First Team Sports, Inc............................. 85,600 615,250
First Western Bancorp, Inc........................... 12,800 443,200
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
Firstbank of Illinois Co............................. 1,200 $ 45,150
Firstfed Bancshares, Inc............................. 32,550 589,969
*FirstFed Financial Corp. DE......................... 95,700 2,607,825
*Fischer Imaging Corp................................ 80,600 518,862
Fleming Companies, Inc............................... 143,297 2,722,643
Flexsteel Industries, Inc............................ 57,400 663,687
Florida Rock Industries, Inc......................... 82,900 2,777,150
*Florsheim Group, Inc................................ 66,900 581,194
Fluke Corp........................................... 48,310 2,409,461
*Fluor Daniel/GTI, Inc............................... 15,822 110,754
*Foilmark, Inc....................................... 23,200 83,375
*Foodarama Supermarkets, Inc......................... 12,400 234,825
*Foothill Independent Bancorp........................ 36,220 495,761
Forest City Enterprises, Inc. Class A................ 66,600 2,938,725
*Foster (L.B.) Co. Class A........................... 81,000 326,531
*Four Kids Entertainment, Inc........................ 17,000 48,875
Franklin Bank National Associaton Southfield, MI..... 27,960 368,722
*Franklin Electronic Publishers, Inc................. 64,600 654,075
Freds, Inc. Class A.................................. 88,500 1,189,219
Fremont General Corp................................. 99,590 3,498,099
*Fresh Choice, Inc................................... 55,200 205,275
Friedman Industries, Inc............................. 55,517 340,042
*Friedmans, Inc. Class A............................. 94,200 1,760,362
Frisch's Restaurants, Inc............................ 58,905 861,486
*Funco, Inc.......................................... 34,300 550,944
*Fuqua Enterprises, Inc.............................. 36,400 700,700
Furon Co............................................. 21,900 558,450
*Fusion Systems Corp................................. 64,000 1,996,000
*G-III Apparel Group, Ltd............................ 50,700 299,447
GBC Bancorp.......................................... 48,200 1,717,125
*GC Companies, Inc................................... 33,700 1,432,250
*GNI Group, Inc...................................... 42,700 261,537
*GTI Corp............................................ 113,200 742,875
*GZA Geoenvironmental Technologies, Inc.............. 36,500 99,234
*Galey & Lord, Inc................................... 105,400 1,857,675
*Galileo Corp........................................ 57,700 414,719
Gamma Biologicals, Inc............................... 45,500 190,531
*Gantos, Inc......................................... 64,950 192,820
Garan, Inc........................................... 58,000 1,152,750
*Garden Fresh Restaurant Corp........................ 14,500 142,281
*Garnet Resources Corp............................... 39,600 13,612
*Gasonics International, Inc......................... 19,200 230,400
*Gehl Co............................................. 53,500 829,250
*General Communications, Inc. Class A................ 10,000 69,687
*General Datacomm Industries, Inc.................... 170,300 1,532,700
*General Host Corp................................... 314,370 943,110
General Housewares Corp.............................. 38,700 387,000
*General Microwave Corp.............................. 400 2,750
*Genesco, Inc........................................ 29,500 405,625
*#Geneva Steel Co. Class A........................... 202,100 479,987
*Genicom Corp........................................ 90,400 556,525
*Genlyte Group, Inc.................................. 85,500 1,106,156
Genovese Drug Stores, Inc. Class A................... 8,250 131,484
*Genus, Inc.......................................... 135,000 780,469
Geon Co.............................................. 26,000 565,500
George Mason Bankshares, Inc......................... 15,000 312,187
*Geoscience Corp..................................... 50,000 468,750
Gerber Scientific, Inc............................... 339,500 6,408,062
</TABLE>
132
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
*Getty Petroleum Marketing, Inc...................... 1,000 $ 4,750
Getty Realty Corp.................................... 1,000 16,750
*Giant Group, Ltd.................................... 50,600 354,200
Giant Industries, Inc................................ 154,900 2,246,050
*Gibraltar Packaging Group, Inc...................... 67,200 210,000
*Gibson Greetings, Inc............................... 134,300 2,895,844
Giddings & Lewis, Inc................................ 274,100 5,173,637
*Giga-Tronics, Inc................................... 19,900 148,006
*Gish Biomedical, Inc................................ 28,800 146,700
Gleason Corp......................................... 46,900 1,741,162
*Global Industrial Technologies, Inc................. 71,100 1,315,350
*Global Village Communication, Inc................... 92,200 325,581
*Golden Books Family Entertainment, Inc.............. 78,800 886,500
Golden Poultry Co., Inc.............................. 95,150 1,290,472
*Good Guys, Inc...................................... 218,300 1,282,512
Gorman-Rupp Co....................................... 9,100 161,525
*Gottschalks, Inc.................................... 83,700 481,275
*Government Technology Services, Inc................. 55,900 272,512
*Gradco Systems, Inc................................. 78,000 326,625
*Graham Corp......................................... 25,950 386,006
Graham-Field Health Products, Inc.................... 92,400 981,750
*Grand Casinos, Inc.................................. 331,900 4,273,212
Grand Premier Financial, Inc......................... 54,907 655,452
Granite Construction, Inc............................ 146,350 2,927,000
Granite State Bankshares, Inc........................ 22,800 400,425
Graphic Industries, Inc.............................. 93,500 1,022,656
Greater New York Savings Bank NY..................... 101,800 1,959,650
Green (A.P.) Industries, Inc......................... 67,394 623,394
Greenbrier Companies, Inc............................ 189,900 2,136,375
*Greyhound Lines, Inc................................ 254,000 1,063,625
*Grist Mill & Co..................................... 56,200 367,056
*Grossmans, Inc...................................... 154,000 24,062
*Ground Round Restaurants, Inc....................... 83,900 124,539
*Group Technologies Corp............................. 105,000 144,375
*Gryphon Holdings, Inc............................... 54,300 800,925
Guaranty National Corp............................... 60,405 1,298,707
*Guest Supply, Inc................................... 54,800 493,200
Guilford Mills, Inc.................................. 188,400 3,697,350
*Gulfmark Offshore, Inc.............................. 22,200 419,025
*Gundle/SLT Environmental, Inc....................... 182,900 960,225
*HCIA, Inc........................................... 2,000 50,000
HF Financial Corp.................................... 24,200 474,925
*HMG Worldwide Corp.................................. 50,700 49,116
HMI Industries, Inc.................................. 9,000 52,312
*HMN Financial, Inc.................................. 38,700 856,237
*HPSC, Inc........................................... 42,000 254,625
*HS Resources, Inc................................... 171,800 2,491,100
*Hadco Corp.......................................... 12,500 750,781
Haggar Corp.......................................... 68,200 916,437
*Hahn Automotive Warehouse, Inc...................... 38,746 305,125
*Hampshire Group, Ltd................................ 19,100 290,081
*Hampton Industries, Inc............................. 36,690 288,934
*Handleman Co........................................ 270,436 1,791,638
Handy & Harman....................................... 98,007 1,629,366
*Hanger Orthopedic Group, Inc........................ 55,600 496,925
*Harding Lawson Associates Group, Inc................ 51,700 355,437
Harleysville Group, Inc.............................. 120,600 4,356,675
Harris Savings Bank PA............................... 4,800 98,400
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
*Harry's Farmers Market, Inc. Class A................ 35,600 $ 140,175
*Hartmarx Corp....................................... 349,700 3,453,287
*Harvey Entertainment Co............................. 36,600 427,762
Harvey's Casino Resorts.............................. 108,300 1,827,562
Haskel International, Inc............................ 37,600 376,000
Hastings Manufacturing Co............................ 850 22,472
*Hathaway Corp....................................... 35,300 92,662
*Hauser, Inc......................................... 88,700 543,287
Haven Bancorp, Inc................................... 37,600 1,278,400
Haverty Furniture Co., Inc........................... 140,100 1,654,931
*Hawthorne Financial Corp............................ 22,000 247,500
*Hays Wheels International, Inc...................... 23,900 516,837
*Health Risk Management, Inc......................... 15,300 179,775
*Healthcare Services Group, Inc...................... 74,000 837,125
*Healthplan Services Corp............................ 17,540 293,795
*Hechinger Co. Class A............................... 333,100 416,375
*Hechinger Co. Class B............................... 85,500 267,187
*Hector Communications Corp.......................... 8,500 80,219
Heico Corp........................................... 19,544 434,854
Heilig-Meyers Co..................................... 253,150 4,176,975
*Hein-Werner Corp.................................... 18,886 132,202
*Heist (C.H.) Corp................................... 16,800 109,200
*Hello Direct, Inc................................... 15,000 96,562
*Herley Industries, Inc.............................. 15,400 179,987
*Hi-Lo Automotive, Inc............................... 126,700 332,587
*Hi-Shear Industries, Inc............................ 53,500 133,750
*Hi-Tech Pharmacal, Inc.............................. 36,300 176,962
*High Plains Corp.................................... 131,900 461,650
*Hitox Corp.......................................... 9,100 32,419
Hoenig Group, Inc.................................... 81,500 432,969
*Holiday RV Superstores, Inc......................... 60,800 115,900
*Hologic, Inc........................................ 19,600 466,725
*Holopak Technologies, Inc........................... 27,800 79,925
Home Federal Bancorp................................. 23,250 624,844
Home Port Bancorp, Inc............................... 14,500 284,562
*Home Products International, Inc.................... 4,900 45,631
*Home State Holdings, Inc............................ 79,500 37,266
*Homecorp, Inc....................................... 5,100 108,375
*Homeowners Group, Inc............................... 21,600 41,175
Hooper Holmes, Inc................................... 38,800 853,600
Horizon Financial Corp............................... 58,765 892,493
*Horizon/CMS Healthcare Corp......................... 12,000 219,000
*Hospital Staffing Services, Inc..................... 53,700 130,894
*Hovnanian Enterprises, Inc. Class A................. 211,784 1,257,467
#Howell Corp......................................... 34,200 577,125
Howell Industries, Inc............................... 1,600 55,800
Hudson Foods, Inc. Class A........................... 322,250 5,115,719
Hudson General Corp.................................. 32,900 1,316,000
Huffy Corp........................................... 107,700 1,400,100
Hughes Supply, Inc................................... 75,500 2,887,875
*Hugoton Energy Corp................................. 291,000 3,255,562
Hunt (J.B.) Transport Services, Inc.................. 130,100 1,959,631
Huntco, Inc. Class A................................. 74,500 996,437
*Hurco Companies, Inc................................ 9,700 53,350
*Hycor Biomedical, Inc............................... 71,700 134,437
*Hyde Athletic Industries, Inc. Class A.............. 19,800 97,762
*Hyde Athletic Industries, Inc. Class B.............. 30,000 146,250
*ICF Kaiser International, Inc....................... 28,200 66,975
</TABLE>
133
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
ICO, Inc............................................. 175,700 $ 873,009
*ICU Medical, Inc.................................... 70,200 618,637
*IEC Electronics Corp................................ 60,400 713,475
*IFR Systems, Inc.................................... 26,000 411,125
*IHOP Corp........................................... 33,900 955,556
*IPC Information Systems, Inc........................ 8,900 107,912
*ITC Learning Corp................................... 28,200 133,950
*ITI Technologies, Inc............................... 300 4,819
*Immulogic Pharmaceutical Corp....................... 49,700 195,694
*Imo Industries, Inc................................. 20,900 62,700
*Imperial Bancorp.................................... 54,010 1,343,499
*Imperial Holly Corp................................. 147,000 1,800,750
*In Focus Systems, Inc............................... 24,000 622,500
*In Home Health, Inc................................. 116,200 174,300
*#Inacom Corp........................................ 89,000 2,875,812
*Inco Homes Corp..................................... 156 600
*Incstar Corp........................................ 18,200 110,622
*Indenet, Inc........................................ 46,000 66,125
Independence Holding Co.............................. 52,600 456,962
Independent Bank Corp. MA............................ 61,200 650,250
Independent Bank East................................ 13,230 362,998
Indiana Federal Corp................................. 31,950 834,694
Industrial Acoustics Co., Inc........................ 700 6,387
*Information Resources, Inc.......................... 77,600 1,164,000
Ingles Market, Inc. Class A.......................... 87,400 1,256,375
*Innodata Corp....................................... 11,600 7,975
*Innoserv Technologies, Inc.......................... 13,700 26,972
Insituform East, Inc................................. 31,200 86,775
*Insituform Technologies, Inc. Class A............... 163,900 1,003,887
Insteel Industries, Inc.............................. 71,800 556,450
Instron Corp......................................... 49,100 613,750
*Insurance Auto Auctions, Inc........................ 90,400 717,550
Integrated Health Services, Inc...................... 140,250 5,049,000
*Integrated Silicon Solution, Inc.................... 500 4,891
*Integrated Waste Services, Inc...................... 47,400 14,812
*Intellicall, Inc.................................... 29,500 136,437
*Intelligent Electronics, Inc........................ 224,039 595,104
*Intelligent Systems Corp............................ 40,675 167,784
*Inter-Tel, Inc...................................... 22,700 357,525
Intercargo Corp...................................... 30,100 308,525
*Intercel, Inc....................................... 216,400 2,921,400
*Interface Systems, Inc.............................. 35,800 118,587
Interface, Inc. Class A.............................. 132,600 3,058,087
*Intergraph Corp..................................... 327,100 2,299,922
*Interlinq Software Corp............................. 52,800 207,075
*International Alliance Services, Inc................ 37,960 346,385
International Aluminum Corp.......................... 33,600 882,000
*International Lottery & Totalizer Systems, Inc...... 9,600 13,650
International Multifoods Corp........................ 241,400 6,819,550
*International Rectifier Corp........................ 23,500 393,625
*International Remote Imaging Systems, Inc........... 3,000 12,375
International Shipholding Corp....................... 70,475 1,206,884
*International Technology Corp....................... 84,225 610,631
*International Thoroughbred Breeders, Inc............ 89,900 404,550
*Interphase Corp..................................... 37,000 291,375
Interpool, Inc....................................... 97,000 1,358,000
Interra Financial, Inc............................... 90,650 3,943,275
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
Interstate Johnson Lane, Inc......................... 38,200 $ 744,900
*Intertan, Inc....................................... 100,800 378,000
*Intervisual Books, Inc. Class A..................... 9,900 17,944
Interwest Bancorp.................................... 17,600 607,200
Investors Financial Services Corp.................... 5,408 191,308
Investors Financial Services Corp. Class A........... 1,039 36,755
Investors Title Co................................... 18,200 266,175
Isco, Inc............................................ 15,800 128,375
*Isolyser Co., Inc................................... 181,200 713,475
*Isomedix, Inc....................................... 59,700 932,812
*Iwerks Entertainment, Inc........................... 97,300 437,850
*J & J Snack Foods Corp.............................. 74,500 1,070,937
J & L Specialty Steel, Inc........................... 272,700 3,476,925
*J. Alexander's Corp................................. 44,400 366,300
*JPE, Inc............................................ 40,100 270,675
JSB Financial, Inc................................... 80,800 3,514,800
Jackpot Enterprises, Inc............................. 73,400 779,875
*Jaclyn, Inc......................................... 26,900 114,325
*Jaco Electronics, Inc............................... 33,146 223,736
Jacobson Stores, Inc................................. 58,650 538,847
*Jan Bell Marketing, Inc............................. 213,900 481,275
*Jason, Inc.......................................... 190,700 1,191,875
*Jean Philippe Fragrances, Inc....................... 64,300 377,763
Jefferson Savings Bancorp, Inc....................... 30,000 862,500
John Alden Financial Corp............................ 351,200 7,463,000
*Johnson Worldwide Associates, Inc. Class A.......... 122,100 1,518,619
Johnston Industries, Inc............................. 107,925 741,984
*Johnstown American Industries, Inc.................. 117,900 626,344
*Jones Intercable, Inc............................... 41,900 453,044
*Jones Intercable, Inc. Class A...................... 323,100 3,473,325
*Jos. A. Bank Clothiers, Inc......................... 117,300 439,875
*Jumbosports, Inc.................................... 256,000 1,120,000
*Just Toys, Inc...................................... 14,000 17,938
Justin Industries, Inc............................... 215,000 2,526,250
K Swiss, Inc. Class A................................ 30,400 402,800
*K-Tron International, Inc........................... 6,300 81,900
*KBK Capital Corp.................................... 5,000 25,625
*KLLM Transport Services, Inc........................ 36,099 444,469
*Kaiser Ventures, Inc................................ 84,000 803,250
Kaman Corp. Class A.................................. 245,800 3,364,388
Katy Industries, Inc................................. 135,800 2,121,875
Kaye Group, Inc...................................... 30,000 148,125
Keithley Instruments, Inc............................ 1,000 9,125
Kellwood Co.......................................... 175,518 4,585,408
Kenan Transport Co................................... 200 4,050
*Kentucky Electric Steel, Inc........................ 32,600 179,300
*Kerr Group, Inc..................................... 33,000 78,375
Kewaunee Scientific Corp............................. 20,200 124,988
*#Key Energy Group, Inc.............................. 15,000 247,500
*Key Production Co., Inc............................. 63,962 607,639
*Key Tronic Corp..................................... 71,100 417,713
*Keystone Consolidated Industries, Inc............... 76,186 685,674
*Kimmins Corp........................................ 12,600 46,463
*Kinark Corp......................................... 42,600 143,775
Kinetic Concepts, Inc................................ 3,900 65,325
*Kinnard Investment, Inc............................. 50,600 300,438
*Kit Manufacturing Co................................ 11,100 106,838
Klamath First Bancorp, Inc........................... 97,400 1,789,725
</TABLE>
134
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
Knape & Vogt Manufacturing Co........................ 46,531 $ 744,496
*Koss Corp........................................... 21,700 206,150
*Krug International Corp............................. 35,400 183,638
*Krystal Co.......................................... 24,000 120,000
*Kulicke & Soffa Industries, Inc..................... 32,500 1,098,906
LCS Industries, Inc.................................. 13,200 207,900
LSB Industries, Inc.................................. 99,500 447,750
LSI Industries, Inc.................................. 13,230 198,450
*LTX Corp............................................ 278,200 1,721,363
La-Z-Boy, Inc........................................ 12,000 412,500
*#Laboratory Corp. of America Holdings, Inc.......... 188,000 540,500
*Laclede Steel Co.................................... 28,600 116,188
*Ladd Furniture, Inc................................. 73,227 961,104
*Laidlaw Environmental Services, Inc................. 648,134 1,863,385
*Lamson & Sessions Co................................ 134,700 1,043,925
*Landair Services, Inc............................... 16,200 226,800
*Landrys Seafood Restaurants, Inc.................... 9,300 171,469
*Laserscope.......................................... 61,000 381,250
Lawyers Title Corp................................... 112,112 2,018,016
*Layne Christensen Co................................ 29,600 640,100
*Learning Co., Inc................................... 465,000 3,313,125
*Leasing Solutions, Inc.............................. 9,600 144,000
*Lechters, Inc....................................... 226,400 841,925
Lennar Corp.......................................... 190,350 4,996,688
Liberty Bancorp, Inc. Oklahoma....................... 67,700 3,397,694
*Liberty Technologies, Inc........................... 39,000 131,625
*Life USA Holdings, Inc.............................. 171,900 2,073,544
*Lifeline Systems, Inc............................... 19,500 348,563
*Ligand Pharmaceuticals, Inc. Class B................ 25,497 299,590
Lillian Vernon Corp.................................. 95,300 1,500,975
*Lindal Cedar Homes, Inc............................. 8,000 32,750
Lindberg Corp........................................ 64,800 567,000
*Liuski International, Inc........................... 30,700 41,253
*#Live Entertainment, Inc............................ 6,740 38,123
*Lodgenet Entertainment Corp......................... 87,000 951,563
*#Logic Devices, Inc................................. 50,900 117,706
*Loronix Information Systems, Inc.................... 38,800 126,100
*Louis Dreyfus Natural Gas Corp...................... 187,200 2,971,800
Lufkin Industries, Inc............................... 53,700 1,272,019
Lukens, Inc. DE...................................... 143,300 2,812,263
*Luria (L.) & Son, Inc............................... 75,800 170,550
*Lynch Corp.......................................... 2,300 196,075
*M-Wave, Inc......................................... 24,800 55,800
*#M.H. Meyerson & Co., Inc........................... 43,100 212,806
M/A/R/C, Inc......................................... 5,002 92,537
MAF Bancorp, Inc..................................... 78,177 3,263,890
*MAIC Holdings, Inc.................................. 13,500 513,000
MDC Holdings, Inc.................................... 151,988 1,291,898
MFB Corp............................................. 7,200 138,600
*MFRI, Inc........................................... 45,100 363,619
*MHM Services, Inc................................... 712 534
*MI Schottenstein Homes, Inc......................... 93,800 1,031,800
*MK Gold Corp........................................ 140,100 240,797
MMI Companies, Inc................................... 79,200 1,881,000
*MRS Technology, Inc................................. 67,600 70,769
*MS Carriers, Inc.................................... 134,000 2,772,125
*MTI Technology Corp................................. 87,000 396,938
MTS Systems Corp..................................... 71,600 1,839,225
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
MYR Group, Inc....................................... 30,966 $ 449,007
*Macheezmo Mouse Restaurants, Inc.................... 25,000 13,672
Magna Bancorp........................................ 1,800 42,188
*Magnetek, Inc....................................... 25,100 439,250
*Mapinfo Corp........................................ 58,100 646,363
Marcus Corp.......................................... 92,500 2,266,250
*Marine Drilling Companies, Inc...................... 50,300 1,009,144
*Mariner Health Group, Inc........................... 240,000 2,865,000
*Marisa Christina, Inc............................... 92,000 874,000
Maritrans, Inc....................................... 143,700 1,059,788
*Mark VII, Inc....................................... 9,900 298,238
*Marker International................................ 115,000 503,125
*Marlton Technologies, Inc........................... 17,100 59,850
Marsh Supermarkets, Inc. Class A..................... 31,700 423,988
Marsh Supermarkets, Inc. Class B..................... 37,800 503,213
*Marshall Industries................................. 49,400 1,796,925
Maryland Federal Bancorp............................. 28,665 1,089,270
Massbank Corp. Reading, MA........................... 22,100 926,819
*Matec Corp. DE...................................... 6,900 31,266
*Material Sciences Corp.............................. 127,500 1,785,000
*Matlack Systems, Inc................................ 94,642 697,985
*Matria Healthcare, Inc.............................. 22,800 102,600
*Matrix Pharmaceutical, Inc.......................... 171,000 1,186,313
*Matrix Service Co................................... 94,900 800,719
*Mattson Technology, Inc............................. 3,900 41,194
*Maverick Tube Corp.................................. 44,000 1,322,750
*Maxco, Inc.......................................... 33,500 236,594
*Maxim Group, Inc.................................... 35,000 400,313
*Maxwell Technologies, Inc........................... 38,290 756,228
*Maxxam, Inc......................................... 73,600 3,238,400
*Maxxim Medical, Inc................................. 125,900 1,841,288
*Maynard Oil Co...................................... 39,300 550,200
McDonald & Co. Investment, Inc....................... 29,000 1,112,875
*McFarland Energy, Inc............................... 52,300 676,631
McGrath Rent Corp.................................... 80,000 1,450,000
McRae Industries, Inc. Class A....................... 1,000 8,500
*Medalliance, Inc. Liquidating Trust Escrow.......... 39,500 0
*Medaphis Corp....................................... 317,600 2,520,950
Medford Savings Bank MA.............................. 38,100 1,038,225
*Media 100, Inc...................................... 69,300 402,806
*#Media Logic, Inc................................... 20,100 61,556
*Medical Action Industries, Inc...................... 19,000 59,969
*Medical Graphics Corp............................... 27,800 114,675
*Medical Resources, Inc.............................. 29,356 407,315
*Medicore, Inc....................................... 13,100 33,569
*Mediq, Inc.......................................... 5,200 38,350
*Medstone International, Inc......................... 14,500 112,375
*Melamine Chemicals, Inc............................. 44,000 517,000
*Mentor Graphics Corp................................ 12,000 90,750
Mercer International, Inc............................ 106,800 1,221,525
Merchants Bancorp, Inc............................... 19,700 741,213
Merchants Group, Inc................................. 25,600 489,600
*Meridian Data, Inc.................................. 78,400 325,850
Meridian Insurance Group, Inc........................ 47,000 699,125
*#Merisel, Inc....................................... 335,800 598,144
*Merix Corp.......................................... 49,500 792,000
Merrimac Industries, Inc............................. 10,700 124,388
*Mesa Air Group, Inc................................. 430,100 2,163,941
*#Mesa, Inc.......................................... 125,100 688,050
</TABLE>
135
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
*Mesaba Holdings, Inc................................ 27,100 $ 399,725
*Mestek, Inc......................................... 13,500 263,250
*Metal Management, Inc............................... 15,900 140,119
*Metatec Corp. Class A............................... 100,600 308,088
*Metra Biosystems, Inc............................... 31,500 153,563
*Metrocall, Inc...................................... 231,000 1,126,125
*Metromedia International Group, Inc................. 60,000 656,250
*Michael Anthony Jewelers, Inc....................... 69,300 225,225
Michael Foods, Inc................................... 173,981 2,468,355
*Michaels Stores, Inc................................ 254,400 5,008,500
*Micro Warehouse, Inc................................ 224,600 3,860,313
*Microage, Inc....................................... 153,300 2,768,981
*Microdyne Corp...................................... 8,100 47,588
*Micronics Computers, Inc............................ 119,500 343,563
*Microtest, Inc...................................... 72,000 301,500
*Microwave Power Dynamics, Inc....................... 117,900 353,700
Mid America Banccorp................................. 75,522 1,576,522
Midconn Bank Kensington, CT.......................... 15,700 367,969
Middlesex Water Co................................... 7,500 125,156
*Midisoft Corp....................................... 35,000 40,469
Midland Co........................................... 5,600 261,100
*Midwest Grain Products, Inc......................... 80,700 938,138
Mikasa, Inc.......................................... 139,900 1,661,313
*Mikohn Gaming Corp.................................. 120,100 510,425
*Miller Building Systems, Inc........................ 27,300 208,163
*Miltope Group, Inc.................................. 57,100 203,419
Mine Safety Appliances Co............................ 37,600 2,335,900
Minuteman International, Inc......................... 9,000 85,500
*#Mobilemedia Corp. Class A.......................... 88,500 45,633
*Molecular Dynamics, Inc............................. 40,000 575,000
*Monaco Coach Corp................................... 12,800 283,200
*Monarch Casino and Resort, Inc...................... 5,200 15,925
Monarch Machine Tool Co.............................. 34,900 261,750
*Moog, Inc. Class A.................................. 54,000 1,356,750
*Moog, Inc. Class B.................................. 12,800 328,000
*Moore Handley, Inc.................................. 2,000 6,000
*Moore Medical Corp.................................. 42,100 473,625
*Moore Products Co................................... 23,700 536,213
*#Moovies, Inc....................................... 98,200 561,581
*Morgan Products, Ltd................................ 82,600 733,075
*#Morrow Snowboards, Inc............................. 22,500 88,594
*Mosaix, Inc......................................... 43,100 598,013
*Mother's Work, Inc.................................. 67,000 510,875
*Motivepower Industries, Inc......................... 100,700 1,403,506
*Motor Club of America............................... 5,600 77,350
Movado Group, Inc.................................... 43,000 962,125
*Movie Gallery, Inc.................................. 176,000 1,155,000
*Moviefone, Inc. Class A............................. 29,500 208,344
Mueller (Paul) Co.................................... 3,900 138,938
*Mueller Industries, Inc............................. 39,000 1,555,125
*Multi Color Corp.................................... 7,600 48,450
*Multigraphics, Inc.................................. 20,000 47,500
*Musicland Stores Corp............................... 263,000 526,000
*Mutual Savings Bank FSB Bay City, MI................ 34,200 280,013
NAC RE Corp.......................................... 51,600 2,057,550
*NAI Technologies, Inc............................... 26,700 143,513
NBT Bancorp.......................................... 65,361 1,356,241
NCH Corp............................................. 28,900 1,882,113
*NPS Pharmaceuticals, Inc............................ 45,000 466,875
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
*NS Group, Inc....................................... 122,000 $ 854,000
*NSA International, Inc.............................. 51,800 93,888
NSC Corp............................................. 79,900 144,819
NYMAGIC, Inc......................................... 132,700 2,571,063
Nacco Industries, Inc. Class A....................... 72,383 3,682,485
*Nantucket Industries, Inc........................... 6,500 9,750
*Napco Security Systems, Inc......................... 35,700 180,731
Nash Finch Co........................................ 90,700 1,791,325
*Nashua Corp......................................... 64,300 747,488
*Nathans Famous, Inc................................. 37,600 115,150
*National Auto Credit, Inc........................... 402,690 3,926,228
*National City Bancorp............................... 67,260 1,387,227
*National Energy Group, Inc.......................... 53,510 170,563
National Gas & Oil Co................................ 37,555 330,953
*National Home Centers, Inc.......................... 54,500 97,078
*National Home Health Care Corp...................... 38,916 228,632
National Insurance Group............................. 24,400 169,275
*National Media Corp................................. 7,500 55,313
*National Mercantile Bancorp......................... 2,400 3,600
*National Patent Development Corp.................... 82,315 601,928
*National Picture and Frame Co....................... 83,000 907,813
National Presto Industries, Inc...................... 60,900 2,298,975
*National Record Mart, Inc........................... 4,000 6,188
*National Standard Co................................ 8,100 56,700
*National Steel Corp. Class B........................ 170,100 2,296,350
National Technical Systems, Inc...................... 37,400 143,756
*National Western Life Insurance Co. Class A......... 24,300 2,153,588
*Natural Wonders, Inc................................ 70,400 305,800
*Navigators Group, Inc............................... 2,100 36,619
*Navistar International Corp......................... 15,000 249,375
*Netframe Systems, Inc............................... 112,700 119,744
*Netmanage, Inc...................................... 9,900 34,650
*Netrix Corp......................................... 78,700 159,859
*Network Computing Devices, Inc...................... 162,300 2,069,325
*Network Equipment Technologies, Inc................. 171,600 2,960,100
*New Brunswick Scientific Co., Inc................... 32,488 225,386
*New Horizons Worldwide, Inc......................... 53,700 530,288
New Jersey Resources Corp............................ 107,112 3,333,861
*New Jersey Steel Corp............................... 37,400 247,775
*New Mexico & Arizona Land Co........................ 26,015 377,218
Newcor, Inc.......................................... 19,836 167,366
Newmil Bancorp, Inc.................................. 41,100 400,725
#Newport Corp........................................ 74,700 882,394
*Nexthealth, Inc..................................... 62,800 113,825
*Nichols Research Corp............................... 13,650 262,763
Nitches, Inc......................................... 3,679 20,464
*Noel Group, Inc..................................... 95,400 354,769
Noland Co............................................ 2,000 48,750
*Noodle Kidoodle, Inc................................ 64,800 234,900
*Nord Resources Corp................................. 169,300 486,738
*Nortek, Inc......................................... 99,300 2,308,725
North American Mortgage Co........................... 115,200 2,318,400
*Northstar Health Services, Inc...................... 31,000 71,688
*Northwestern Steel & Wire Co........................ 286,700 689,872
*Norton McNaughton, Inc.............................. 105,000 544,688
Norwich Financial Corp............................... 47,100 930,225
*Novacare, Inc....................................... 457,500 5,775,938
*Nu-Kote Holding, Inc. Class A....................... 207,800 545,475
*Nview Corp.......................................... 45,900 107,578
</TABLE>
136
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
O'Sullivan Corp...................................... 152,600 $ 1,373,400
*O'Sullivan Industries Holdings, Inc................. 135,100 2,110,938
*O.I. Corp........................................... 34,500 159,563
*OHM Corp............................................ 117,900 943,200
*OMI Corp............................................ 372,800 3,588,200
*OTR Express, Inc.................................... 15,000 60,000
*Oak Technology, Inc................................. 271,000 2,557,563
*Offshore Logistics, Inc............................. 160,200 2,893,613
Oglebay Norton Co.................................... 16,000 704,000
Oil-Dri Corp. of America............................. 50,800 781,050
*Old America Stores, Inc............................. 36,800 154,100
*Old Dominion Freight Lines, Inc..................... 133,400 1,700,850
*Olympic Steel, Inc.................................. 186,000 3,069,000
*Omega Environmental, Inc............................ 37,000 17,344
OnbanCorp, Inc....................................... 102,900 4,842,731
*Oncogene Science, Inc............................... 61,500 392,063
*One Price Clothing Stores, Inc...................... 82,700 351,475
One Valley Bancorp of West Virginia.................. 11,600 469,800
Oneida, Ltd.......................................... 93,600 2,234,700
*Oneita Industries, Inc.............................. 54,200 44,038
*Onyx Acceptance Corp................................ 10,000 78,750
*Opinion Research Corp............................... 32,700 123,647
*Opta Food Ingredients, Inc.......................... 171,600 1,340,625
*Opti, Inc........................................... 106,500 555,797
Optical Coating Laboratory, Inc...................... 115,200 1,209,600
*Option Care, Inc.................................... 86,200 533,363
Orange Co., Inc...................................... 80,500 623,875
*Orbital Sciences Corp............................... 85,000 1,407,813
*Oregon Metallurgical Corp........................... 40,300 1,037,725
Oregon Steel Mills, Inc.............................. 217,661 4,081,144
*Oriole Homes Corp. Class A Convertible.............. 20,500 151,188
*Oriole Homes Corp. Class B.......................... 22,400 156,800
*Oroamerica, Inc..................................... 49,500 241,313
*Orthologic Corp..................................... 125,000 742,188
Oshkosh B'Gosh, Inc. Class A......................... 46,300 792,888
Oshkosh Truck Corp. Class B.......................... 80,900 1,102,263
*Oshman's Sporting Goods, Inc........................ 48,000 223,500
*Ostex International, Inc............................ 1,100 2,234
Outboard Marine Corp................................. 330,200 4,870,450
*Outlook Group Corp.................................. 38,000 171,000
Overseas Shipholding Group, Inc...................... 167,600 3,163,450
Owosso Corp.......................................... 54,900 422,044
Oxford Industries, Inc............................... 107,400 2,591,025
*PAM Transportation Services, Inc.................... 43,500 323,531
*PICO Holdings, Inc.................................. 45,300 186,863
*PLM International, Inc.............................. 83,200 468,000
*PPT Vision, Inc..................................... 89,000 700,875
PS Group Holdings, Inc............................... 16,600 215,800
*PST Vans, Inc....................................... 37,900 111,331
PXRE Corp............................................ 95,083 2,567,241
Pacific Scientific Co................................ 99,000 1,324,125
*Pacific Sunwear of California, Inc.................. 46,500 1,691,438
*Pages, Inc.......................................... 11,800 21,019
Palfed, Inc.......................................... 43,600 713,950
*Palmer (Arnold) Golf Co............................. 9,900 44,550
Pamrapo Bancorp, Inc................................. 27,400 544,575
Pancho's Mexican Buffet, Inc......................... 43,800 76,650
*Par Technology Corp................................. 135,500 1,321,125
*Paragon Trade Brands, Inc........................... 130,000 2,096,250
*Park-Ohio Industries, Inc........................... 102,700 1,328,681
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
Parkvale Financial Corp.............................. 31,952 $ 886,668
*Parlux Fragrances, Inc.............................. 157,000 431,750
*Patina Oil & Gas Corp............................... 49,126 429,853
Patrick Industries, Inc.............................. 53,600 753,750
*Patterson Energy, Inc............................... 13,616 488,474
*Payless Cashways, Inc............................... 415,300 674,863
*Peak Technologies Group, Inc........................ 66,800 1,198,225
Peerless Manufacturing Co............................ 11,000 112,063
*#Penn Traffic Co.................................... 116,000 855,500
*Penn Treaty American Corp........................... 62,100 1,692,225
Penn Virginia Corp................................... 73,500 3,555,563
Pennfed Financial Services, Inc...................... 40,000 970,000
*Pentech International, Inc.......................... 45,600 91,200
Penwest, Ltd......................................... 47,900 928,063
Peoples Bancshares, Inc. Massachusetts............... 30,400 395,200
*Peoples Choice TV Corp.............................. 212,000 298,125
Peoples Heritage Financial Group, Inc................ 120,013 3,960,429
Peoples Savings Financial Corp....................... 16,400 549,400
*Peoples Telephone Co., Inc.......................... 91,000 312,813
*Perfumania, Inc..................................... 66,100 247,875
*Perini Corp......................................... 52,200 375,188
*Petrocorp, Inc...................................... 70,200 605,475
*Petroleum Development Corp.......................... 14,300 70,830
*#Pharmaceutical Marketing Services, Inc............. 10,400 103,350
*Pharmaceutical Resources, Inc....................... 157,300 412,913
*Pharmchem Laboratories, Inc......................... 64,900 265,684
Phillips-Van Heusen Corp............................. 273,100 3,823,400
Phoenix Duff & Phelps Corp........................... 62,700 470,250
*Photo Control Corp.................................. 4,200 14,175
*Photronics, Inc..................................... 5,550 247,322
*Physicians Health Services, Inc. Class A............ 45,900 1,216,350
Piccadilly Cafeterias, Inc........................... 89,100 924,413
*Picturetel Corp..................................... 7,500 93,281
*Pilgrim America Capital Corp........................ 37,200 504,525
Pilgrim Pride Corp................................... 222,700 2,783,750
Pillowtex Corp....................................... 18,900 403,988
*Pinkertons, Inc..................................... 23,000 675,625
Pinnacle Bancshares, Inc............................. 4,900 107,494
*Pinnacle Systems, Inc............................... 60,300 1,096,706
Pioneer Financial Services, Inc...................... 69,600 1,957,500
Piper Jaffray Companies, Inc......................... 100,496 1,972,234
Pitt-Des Moines, Inc................................. 28,350 850,500
*Pittencrieff Communications, Inc.................... 170,400 697,575
Pittston Co. Burlington Group........................ 163,900 4,220,425
*Planar Systems, Inc................................. 33,600 396,900
Plasti-Line, Inc..................................... 10,000 103,125
*Players International, Inc.......................... 252,200 969,394
Ply-Gem Industries, Inc. DE.......................... 197,300 3,304,775
*Polk Audio, Inc..................................... 5,500 49,500
*Pollo Tropical, Inc................................. 68,800 442,900
*Polymedica Industries, Inc.......................... 71,140 426,840
*Pool Energy Services Co............................. 151,258 2,505,211
Pope & Talbot, Inc................................... 160,500 2,648,250
*Porta Systems Corp.................................. 5,100 9,563
Portec, Inc.......................................... 35,306 386,159
Portsmouth Bank Shares, Inc.......................... 48,232 735,538
</TABLE>
137
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
Poughkeepsie Savings Bank FSB NY..................... 104,800 $ 694,300
*Powell Industries, Inc.............................. 49,000 741,125
*Premenos Technology Corp............................ 119,100 818,813
Premiumwear, Inc..................................... 17,600 107,800
*President Casinos, Inc.............................. 106,100 58,023
Presidential Life Corp............................... 263,700 3,807,169
*Presley Companies Class A........................... 83,300 124,950
*Price Communications Corp........................... 76,800 585,600
Price Enterprises, Inc............................... 99,700 1,844,450
*Primark Corp........................................ 53,100 1,261,125
Prime Bancorp, Inc................................... 30,847 697,913
Primesource Corp..................................... 53,454 390,882
*Printronix, Inc..................................... 22,500 309,375
*Procyte Corp........................................ 110,500 164,023
*Proffitts, Inc...................................... 3,772 150,880
Progress Financial Corp.............................. 26,000 232,375
*Progress Software Corp.............................. 98,500 1,705,281
Progressive Bank, Inc................................ 30,700 802,038
*Pronet, Inc......................................... 98,700 314,606
*Proteon, Inc........................................ 124,700 315,647
*Protocol Systems, Inc............................... 83,800 633,738
Providence & Worcester Railroad Co................... 15,800 193,550
Provident Bankshares Corp............................ 63,929 2,425,306
*Proxima Corp........................................ 114,900 545,775
Pulaski Furniture Corp............................... 22,700 385,900
*Pulte Corp.......................................... 7,400 234,025
*Pure World, Inc..................................... 63,800 211,338
*QMS, Inc............................................ 91,700 298,025
*Quad Systems Corp................................... 68,000 637,500
Quaker Chemical Corp................................. 71,600 1,172,450
*Quaker City Bancorp, Inc............................ 37,000 716,875
*Quaker Fabric Corp.................................. 67,600 1,090,050
Quaker State Corp.................................... 370,600 5,605,325
*Quality Dining, Inc................................. 60,000 346,875
*Quality Semiconductor, Inc.......................... 53,400 520,650
*Quality Systems, Inc................................ 53,500 411,281
Quanex Corp.......................................... 205,000 5,586,250
*#Quarterdeck Office Systems, Inc.................... 71,900 194,355
Queens County Bancorp................................ 73,699 3,049,296
#Quest Medical, Inc.................................. 25,060 184,818
*Quiksilver, Inc..................................... 1,800 48,713
Quixote Corp......................................... 78,600 614,063
*R & B, Inc.......................................... 78,900 591,750
RCSB Financial, Inc.................................. 120,800 4,952,800
*RDM Sports Group, Inc............................... 118,500 148,125
#RLI Corp............................................ 84,050 2,679,094
*RPC, Inc............................................ 54,000 735,750
*Rag Shops, Inc...................................... 37,700 122,525
*Ragan (Brad), Inc................................... 21,000 496,125
*Railtex, Inc........................................ 78,000 1,433,250
*Rainbow Technologies, Inc........................... 12,000 192,750
*#Rally's Hamburgers, Inc............................ 60,300 169,594
*Ramsay Health Care, Inc............................. 70,400 226,600
*Rare Hospitality International, Inc................. 88,300 1,379,688
Raritan Bancorp, Inc. DE............................. 1,050 31,631
Raymond Corp......................................... 56,532 1,837,290
*Reading Entertainment, Inc.......................... 33,736 390,073
*Recoton Corp........................................ 89,500 1,118,750
*Redwood Empire Bancorp.............................. 22,500 295,313
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
Refac Technology Development Corp.................... 41,385 $ 281,935
*Regeneron Pharmaceuticals, Inc...................... 26,000 269,750
Regis Corp........................................... 28,800 613,800
*Reliability, Inc.................................... 33,400 505,175
Reliance Steel and Aluminum Co....................... 41,500 1,504,375
*Rentrak Corp........................................ 63,000 213,609
*Repligen Corp....................................... 30,200 37,278
*Republic Automotive Parts, Inc...................... 34,800 558,975
Republic Bancorp, Inc................................ 31,609 410,917
*Republic Engineered Steels, Inc..................... 340,000 488,750
Republic Security Financial Corp..................... 47,100 370,913
*Response Oncology, Inc.............................. 23,000 161,000
*Rex Stores Corp..................................... 96,100 985,025
Rexene Corp.......................................... 137,500 2,045,313
*Rexhall Industries, Inc............................. 12,789 74,336
Richardson Electronics, Ltd.......................... 41,400 328,613
*Riddell Sports, Inc................................. 67,600 316,875
*Ride, Inc........................................... 68,400 239,400
Riggs National Corp.................................. 253,800 4,663,575
*Right Management Consultants, Inc................... 3,000 31,313
*Rightchoice Managed Care, Inc. Class A.............. 38,200 448,850
*Rimage Corp......................................... 3,300 9,694
*Rio Hotel & Casino, Inc............................. 13,300 194,513
Riser Foods, Inc. Class A............................ 10,400 433,550
Rival Co............................................. 15,100 212,344
*River Oaks Furniture, Inc........................... 47,600 93,713
Riverside Group, Inc................................. 3,200 7,000
Roanoke Electric Steel Corp.......................... 61,900 1,013,613
*Roberds, Inc........................................ 53,900 289,713
*Roberts Pharmaceutical Corp......................... 222,600 2,754,675
Robinson Nugent, Inc................................. 53,900 309,925
*Rock Bottom Restaurants, Inc........................ 46,400 498,800
Rock-Tenn Co. Class A................................ 218,100 3,298,763
*Rocky Shoes & Boots, Inc............................ 33,500 448,063
*Rodman & Renshaw Capital Group, Inc................. 19,700 9,850
*Rohr, Inc........................................... 143,100 3,022,988
Rollins Truck Leasing Corp........................... 336,400 4,625,500
*Rottlund, Inc....................................... 37,800 174,825
Rouge Steel Co. Class A.............................. 207,200 3,056,200
*Royal Grip, Inc..................................... 28,300 104,356
*Ruby Tuesday, Inc................................... 68,000 1,462,000
Russ Berrie & Co., Inc............................... 169,300 3,512,975
*Ryans Family Steak Houses, Inc...................... 406,800 3,712,050
Rykoff-Sexton, Inc................................... 289,975 5,545,772
Ryland Group, Inc.................................... 213,664 2,777,632
*S&K Famous Brands, Inc.............................. 48,700 508,306
*SBE, Inc............................................ 14,100 100,463
*SBS Technologies, Inc............................... 40,000 735,000
*SLH Corp............................................ 11,725 647,806
*SPS Technologies, Inc............................... 200 14,700
*SSE Telecom, Inc.................................... 51,000 350,625
*STM Wireless, Inc. Class A.......................... 64,000 488,000
*Safety 1st, Inc..................................... 65,400 429,188
*Salant Corp. DE..................................... 124,800 436,800
Salient 3 Communications, Inc. Class A............... 72,900 915,806
*San Filippo (John B.) & Son, Inc.................... 74,800 458,150
</TABLE>
138
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
Sanderson Farms, Inc................................. 80,900 $ 1,208,444
*Sands Regent Casino Hotel........................... 43,282 94,679
Sandwich Co-Operative Bank MA........................ 9,000 275,625
*Santa Cruz Operation, Inc........................... 10,100 44,503
Santa Monica Bank CA................................. 43,900 801,175
Savannah Foods & Industries, Inc..................... 3,278 51,014
*Scan-Optics, Inc.................................... 51,500 263,938
*Schieb (Earl), Inc.................................. 70,500 475,875
*Scholastic Corp..................................... 9,100 267,881
*Schuler Homes, Inc.................................. 182,500 1,037,969
Schultz Sav-O Stores, Inc............................ 10,200 175,950
*Scientific Software-Intercomp, Inc.................. 700 357
*Scios-Nova, Inc..................................... 209,300 1,321,206
Scope Industries, Inc................................ 4,200 218,400
*Score Board, Inc.................................... 32,500 34,531
Seaboard Corp........................................ 100 27,800
Seafield Capital Corp................................ 53,100 1,739,025
Sealright Co., Inc................................... 87,600 1,034,775
*Secom General Corp.................................. 57,500 158,125
Security Capital Corp................................ 12,700 1,166,813
Security Connecticut Corp............................ 68,000 3,306,500
*Seda Specialty Packaging Corp....................... 9,600 188,400
*Segue Software, Inc................................. 69,200 696,325
Selas Corp. of America............................... 30,000 487,500
Selective Insurance Group, Inc....................... 120,900 5,372,494
*Seneca Foods Corp. Class B.......................... 10,500 186,375
*Sentry Technology Corp.............................. 16,802 50,406
*Sequa Corp. Class A................................. 54,600 2,661,750
*Sequa Corp. Class B................................. 31,400 1,727,000
*Sequent Computer Systems, Inc....................... 390,000 6,556,875
*Serv-Tech, Inc...................................... 47,755 262,653
*Service Merchandise Co., Inc........................ 903,800 2,937,350
*Servico, Inc........................................ 30,400 452,200
*Shaman Pharmaceuticals.............................. 35,800 205,850
*Sharper Image Corp.................................. 67,400 244,325
Shelby Williams Industries, Inc...................... 8,000 104,500
Shelter Components, Inc.............................. 41,300 500,763
*Shiloh Industries, Inc.............................. 156,300 2,618,025
*Shoe Carnival, Inc.................................. 103,300 794,119
*Sholodge, Inc....................................... 75,000 1,021,875
*Shoney's, Inc....................................... 32,304 181,710
Shopko Stores, Inc................................... 258,800 6,114,150
*Show Biz Pizza Time, Inc............................ 141,600 3,203,700
Showboat, Inc........................................ 147,700 2,917,075
Sifco Industries, Inc................................ 41,600 603,200
*Sight Resource Corp................................. 68,200 268,538
*Sigma Circuits, Inc................................. 33,600 138,600
*Sigma Designs, Inc.................................. 11,300 62,856
*Signal Technology Corp.............................. 63,300 466,838
*Signature Brands USA, Inc........................... 108,500 396,703
*Silicon Valley Bancshares........................... 26,700 1,044,638
*Silicon Valley Group, Inc........................... 183,200 4,373,900
Simmons First National Corp. Class A................. 41,600 1,144,000
Simpson Industries, Inc.............................. 150,200 1,530,163
*Sizzler International, Inc.......................... 212,700 505,163
Skaneateles Bancorp, Inc............................. 9,300 175,538
Skyline Corp......................................... 80,200 1,974,925
Skywest, Inc......................................... 123,900 1,850,756
Smith (A.O.) Corp.................................... 138,500 5,089,875
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
Smith (A.O.) Corp. Convertible Class A............... 34,900 $ 1,280,394
*Smith Environmental Technologies Corp............... 48,600 23,085
*#Smiths Food & Drug Centers, Inc. Class B........... 7,600 359,100
Snyder Oil Corp...................................... 105,100 1,918,075
*Softech, Inc........................................ 31,300 104,659
*#Software Spectrum, Inc............................. 39,900 553,613
*Sound Advice, Inc................................... 16,600 25,938
South Jersey Industries, Inc......................... 87,677 1,961,773
Southdown, Inc....................................... 37,100 1,497,913
*Southern Electronics Corp........................... 57,400 588,350
*Southwall Technologies, Inc......................... 52,800 363,000
Southwest Bancshares, Inc. DE........................ 19,500 382,688
Southwest Securities Group, Inc...................... 43,600 703,050
Southwestern Energy Co............................... 357,900 4,742,175
Sovereign Bancorp, Inc............................... 4,840 63,828
*Spacelabs Medical, Inc.............................. 116,900 2,615,638
*Spaghetti Warehouse, Inc............................ 45,800 231,863
Span-American Medical System, Inc.................... 25,300 129,663
Spartan Motors, Inc.................................. 43,000 322,500
*Sparton Corp........................................ 100,600 880,250
*Spec's Music, Inc................................... 36,900 27,675
*Specialty Chemical Resources, Inc................... 23,000 46,000
*Spectran Corp....................................... 53,500 989,750
*Speizman Industries, Inc............................ 26,500 142,438
*Spelling Entertainment Group, Inc................... 56,700 382,725
*Sport Chalet, Inc................................... 42,300 118,969
*Sport Supply Group, Inc............................. 66,400 431,600
*#Sportmart, Inc..................................... 43,000 115,563
*Sportmart, Inc. Class A............................. 43,500 94,477
*Sports Club Co., Inc................................ 67,800 339,000
*Springs Industries, Inc. Class A.................... 25,600 1,296,000
St. Francis Capital Corp............................. 44,700 1,341,000
St. Paul Bancorp, Inc................................ 170,625 5,374,688
*Stac, Inc........................................... 9,000 38,250
*Staff Builders, Inc. Class A........................ 157,900 315,800
*Stage II Apparel Corp............................... 31,600 57,275
*Standard Commercial Corp............................ 91,381 1,542,050
*#Standard Management Corp........................... 41,900 240,925
*Standard Microsystems Corp.......................... 114,700 1,017,963
Standard Motor Products, Inc. Class A................ 107,000 1,471,250
Standard Pacific Corp. DE............................ 240,872 2,468,938
Standard Products Co................................. 265,900 6,614,263
*Stanford Telecommunications, Inc.................... 35,000 573,125
*Stanley Furniture, Inc.............................. 38,200 673,275
*Staodyn, Inc........................................ 19,700 29,550
*Starcraft Corp...................................... 27,300 76,781
Starret Corp......................................... 62,600 626,000
Starrett (L.S.) Co. Class A.......................... 58,400 1,737,400
*Starter Corp........................................ 58,900 265,050
*Station Casinos, Inc................................ 133,300 1,183,038
*Steel of West Virginia, Inc......................... 68,000 663,000
Steel Technologies, Inc.............................. 98,100 1,023,919
Stepan Co............................................ 107,600 2,111,650
Stephan Co........................................... 33,000 305,250
Sterling Bancorp..................................... 63,500 1,190,625
*Sterling Electronics Corp........................... 11,400 136,800
*Sterling Financial Corp. WA......................... 46,680 851,910
</TABLE>
139
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
*Stevens International, Inc. Class A................. 53,000 $ 66,250
Stewart Information Services Corp.................... 54,200 1,063,675
Stifel Financial Corp................................ 38,640 304,290
*Stokely USA, Inc.................................... 84,000 90,563
Stone & Webster, Inc................................. 105,700 4,531,888
*Strategic Diagnostics, Inc.......................... 45,000 67,500
*Strategic Distribution, Inc......................... 176,200 693,788
*Stratus Computer, Inc............................... 9,200 420,900
Strawbridge & Clothier Class A....................... 71,881 1,199,514
*Streamlogic Corp.................................... 126,300 57,230
*Strouds, Inc........................................ 136,000 272,000
*Stuart Entertainment, Inc........................... 60,000 183,750
*Sulcus Computer Corp................................ 124,400 217,700
Sullivan Dental Products, Inc........................ 39,300 611,606
Sumitomo Bank of California.......................... 62,300 1,752,188
*Summa Four, Inc..................................... 56,200 435,550
*Summit Care Corp.................................... 57,000 691,125
*Summit Technology, Inc.............................. 12,000 92,250
*Sun Coast Industries, Inc........................... 56,800 191,700
*#Sun Healthcare Group, Inc.......................... 188,000 3,149,000
Sun Television and Appliances, Inc................... 206,300 425,494
*Sunbelt Nursery Group, Inc.......................... 22,700 24,119
*Sunrise Medical, Inc................................ 155,500 2,002,063
*Sunrise Resources, Inc.............................. 57,200 207,350
Superior Surgical Manufacturing Co., Inc............. 65,900 757,850
*Suprema Specialties, Inc............................ 36,000 138,375
*Supreme International Corp.......................... 39,200 632,100
*Surety Capital Corp................................. 14,200 71,888
Susquehanna Bancshares, Inc.......................... 104,610 4,066,714
*Swiss Army Brands, Inc.............................. 79,000 943,063
*Sybron Chemicals, Inc............................... 1,600 28,400
*Symix Systems, Inc.................................. 8,600 76,863
*Syms Corp........................................... 128,700 1,254,825
*Syncor International Corp. DE....................... 117,600 1,087,800
*Syntellect, Inc..................................... 52,400 171,938
*#Syquest Technology, Inc............................ 75,900 150,614
*TBC Corp............................................ 59,800 455,975
TCBY Enterprises, Inc................................ 194,866 1,169,196
*TCC Industries, Inc................................. 6,500 14,625
*TCI International, Inc.............................. 26,100 166,388
*TII Industries, Inc................................. 62,500 343,750
TJ International, Inc................................ 105,800 2,453,238
TR Financial Corp.................................... 136,400 2,779,150
*TRC Companies, Inc.................................. 56,250 203,906
*TRM Copy Centers Corp............................... 52,500 557,813
*TSF Communications Corp............................. 2,000 52,875
Tab Products Co. DE.................................. 38,500 363,344
*Taco Cabana, Inc.................................... 187,900 951,244
*Tandy Brand Accessories, Inc........................ 9,600 87,600
*Tandy Crafts, Inc................................... 106,700 520,163
*Tanknology Environmental, Inc....................... 111,600 188,325
Tasty Baking Co...................................... 2,400 38,700
*Team, Inc........................................... 56,500 105,938
*Tech-Sym Corp....................................... 51,500 1,641,563
*Technical Communications Corp....................... 6,300 55,913
Technitrol, Inc...................................... 6,000 150,000
*Tekelec............................................. 17,600 613,800
*Telco Systems, Inc.................................. 43,500 451,313
Telxon Corp.......................................... 130,200 2,408,700
*Temtex Industries, Inc.............................. 29,700 79,819
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
*Tesoro Petroleum Corp............................... 218,500 $ 2,867,813
*Tetra Technologies, Inc............................. 37,900 921,444
Texas Industries, Inc................................ 180,962 4,343,088
*Texas Micro, Inc.................................... 119,900 408,409
*Texfi Industries, Inc............................... 27,100 101,625
*Thermo Power Corp................................... 32,400 194,400
Thermo Remediation, Inc.............................. 59,600 417,200
*Thermo Terratech, Inc............................... 130,000 1,421,875
Thomas Industries, Inc............................... 83,700 2,354,063
Thomaston Mills, Inc................................. 34,800 378,450
*Thompson PBE, Inc................................... 84,900 392,663
Thor Industries, Inc................................. 2,600 62,075
*Thorn Apple Valley, Inc............................. 51,115 907,291
*Tipperary Corp...................................... 56,200 249,388
*Titan Corp.......................................... 45,700 188,513
Titan Holdings, Inc.................................. 132,833 2,557,035
Titan International, Inc............................. 196,000 2,989,000
Toastmaster, Inc..................................... 60,700 212,450
*#Today's Man, Inc................................... 86,000 263,375
*Todd Shipyards Corp................................. 79,300 346,938
Todd-AO Corp. Class A................................ 3,740 32,258
Tower Air, Inc....................................... 149,300 475,894
*Tracor, Inc......................................... 23,700 598,425
*Trak Auto Corp...................................... 40,200 510,038
*#Trans World Airlines, Inc.......................... 475,800 4,074,038
*Trans World Entertainment Corp...................... 82,600 1,244,163
*Transcend Services, Inc............................. 20,100 77,888
*Transitional Hospitals Corp......................... 356,900 5,665,788
*TransNet Corp....................................... 44,700 118,734
Transport Leasing International, Inc................. 32,700 251,381
Transport Lux Corp................................... 2,546 30,552
Transtechnology Corp................................. 44,600 892,000
*#Travel Ports of America, Inc....................... 48,018 126,047
Treadco, Inc......................................... 40,000 390,000
*Tremont Corp. DE.................................... 62,533 2,563,853
*Trend-Lines, Inc. Class A........................... 70,900 507,378
Trenwick Group, Inc.................................. 48,000 1,623,000
*Triangle Pacific Corp............................... 30,000 890,625
*Tricord Systems, Inc................................ 89,500 62,930
*Trident Microsystems, Inc........................... 15,000 214,688
*Trimark Holdings, Inc............................... 30,300 119,306
*Triple S Plastics, Inc.............................. 30,500 226,844
*Tripos, Inc......................................... 16,166 254,615
*Trism, Inc.......................................... 36,000 105,750
*Truevision, Inc..................................... 93,800 187,600
*Trump Hotels & Casino Resorts, Inc.................. 6,000 58,500
*Tseng Laboratories, Inc............................. 131,300 492,375
*Tuesday Morning Corp................................ 54,700 1,476,900
*Tultex Corp......................................... 234,407 1,494,345
*Turner Corp......................................... 41,732 646,846
Twin Disc, Inc....................................... 23,500 564,000
*Tyler Corp.......................................... 153,700 288,188
U.S. Bancorp, Inc.................................... 40,300 1,919,288
*UNC, Inc............................................ 142,600 2,067,700
UNR Industries, Inc.................................. 83,800 513,275
*URS Corp............................................ 68,202 750,222
*US Can Corp......................................... 166,100 2,699,125
*US Servis, Inc...................................... 18,400 44,275
*US Xpress Enterprises, Inc. Class A................. 26,100 448,594
</TABLE>
140
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
*USData Corp......................................... 6,750 $ 31,641
*USMX, Inc........................................... 12,000 12,000
UST Corp............................................. 95,140 2,009,833
*Ultimate Electronics, Inc........................... 58,500 175,500
*Ultra Pacific, Inc.................................. 31,700 233,788
*Ultradata Corp...................................... 25,000 76,563
*#Ultralife Batteries, Inc........................... 50,400 617,400
*Ultratech Stepper, Inc.............................. 12,000 243,750
Uni-Marts, Inc....................................... 54,100 277,263
Unico American Corp.................................. 44,700 474,938
*Unimark Group, Inc.................................. 73,800 488,925
*Union Acceptance Corp. Class A...................... 18,900 166,556
*Union Corp. DE...................................... 35,200 796,400
*Uniroyal Technology Corp............................ 106,100 321,616
*Unit Instruments, Inc............................... 36,300 335,775
*United American Healthcare Corp.,................... 69,000 431,250
United Carolina Bancshares Corp...................... 51,900 2,316,038
#United Companies Financial Corp..................... 12,000 274,500
United Fire Casualty Co.............................. 16,450 598,369
United Industrial Corp............................... 145,100 1,197,075
United National Bancorp.............................. 3,710 145,154
*United Retail Group, Inc............................ 97,900 287,581
*United States Energy Corp........................... 15,700 144,244
*United States Home Corp............................. 94,800 2,500,350
*United States Homecare Corp......................... 63,900 70,889
United Wisconsin Services, Inc....................... 47,600 1,695,750
*Unitel Video, Inc................................... 21,800 130,800
*Universal Electronics, Inc.......................... 52,300 290,919
*Universal Hospital Services, Inc.................... 58,900 868,775
*Universal International, Inc........................ 34,600 36,763
*Universal Standard Medical Labs, Inc................ 53,600 180,900
*Uno Restaurant Corp................................. 102,100 599,838
*Uranuim Resources, Inc.............................. 157,000 892,938
*Urogen Corp. (Restricted)........................... 14,500 0
*Utilx Corp.......................................... 61,100 259,675
*V Band Systems, Inc................................. 44,700 89,400
*V Mark Software, Inc................................ 3,000 23,813
*VLSI Technology, Inc................................ 228,400 5,581,525
*VTEL Corp........................................... 102,500 624,609
*Valence Technology, Inc............................. 120,000 1,095,000
*Vallen Corp......................................... 61,500 1,107,000
Valley Forge Corp.................................... 15,000 244,688
*Value City Department Stores, Inc................... 399,100 3,442,238
Value Line, Inc...................................... 4,000 146,000
*Valuevision International, Inc. Class A............. 232,700 908,984
*Variflex, Inc....................................... 51,800 252,525
#Varlen Corp......................................... 63,338 1,591,367
*Vectra Technologies, Inc............................ 58,100 32,681
*Venture Stores, Inc................................. 217,179 570,095
Veritas DGC, Inc..................................... 68,200 1,415,150
Vermont Financial Services Corp...................... 36,700 1,548,281
Versa Technologies, Inc.............................. 500 7,250
*Versar, Inc......................................... 1,300 4,550
*Vertex Communications Corp.......................... 36,800 853,300
*Veterinary Centers of America, Inc.................. 70,900 864,094
*Vicorp Restaurants, Inc............................. 76,600 904,838
*Video Display Corp.................................. 31,600 120,475
*Video Lottery Technologies, Inc..................... 94,200 506,325
*Video Update, Inc................................... 83,400 359,663
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
*Vie de France Corp.................................. 12,000 $ 16,875
Virco Manufacturing Corp............................. 68,264 1,425,011
Virginia Beach Federal Financial Corp................ 41,450 455,950
Virginia First Financial Corp........................ 14,700 315,131
Vulcan International Corp............................ 12,200 448,350
*WHX Corp............................................ 372,500 2,467,813
WICOR, Inc........................................... 40,500 1,488,375
WLR Foods, Inc....................................... 143,549 1,426,518
*WPI Group, Inc...................................... 9,200 74,175
*WSMP, Inc........................................... 2,000 24,625
#Wabash National Corp................................ 39,000 862,875
Wackenhut Corp. Class A.............................. 700 12,338
Walbro Corp.......................................... 69,852 1,392,674
*Walker Interactive Systems, Inc..................... 47,600 687,225
*Wall Data, Inc...................................... 15,000 374,063
*Wall Street Deli, Inc............................... 27,000 108,000
Walshire Assurance Co................................ 50,527 502,112
Warren Bancorp, Inc.................................. 36,000 603,000
*Washington Homes, Inc............................... 64,800 243,000
Washington National Corp............................. 108,800 3,046,400
Washington Savings Bank FSB Waldorf, MD.............. 23,500 117,500
Watkins-Johnson Co................................... 69,500 2,197,938
Watts Industries, Inc. Class A....................... 79,000 1,965,125
Webb (Del) Corp...................................... 311,188 4,745,617
Webster Financial Corp............................... 93,158 3,772,899
*Weirton Steel Corp.................................. 359,800 1,079,400
*Welcome Home, Inc................................... 14,000 1,372
Wellco Enterprises, Inc.............................. 4,800 67,800
Wellman, Inc......................................... 155,500 2,779,563
*Wells-Gardner Electronics Corp...................... 33,700 128,481
Werner Enterprises, Inc.............................. 220,500 4,313,531
Wesbanco, Inc........................................ 12,600 456,750
*West Coast Entertainment Corp....................... 115,000 546,250
West, Inc............................................ 29,000 855,500
Westco Bancorp, Inc.................................. 11,400 269,325
Westcorp, Inc........................................ 104,656 1,752,988
Westerfed Financial Corp............................. 37,300 752,994
*Western Beef, Inc................................... 46,800 424,125
*Western Micro Technology, Inc....................... 12,300 162,206
*Weston (Roy F.), Inc. Class A....................... 62,900 188,700
Weyco Group, Inc..................................... 800 38,900
Whitney Holdings Corp................................ 90,171 3,437,769
*Whittaker Corp...................................... 131,900 1,467,388
*Wickes Lumber Co.................................... 96,600 513,188
*Williams Clayton Energy, Inc........................ 61,500 837,938
Wilshire Oil Co. of Texas............................ 75,354 405,028
Windmere Corp........................................ 145,700 2,149,075
Winnebago Industries, Inc............................ 10,400 71,500
Wiser Oil Co......................................... 100,175 1,565,234
Wolf (Howard B.), Inc................................ 5,000 28,125
Wolohan Lumber Co.................................... 55,578 684,304
*Wonderware Corp..................................... 117,000 1,601,438
*Worldcorp, Inc...................................... 25,000 71,875
*Worldtex, Inc....................................... 115,500 822,938
Worthington Foods, Inc............................... 17,666 369,882
*Wyant Corp.......................................... 600 2,850
*Wyman-Gordon Co..................................... 18,800 427,700
Wynns International, Inc............................. 67,450 1,669,388
*Xicor, Inc.......................................... 55,100 375,369
</TABLE>
141
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
Xtra Corp............................................ 2,200 $ 94,325
Yankee Energy Systems, Inc........................... 83,100 1,921,688
Yardville National Bancorp........................... 23,400 535,275
*Yellow Corp......................................... 235,800 4,524,413
York Financial Corp.................................. 56,409 1,085,873
*Zale Corp........................................... 283,400 5,703,425
*Zaring National Corp................................ 40,000 390,000
*Zemex Corp.......................................... 74,540 531,098
*Zenith Electronics Corp............................. 29,900 328,900
Zenith National Insurance Corp....................... 141,000 3,525,000
Ziegler Co., Inc..................................... 1,700 30,388
*Zilog, Inc.......................................... 167,400 3,724,650
*Zimmerman Sign Co................................... 10,520 38,135
*Zitel Corp.......................................... 33,000 763,125
*Zoll Medical Corp................................... 91,000 796,250
Zurn Industries, Inc................................. 102,700 2,721,550
*Zygo Corp........................................... 25,200 718,200
--------------
TOTAL COMMON STOCKS
(Cost $1,331,001,571)................................ 1,627,670,580
--------------
RIGHTS/WARRANTS -- (0.0%)
*Amvestors Financial Corp. Warrants Class A
04/02/02........................................... 3,620 20,136
*Banner Aerospace, Inc. Rights 06/18/97.............. 68,999 0
*CSF Holdings, Inc. Litigation Rights 12/30/99....... 40,500 0
*Fifty-off Stores, Inc. Non-Transferrable Rights..... 42,600 0
*Laboratory Corp. of America Holdings, Inc. Rights
06/16/97........................................... 15,292 122,335
*National Mercantile Bancorp Warrants 06/02/99....... 165 0
*Statesman Group, Inc. Contingent Payment Rights..... 37,500 0
--------------
TOTAL RIGHTS/WARRANTS
(Cost $91,544)....................................... 142,471
--------------
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
PREFERRED STOCKS -- (0.0%)
*Sentry Technology Corp. Class A
(Cost $19,693)..................................... 16,802 $ 48,306
--------------
FACE
AMOUNT
--------
(000)
TEMPORARY CASH INVESTMENTS -- (2.2%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
6.00%, 08/15/99)
(Cost $36,158,000)................................. $36,158 36,158,000
--------------
TOTAL INVESTMENTS -- (99.7%)
(Cost $1,367,270,808)++.............................. 1,664,019,357
--------------
OTHER ASSETS AND LIABILITIES -- (0.3%)
Other Assets......................................... 7,509,833
Payable for Investment Securities Purchased.......... (2,049,360)
Other Liabilities.................................... (397,651)
--------------
5,062,822
--------------
NET ASSETS -- (100.0%) Applicable to 94,677,013
Outstanding $.01 Par Value Shares (Unlimited Number
of Shares Authorized)................................ $1,669,082,179
--------------
--------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 17.63
--------------
--------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
142
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
COMMON STOCKS -- (97.0%)
#AK Steel Holding Corp............................... 78,400 $ 3,047,800
*AMR Corp............................................ 226,500 22,508,437
#Advanta Corp. Class A............................... 36,800 1,083,300
Advanta Corp. Class B Non-Voting..................... 74,000 2,058,125
Aetna, Inc........................................... 199,726 20,172,326
Ahmanson (H.F.) & Co................................. 237,800 9,690,350
Albemarle Corp....................................... 97,500 1,828,125
Alexander & Baldwin, Inc............................. 109,700 2,968,756
Alleghany Corp....................................... 8,432 1,798,124
*Alumax, Inc......................................... 138,500 5,349,562
Ambac, Inc........................................... 47,400 3,555,000
*Amdahl Corp......................................... 296,733 2,967,330
Amerada Hess Corp.................................... 163,800 8,763,300
American General Corp................................ 326,500 14,447,625
*American Greetings Corp. Class A.................... 19,400 665,662
American National Insurance Co....................... 18,300 1,509,750
*Apple Computer, Inc................................. 319,800 5,336,662
*Archer-Daniels Midland Co........................... 983,500 19,670,000
Argonaut Group, Inc.................................. 32,100 934,912
Asarco, Inc.......................................... 104,900 3,265,012
Avnet, Inc........................................... 50,600 3,187,800
BHC Communications, Inc. Class A..................... 7,100 777,450
Ball Corp............................................ 112,500 3,276,562
#Bankers Trust New York Corp......................... 101,900 8,623,287
Bear Stearns Companies, Inc.......................... 190,337 6,185,952
Berkley (W.R.) Corp.................................. 18,200 940,712
*Bethlehem Steel Corp................................ 275,500 2,755,000
*Beverly Enterprises................................. 231,100 3,264,287
Black & Decker Corp.................................. 222,800 7,742,300
Block Drug Co., Inc. Class A......................... 15,927 702,779
Boise Cascade Corp................................... 121,100 4,601,800
Borg Warner Automotive, Inc.......................... 46,300 2,257,125
*#Boston Chicken, Inc................................ 158,300 2,859,294
#Bowater, Inc........................................ 52,600 2,597,125
*Brinker International, Inc.......................... 194,900 2,704,237
*Burlington Industries, Inc.......................... 96,800 1,064,800
Burlington Northern Santa Fe Corp.................... 220,200 18,276,600
CIGNA Corp........................................... 84,608 14,700,640
*CNA Financial Corp.................................. 92,300 9,449,212
CNF Transportation, Inc.............................. 17,800 574,050
CSX Corp............................................. 365,200 19,355,600
Caliber Systems, Inc................................. 64,500 2,064,000
Centex Corp.......................................... 38,400 1,531,200
Century Telephone Enterprises, Inc................... 75,600 2,286,900
Champion International Corp.......................... 182,000 8,986,250
Chesapeake Corp...................................... 15,100 505,850
Chiquita Brands International, Inc................... 109,200 1,678,950
*Chris-Craft Industries, Inc......................... 66,804 2,855,871
Chrysler Corp........................................ 1,858,726 59,014,550
Cincinnati Financial Corp............................ 89,560 7,002,472
Citizens Corp........................................ 14,000 355,250
Coca-Cola Enterprises, Inc........................... 558,900 11,806,762
Comdicso, Inc........................................ 68,800 2,537,000
Commerce Bancshares, Inc............................. 50,740 2,200,847
Commerce Group, Inc.................................. 49,600 1,116,000
Comsat Corp. Series 1................................ 86,100 1,937,250
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
*Consolidated Freightways Corp....................... 50,450 $ 621,166
Coors (Adolph) Co. Class B........................... 80,500 1,962,187
Countrywide Credit Industries, Inc................... 258,600 6,949,875
Cummins Engine Co., Inc.............................. 55,200 3,519,000
#Cyprus Amax Minerals Co., Inc....................... 238,900 5,823,187
*DSC Communications Corp............................. 2,900 74,131
*Darden Restaurants, Inc............................. 118,500 992,437
*Digital Equipment Corp.............................. 464,300 16,656,762
Dillards, Inc. Class A............................... 246,700 8,326,125
*Dime Bancorp, Inc................................... 140,300 2,385,100
Donaldson, Lufkin & Jenrette, Inc.................... 88,500 4,657,313
Enserch Corp......................................... 92,800 1,983,600
*#Enserch Exploration, Inc........................... 295,000 3,208,125
Equitable Companies, Inc............................. 150,100 4,728,150
Equitable of Iowa Companies.......................... 18,100 1,002,288
*#Federated Department Stores, Inc................... 444,300 16,439,100
Fina, Inc. Class A................................... 35,200 2,321,000
#Financial Security Assurance Holdings, Ltd.......... 30,300 1,094,588
Finova Group, Inc.................................... 36,600 2,726,700
First Citizens Bancshares, Inc. NC................... 3,700 316,350
First Hawaiian, Inc.................................. 44,100 1,562,794
Florida East Coast Industries, Inc................... 11,400 1,234,050
Ford Motor Co........................................ 2,278,000 85,425,000
GATX Corp............................................ 28,200 1,600,350
General Motors Corp.................................. 1,421,400 81,375,150
General Motors Corp. Class H......................... 182,646 10,068,361
Georgia-Pacific Corp................................. 164,900 14,552,425
Golden West Financial Corp........................... 90,800 6,151,700
*Grand Casinos, Inc.................................. 4,000 51,500
Great Atlantic & Pacific Tea Co., Inc................ 69,700 1,925,463
Great Western Financial Corp......................... 217,800 10,563,300
Greenpoint Financial Corp............................ 71,600 4,331,800
*HFS, Inc............................................ 54,450 2,933,494
#Heilig-Meyers Co.................................... 159,100 2,625,150
Hollinger International, Inc. Class A................ 98,000 1,090,250
IVAX Corp............................................ 69,500 747,125
Inland Steel Industries, Inc......................... 124,600 3,068,275
International Paper Co............................... 677,200 32,505,600
*International Speciality Products, Inc.............. 252,000 3,433,500
#James River Corp. of Virginia....................... 126,200 4,432,775
*#K Mart Corp........................................ 1,187,400 16,623,600
*#Kaiser Aluminum Corp............................... 90,700 1,043,050
LTV Corp............................................. 225,900 3,162,600
#Lafarge Corp........................................ 136,700 3,383,325
Lehman Brothers Holdings, Inc........................ 297,600 12,015,600
Lennar Corp.......................................... 60,000 1,575,000
Liberty Corp......................................... 28,900 1,148,775
Liberty Financial Companies, Inc..................... 81,000 3,634,875
Lincoln National Corp................................ 156,950 9,554,331
Loews Corp........................................... 184,900 17,981,525
Longs Drug Stores Corp............................... 28,000 665,000
Longview Fibre Co.................................... 43,100 727,313
Louisiana-Pacific Corp............................... 196,400 3,829,800
MBIA, Inc............................................ 58,300 6,259,963
MCI Communications Corp.............................. 23,400 899,438
Mead Corp............................................ 140,500 8,956,875
</TABLE>
143
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
Mercantile Stores Co., Inc........................... 70,012 $ 3,763,145
Mitchell Energy & Development Corp. Class A.......... 31,500 696,938
Mitchell Energy & Development Corp. Class B.......... 37,200 832,350
#Morgan (J.P.) & Co., Inc............................ 94,300 10,137,250
*Navistar International Corp......................... 221,900 3,689,088
*Nextel Communications Corp. Class A................. 470,800 6,914,875
Norfolk Southern Corp................................ 158,500 15,394,313
*Novell, Inc......................................... 434,600 3,429,266
Occidental Petroleum Corp............................ 529,900 12,320,175
*Officemax, Inc...................................... 367,200 5,094,900
Ogden Corp........................................... 151,696 2,958,072
Ohio Casualty Corp................................... 47,800 1,971,750
Old Republic International Corp...................... 181,250 5,460,156
Overseas Shipholding Group, Inc...................... 26,400 498,300
Pacific Century Financial Corp....................... 55,800 2,566,800
*Pacificare Health Systems, Inc. Class B............. 7,356 582,503
Paine Webber Group, Inc.............................. 76,300 2,708,650
Paul Revere Corp..................................... 62,000 2,650,500
Penney (J.C.) Co., Inc............................... 6,000 309,000
Phelps Dodge Corp.................................... 92,100 7,701,863
Potlatch Corp........................................ 94,600 4,055,975
Providian Corp....................................... 311,600 18,657,050
*Pulte Corp.......................................... 35,700 1,129,013
RJR Nabisco Holdings Corp............................ 488,080 15,801,590
Rayonier, Inc........................................ 83,000 3,558,625
Republic New York Corp............................... 64,900 6,473,775
Reynolds Metals Co................................... 98,200 6,665,325
*Russell Corp........................................ 17,200 526,750
Ryder System, Inc.................................... 195,800 6,485,875
Safeco Corp.......................................... 279,200 12,127,750
Saint Paul Companies, Inc............................ 213,400 15,284,775
Salomon, Inc......................................... 284,800 15,272,400
#Sensormatic Electronics Corp........................ 170,400 2,662,500
Signet Banking Corp.................................. 113,000 3,714,875
*Silicon Graphics, Inc............................... 162,000 3,057,750
*Smiths Food & Drug Centers, Inc. Class B............ 7,469 352,910
Southern New England Telecommunications Corp......... 42,800 1,669,200
*Springs Industries, Inc. Class A.................... 27,300 1,382,063
*St. Joe Corp........................................ 35,000 2,878,750
Stone Container Corp................................. 237,400 3,264,250
Sun Co., Inc......................................... 14,080 420,640
TIG Holdings, Inc.................................... 75,300 2,033,100
*Tandem Computers, Inc............................... 287,300 4,094,025
Tecumseh Products Co. Class A........................ 20,300 1,144,413
Tecumseh Products Co. Class B........................ 5,700 302,813
Telephone & Data Systems, Inc........................ 152,900 5,934,431
Temple-Inland, Inc................................... 138,200 8,361,100
Tenneco, Inc......................................... 398,200 17,819,450
Terra Industries, Inc................................ 146,400 1,848,300
Timken Co............................................ 46,400 3,184,200
Transamerica Corp.................................... 136,400 12,395,350
Tyson Foods, Inc. Class A............................ 207,750 4,245,891
UMB Financial Corp................................... 28,381 1,144,109
USF&G Corp........................................... 236,900 5,093,350
USLIFE Corp.......................................... 72,100 3,514,875
USX-Marathon Group, Inc.............................. 398,250 11,847,938
USX-US Steel Group................................... 264,400 8,526,900
Union Camp Corp...................................... 142,600 7,486,500
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
Union Pacific Corp................................... 273,200 $ 18,509,300
Unionbancal Corp..................................... 53,200 3,524,500
*Unisys Corp......................................... 218,000 1,498,750
*United States Cellular Corp......................... 79,800 2,194,500
Unitrin, Inc......................................... 111,900 6,119,531
Valero Energy Corp................................... 81,100 2,899,325
Valhi, Inc........................................... 80,100 660,825
*Value Health, Inc................................... 82,700 1,674,675
*Viacom, Inc. Class A................................ 87,000 2,620,875
*Viacom, Inc. Class B................................ 505,000 14,992,188
*Vishay Intertechnology, Inc......................... 85,680 2,516,850
*Waban, Inc.......................................... 700 21,263
Washington Mutual, Inc............................... 900 50,006
*Weis Markets, Inc................................... 7,600 223,250
Wellman, Inc......................................... 44,600 797,225
Wesco Financial Corp................................. 8,500 2,256,750
Westinghouse Electric Corp........................... 92,500 1,873,125
Westvaco Corp........................................ 147,650 4,614,063
Weyerhaeuser Co...................................... 124,000 6,184,500
*Wheelabrator Technologies, Inc...................... 88,100 1,134,288
Whirlpool Corp....................................... 56,100 2,797,988
Zurich Reinsurance Centre Holdings, Inc.............. 74,700 2,903,963
--------------
TOTAL COMMON STOCKS
(Cost $975,499,191).................................. 1,194,488,458
--------------
PREFERRED STOCKS -- (0.0%)
*Pacificare Health Systems, Inc. 5% Cumulative,
Convertible, Redeemable Class A (Cost $185,737).... 2,340 174,915
--------------
FACE
AMOUNT
---------
(000)
TEMPORARY CASH INVESTMENTS -- (2.8%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
6.00%, 08/15/99) (Cost $34,280,000)................ $ 34,280 34,280,000
--------------
TOTAL INVESTMENTS -- (99.8%)
(Cost $1,009,964,928)++.............................. 1,228,943,373
--------------
OTHER ASSETS AND LIABILITIES -- (0.2%)
Other Assets......................................... 8,730,293
Payable for Investment Securities Purchased.......... (5,678,989)
Other Liabilities.................................... (200,612)
--------------
2,850,692
--------------
NET ASSETS -- (100.0%) Applicable to 75,844,396
Outstanding $.01 Par Value Shares (Unlimited Number
of Shares Authorized)................................ $1,231,794,065
--------------
--------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 16.24
--------------
--------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
144
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (92.9%)
*ASK Corp., Yokohama................................. 6,000 $ 21,753
Achilles Corp........................................ 322,000 899,055
Aica Kogyo Co., Ltd.................................. 110,000 585,911
Aichi Corp........................................... 57,000 340,335
#Aichi Machine Industry Co., Ltd..................... 136,000 812,027
Aichi Tokei Denki Co., Ltd........................... 67,000 271,108
Aida Engineering, Ltd................................ 134,000 957,801
#Akebono Brake Industry Co., Ltd..................... 141,000 674,716
Amada Sonoike Co., Ltd............................... 132,000 588,557
*#Amada Wasino Co., Ltd.............................. 122,000 295,567
Ando Corp............................................ 120,000 341,237
#Anest Iwata Corp.................................... 74,000 274,639
#Arai-Gumi, Ltd...................................... 49,300 316,808
Araya Industrial Co., Ltd............................ 84,000 230,206
#Asahi Denka Kogyo KK................................ 114,000 783,505
Asahi Kogyosha Co., Ltd.............................. 48,000 200,000
*Asahi Optical Co., Ltd.............................. 180,000 740,722
Asahi Organic Chemicals Industry Co., Ltd............ 147,000 764,046
Asahi Tec Corp....................................... 86,000 411,529
Asanuma Corp......................................... 117,000 307,577
Ashimori Industry Co., Ltd........................... 84,000 303,093
*Asics Corp.......................................... 333,000 686,598
#Bando Chemical Industries, Ltd...................... 182,000 717,680
Bank of Okinawa, Ltd................................. 15,600 442,268
*#Bank of Osaka, Ltd................................. 337,000 651,417
Bank of the Ryukyus, Ltd............................. 20,280 367,619
Bunka Shutter Co., Ltd............................... 114,000 689,485
#CKD Corp............................................ 97,000 654,167
CMK Corp............................................. 76,000 966,323
*Cabin Co., Ltd...................................... 67,000 186,495
Calpis Food Industry Co., Ltd........................ 118,000 708,608
*Central Finance Co., Ltd............................ 180,000 414,433
*Central Glass Co., Ltd.............................. 328,000 955,258
Chino Corp........................................... 70,000 276,632
Chisan Tokan Co., Ltd................................ 64,000 171,546
*#Chori Co., Ltd..................................... 137,000 436,658
Chuetsu Pulp and Paper Co., Ltd...................... 172,000 558,557
#Chugai Ro Co., Ltd.................................. 139,000 453,780
#Chugoku Marine Paints, Ltd.......................... 111,000 421,495
#Chugokukogyo Co., Ltd............................... 45,000 154,253
Chukyo Coca-Cola Bottling Co., Ltd................... 72,000 643,299
Chukyo Sogo Bank, Ltd................................ 203,000 814,442
#Chuo Paperboard Co., Ltd............................ 62,000 119,313
Chuo Spring Co., Ltd., Nagoya........................ 90,000 468,557
*#Clarion Co., Ltd................................... 230,000 1,074,914
Cleanup Corp......................................... 72,000 544,330
*Co-Op Chemical Co., Ltd............................. 80,000 172,509
*Copal Co., Ltd...................................... 78,000 472,423
D'urban, Inc......................................... 114,000 392,732
Dai Nippon Construction.............................. 81,000 258,170
#Dai Nippon Toryo, Ltd............................... 193,000 649,966
Dai-Dan Co., Ltd..................................... 68,000 689,347
Dai-Ichi Hotel, Ltd., Tokyo.......................... 52,000 241,237
*Dai-Ichi Katei Denki Co., Ltd....................... 91,000 257,990
#Dai-Ichi Kogyo Seiyaku Co., Ltd..................... 47,000 199,871
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Dai-Ichi Securities Co., Ltd........................ 228,000 $ 454,433
Daido Concrete Co., Ltd.............................. 33,000 97,809
#Daido Hoxan, Inc.................................... 196,000 707,216
Daido Kogyo Co., Ltd................................. 60,000 256,186
Daido Steel Sheet Corp............................... 71,000 372,079
Daidoh, Ltd.......................................... 54,000 327,526
*Daiei OMC, Inc...................................... 269,000 674,811
#Daihen Corp......................................... 205,000 669,244
Daiho Corp........................................... 96,000 391,753
Daiichi Cement Co., Ltd.............................. 33,000 97,526
*#Daiichi Chuo Kisen Kaisha.......................... 390,000 619,845
#Daiichi Jitsugyo Co., Ltd........................... 80,000 329,897
#Daimei Telecom Engineering Corp..................... 55,000 496,134
Dainichiseika Colour & Chemicals Manufacturing Co.,
Ltd................................................ 143,000 850,137
Daisan Bank, Ltd..................................... 129,000 631,701
Daiso Co., Ltd....................................... 112,000 307,904
#Daisue Construction Co., Ltd........................ 185,000 327,405
Daito Kogyo Co., Ltd................................. 71,000 167,131
*#Daito Woolen Spinning & Weaving Co., Ltd., Tokyo... 42,000 108,608
*#Daiwa Danchi Co., Ltd.............................. 172,000 681,203
#Daiwa Seiko, Inc.................................... 145,000 632,818
*Daiwabo Co., Ltd.................................... 228,000 707,113
*#Dantani Corp....................................... 68,000 300,859
Danto Corp........................................... 42,000 432,990
#Denki Kogyo Co., Ltd................................ 104,000 790,722
Descente, Ltd........................................ 113,000 538,789
*Dijet Industrial Co., Ltd........................... 34,000 103,694
Dynic Corp........................................... 52,000 217,113
Eagle Industry Co., Ltd.............................. 43,000 221,280
Ehime Bank, Ltd...................................... 181,000 915,885
*Enshu, Ltd.......................................... 69,000 226,443
*FDK Corp............................................ 94,000 447,388
First Baking Co., Ltd................................ 67,000 169,802
#France Bed Co., Ltd................................. 161,000 861,710
#Fudo Construction Co., Ltd.......................... 168,000 678,350
Fuji Car Manufacturing Co., Ltd...................... 36,000 113,505
Fuji Denki Reiki Co., Ltd............................ 76,650 547,218
*Fuji Kosan Co., Ltd................................. 130,000 291,495
Fuji Kyuko Co., Ltd.................................. 174,000 777,320
Fuji Oil Co., Ltd.................................... 133,000 891,237
Fuji Spinning Co., Ltd., Tokyo....................... 163,000 595,146
*Fujii & Co., Ltd.................................... 44,000 145,533
#Fujiko Co., Ltd..................................... 55,000 116,710
#Fujirebio, Inc...................................... 60,000 391,753
*Fujitsu General, Ltd................................ 89,000 581,100
*#Fujiya Co., Ltd.................................... 190,000 669,244
Fukuda Corp.......................................... 65,000 290,936
Fukusuke Corp........................................ 95,000 346,864
*#Fukutoku Bank, Ltd................................. 177,000 296,521
*Furukawa Battery Co., Ltd........................... 45,000 187,500
Fuso Pharmaceutical Industries, Ltd.................. 142,000 695,361
*Ga-jo-en Kanko K.K.................................. 37,000 636
Gakken Co., Ltd...................................... 158,000 794,072
Gastec Service, Inc.................................. 41,000 200,773
Godo Shusei Co., Ltd................................. 74,000 284,811
*Godo Steel, Ltd..................................... 152,000 544,536
</TABLE>
145
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Graphtec Corp....................................... 39,000 $ 201,031
Gun-Ei Chemical Industry Co., Ltd.................... 164,000 490,309
*Gunze Sangyo, Inc., Tokyo........................... 90,000 274,485
*Hakone Tozan Railway Co., Ltd....................... 52,000 193,436
Hakuyosha Co., Ltd................................... 57,000 283,041
#Hanshin Sogo Bank, Ltd.............................. 189,000 319,871
Harima Chemicals, Inc................................ 37,000 297,208
*#Hayashikane Sangyo Co., Ltd........................ 128,000 230,928
Hisaka Works, Ltd.................................... 48,000 445,361
#Hisamitsu Pharmaceutical Co.,
Inc................................................ 69,000 534,098
Hitachi Electronics, Ltd............................. 82,000 781,959
Hitachi Plant Engineering & Construction Co., Ltd.... 150,000 682,990
*#Hitachi Seiki Co., Ltd............................. 141,000 408,222
Hochiki Corp......................................... 42,000 241,392
*#Hodogaya Chemical Co., Ltd......................... 100,000 386,598
*Hohsui Corp......................................... 56,000 126,529
Hokkai Can Co., Ltd., Tokyo.......................... 100,000 511,168
Hokkaido Gas Co., Ltd................................ 87,000 257,861
Hokko Chemical Industry Co., Ltd..................... 41,000 174,708
*Hoko Fishing Co., Ltd............................... 79,000 159,493
Hokuriku Electric Industry Co., Ltd.................. 112,000 449,347
Hokuriku Electrical Construction Co., Ltd............ 36,000 194,845
#Honen Corp.......................................... 128,000 524,536
Horiba, Ltd.......................................... 44,000 525,430
*Hosiden Corp........................................ 101,000 1,067,268
#Hosokawa Micron Corp................................ 40,000 450,172
#Howa Machinery, Ltd................................. 181,000 475,825
Ichida and Co., Ltd.................................. 78,000 284,794
Ichikawa Co., Ltd.................................... 49,000 166,280
Ichiken Co., Ltd..................................... 48,000 161,237
#Ichikoh Industries, Ltd............................. 141,000 514,820
Idec Izumi Corp...................................... 60,000 474,227
Ihara Chemical Industry Co., Ltd..................... 73,000 473,497
*#Iino Kaiun Kaisha, Ltd............................. 161,000 495,172
#Ikegai Corp......................................... 90,000 238,917
Ikegami Tsushinki Co., Ltd........................... 84,000 483,505
Inabata and Co., Ltd., Osaka......................... 85,000 573,239
Inageya Co., Ltd..................................... 68,000 835,395
#Intec, Inc.......................................... 56,000 712,027
*Inui Steamship Co., Ltd............................. 31,000 69,244
Ishii Iron Works Co., Ltd............................ 52,000 166,186
*#Ishikawa Seisakusho, Ltd........................... 75,000 180,412
Ishizuka Glass Co., Ltd.............................. 49,000 147,337
Itochu Fuel Corp..................................... 84,000 505,155
Itoki Crebio Corp.................................... 56,000 336,770
Iwasaki Electric Co., Ltd............................ 110,000 417,698
Iwatsu Electric Co., Ltd............................. 145,000 480,842
Izutsuya Co., Ltd.................................... 118,000 332,509
JDC Corp............................................. 256,000 450,859
JMS Co., Ltd......................................... 59,000 327,947
*#Janome Sewing Machine Co.,
Ltd................................................ 224,000 431,065
Japan Aircraft Manufacturing Co., Ltd................ 70,000 305,498
*#Japan Aviation Electronics Industry, Ltd........... 136,000 1,010,653
Japan Carlit Co., Ltd................................ 28,000 170,550
*Japan Coated Paper Manufacturing Co., Ltd........... 132,000 311,856
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Japan Digital Laboratory Co.,
Ltd................................................ 49,500 $ 922,809
*#Japan Metals & Chemicals Co., Ltd.................. 201,000 543,943
Japan Oil Transportation Co., Ltd.................... 45,000 173,969
#Japan Paper Industry Co., Ltd....................... 91,000 287,698
Japan Pulp and Paper Co., Ltd........................ 221,000 839,192
#Japan Transcity Corp................................ 90,000 421,392
Japan Vilene Co., Ltd................................ 101,000 428,643
Japan Wool Textile Co., Ltd.......................... 40,000 295,189
*#Jeol, Ltd.......................................... 97,000 634,167
#Joban Kosan Co., Ltd................................ 101,000 334,064
Joshin Denki Co., Ltd................................ 82,000 824,227
*#Jujiya Co., Ltd.................................... 161,000 396,967
Juken Sangyo Co., Ltd................................ 72,000 492,371
*#Juki Corp.......................................... 153,000 604,639
Kagawa Bank, Ltd..................................... 117,350 866,011
Kagome Co., Ltd...................................... 114,000 705,155
#Kaken Pharmaceutical Co., Ltd....................... 138,000 701,856
*Kakuei (L.) Corp.................................... 100,000 197,594
Kamei Corp........................................... 59,000 603,179
#Kanaden Corp........................................ 50,000 399,055
Kanagawa Chuo Kotsu Co., Ltd......................... 90,000 518,041
#Kanematsu Electronics, Ltd.......................... 38,000 287,285
*#Kansai Kisen Kaisha................................ 184,000 257,663
#Kansei Corp......................................... 76,000 583,058
Kanto Auto Works, Ltd., Yokosuka..................... 100,000 601,375
#Kanto Bank, Ltd..................................... 13,400 169,227
Kanto Denka Kogyo Co., Ltd........................... 83,000 445,661
#Kanto Natural Gas Development Co., Ltd.............. 87,000 497,036
*#Kanto Special Steel Works, Ltd..................... 84,000 265,567
Kasho Co., Ltd., Tokyo............................... 46,000 458,419
Kasumi Co., Ltd...................................... 80,000 563,574
Katakura Industries Co., Ltd......................... 49,000 397,809
Kato Works Co., Ltd.................................. 82,000 345,189
#Katsumura Construction Co., Ltd..................... 48,600 144,046
Kawada Industries, Inc............................... 76,000 326,460
Kawai Musical Instruments Manufacturing Co., Ltd..... 99,000 318,943
*Kawashima Textile Manufacturers, Ltd................ 126,000 312,835
*Kawasho Corp........................................ 177,000 547,423
#Keihin Co., Ltd..................................... 100,000 356,529
#Keiyo Co., Ltd...................................... 88,000 749,210
*Kenwood Corp........................................ 14,000 62,663
Kimmon Manufacturing Co., Ltd........................ 41,000 147,938
*Kimura Chemical Plants Co., Ltd..................... 27,000 105,541
*Kinki Nippon Tourist Co., Ltd....................... 101,000 614,330
#Kinki Sharyo Co., Ltd., Nagaokakyo.................. 101,000 337,534
Kinseki, Ltd......................................... 46,000 624,399
*Kinsho-Mataichi Corp................................ 42,000 112,938
*Kinugawa Rubber Industrial Co., Ltd................. 83,000 207,500
*Kioritz Corp........................................ 96,000 350,515
Kita-Nippon Bank, Ltd................................ 12,306 613,186
#Kitagawa Iron Works Co., Ltd........................ 124,000 435,704
#Kitano Construction Corp............................ 116,000 458,419
Kitz Corp............................................ 204,000 793,917
Koa Corp............................................. 62,000 761,684
Koatsu Gas Kogyo Co., Ltd............................ 78,000 402,062
*#Kobe Kiito Co., Ltd................................ 53,000 104,725
</TABLE>
146
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Kokune Corp......................................... 42,000 $ 99,588
Kokusai Kogyo Co., Ltd............................... 60,000 464,948
Komai Tekko, Inc..................................... 53,000 313,720
#Komatsu Construction Co., Ltd....................... 29,000 77,234
Komatsu Forklift Co., Ltd............................ 127,000 688,462
Komatsu Seiren Co., Ltd.............................. 63,000 627,835
#Komatsu Zenoah Co................................... 75,000 267,397
Kosei Securities Co., Ltd............................ 137,000 486,091
Krosaki Corp......................................... 96,000 276,289
#Kumiai Chemical Industry Co., Ltd., Tokyo........... 122,000 471,649
#Kyodo Shiryo Co., Ltd............................... 145,000 330,112
Kyoei Tanker Co., Ltd................................ 53,000 118,385
*Kyokuyo Co., Ltd.................................... 167,000 566,710
#Kyosan Electric Manufacturing Co., Ltd.............. 94,000 508,763
Kyowa Leather Cloth Co., Ltd......................... 32,000 247,423
Kyushu Bank, Ltd..................................... 146,000 568,196
#Life Corp........................................... 77,000 572,208
#Magara Construction Co., Ltd........................ 61,000 178,703
Marudai Food Co., Ltd................................ 156,000 676,804
#Maruei Department Store Co., Ltd.................... 72,000 349,485
Marusan Securities Co., Ltd.......................... 119,000 700,301
Maruwn Corp.......................................... 38,000 254,313
*Maruyama Manufacturing Co., Inc..................... 73,000 235,180
#Maruzen Co., Ltd.................................... 151,000 790,026
#Maruzen Showa Unyu Co., Ltd......................... 148,000 598,866
Matsui Construction Co., Ltd......................... 40,000 197,938
Matsuo Bridge Co., Ltd............................... 37,000 127,148
#Matsuya Co., Ltd.................................... 74,000 380,808
*Meiji Shipping Co., Ltd............................. 47,000 163,531
Meisei Industrial Co., Ltd........................... 29,000 83,711
Meito Sangyo Co., Ltd................................ 38,000 430,928
*Meiwa Trading Co., Ltd.............................. 55,000 274,055
#Misawa Resort Co., Ltd.............................. 40,000 419,244
#Mitsuba Corp........................................ 55,000 529,210
#Mitsubishi Kakoki Kaisha, Ltd....................... 117,000 506,598
Mitsubishi Pencil Co., Ltd........................... 49,000 429,381
*Mitsubishi Shindoh Co., Ltd......................... 82,000 279,674
*Mitsubishi Steel Manufacturing Co., Ltd............. 211,000 752,277
Mitsuboshi Belting, Ltd.............................. 153,000 650,644
Mitsui Construction Co., Ltd......................... 314,000 553,007
Mitsui Matsushima Co., Ltd........................... 90,000 266,753
*Mitsui Mining Co., Ltd.............................. 225,000 593,428
#Mitsui Sugar Co., Ltd............................... 116,000 343,814
Mitsuuroko Co., Ltd.................................. 106,000 646,564
#Miura Co., Ltd...................................... 56,000 779,381
Miyaji Iron Works Co. Ltd............................ 90,000 293,814
*Miyakoshi Corp...................................... 18,000 58,917
Miyazaki Bank, Ltd................................... 177,320 747,974
#Miyoshi Oil & Fat Co., Ltd.......................... 120,000 407,216
Miyuki Keori Co., Ltd................................ 50,000 337,199
Morita Corp.......................................... 72,000 281,443
*Morozoff, Ltd., Osaka............................... 50,000 173,969
Mory Industries, Inc................................. 66,000 273,299
*Mutoh Industries, Ltd............................... 61,000 223,247
*Mutow Co., Ltd...................................... 38,000 176,289
Nabco, Ltd........................................... 120,000 423,711
*#Nagasakiya Co., Ltd. (Tokyo)....................... 231,000 742,216
Nagatanien Co., Ltd.................................. 53,000 382,474
Naigai Co., Ltd...................................... 109,000 397,981
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Nakabayashi Co., Ltd................................. 92,000 $ 449,725
Nakamuraya Co., Ltd.................................. 85,000 380,455
Nakano Corp.......................................... 66,000 141,753
Nakayama Steel Works, Ltd............................ 170,000 715,636
*National Securities Co., Ltd........................ 146,000 273,436
Neturen Co., Ltd., Tokyo............................. 67,000 423,643
Nichia Steel Works, Ltd.............................. 64,900 355,723
#Nichias Corp........................................ 198,000 765,464
#Nichiban Co., Ltd................................... 58,000 313,917
*Nichiboshin, Ltd.................................... 119,000 219,802
Nichiei Construction Co., Ltd........................ 89,000 539,046
*Nichimo Co., Ltd.................................... 54,000 164,227
Nichimo Corp......................................... 85,000 246,091
Nichireki Co., Ltd................................... 44,000 284,261
Nichiro Corp......................................... 243,000 680,567
Nifco, Inc........................................... 88,000 861,856
*Nihon Kentetsu Co., Ltd............................. 27,000 133,608
Nihon Kohden Corp.................................... 68,000 418,866
Nihon Matai Co., Ltd................................. 50,000 268,471
Nihon Nohyaku Co., Ltd............................... 103,000 488,454
#Nihon Nosan Kogyo K.K............................... 201,000 466,237
Nihon Parkerizing Co., Ltd........................... 92,000 399,141
*Nihon Spindle Manufacturing Co., Ltd................ 56,000 231,409
Nihon Tokushu Toryo Co., Ltd......................... 35,000 134,106
Niigata Chuo Bank, Ltd............................... 130,000 368,557
#Nikken Chemicals Co., Ltd........................... 109,000 664,863
Nikkiso Co., Ltd..................................... 114,000 812,887
Nikko Co., Ltd., Akashi.............................. 65,000 330,026
Nippon Beet Sugar Manufacturing Co., Ltd............. 226,000 825,172
Nippon Carbide Industries Co., Inc., Tokyo........... 101,000 546,649
*#Nippon Carbon Co., Ltd............................. 177,000 593,041
Nippon Chemi-Con Corp................................ 182,000 917,818
Nippon Chemical Industrial Co., Ltd.................. 110,000 788,144
Nippon Chemiphar Co., Ltd............................ 49,000 208,376
#Nippon Chutetsukan KK............................... 44,000 157,629
*#Nippon Columbia Co., Ltd........................... 99,000 382,732
#Nippon Concrete Industries Co., Ltd................. 65,000 211,641
Nippon Conlux Co., Ltd............................... 63,000 432,990
*#Nippon Conveyor Co., Ltd........................... 43,000 205,026
Nippon Denko Co., Ltd................................ 159,000 446,675
#Nippon Densetsu Kogyo Co., Ltd...................... 99,000 722,938
*Nippon Electric Industry Co., Ltd................... 67,000 253,265
#Nippon Felt Co., Ltd................................ 28,000 137,113
Nippon Formula Feed Manufacturing Co., Ltd........... 100,000 266,323
Nippon Gas Co., Ltd.................................. 62,000 372,852
*Nippon Housing Loan Co., Ltd........................ 62,000 533
Nippon Hume Pipe Co., Ltd............................ 43,000 219,802
*#Nippon Kasei Chemical Co., Ltd..................... 113,000 273,763
#Nippon Kinzoku Co., Ltd............................. 93,000 319,588
#Nippon Koei Co., Ltd., Tokyo........................ 146,000 633,419
#Nippon Koshuha Steel Co., Ltd....................... 151,000 391,770
*#Nippon Lace Co., Ltd............................... 26,000 61,203
Nippon Metal Industry Co., Ltd....................... 241,000 681,177
Nippon Pipe Manufacturing Co., Ltd................... 35,000 145,833
Nippon Piston Ring Co., Ltd.......................... 133,000 414,768
Nippon Road Co., Ltd................................. 147,000 574,613
Nippon Shinyaku Co., Ltd............................. 103,000 884,880
</TABLE>
147
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Nippon Signal Co., Ltd............................... 90,000 $ 715,206
Nippon Synthetic Chemical Industry Co., Ltd.......... 152,000 531,478
Nippon Thompson Co., Ltd............................. 109,000 882,113
#Nippon Valqua Industries, Ltd....................... 119,000 422,225
Nippon Yakin Kogyo Co., Ltd.......................... 243,000 542,783
#Nippon Yusoki Co., Ltd.............................. 49,000 254,682
Nissan Construction Co., Ltd......................... 128,000 352,990
#Nisseki House Industry Co., Ltd..................... 130,000 285,911
Nissha Printing Co., Ltd............................. 66,000 635,052
#Nissin Corp......................................... 150,000 628,866
Nissin Electric Co., Ltd............................. 158,000 739,777
Nitsuko Corp......................................... 115,000 772,594
Nittetsu Mining Co., Ltd............................. 122,000 894,038
Nitto Chemical Industry Co., Ltd..................... 116,000 413,574
Nitto Flour Milling Co., Ltd......................... 54,000 189,278
#Nitto Seiko Co., Ltd................................ 56,000 190,515
*Nitto Seimo Co., Ltd................................ 32,000 93,196
Nittoc Construction Co., Ltd......................... 61,000 316,529
#Nohmi Bosai, Ltd.................................... 59,000 446,555
Noritz Corp.......................................... 33,000 374,227
North Pacific Bank, Ltd.............................. 112,000 548,454
*Nozaki and Co., Ltd................................. 56,000 129,897
*O-M, Ltd............................................ 46,000 134,364
*OKK Corp............................................ 101,000 308,900
Obayashi Road Corp................................... 65,000 245,704
Odakyu Construction Co., Ltd......................... 29,000 127,311
*Odakyu Real Estate Co., Ltd......................... 58,000 203,797
Ohki Corp............................................ 73,000 201,314
*Ohkura Electric Co., Ltd............................ 34,000 176,718
Okabe Co., Ltd....................................... 39,000 303,222
*Okasan Securities Co., Ltd.......................... 179,000 465,954
*Oki Electric Cable Co., Ltd......................... 56,000 221,306
*#Okuma and Howa Machinery, Ltd...................... 69,000 256,675
*Okura and Co., Ltd.................................. 189,000 803,737
Okura Industrial Co., Ltd............................ 96,000 364,536
*Ono Sokki Co., Ltd.................................. 43,000 208,720
Optec Dai-Ichi Denko Co., Ltd........................ 178,000 588,746
Organo Corp.......................................... 85,000 624,356
#Origin Electric Co., Ltd............................ 54,000 598,454
Osaka Oxygen Industries, Ltd......................... 123,000 357,165
#Osaki Electric Co., Ltd............................. 56,000 336,770
#Pacific Industrial Co., Ltd......................... 78,000 422,165
*#Pacific Metals Co., Ltd............................ 250,000 725,945
#Parco Co., Ltd...................................... 82,000 655,155
*#Pasco Corp......................................... 138,000 521,649
Pilot Corp........................................... 32,000 162,199
#Pokka Corp.......................................... 48,000 343,505
#Press Kogyo Co., Ltd................................ 143,000 366,100
Prima Meat Packers, Ltd.............................. 230,000 430,756
Rasa Industries, Ltd................................. 99,000 616,624
Renown Look, Inc..................................... 50,000 210,481
*Renown, Inc......................................... 154,000 354,570
Rheon Automatic Machinery Co., Ltd................... 40,000 257,732
*#Rhythm Watch Co., Ltd.............................. 236,000 729,897
#Riken Corp.......................................... 161,000 674,983
#Riken Vinyl Industry Co., Ltd....................... 105,000 712,629
#Rohto Pharmaceutical Co., Ltd....................... 68,000 706,873
#Ryobi, Ltd.......................................... 218,000 824,055
Ryoden Trading Co., Ltd.............................. 73,000 514,888
Ryoyo Electro Corp................................... 47,000 900,430
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
S.T. Chemical Co., Ltd............................... 48,000 $ 310,515
#SMK Corp............................................ 116,000 587,972
SS Pharmaceutical Co., Ltd., Tokyo................... 41,000 216,271
#SXL Corp............................................ 127,000 776,838
Saeki Kensetsu Kogyo Co., Ltd........................ 71,000 190,309
Sagami Co., Ltd...................................... 60,000 329,897
Sakai Chemical Industry Co., Ltd..................... 150,000 614,691
Sakai Heavy Industries, Ltd.......................... 60,000 322,165
#Sakai Ovex Co., Ltd................................. 85,000 317,655
#Sakata Inx Corp..................................... 92,000 530,344
Sakurada Co., Ltd.................................... 38,000 130,584
#San-Ai Oil Co., Ltd................................. 118,000 544,381
Sankei Building Co., Ltd............................. 82,000 572,027
Sanko Metal Industrial Co., Ltd., Tokyo.............. 54,000 189,278
*#Sankyo Seiki Manufacturing Co., Ltd................ 136,000 851,753
Sankyo Seiko Co., Ltd................................ 86,000 380,498
*Sanrio Co., Ltd..................................... 114,000 803,093
*#Sansui Electric Co., Ltd........................... 353,000 454,897
Sanyo Industries, Ltd., Tokyo........................ 48,000 188,041
Sanyo Special Steel Co., Ltd......................... 283,000 765,850
*Sasaki Glass Co., Ltd............................... 56,000 178,007
#Sasebo Heavy Industries Co., Ltd., Tokyo............ 235,000 518,857
Sata Construction Co., Ltd., Gumma................... 61,000 157,741
Sato Shoji Corp...................................... 31,000 165,120
*Sawafugji Electric Co., Ltd......................... 31,000 117,182
Seika Corp........................................... 145,000 563,058
*Seikitokyu Kogyo Co., Ltd........................... 86,000 169,192
Seiko Corp........................................... 25,000 179,768
*Seiren Co., Ltd..................................... 81,000 369,510
Seiyo Food Systems, Inc.............................. 101,000 778,325
#Sekisui Jushi Co., Ltd.............................. 76,000 705,155
Sekisui Plastics Co., Ltd............................ 150,000 534,794
Senko Co., Ltd....................................... 176,000 719,725
Senshukai Co., Ltd................................... 71,000 731,959
*Settsu Corp......................................... 324,000 470,412
Shibaura Engineering Works Co., Ltd.................. 45,000 201,417
Shibusawa Warehouse Co., Ltd......................... 119,000 582,732
Shibuya Kogyo Co., Ltd............................... 45,000 564,433
*Shikibo, Ltd........................................ 155,000 290,292
#Shikoku Chemicals Corp.............................. 89,000 359,364
Shimizu Bank, Ltd.................................... 14,300 872,251
Shimura Kako Co., Ltd................................ 55,000 255,155
Shin Nippon Air Technologies Co., Ltd................ 37,180 325,804
#Shin-Etsu Polymer Co., Ltd.......................... 120,000 649,485
Shin-Kobe Electric Machinery Co., Ltd................ 71,000 329,381
#Shinagawa Fuel Co., Ltd............................. 137,000 920,395
Shinagawa Refractories Co., Ltd...................... 95,000 856,959
*#Shinko Electric Co., Ltd........................... 220,000 986,598
Shinko Shoji Co., Ltd................................ 32,000 373,883
#Shinsho Corp........................................ 110,000 360,997
*#Shintom Co., Ltd................................... 53,000 231,306
*#Shinwa Kaiun Kaisha, Ltd........................... 238,000 427,337
Shinyei Kaisha....................................... 54,000 149,845
#Shiroki Co., Ltd.................................... 132,000 509,175
Shoko Co., Ltd....................................... 156,000 448,969
*#Shokusan Jutaku Sogo Co., Ltd...................... 207,000 316,546
</TABLE>
148
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Showa Corp.......................................... 97,000 $ 833,333
#Showa Highpolymer Co., Ltd.......................... 79,000 566,710
*#Showa Line, Ltd.................................... 438,000 485,412
*Silver Seiko, Ltd................................... 87,000 194,330
Sintokogio, Ltd., Nagoya............................. 93,000 671,134
Soda Nikka Co., Ltd.................................. 35,000 134,106
*#Sogo Co., Ltd...................................... 226,000 714,502
Sokkisha Co., Ltd.................................... 40,000 300,000
#Sotetsu Rosen Co., Ltd.............................. 42,000 270,979
Star Micronics Co., Ltd.............................. 84,000 534,021
Subaru Enterprise Co., Ltd........................... 36,000 217,113
Suminoe Textile Co., Ltd............................. 142,000 390,378
Sumisho Computer Systems Corp........................ 54,000 918,557
#Sumitomo Coal Mining Co., Ltd....................... 107,000 356,667
#Sumitomo Construction Co., Ltd...................... 320,000 687,285
*Sumitomo Corporation's Leasing, Ltd................. 35,000 106,443
#Sumitomo Precision Products Co., Ltd., Amagasaki
City............................................... 78,000 484,485
#Sumitomo Seika Chemicals Co., Ltd................... 102,000 410,979
#Sumitomo Special Metals Co., Ltd., Osaka............ 62,000 1,017,354
Sun Wave Corp........................................ 74,000 731,100
SunTelephone Co., Ltd................................ 65,000 396,478
*#Suzutan Co., Ltd................................... 62,000 113,454
#TYK Corp............................................ 67,000 316,581
Tabai Espec Corp..................................... 34,000 365,120
Tada Construction Co., Ltd........................... 54,000 107,165
#Taihei Dengyo Kaisha, Ltd........................... 66,000 481,959
Taihei Kogyo Co., Ltd................................ 114,000 352,577
*Taiheiyo Bank, Ltd.................................. 96,000 825
*Taiheiyo Kaiun Co., Ltd............................. 72,000 109,485
Taiheiyo Kouhatsu, Inc............................... 90,000 209,536
Taiheiyo Securities Co., Ltd......................... 156,000 335,052
Taikisha, Ltd........................................ 57,000 901,031
Taisei Fire & Marine Insurance Co., Ltd.............. 118,000 405,498
#Taisei Prefab Construction Co., Ltd................. 101,000 243,823
Taisei Rotec Corp.................................... 127,000 449,519
Taito Co., Ltd....................................... 70,000 300,687
Taiyo Toyo Sanso Co., Ltd............................ 193,000 623,436
*Taka-Q Co., Ltd..................................... 77,000 216,976
Takada Kiko Co., Ltd................................. 31,000 170,447
Takaoka Electric Manufacturing Co., Ltd., Tokyo...... 156,000 502,577
Takara Co., Ltd...................................... 39,000 201,031
Takarabune Corp...................................... 52,000 290,378
Takasago International Corp.......................... 129,000 775,773
*#Takasaki Paper Manufacturing Co., Ltd.............. 157,000 283,247
#Takashima & Co., Ltd................................ 60,000 220,103
Takiron Co., Ltd..................................... 118,000 547,423
Tamura Corp.......................................... 114,000 621,907
Tamura Electric Works, Ltd........................... 74,000 542,285
#Tasaki Shinju Co., Ltd.............................. 53,000 368,814
*#Tateho Chemical Industries Co., Ltd................ 106,000 204,897
#Tatsuta Electric Wire & Cable Co., Ltd.............. 106,000 417,079
*Tayca Corp.......................................... 74,000 179,278
*#Teac Corp.......................................... 102,000 603,763
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Teijin Seiki Co., Ltd................................ 115,000 $ 654,038
Teikoku Hormone Manufacturing Co., Ltd............... 33,000 411,082
*Teikoku Sen-I Co., Ltd.............................. 39,000 160,155
#Teikoku Tsushin Kogyo Co., Ltd...................... 73,000 322,354
Teisan K.K........................................... 182,000 867,783
Tenma Corp........................................... 50,000 807,560
Tesac Corp........................................... 92,000 217,354
*Titan Kogyo K.K..................................... 36,000 125,258
Toa Doro Kogyo Co., Ltd.............................. 85,000 248,282
*#Toa Steel Co., Ltd................................. 205,000 535,395
*Toa Wool Spinning & Weaving Co., Ltd................ 73,000 200,687
*#Tobishima Corp..................................... 100,000 193,299
Tobu Store Co., Ltd.................................. 71,000 295,833
Tochigi Bank, Ltd.................................... 93,000 751,031
Tochigi Fuji Industrial Co., Ltd..................... 51,000 246,237
#Toda Kogyo Corp..................................... 70,000 467,869
Todentu Corp......................................... 57,000 286,469
Toenec Corp.......................................... 144,000 779,381
*Toho Rayon Co., Ltd................................. 128,000 390,378
#Toho Real Estate Co., Ltd........................... 80,000 591,065
Toho Zinc Co., Ltd................................... 171,000 875,567
*Tohpe Corp.......................................... 36,000 117,835
Tohto Suisan Co., Ltd................................ 54,000 167,474
#Tokai Corp.......................................... 108,000 637,423
*Tokai Kanko Co., Ltd................................ 132,000 124,742
*#Tokai Kogyo Co., Ltd............................... 116,000 408,591
*Tokai Maruman Securities Co., Ltd................... 99,000 340,206
#Tokai Pulp Co., Ltd................................. 88,000 529,210
#Tokai Rika Co., Ltd................................. 108,000 810,000
*Tokai Senko K.K., Nagoya............................ 47,000 140,919
Tokico, Ltd.......................................... 189,000 602,397
*Tokimec, Inc........................................ 119,000 409,957
#Tokin Corp.......................................... 81,000 821,134
Toko Electric Corp................................... 39,000 204,716
Toko, Inc............................................ 143,000 818,196
#Tokushu Paper Manufacturing Co., Ltd................ 72,000 555,464
*#Tokuyo City Bank, Ltd.............................. 115,000 122,509
Tokyo Denki Komusho Co., Ltd......................... 57,000 327,603
#Tokyo Kikai Seisak.................................. 105,300 665,814
*Tokyo Nissan Auto Sales Co., Ltd.................... 63,000 261,417
#Tokyo Rakutenchi Co., Ltd........................... 92,000 344,605
Tokyo Rope Manufacturing Co., Ltd.................... 245,000 814,562
*Tokyo Securities Co., Ltd........................... 193,000 406,229
#Tokyo Seimitsu Co., Ltd............................. 46,000 810,137
#Tokyo Tanabe Co., Ltd., Tokyo....................... 101,000 743,617
*Tokyo Tekko Co., Ltd................................ 67,000 189,373
Tokyo Theatres Co., Inc., Tokyo...................... 116,000 239,175
Tokyu Car Corp....................................... 177,000 609,768
Tokyu Construction Co., Ltd.......................... 225,000 463,918
Tokyu Hotel Chain Co., Ltd........................... 162,000 783,557
#Tokyu Store Chain Corp.............................. 105,000 843,428
*Tokyu Tourist Corp.................................. 38,000 111,649
Toli Corp............................................ 101,000 408,686
Tomoe Corp........................................... 56,000 209,278
*Tomoegawa Paper Co., Ltd............................ 55,000 177,191
Tomoku Co., Ltd...................................... 157,000 617,749
#Tonami Transportation Co., Ltd...................... 141,000 645,644
Topcon Corp.......................................... 68,000 458,007
Topre Corp........................................... 85,000 576,890
</TABLE>
149
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Torishima Pump Manufacturing Co., Ltd., Osaka....... 40,000 $ 340,206
Toshiba Engineering & Construction Co., Ltd.......... 105,000 474,485
*#Toshiba Machine Co., Ltd........................... 213,000 752,088
Toshiba Tungaloy Co.,Ltd............................. 124,000 596,564
Tosho Printing Co., Ltd.............................. 94,000 400,550
Tostem Viva Corp..................................... 95,000 466,022
Totenko Co., Ltd..................................... 35,000 150,344
Totetsu Kogyo Co., Ltd............................... 53,000 179,854
Totoku Electric Co., Ltd., Tokyo..................... 62,000 312,663
*#Towa Real Estate Development Co., Ltd.............. 160,000 365,636
#Toyama Chemicals Co., Ltd........................... 221,000 805,017
Toyo Aluminium K.K................................... 81,000 452,320
#Toyo Chemical Co., Ltd.............................. 52,000 268,935
Toyo Construction Co., Ltd........................... 268,000 559,485
#Toyo Corp........................................... 41,000 704,467
*Toyo Electric Co., Ltd.............................. 67,000 233,694
#Toyo Information System Co., Ltd.................... 59,000 765,378
Toyo Kanetsu K.K..................................... 206,000 536,237
Toyo Radiator Co., Ltd............................... 104,000 379,725
*Toyo Securities Co., Ltd............................ 113,000 242,698
Toyo Shutter Co., Ltd................................ 77,000 449,828
#Toyo Sugar Refining Co., Ltd........................ 60,000 141,753
#Toyo Umpanki Co., Ltd............................... 146,000 608,333
#Toyo Wharf & Warehouse Co., Ltd..................... 118,000 387,251
Tsubaki Nakashima Co., Ltd........................... 86,000 738,832
Tsubakimoto Machinery & Engineering Co., Ltd......... 44,000 159,141
Tsudakoma Corp....................................... 101,000 446,864
Tsugami Corp......................................... 124,000 329,175
#Tsukamoto Co., Ltd.................................. 44,000 298,625
#Tsumura & Co., Inc.................................. 88,000 678,900
#Tsurumi Manufacturing Co., Ltd...................... 42,000 389,691
Tsutsunaka Plastic Industry Co., Ltd................. 71,000 457,474
Uchida Yoko Co., Ltd................................. 72,000 332,783
Ueki Corp............................................ 47,000 126,383
#Uniden Corp......................................... 76,000 914,089
Utoc Corp............................................ 38,000 126,014
#Wakachiku Construction Co., Ltd..................... 194,000 750,000
#Wakamoto Pharmaceutical Co., Ltd.................... 48,000 240,000
#Yahagi Construction Co., Ltd........................ 59,000 334,536
*Yahagi Iron Co., Ltd................................ 40,000 127,835
Yamagata Bank, Ltd................................... 36,500 188,144
Yamamura Glass Co., Ltd.............................. 176,000 657,732
Yamatane Corp........................................ 131,000 495,189
*#Yamatane Securities Co., Ltd....................... 203,000 374,957
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Yamato International, Inc............................ 43,000 $ 133,359
*Yamazen Co., Ltd.................................... 140,000 576,117
#Yaohan Japan Corp................................... 162,000 361,856
Yokogawa Bridge Corp................................. 70,400 477,196
*Yokohama Matsuzakaya, Ltd........................... 27,000 67,268
Yokohama Reito Co., Ltd.............................. 67,000 725,258
Yomeishu Seizo Co., Ltd.............................. 46,000 359,622
#Yomiuri Land Co., Ltd............................... 132,000 782,474
Yondenko Corp........................................ 56,000 406,529
Yoshihara Oil Mill, Ltd.............................. 36,000 126,804
#Yoshimoto Kogyo Co., Ltd............................ 49,000 559,880
#Yuasa Trading Co., Ltd.............................. 174,000 690,619
Yuken Kogyo Co., Ltd................................. 60,000 234,536
#Zenchiku Co., Ltd................................... 126,000 350,722
------------
TOTAL COMMON STOCKS
(Cost $364,261,545).................................. 271,591,046
------------
INVESTMENT IN
CURRENCY -- (0.7%)
*Japanese Yen (Cost $1,932,705)...................... 1,930,262
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH
INVESTMENTS -- (5.9%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
5.50%, 11/15/98) (Cost $17,275,000)................ $ 17,275 17,275,000
------------
TOTAL INVESTMENTS -- (99.5%)
(Cost $383,469,250)++................................ 290,796,308
------------
OTHER ASSETS AND LIABILITIES -- (0.5%)
Other Assets......................................... 1,818,605
Payable for Fund Shares
Redeemed........................................... (216,585)
Other Liabilities.................................... (82,944)
------------
1,519,076
------------
NET ASSETS -- 100.0%................................... $292,315,384
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
150
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
MALAYSIA -- (26.2%)
COMMON STOCKS -- (25.6%)
A&M Realty Berhad.................................... 15,000 $ 30,717
Actacorp Holdings Berhad............................. 26,000 65,259
Advance Synergy Berhad............................... 299,800 391,770
Ajinimoto (Malaysia) Berhad.......................... 44,000 100,797
Aluminum Co. of Malaysia............................. 139,000 189,948
Amalgamated Containers Berhad........................ 31,000 41,745
Amalgamated Industrial Steel Berhad.................. 125,000 283,865
Anakku Corp. Berhad.................................. 10,000 50,996
Ancom Berhad......................................... 52,000 63,394
Angkasa Marketing Berhad............................. 61,000 78,255
Anson Perdana Berhad................................. 77,000 205,538
Antah Holding Berhad................................. 312,000 427,602
*Aokam Perdana Berhad................................ 138,000 173,737
Arab Malaysia Development Berhad..................... 778,000 508,335
Arensi Holdings (Malaysia) Berhad.................... 33,000 165,657
Asas Dunia Berhad.................................... 46,000 143,865
Asia Pacific Land Berhad............................. 660,100 347,144
Austral Amalgamated Berhad........................... 94,000 125,833
*Austral Amalgamated Berhad Issue 97................. 31,333 41,632
Austral Enterprises Berhad........................... 208,499 390,416
Autoways Holdings Berhad............................. 10,000 93,028
Ayer Hitam Planting Syndicate Berhad................. 51,000 1,005,777
*Ayer Hitam Tin Dredging Malaysia Berhad............. 36,000 64,542
*Ayer Molek Rubber Co. Berhad........................ 1,000 40,438
Ban Hin Lee Bank Berhad.............................. 70,500 306,155
Bandar Raya Developments Berhad...................... 283,000 383,347
Bank Islam (Malaysia) Berhad......................... 66,000 173,546
Batu Kawan Berhad.................................... 394,500 864,442
Berjaya Industrial Berhad............................ 673,000 801,701
Berjaya Singer Berhad................................ 142,000 297,012
*Berjuntai Tin Dredging Berhad....................... 36,000 187,888
*Best World Land Berhad.............................. 120,100 94,262
Bina Puri Holdings Berhad............................ 20,000 61,355
Bolton Properties Berhad............................. 150,000 258,167
Boustead Holdings Berhad............................. 141,000 317,390
*CHG Industries Berhad............................... 16,000 26,263
CI Holdings Berhad................................... 72,000 266,773
Cement Industries of Malaysia Berhad................. 178,000 475,139
Chase Perdana Berhad................................. 34,000 260,080
Chemical Co. of Malaysia Berhad...................... 224,000 713,944
Chin Teck Plantations Berhad......................... 75,000 236,056
Chocolate Products (Malaysia) Berhad................. 188,100 119,904
Choo Bee Metal Industries Berhad..................... 49,000 74,183
Cold Storage (Malaysia) Berhad....................... 102,000 161,737
Computer Forms Malaysia Berhad....................... 19,000 87,052
*Concrete Engineering Products Berhad................ 29,000 88,964
*Construction & Supplies House Berhad................ 64,000 94,853
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Country Heights Holdings Berhad...................... 75,000 $ 487,052
Cycle & Carriage Bintang Berhad...................... 130,000 864,940
DMIB Berhad.......................................... 150,000 137,450
DNP Holdings Berhad.................................. 412,000 343,060
Daibochi Plastic & Packaging Industry Berhad......... 32,200 73,123
Daiman Development Berhad............................ 110,000 129,721
*Damansara Realty Berhad............................. 468,000 244,255
*Dataprep Holdings Berhad............................ 36,000 144,861
Datuk Keramat Holdings Berhad........................ 153,000 236,510
*Denko Industrial Corp. Berhad....................... 38,000 135,498
Diethelm Holdings (Malaysia) Berhad.................. 26,000 28,486
Diperdana Corp. Berhad............................... 43,000 311,793
Dutch Baby Milk Industry (Malaysia) Berhad........... 22,000 147,251
Eastern & Oriental Berhad............................ 67,500 132,849
Econstates Berhad.................................... 63,000 84,335
*Ekran Berhad........................................ 164,000 362,629
*FA Peninsular Berhad................................ 95,000 83,267
*FACB Berhad......................................... 786,000 369,514
FCW Holdings Berhad.................................. 224,000 298,072
*Faber Group Berhad Issue 96......................... 162,000 154,900
Far East Holdings Berhad............................. 74,000 102,008
Federal Flour Mills Berhad........................... 271,250 653,810
Fima Corp. Berhad.................................... 39,000 111,096
*Gadek Capital Berhad................................ 48,000 114,741
*General Corp. Berhad................................ 423,000 288,179
George Kent (Malaysia) Berhad........................ 122,998 161,710
George Town Holdings Berhad.......................... 147,000 217,865
Glenealy Plantations (Malaysia) Berhad............... 76,000 222,550
Goh Ban Huat Berhad.................................. 75,000 194,223
Gold Coin (Malaysia) Berhad.......................... 52,000 150,199
Golden Frontier Berhad............................... 29,000 57,307
*Golden Pharos Berhad................................ 48,000 67,315
Golden Plus Holdings Berhad.......................... 172,000 326,183
Gopeng Berhad........................................ 94,500 195,777
*Granite Industries Berhad........................... 111,000 152,127
Guinness Anchor Berhad............................... 275,000 602,590
*Gula Perak Berhad................................... 180,000 147,012
*Guthrie Ropel Berhad................................ 160,000 286,853
H&R Johnson (Malaysia) Berhad........................ 27,000 30,657
HLG Capital Berhad................................... 71,000 195,179
Hap Seng Consolidated Berhad......................... 392,000 968,287
Hexza Corp. Berhad................................... 163,000 116,892
Hil Industries Berhad................................ 22,000 50,837
Ho Hup Construction Co. Berhad....................... 80,000 213,546
Hock Hua Bank Berhad (Foreign)....................... 98,000 406,056
IGB Corp. Berhad..................................... 625,000 602,590
IOI Properties Berhad................................ 52,700 121,777
Inchcape Timuran Berhad.............................. 128,250 204,382
*Insas Berhad........................................ 644,200 461,976
Instangreen Corp. Berhad............................. 15,000 55,876
Integrated Logistics Berhad.......................... 39,000 72,096
*Intria Behard....................................... 41,000 83,307
Ipmuda Berhad........................................ 45,000 106,673
Island & Peninsular Berhad........................... 155,000 500,199
*Jasa Megah Industries Berhad........................ 58,000 71,633
</TABLE>
151
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Jaya Netting Industries Berhad....................... 21,000 $ 87,012
Jeram Kuantan (Malaysia) Berhad...................... 45,000 70,279
Johan Holdings Berhad................................ 410,000 351,195
*Johor Land Berhad................................... 47,800 70,081
KFC Holdings (Malaysia) Berhad....................... 126,666 489,506
KIG Glass Industrial Berhad.......................... 62,000 65,458
KPJ Healthcare Berhad................................ 24,000 57,370
Kamunting Corp. Berhad............................... 447,000 320,558
Kanzen Berhad........................................ 105,000 153,108
Keck Seng (Malaysia) Berhad.......................... 316,500 406,028
Kelanamas Industries Berhad.......................... 48,000 85,673
Kelang Container Terminal Berhad..................... 169,000 366,952
Kemayan Corp. Berhad................................. 344,000 390,598
Khong Guan Holdings (Malaysia) Berhad................ 21,000 88,685
Kian Joo Can Factory Berhad.......................... 100,500 378,376
Kim Hin Industry Berhad.............................. 50,400 67,869
Kluang Rubber Co. (Malaysia) Berhad.................. 2,000 135,458
Kramat Tin Dredging Berhad........................... 1,800 20,797
Kretam Holdings Berhad............................... 110,500 334,582
*Kuala Lumpur Industries Holdings Berhad............. 138,000 162,741
Kuala Sidim Berhad................................... 123,000 276,872
*Kuantan Flour Mills Berhad.......................... 19,000 50,717
Kuchai Development Berhad............................ 800 18,008
Kulim Malaysia Berhad................................ 239,800 487,243
Kumpulan Belton Berhad............................... 44,100 89,606
*Kumpulan Emas Berhad................................ 134,000 106,773
*Kym Holdings Berhad................................. 6,000 13,506
Ladang Perbadanan-Fima Berhad........................ 57,000 144,203
Landmarks Berhad..................................... 268,000 348,080
Larut Consolidated Berhad............................ 206,000 233,904
Leisure Management Berhad............................ 149,999 621,510
Leong Hup Holdings Berhad............................ 73,000 74,163
Lien Hoe Corp. Berhad................................ 240,000 267,729
Lim Kim Hai Holdings Berhad.......................... 97,000 270,518
Lion Corp. Berhad.................................... 108,500 222,619
Lion Land Berhad..................................... 309,375 299,514
Long Huat Group Berhad............................... 33,000 105,179
MBF Holdings Berhad.................................. 1,175,250 641,471
*MBF Land Berhad..................................... 483,000 321,359
MCB Holdings Berhad.................................. 199,000 203,757
MMC Engineering Group Berhad......................... 43,000 126,345
MUI Properties Berhad................................ 483,000 292,494
MWE Holdings Berhad.................................. 184,500 169,064
Malayan Cement Berhad................................ 212,500 355,578
Malayan Flour Mills Berhad........................... 92,400 117,801
Malayawata Steel Berhad.............................. 182,000 295,841
Malaysia Aica Berhad................................. 126,000 250,996
Malaysia Assurance Alliance Berhad................... 129,938 766,165
Malaysia British Assurance Berhad.................... 53,000 230,159
Malaysia Building Society Berhad..................... 124,000 184,765
*Malaysia Building Society Berhad Issue 97........... 31,000 40,757
Malaysia Smelting Corp. Berhad....................... 37,000 81,813
Malaysian Mosaics Berhad............................. 368,000 486,757
Malaysian Oxygen Berhad.............................. 131,500 686,315
Malaysian Pacific Industries......................... 187,000 819,522
Malaysian Packaging Industry......................... 14,000 36,255
Malaysian Plantations Berhad......................... 160,000 216,733
Malaysian Tobacco Co. Berhad......................... 275,000 392,231
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Malex Industries Berhad............................. 15,000 $ 164,343
Mamee-Double Decker (Malaysia) Berhad................ 18,000 48,765
Mancon Berhad........................................ 88,000 171,092
Maruichi Malaysia Steel Tube Berhad.................. 39,000 125,857
Matsushita Electric Co. (Malaysia) Berhad............ 44,000 376,892
Mechmar Corp......................................... 94,000 109,355
Mega First Corp. Berhad.............................. 268,000 185,785
*Menang Corp......................................... 272,000 191,809
Mentiga Corp. Berhad................................. 41,000 86,574
*Metacorp Berhad..................................... 193,333 500,663
Metrojaya Berhad..................................... 153,000 207,251
Minho (Malaysia) Berhad.............................. 46,000 54,980
Mintye Industries Berhad............................. 12,000 27,729
Muda Holdings Berhad................................. 208,125 184,079
Muhibbah Engineering Berhad.......................... 19,000 64,343
Mulpha International Berhad.......................... 334,000 268,797
Mun Loong Berhad..................................... 40,000 221,514
NCK Corp. Berhad..................................... 18,000 49,482
Nam Fatt Berhad...................................... 112,000 283,347
Nanyang Press (Malaya) Berhad........................ 70,400 249,625
Negara Properties (Malaysia) Berhad.................. 86,000 349,482
Negri Sembilan Oil Palms Berhad...................... 34,000 121,912
North Borneo Timbers Berhad.......................... 30,000 391,434
Nylex (Malaysia) Berhad.............................. 304,500 541,064
O'Connor's Corp. Berhad.............................. 21,000 67,351
OSK Holdings......................................... 195,000 380,677
*Olympia Industries Berhad........................... 293,000 235,801
PJ Development Holdings Berhad....................... 345,800 287,937
PSC Industries Berhad................................ 52,332 630,694
PWE Industries Berhad................................ 39,200 550,518
Pacific Chemicals Berhad............................. 55,000 109,562
Palmco Holdings Berhad............................... 179,000 218,223
*Pan Pacific Asia Berhad............................. 64,000 156,813
*Panglobal Berhad.................................... 70,000 142,231
Paramount Corp. Berhad............................... 73,000 77,363
Parit Perak Holdings Berhad.......................... 200,000 258,167
Park May Berhad...................................... 48,000 89,498
Peladang Kimia Berhad................................ 78,000 205,100
Pelangi Berhad....................................... 437,500 482,819
*Perdana Industrial Holdings Berhad.................. 46,000 142,948
Pernas International Holdings Berhad................. 554,950 519,575
Petaling Garden Berhad............................... 254,000 364,303
Petaling Tin Berhad.................................. 23,000 99,880
Phileo Allied Berhad................................. 170,250 336,430
*Phileo Land Berhad.................................. 64,000 149,163
Pilecon Engineering Berhad........................... 290,500 481,466
Poly Glass Fibre (Malaysia) Berhad................... 90,000 147,012
Prime Utilities Berhad............................... 33,000 251,116
Projek Penyelenggaraan Lebuhraya Berhad.............. 11,000 34,183
*Promet Berhad....................................... 674,000 571,960
Putera Capital Berhad................................ 82,000 189,482
RJ Reynolds Berhad................................... 200,000 525,896
Rahman Hydraulic Tin Berhad.......................... 111,000 223,327
*Red Box (Malaysia) Berhad........................... 41,000 59,458
Riverview Rubber Estates Berhad...................... 5,400 38,295
Road Builders (Malaysia) Holdings Berhad............. 77,000 380,398
</TABLE>
152
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*S P Setia Berhad.................................... 30,000 $ 96,813
SCB Developments Berhad.............................. 240,500 300,865
SCK Group Berhad..................................... 22,000 108,685
*SPK Sentosa Corp. Berhad............................ 51,000 83,307
Samanda Holdings Berhad.............................. 73,000 613,665
*Sanda Plastics Industries Berhad.................... 11,000 55,219
Sanyo Industries (Malaysia) Berhad................... 33,600 178,040
Sapura Telecommunications Berhad..................... 187,000 296,518
Sarawak Oil Palms Berhad............................. 117,600 274,088
*Sateras Resources (Malaysia) Berhad................. 193,000 143,020
Scientex, Inc. Berhad................................ 75,000 149,402
Selangor Dredging Berhad............................. 355,000 281,454
Selangor Properties Berhad........................... 459,000 490,088
Setegap Berhad....................................... 33,332 76,358
*Setron (Malaysia) Berhad............................ 61,666 118,910
Shangri-la Hotels (Malaysia) Berhad.................. 281,000 294,434
Siah Brothers Corp. Berhad........................... 64,000 107,092
*Sin Heng Chan Berhad................................ 20,000 131,474
Sistem Television Malaysia Berhad.................... 91,000 184,900
Sitt Tatt Berhad..................................... 85,000 230,279
*South East Asia Lumber, Inc. Berhad................. 79,500 163,117
South Johore Amalgamated Holding Berhad.............. 40,500 102,460
South Malaysia Industries Berhad..................... 157,500 121,733
Southern Acids (Malaysia) Berhad..................... 80,700 135,036
Southern Bank Berhad................................. 106,000 259,721
Southern Bank Berhad (Foreign)....................... 10,000 24,104
Sriwani Holdings Berhad.............................. 143,800 446,868
Store Corp. Berhad................................... 31,000 54,837
Sungei Bagan Rubber Co. (Malaysia) Berhad............ 2,000 100,398
*Tai Wah Garments Manufacturing Berhad (Foreign)..... 60,000 64,303
Taiping Consolidated Berhad.......................... 232,000 189,482
Tajo Berhad.......................................... 32,000 62,470
Talam Corp. Berhad................................... 82,000 98,008
Tan & Tan Developments Berhad........................ 159,000 155,833
Tasek Cement Berhad.................................. 192,000 481,912
Tenggara Capital Berhad.............................. 99,200 147,021
Tiong Nam Transport Holdings Berhad.................. 17,000 50,797
*Tongkah Holdings Berhad............................. 101,000 175,442
Tradewinds Malaysia Berhad........................... 56,000 89,243
*Trengganu Development & Management Berhad........... 66,000 90,454
Tronoh Mines Malaysia Berhad......................... 40,000 140,239
*U-Wood Holdings Berhad.............................. 20,000 49,402
UAC Berhad........................................... 67,000 109,976
*Union Paper Holdings Berhad......................... 20,000 86,853
Uniphoenix Corp. Berhad.............................. 267,000 457,410
Uniphone Telecommunications Berhad................... 185,000 196,056
United Chemical Industries Berhad.................... 18,000 88,924
United Malacca Rubber Estates Berhad................. 96,000 501,036
United Malayan Land Berhad........................... 135,000 309,263
United Plantations Berhad............................ 206,000 418,566
Utusan Melayu (Malaysia) Berhad...................... 24,000 28,494
*Wembley Industries Holdings Berhad.................. 35,000 37,649
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Westmont Industries Berhad........................... 116,520 $ 128,590
Westmont Land (Asia) Berhad.......................... 180,600 259,028
Wing Tiek Holdings Berhad............................ 95,800 196,562
Worldwide Holdings Berhad............................ 213,800 272,574
Yee Lee Corp. Berhad................................. 14,000 36,813
Yeo Hiap Seng (Malaysia) Berhad...................... 35,000 79,482
------------
TOTAL COMMON STOCKS (Cost $44,700,949)................. 62,920,812
------------
INVESTMENT IN CURRENCY -- (0.6%)
*Malaysian Ringetts (Cost $1,531,414)................ 1,532,255
------------
RIGHTS/WARRANTS -- (0.0%)
*Kim Hin Industry Berhad Rights 07/01/97............. 10,500 2,426
*Malaysian Pacific Industries Rights for Guolene
Paper 06/04/97..................................... 124,666 0
*Scientex, Inc. Berhad Warrants 12/31/01............. 15,000 17,629
*Siah Brothers Corp. Berhad Rights 06/06/97.......... 32,000 574
------------
TOTAL RIGHTS/WARRANTS (Cost $3,030).................... 20,629
------------
TOTAL -- MALAYSIA (Cost $46,235,393)................... 64,473,696
------------
HONG KONG -- (25.8%)
COMMON STOCKS -- (24.8%)
ABC Communications (Holdings), Ltd................... 338,000 73,307
ALCO Holdings, Ltd................................... 314,000 36,078
ASM Pacific Technology, Ltd.......................... 346,000 232,275
*AWT World Transport Holdings, Ltd................... 250,800 34,968
*Allied Group, Ltd................................... 5,522,000 613,080
Allied Properties (Hong Kong), Ltd................... 1,280,000 224,735
Anex International Holdings, Ltd..................... 152,000 18,446
*Applied International Holdings, Ltd................. 1,243,000 99,491
*Asia Commercial Holdings, Ltd....................... 72,800 11,278
Asia Financial Holdings, Ltd......................... 1,681,891 564,539
*Asia Securities International, Ltd.................. 476,000 236,587
Asia Standard International Group, Ltd............... 712,000 257,372
Associated International Hotels, Ltd................. 898,000 602,840
Beauforte Investors Corp., Ltd....................... 72,000 117,119
Beijing Development (Hong Kong), Ltd................. 166,000 86,257
*Benelux International, Ltd.......................... 30,000 1,569
Burlingame International Co., Ltd.................... 105,000 26,975
Burwill Holdings, Ltd................................ 1,480,000 166,228
*CCT Telecom Holdings, Ltd........................... 460,000 31,474
*CIL Holdings, Ltd................................... 122,000 11,183
*CNPC (Hong Kong), Ltd............................... 1,070,000 218,255
CNT Group, Ltd....................................... 980,000 180,919
Cafe de Coral Holdings, Ltd.......................... 485,000 134,618
*Capetronic International Holdings, Ltd.............. 14,490 2,899
Capital Asia, Ltd.................................... 987,361 178,454
Century City International Holdings, Ltd............. 3,676,045 1,471,177
Champion Technology Holdings, Ltd.................... 1,321,288 199,575
</TABLE>
153
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Chen Hsong Holdings, Ltd............................. 1,275,000 $ 748,935
Cheuk Nang Properties (Holdings), Ltd................ 750,008 244,484
*Cheung Tai Hong Holdings, Ltd....................... 332,000 79,721
*Cheung Wah Development Co., Ltd..................... 1,286,000 60,598
Chevalier (OA) International, Ltd.................... 1,776,251 142,173
Chevalier Construction Holdings, Ltd................. 118,072 10,060
Chevalier Development International, Ltd............. 52,524 9,086
Chevalier International Holdings, Ltd................ 1,676,457 292,179
*China Aerospace International Holdings, Ltd......... 1,620,000 763,362
China Everbright International, Ltd.................. 330,000 90,531
China Foods Holdings, Ltd............................ 1,232,000 254,480
#China Merchants Hai Hong Holdings Co., Ltd.......... 574,000 1,044,849
China Motor Bus Co., Ltd............................. 114,200 1,149,961
China Pharmaceutical Enterprise and Investment Corp.,
Ltd................................................ 150,000 30,984
*China Star Entertainment, Ltd....................... 1,602,000 61,011
*China United (Holdings), Ltd........................ 115,000 7,869
China-Hong Kong Photo Products Holdings, Ltd......... 532,000 154,531
Chinney Investments, Ltd............................. 120,000 28,660
Chow Sang Sang Holdings International, Ltd........... 1,098,400 382,866
*Chuang's China Investments, Inc..................... 820,000 50,813
Chuang's Consortium International, Ltd............... 564,000 95,383
Chun Wo Holdings, Ltd................................ 169,400 51,393
*Chung Hwa Devlopment Holdings, Ltd.................. 520,000 109,424
Climax International Co., Ltd........................ 296,000 44,327
Companion Building Material (Holdings), Ltd.......... 852,510 70,437
Companion Marble (Holdings), Ltd..................... 48,171 9,577
*Continental Holdings, Ltd........................... 98,825 9,696
*Continental Mariner Investment Co., Ltd............. 480,000 421,379
Cosmos Machinery Enterprises, Ltd.................... 500,000 167,829
Crocodile Garments, Ltd.............................. 1,539,000 158,947
Cross Harbour Tunnel Co., Ltd........................ 365,603 788,222
*Culturecom Holdings, Ltd............................ 2,161,000 80,905
*DC Finance (Holdings), Ltd.......................... 260,000 58,404
Dah Hwa International Holdings, Ltd.................. 128,000 30,405
*Daido Concrete (Hong Kong), Ltd..................... 223,000 24,471
*Dong-Jun Holdings, Ltd.............................. 196,000 38,967
*Dransfield Holdings, Ltd............................ 190,000 16,680
Dynamic Holdings, Ltd................................ 158,000 47,934
*East Asiatic Co. (Hong Kong), Ltd................... 919,000 151,862
Easyknit International Holdings, Ltd................. 334,000 28,890
#Egana International Holdings, Ltd................... 1,070,400 293,648
Elec & Eltek International Holdings, Ltd............. 2,565,659 728,692
Emporer International Holdings, Ltd.................. 148,369 54,111
*Englong International, Ltd.......................... 130,000 5,035
Esprit Asia Holdings, Ltd............................ 202,000 116,047
FPB Bank Holding Co., Ltd............................ 1,399,520 740,774
*Fairwood Holdings, Ltd.............................. 426,000 30,248
*Fairyoung Holdings, Ltd............................. 80,000 34,598
Far East Consortium International, Ltd............... 1,592,235 330,945
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Far East Holdings International, Ltd................ 70,000 $ 7,320
*Far East Hotels & Entertainment, Ltd................ 1,853,000 705,700
*Fong's Industries Co., Ltd.......................... 174,000 10,108
Fortei Holdings, Ltd................................. 242,000 16,246
Fountain Set Holdings, Ltd........................... 192,000 42,634
Four Seas Mercantile Holdings, Ltd................... 242,000 139,027
Frankie Dominion International, Ltd.................. 630,173 39,457
*Fu Hui Jewelry Co. (Hong Kong), Ltd................. 232,000 22,164
Furama Hotel Enterprises, Ltd........................ 475,287 1,043,103
Giordano International, Ltd.......................... 598,000 358,985
Gold Peak Industries (Holdings), Ltd................. 1,031,400 699,051
Gold-Face Holdings, Ltd.............................. 168,000 40,775
Golden Harvest Entertainment Holdings, Ltd........... 140,000 28,557
Golden Power International Holdings, Ltd............. 34,000 2,765
Golden Resources Development International, Ltd...... 971,000 111,566
*Goldlion Holdings, Ltd.............................. 693,000 377,992
*Goldtron (Bermuda) Holdings, Ltd.................... 51,111 3,101
Grand Hotel Holdings, Ltd. Series A.................. 1,333,000 546,382
Grande Holdings, Ltd................................. 420,088 197,950
Great Wall Electronic International, Ltd............. 2,256,453 279,653
*Group Sense (International), Ltd.................... 400,000 48,541
*H B International Holdings, Ltd..................... 396,000 61,348
HKCB Bank Holding Co., Ltd........................... 538,000 375,058
*Hanny Holdings, Ltd................................. 383,280 131,125
Harbour Centre Development, Ltd...................... 375,000 496,224
Harbour Ring International Holdings, Ltd............. 1,618,000 135,773
*High Fashion International, Ltd..................... 178,000 25,737
#Hon Kwok Land Investment Co., Ltd................... 2,081,950 732,418
Hong Kong Ferry (Holdings) Co., Ltd.................. 771,300 1,394,036
Hong Kong Parkview Group, Ltd........................ 1,130,000 696,585
Hop Hing Holdings, Ltd............................... 660,265 102,287
Hsin Chong Construction Group, Ltd................... 446,018 68,521
Hualing Holdings, Ltd................................ 200,000 30,726
Huey Tai International, Ltd.......................... 675,000 126,356
Hung Hing Printing Group, Ltd........................ 412,442 201,003
Hwa Kay Thai Holdings, Ltd........................... 2,444,238 198,795
IDT International, Ltd............................... 390,664 60,521
IMC Holdings, Ltd.................................... 604,000 277,594
Innovative International (Holdings), Ltd............. 438,000 244,558
Interform Ceramics Technologies, Ltd................. 202,000 37,813
International Bank of Asia, Ltd...................... 158,000 115,247
*International Pipe, Ltd............................. 642,726 107,868
International Tak Cheung Holdings, Ltd............... 10,000 2,905
*Island Dyeing & Printing Co., Ltd................... 148,000 182,468
JCG Holdings, Ltd.................................... 378,333 302,823
Jinhui Holdings Co., Ltd............................. 370,000 96,727
Joyce Boutique Holdings, Ltd......................... 680,000 109,734
K Wah International Holdings, Ltd.................... 2,138,905 408,673
KPI Co., Ltd......................................... 264,000 64,756
*KTP Holdings, Ltd................................... 902,000 55,312
</TABLE>
154
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Ka Wah Bank, Ltd.................................... 2,645,661 $ 2,015,156
*Kader Holdings Co., Ltd............................. 496,000 99,892
*Kantone Holdings, Ltd............................... 123,902 16,475
Keck Seng Investments (Hong Kong), Ltd............... 572,400 188,435
Kee-Shing Holdings Co., Ltd.......................... 886,000 168,141
King Fook Holdings, Ltd.............................. 1,000,000 85,205
*Kosonic International Holdings, Ltd................. 198,000 6,288
Kumagai Gumi Hong Kong, Ltd.......................... 685,000 760,522
Kwong Sang Hong International, Ltd................... 604,000 290,460
#Lai Sun Garment (International), Ltd................ 465,000 525,271
*Lam Soon (Hong Kong), Ltd........................... 1,209,240 168,600
*Lam Soon Food Industries, Ltd....................... 435,000 30,325
Lamex Holdings, Ltd.................................. 202,000 65,195
Laws International Holdings, Ltd..................... 410,000 85,218
Le Saunda Holdings, Ltd.............................. 236,000 46,920
Leefung-Asco Printers Holdings, Ltd.................. 144,000 22,494
Li & Fung, Ltd....................................... 548,000 544,746
Lippo, Ltd........................................... 749,760 721,109
#Liu Chong Hing Bank, Ltd............................ 358,600 773,124
Liu Chong Hing Investment, Ltd....................... 635,200 848,737
*Luks Industrial Co., Ltd............................ 1,793,212 215,297
Lung Kee (Bermuda) Holdings, Ltd..................... 72,000 23,703
*Magnum International Holdings, Ltd.................. 300,000 13,555
*Mansion Holdings, Ltd............................... 151,800 16,070
Mansion House Group, Ltd............................. 698,200 128,896
*Megga (S.) International Holdings, Ltd.............. 1,081,000 85,129
Melbourne Enterprises, Ltd........................... 45,500 331,881
Melco International Development, Ltd................. 180,000 60,418
*Millenium Group, Ltd................................ 1,856,000 904,518
Min Xin Holdings, Ltd................................ 616,000 425,458
Mingly Corp., Ltd.................................... 3,666,000 1,183,191
Moulin International Holdings, Ltd................... 230,000 166,279
Mui Hong Kong, Ltd................................... 1,230,000 79,396
Nanyang Holdings, Ltd................................ 125,000 225,923
National Electronics Holdings, Ltd................... 1,324,000 119,649
New Island Printing Holdings, Ltd.................... 176,000 43,852
Ngai Lik Industrial Holdings, Ltd.................... 560,000 151,820
*Ocean Information Holdings, Ltd..................... 122,000 13,073
Ocean-Land Development, Ltd.......................... 206,000 170,204
Onfem Holdings, Ltd.................................. 222,000 85,980
Oriental Metals Holdings Co., Ltd.................... 136,000 39,065
#Oriental Press Group, Ltd........................... 770,000 263,426
Oxford Properties & Finance, Ltd..................... 110,000 195,972
#Pacific Concord Holding, Ltd........................ 1,686,000 995,798
*Pacific Rim Infrastructure Management Enterprises,
Ltd................................................ 1,757,560 170,174
*Paramount Publishing Group, Ltd..................... 620,000 134,469
Paul Y. ITC Construction Holdings, Ltd............... 16,610 4,139
*Peace Hill Enterprise Group, Ltd.................... 96,000 42,138
*Peace Mark (Holdings), Ltd.......................... 281,592 8,107
Perfectech International Holdings, Ltd............... 150,000 32,533
Pico Far East Holdings, Ltd.......................... 232,000 142,267
#Playmate Toys Holdings, Ltd......................... 837,000 154,520
Pokfulam Development Co., Ltd........................ 234,000 181,255
*Poly Investments Holdings, Ltd...................... 2,670,000 286,096
Prestige Properties Holdings, Ltd.................... 965,000 196,837
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Prod-Art Technology (Holdings), Ltd................. 322,000 $ 38,244
QPL International Holdings, Ltd...................... 318,000 256,584
*RNA Holdings, Ltd................................... 20,600 3,484
Raymond Industrial, Ltd.............................. 605,400 85,972
Rhine Holdings, Ltd.................................. 64,000 7,767
*Rivera Holdings, Ltd................................ 3,160,000 138,704
Ryoden Development, Ltd.............................. 478,000 134,218
Safety Godown Co., Ltd............................... 408,000 316,034
San Miguel Brewery Hong Kong, Ltd.................... 930,800 423,582
Sea Holdings, Ltd.................................... 286,000 179,996
*Seapower International Holdings, Ltd................ 260,000 104,054
Seapower Resources International, Ltd................ 2,528,000 355,735
#Semi-Tech (Global) Co., Ltd......................... 329,633 544,707
Shaw Brothers Hong Kong, Ltd......................... 120,000 128,582
Shell Electric Manufacturing (Holdings) Co., Ltd..... 825,000 431,352
Shenyin Wanguo (Hong Kong), Ltd...................... 322,500 94,718
*Shenzhen International Holdings, Ltd................ 1,865,000 334,669
Shougang Concord Century Holdings, Ltd............... 302,000 35,479
*Shougang Concord Grand (Group), Ltd................. 354,000 102,827
Shougang Concord International Enterprises Co.,
Ltd................................................ 1,466,000 344,451
#Shougang Concord Technology Holdings, Ltd........... 995,914 159,429
*Shun Ho Construction (Holdings), Ltd................ 988,050 109,698
*Shun Ho Resources Holdings, Ltd..................... 483,000 46,766
*Shun Shing Holdings, Ltd............................ 408,000 368,706
Silver Grant International Industries, Ltd........... 765,000 427,140
Sime Darby Hong Kong, Ltd............................ 418,000 491,066
Sincere Co., Ltd..................................... 505,500 71,133
*Sing Tao Holdings, Ltd.............................. 733,000 283,888
Singamas Container Holdings, Ltd..................... 320,000 35,528
South China Brokerage Co., Ltd....................... 3,248,000 171,918
South China Industries, Ltd.......................... 1,124,000 156,716
*South China Strategic, Ltd.......................... 2,143,500 63,093
*South Sea Development Co., Ltd...................... 578,158 50,008
Southeast Asia Properties & Finance, Ltd............. 159,720 63,921
*Star Telecom International Holdings, Ltd............ 388,000 91,665
Starlight International Holdings, Ltd................ 699,356 92,995
#Stelux Holdings International, Ltd.................. 735,702 138,668
*Styland Holdings, Ltd............................... 969,600 48,818
*Sum Cheong International, Ltd....................... 230,000 17,816
*Sun Fook Kong Holdings, Ltd......................... 1,534,000 380,232
Sun Hung Kai & Co., Ltd.............................. 1,825,600 553,855
Suwa International Holdings, Ltd..................... 1,062,000 72,665
Swank International Manufacturing Co., Ltd........... 638,000 69,187
Tack Hsin Holdings, Ltd.............................. 148,000 23,692
Tai Cheung Holdings, Ltd............................. 327,000 287,064
Tai Sang Land Development, Ltd....................... 458,985 237,018
Tak Sing Alliance Holdings, Ltd...................... 581,973 401,957
</TABLE>
155
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Tak Wing Investment Holdings, Ltd.................... 432,800 $ 65,373
Techtronic Industries Co., Ltd....................... 954,000 173,656
#Tem Fat Hing Fung (Holdings), Ltd................... 2,060,000 771,237
*Termbray Industries International (Holdings),
Ltd................................................ 112,490 165,555
Tern Properties Co., Ltd............................. 51,000 24,690
Texwinca Holdings, Ltd............................... 278,000 208,159
Tian An China Investments Co., Ltd................... 4,355,750 635,424
Tian Teck Land, Ltd.................................. 1,098,000 279,249
*Triplenic Holdings, Ltd............................. 194,000 107,694
Tristate Holdings, Ltd............................... 138,000 63,246
Truly International Holdings, Ltd.................... 214,000 63,542
Tse Sui Luen Jewellry (International), Ltd........... 1,065,664 550,304
Tung Fong Hung (Holdings), Ltd....................... 466,560 21,081
Tungtex (Holdings) Co., Ltd.......................... 976,000 102,060
Tysan Holdings, Ltd.................................. 369,600 89,227
UDL Holdings, Ltd.................................... 474,000 54,462
USI Holdings, Ltd.................................... 928,999 287,839
*Ultronics International Holdings, Ltd............... 112,000 5,567
Union Bank of Hong Kong, Ltd......................... 633,623 1,415,140
*Universal Appliances, Ltd........................... 710,000 54,080
*Uniworld Holdings, Ltd.............................. 14,880,000 101,813
Varitronix International, Ltd........................ 495,000 904,241
Wah Ha Realty Co., Ltd............................... 278,600 70,495
Wah Kwong Shipping Holdings, Ltd..................... 125,500 144,197
*Wah Nam Group, Ltd.................................. 1,934,800 54,702
Wai Kee Holdings, Ltd................................ 474,294 115,114
Wing On Co. International, Ltd....................... 565,000 685,644
Wing On International Holdings, Ltd.................. 50,000 94,242
Wing Shan International, Ltd......................... 406,000 69,187
#Winsor Industrial Corp., Ltd........................ 498,000 108,652
*Winsor Properties Holdings, Ltd..................... 249,000 433,966
*Wo Kee Hong (Holdings), Ltd......................... 1,944,000 160,620
Wong's International (Holdings), Ltd................. 1,012,000 447,470
*Wong's Kong King International (Holdings), Ltd...... 1,139,600 76,503
World Houseware (Holdings), Ltd...................... 535,123 52,504
YGM Trading, Ltd..................................... 70,000 72,747
Yangtzekiang Garment Manufacturing Co., Ltd.......... 405,000 56,991
Yaohan Food Processing & Trading Co., Ltd............ 124,000 14,087
*Yaohan Hong Kong Corp., Ltd......................... 760,000 49,058
Yaohan International Caterers, Ltd................... 512,000 133,850
Yaohan International Holdings, Ltd................... 974,000 93,049
Yau Lee Holdings, Ltd................................ 360,000 26,956
*Yeebo (International Holdings), Ltd................. 40,800 6,268
*Yiu Wing International Holdings, Ltd................ 282,000 95,565
*Yoshiya International Corp., Ltd.................... 612,300 75,095
*Yugang International, Ltd........................... 192,000 118,978
------------
TOTAL COMMON STOCKS (Cost $53,963,791)................. 60,870,930
------------
INVESTMENT IN CURRENCY -- (1.0%)
*Hong Kong Dollars (Cost $2,377,746)................. 2,377,961
------------
RIGHTS/WARRANTS -- (0.0%)
*Companion Marble (Holdings), Ltd. Warrants
10/10/97........................................... 9,582 680
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Easyknit International Holdings, Ltd. Rights
06/23/97........................................... 167,000 $ 0
*Four Seas Mercantile Holdings, Ltd. Warrants
09/30/98........................................... 48,400 6,248
*Golden Power International Holdings, Ltd. Warrants
12/31/99........................................... 6,800 298
*Megga (S.) International Holdings, Ltd. Rights
06/18/97........................................... 432,400 5,582
*Mui Hong Kong, Ltd. Warrants 12/31/99............... 246,000 8,734
*RNA Holdings, Ltd. Warrants 12/01/99................ 206,000 13,563
*Rhine Holdings, Ltd. Warrants 12/31/98.............. 8,000 150
*Stelux Holdings International, Ltd. Warrants
02/28/98........................................... 147,140 5,319
*Sun Hung Kai & Co., Ltd. Warrants 02/18/00.......... 365,120 32,996
*Tian An China Investments Co., Ltd. Warrants
03/06/00........................................... 871,150 53,983
*Wai Kee Holdings, Ltd. Warrants 06/30/00............ 71,144 0
*Wong's International (Holdings), Ltd. Warrants
05/31/00........................................... 202,400 0
*Yoshiya International Corp., Ltd. Warrants
12/31/98........................................... 122,460 13,280
------------
TOTAL RIGHTS/WARRANTS (Cost $28,633)................... 140,833
------------
TOTAL -- HONG KONG (Cost $56,360,170).................. 63,389,724
------------
AUSTRALIA -- (20.8%)
COMMON STOCKS -- (19.9%)
#AAPC, Ltd........................................... 769,896 487,313
*AWA, Ltd............................................ 373,000 219,027
Aberfoyle, Ltd....................................... 185,050 550,366
Abigroup, Ltd........................................ 29,363 85,538
*Acacia Resources, Ltd............................... 158,632 233,478
Adelaide Bank, Ltd................................... 44,711 146,616
#Adelaide Brighton, Ltd.............................. 243,923 353,431
*Agen, Ltd........................................... 71,000 10,558
*Airboss, Ltd........................................ 274,800 14,250
Allgas Energy, Ltd................................... 20,699 213,099
*Allied Queensland Coalfields, Ltd................... 4,800 2,855
Amalgamated Holdings, Ltd............................ 207,560 1,139,657
Ashanti Goldfields Co., Ltd.......................... 15,991 213,408
Ashton Mining, Ltd................................... 523,700 838,687
Atkins Carlyle, Ltd.................................. 60,966 209,218
*Auridiam Consolidated NL............................ 63,097 10,827
*Aurora Gold, Ltd.................................... 90,434 142,758
Ausdoc Group, Ltd.................................... 13,119 19,709
Ausdrill, Ltd........................................ 15,792 20,473
Austereo, Ltd........................................ 15,000 28,598
Australian Chemical Holdings, Ltd.................... 61,900 169,938
Australian Oil & Gas Corp., Ltd...................... 84,300 131,789
#Australian Provincial Newspaper Holdings, Ltd....... 311,479 562,957
Australian Resources, Ltd............................ 141,446 73,350
BRL Hardy, Ltd....................................... 64,913 190,091
#Bank of Queensland, Ltd............................. 117,294 609,145
*Beach Petroleum NL.................................. 165,200 17,637
*Beyond International, Ltd........................... 10,703 22,446
</TABLE>
156
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Biota Holdings, Ltd................................. 82,600 $ 275,900
Blackmores, Ltd...................................... 27,894 81,897
*Boulder Group NL.................................... 78,500 13,769
Bridgestone Australia, Ltd........................... 49,000 129,292
Buderim Ginger, Ltd.................................. 7,300 5,567
*CIM Resources, Ltd.................................. 38,798 19,528
#Caltex Australia, Ltd............................... 106,904 366,863
Campbell Brothers, Ltd............................... 38,404 146,435
*Cape Range, Ltd..................................... 244,600 31,710
Capral Aluminium, Ltd................................ 376,584 1,364,123
*Carrington Cotton Corp., Ltd........................ 22,200 34,706
*Centaur Mining & Exploration, Ltd................... 252,080 301,812
Central Equity, Ltd.................................. 123,243 137,219
Central Norseman Gold Corp., Ltd..................... 409,800 212,510
Centro Properties, Ltd............................... 219,519 366,618
*Clements Marshall Consolidated, Ltd................. 2,555 1,461
*Climax Mining, Ltd.................................. 134,600 107,779
Coal & Allied Industries, Ltd........................ 11,250 80,645
Cockburn Corp., Ltd.................................. 5,892 5,796
Computer Power Group, Ltd............................ 47,260 144,162
Computershare, Ltd................................... 5,000 26,882
Consolidated Rutile, Ltd............................. 241,570 162,115
*Coolgardie Gold NL.................................. 222,685 15,454
*Coplex Resources NL................................. 231,400 71,469
*Cortecs International, Ltd.......................... 41,655 162,008
Country Road, Ltd.................................... 99,911 127,241
Coventry Group, Ltd.................................. 63,616 252,271
Crane (G.E) Holdings, Ltd............................ 70,258 669,736
Croesus Mining NL.................................... 97,100 35,914
*Cudgen RZ, Ltd...................................... 36,650 78,258
*Cultus Petroleum NL................................. 65,000 193,320
*DJL, Ltd............................................ 277,900 2,755
Danks Holdings, Ltd.................................. 10,425 58,831
*Datacraft, Ltd...................................... 127,018 216,007
*Davids Limited...................................... 280,841 265,571
Delfin Property Group, Ltd........................... 4,686 21,084
Delta Gold NL........................................ 373,100 617,423
*Denehurst, Ltd...................................... 95,000 5,434
*Devex, Ltd.......................................... 205,364 55,597
*Dominion Mining, Ltd................................ 168,015 96,096
*ERG, Ltd............................................ 298,635 371,216
*Eagle Mining Corp. NL............................... 48,026 98,887
Eltin, Ltd........................................... 132,590 264,917
*Emporer Mines, Ltd.................................. 120,600 185,779
Energy Developments, Ltd............................. 30,139 66,194
*Energy Equity Corp., Ltd............................ 69,499 84,270
Energy Resources of Australia, Ltd. Series A......... 231,589 1,042,000
*Equatorial Mining NL................................ 864,290 158,186
Evans Deakin Industries, Ltd......................... 196,596 547,224
FAI Insurances, Ltd.................................. 587,921 313,845
FAI Life, Ltd........................................ 192,578 114,551
Finemore Holdings, Ltd............................... 60,000 146,420
*Foodland Associated, Ltd............................ 96,144 604,887
#Futuris Corp., Ltd.................................. 632,600 993,789
GUD Holdings, Ltd.................................... 72,032 211,487
GWA International, Ltd............................... 120,118 245,494
Gibson Chemical Industries, Ltd...................... 36,300 200,698
*Gold Mines of Australia, Ltd........................ 553,072 65,375
Goldfields, Ltd...................................... 132,934 219,985
Great Central Mines, Ltd............................. 160,040 311,219
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Gunns, Ltd........................................... 39,400 $ 80,525
Gwalia Consolidated, Ltd............................. 101,623 189,870
Harvey Norman Holdings, Ltd.......................... 127,340 699,190
*Helix Resources NL.................................. 25,000 33,364
Henry Walker Group, Ltd.............................. 168,957 360,771
Herald Resources, Ltd................................ 69,910 45,850
Hills Industries, Ltd................................ 176,000 287,226
*Hudson Conway, Ltd.................................. 17,625 174,059
*ISR Group, Ltd...................................... 85,500 25,429
Iama, Ltd............................................ 37,240 80,938
*Incitec, Ltd........................................ 195,202 1,000,349
Ipoh, Ltd............................................ 117,000 196,294
*Johnson's Well Mining NL............................ 10,000 22,878
Joyce Corp., Ltd..................................... 12,310 14,269
Jupiters, Ltd........................................ 200,762 459,304
Just Jeans Holdings, Ltd............................. 18,520 24,010
KLZ, Ltd............................................. 102,153 250,845
*Keycorp, Ltd........................................ 7,024 25,176
*Kidston Gold Mines, Ltd............................. 246,300 206,612
*Kresta Holdings, Ltd................................ 189,000 11,675
Kurts (Peter) Properties, Ltd........................ 134,436 140,454
Lanes, Ltd........................................... 25,598 53,878
Lemarne Corp., Ltd................................... 20,790 76,102
*Lionore Mining International, Ltd................... 69,243 225,646
*MBL Holdings, Ltd................................... 172 12
MMI, Ltd............................................. 76,230 226,719
*MacMahon Holdings, Ltd.............................. 192,179 152,418
Magellan Petroleum Australia, Ltd.................... 31,200 66,621
Maryborough Sugar Factory, Ltd....................... 600 5,125
*Matrix Telecommunications Group Series A............ 99,300 128,735
McPherson's, Ltd..................................... 61,500 121,940
*Meekatharra Minerals, Ltd........................... 46,800 13,919
Memtec, Ltd.......................................... 15,462 356,688
Metal Manufactures, Ltd.............................. 295,010 638,930
Mirvac, Ltd.......................................... 301,782 653,596
*Mount Kersey Mining NL.............................. 73,076 189,475
Mount Leyshon Gold Mines, Ltd........................ 133,376 200,374
National Can Industries, Ltd......................... 86,237 164,411
National Consolidated, Ltd........................... 396,328 317,353
National Foods, Ltd.................................. 521,428 735,638
North Flinders Mines, Ltd............................ 31,366 169,830
#OPSM Protector, Ltd................................. 289,801 698,369
Oil Company of Australia, Ltd........................ 51,800 102,707
*Orbital Engine Corp., Ltd........................... 537,358 336,028
*Oroton International, Ltd........................... 34,600 24,011
PMP Communications, Ltd.............................. 371,610 1,020,206
Pacific BBA, Ltd..................................... 275,033 1,046,606
*Pan Pacific Petroleum NL............................ 327,800 38,747
Parbury, Ltd......................................... 156,125 94,058
*Payce Consolidated, Ltd............................. 18,000 10,158
Penfold (W.C.), Ltd.................................. 14,100 25,054
*Peptide Technology, Ltd............................. 176,600 65,991
*Perilya Mines NL.................................... 123,500 74,403
Permanent Trustee Co., Ltd........................... 14,000 49,859
*Petroz NL........................................... 308,910 296,825
*Petsec Energy, Ltd.................................. 97,992 485,738
Portman Mining, Ltd.................................. 166,100 411,672
*Power Pacific, Ltd.................................. 302,000 9,673
Prime Television, Ltd................................ 143,220 291,617
#QUF Industries, Ltd................................. 164,814 389,631
*Quantum Resources, Ltd.............................. 27,880 52,090
</TABLE>
157
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Queensland Cotton Holdings, Ltd...................... 5,911 $ 23,936
*Queensland Metals Corp., Ltd........................ 327,666 364,823
*Raptis Group, Ltd................................... 12,000 2,562
Reece Australia, Ltd................................. 32,100 214,196
Resolute, Ltd........................................ 320,738 650,624
Ridley Corp., Ltd.................................... 543,746 626,139
Ross Mining NL....................................... 125,140 88,752
#Rothmans Holdings, Ltd.............................. 205,927 1,413,363
#Rural Press, Ltd.................................... 198,599 599,750
SGIO Insurance, Ltd.................................. 125,693 159,117
*Savage Resources, Ltd............................... 827,340 807,592
Schaffer Corp., Ltd.................................. 13,800 26,310
Scott Corp., Ltd..................................... 43,000 78,700
Siddons Ramset, Ltd.................................. 95,102 514,927
*Simsmetal, Ltd...................................... 134,679 925,283
Singleton Group, Ltd................................. 4,924 24,408
*Sipa Resources International NL..................... 81,000 36,445
Skilled Engineering, Ltd............................. 19,238 39,905
Sonic Healthcare, Ltd................................ 75,415 97,770
Sons of Gwalia, Ltd.................................. 165,516 693,090
Southern Cross Broadcasting (Australia), Ltd......... 6,067 24,753
*Southern Pacific Petroleum NL....................... 437,600 1,218,058
Spicers Paper, Ltd................................... 246,300 401,954
Spotless Group, Ltd.................................. 224,111 475,123
Spotless Services, Ltd............................... 584,690 610,863
*St. Barbara Mines, Ltd.............................. 375,500 183,268
*Strategic Minerals Corp. NL......................... 13,100 699
Suncorp Metway, Ltd.................................. 271,368 1,237,536
*Tandou, Ltd......................................... 3,100 2,222
Tassal, Ltd.......................................... 366,059 73,977
Telecasters Australia, Ltd........................... 4,628 22,199
Telecasters North Queensland, Ltd.................... 31,213 138,058
Television & Media Services, Ltd..................... 23,691 22,764
Thakral Holdings Group............................... 230,990 149,730
*Ticor, Ltd.......................................... 154,996 138,294
*Titan Resources NL.................................. 50,000 12,011
*Tooth & Co., Ltd.................................... 153,000 47,255
*Transcom International, Ltd......................... 223,200 16,170
*Triako Resources, Ltd............................... 5,400 1,235
*Union Gold Mining Co. NL............................ 142,500 85,850
United Construction Group, Ltd....................... 14,129 26,937
Villa World, Ltd..................................... 134,700 131,485
*Waco Kwikform, Ltd.................................. 209,308 59,059
*Walhalla Mining Company NL.......................... 681 122
Walker Corp., Ltd.................................... 153,145 110,949
Wattyl, Ltd.......................................... 153,210 736,081
Webster, Ltd......................................... 32,700 20,947
Wesfi, Ltd........................................... 74,725 117,960
Weston (George) Foods, Ltd........................... 23,045 144,108
Westralian Sands, Ltd................................ 164,959 490,612
White (Joe) Maltings, Ltd............................ 24,463 90,852
Wills (W.D. & H.O.) Holdings, Ltd.................... 259,700 386,193
*Wiluna Mines, Ltd................................... 240,000 111,645
------------
TOTAL COMMON STOCKS (Cost $37,478,144)................. 48,951,502
------------
INVESTMENT IN CURRENCY -- (0.9%)
*Australian Dollar (Cost $2,314,742)................. 2,312,462
------------
RIGHTS/WARRANTS -- (0.0%)
*Campbell Brothers, Ltd. Rights 06/26/97 (Cost $0)... 9,601 7,322
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
PREFERRED STOCKS -- (0.0%)
*Ashanti GSM Series A (Cost $0)...................... 15,991 $ 0
------------
TOTAL -- AUSTRALIA (Cost $39,792,886).................. 51,271,286
------------
SINGAPORE -- (12.6%)
COMMON STOCKS -- (12.0%)
AV Jennings Homes, Ltd............................... 30,800 12,937
Acma, Ltd............................................ 213,600 382,790
*Alliance Technology & Development, Ltd.............. 48,000 25,537
Amtek Engineering, Ltd............................... 190,500 329,391
*Ana Hotels Singapore, Ltd........................... 89,000 220,553
Apollo Enterprises, Ltd.............................. 162,000 144,025
Avimo Group, Ltd..................................... 190,250 250,382
Bonvests Holdings, Ltd............................... 390,000 327,616
British-American Tobacco Co. (Singapore), Ltd........ 119,000 503,990
Bukit Sembawang Estates, Ltd......................... 48,334 947,394
*CK Tang, Ltd........................................ 83,000 101,099
CSA Holdings, Ltd.................................... 153,000 151,019
CWT Distribution, Ltd................................ 202,500 172,944
Carnaudmetalbox Asia, Ltd............................ 106,000 224,095
*Causeway Investment, Ltd............................ 133,000 111,726
Central Properties, Ltd.............................. 66,000 877,844
Chemical Industries (Far East), Ltd.................. 77,910 174,527
Chuan Hup Holdings, Ltd.............................. 395,000 293,105
Compact Metal Industries............................. 87,000 28,015
Cosco Investment (Singapore), Ltd.................... 134,400 119,488
Courts Singapore, Ltd................................ 66,000 87,784
Econ International, Ltd.............................. 94,000 77,648
*Eltech Electronics, Ltd............................. 80,000 23,241
Eng Wah Organisation, Ltd............................ 40,000 20,721
Focal Finance, Ltd................................... 95,200 167,941
Fuji Offset Plates Manufacturing, Ltd................ 33,750 15,239
GB Holdings, Ltd..................................... 90,000 49,773
GK Goh Holdings...................................... 478,000 582,233
*General Magnetics, Ltd.............................. 94,000 28,953
Goldtron, Ltd........................................ 473,000 276,482
Guthrie GTS, Ltd..................................... 542,400 229,718
HTP Holdings, Ltd.................................... 321,000 229,205
Hai Sun Hup Group, Ltd............................... 610,000 431,292
Haw Par Brothers International, Ltd.................. 374,200 838,250
Hind Hotels International, Ltd....................... 112,000 188,953
Hitachi Zosen (Singapore), Ltd....................... 497,000 240,063
Hong Kok Corp., Ltd.................................. 251,000 423,458
Hotel Grand Central, Ltd............................. 332,640 279,432
Hotel Plaza, Ltd..................................... 579,000 346,549
Hotel Royal, Ltd..................................... 59,000 152,818
Hour Glass, Ltd...................................... 138,000 88,876
Hup Seng Huat, Ltd................................... 106,000 40,441
Hwa Hong Corp., Ltd.................................. 211,000 358,929
*Hwa Tat Lee, Ltd.................................... 61,000 16,440
IPC Corp., Ltd....................................... 740,000 246,062
*Inno-Pacific Holdings, Ltd.......................... 300,500 100,973
Insurance Corp. of Singapore, Ltd.................... 93,250 195,835
International Factors (Singapore), Ltd............... 44,000 39,734
Intraco, Ltd......................................... 167,500 225,131
Isetan (Singapore), Ltd.............................. 61,000 123,836
Jack Chia-MPH, Ltd................................... 345,000 347,777
Jaya Holdings, Ltd................................... 122,400 82,257
Jurong Cement, Ltd................................... 80,500 386,017
*Jurong Engineering, Ltd............................. 87,000 208,288
*Jurong Shipyard, Ltd................................ 55,000 248,337
</TABLE>
158
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Keppel Finance, Ltd................................. 253,750 $ 309,083
Keppel Integrated Engineering, Ltd................... 77,000 70,613
Keppel Marine Industries, Ltd........................ 215,500 229,303
*Keppel Telecommunications and Transportation,
Ltd................................................ 316,000 249,969
Khong Guan Flour Milling, Ltd........................ 10,000 28,001
Kim Eng Holdings, Ltd................................ 580,200 487,392
L & M Group Investments, Ltd......................... 209,100 232,740
LC Development, Ltd.................................. 100,333 77,260
Lee Kim Tah Holdings, Ltd............................ 159,000 115,758
Liang Court Holdings, Ltd............................ 268,000 172,601
Liang Huat Aluminum, Ltd............................. 95,000 43,227
Lim Kah Ngam, Ltd.................................... 270,999 299,740
Low Keng Huat Singapore, Ltd......................... 144,000 58,467
Lum Chang Holdings, Ltd.............................. 503,359 398,177
Marco Polo Developments, Ltd......................... 134,000 290,795
Metalock (Singapore), Ltd............................ 20,000 19,741
Metro Holdings, Ltd.................................. 209,160 673,529
Neptune Orient Lines, Ltd............................ 130,000 117,396
Nippecraft, Ltd...................................... 76,000 24,473
Orchard Parade Holdings, Ltd......................... 308,800 696,070
*Overseas Union Enterprise, Ltd...................... 78,000 374,029
Overseas Union Trust (Foreign)....................... 163,800 263,731
*PCI, Ltd............................................ 225,000 96,080
*Pacific Can Investment Holdings, Ltd................ 101,000 72,825
Pacific Carriers, Ltd................................ 434,000 297,739
*Pacific Century Regional Developments, Ltd.......... 140,500 203,595
Pan Malayan Holdings, Ltd............................ 100,000 126,706
Pan Pacific Public Co., Ltd.......................... 46,500 26,692
Pan-United Corp., Ltd................................ 285,000 140,655
Pentex-Schweizer Circuits, Ltd....................... 79,200 99,797
Pertama Holdings, Ltd................................ 68,750 20,695
Prima, Ltd........................................... 75,000 258,313
Provisions Suppliers Corp............................ 268,600 137,261
Republic Hotels and Resorts, Ltd..................... 413,000 462,583
*Resources Development Corp., Ltd.................... 37,500 104,480
Robinson & Co., Ltd.................................. 117,800 593,742
Rotary Engineering, Ltd.............................. 109,000 57,228
Rothmans Industries, Ltd. Issue 95................... 93,000 498,040
SNP Corp., Ltd....................................... 68,000 46,650
*SPP, Ltd............................................ 83,000 37,476
ST Capital, Ltd...................................... 192,200 246,221
San Teh, Ltd......................................... 366,672 228,448
*Scotts Holdings, Ltd................................ 319,000 256,808
Sea View Hotel, Ltd.................................. 44,000 354,218
Shangri-la Hotel, Ltd................................ 161,700 486,741
Sime Singapore, Ltd.................................. 786,000 539,223
Sing Investments & Finance, Ltd. (Foreign)........... 94,500 103,861
Singapore Finance, Ltd............................... 408,000 591,222
Singapore Reinsurance Corp., Ltd..................... 152,700 177,446
Singapore Technologies Automotive, Ltd. (Foreign).... 207,600 543,524
Singapura Building Society, Ltd...................... 65,250 63,491
Singatronics, Ltd.................................... 200,000 78,404
Ssangyong Cement (Singapore), Ltd.................... 134,000 305,803
Stamford Tyres Corp., Ltd............................ 62,000 38,628
Sunright, Ltd........................................ 113,000 184,312
Superior Metal Printing, Ltd......................... 157,000 74,186
*Tat Lee Finance, Ltd................................ 66,000 78,544
Tibs Holdings, Ltd................................... 61,000 90,102
Tiger Medicals, Ltd.................................. 101,000 124,438
Times Publishing, Ltd................................ 209,000 468,183
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Transmarco, Ltd...................................... 12,000 $ 96,605
Tuan Sing Holdings, Ltd.............................. 2,220,000 823,661
United Engineers, Ltd................................ 306,500 482,762
United Overseas Finance, Ltd......................... 134,500 161,946
United Overseas Insurance, Ltd....................... 75,500 140,060
United Pulp & Paper Co., Ltd......................... 105,000 98,495
Van der Horst, Ltd................................... 167,100 467,903
Van der Horst, Ltd. 3.5% Unsecured Loan Stock
08/31/98........................................... 23,400 15,644
Vickers Ballas Holdings, Ltd......................... 116,000 101,505
*Vickers Ballas Holdings, Ltd. Issue 97.............. 34,000 28,085
WBL Corp., Ltd....................................... 226,000 670,802
Wearnes International (1994), Ltd.................... 33,000 27,721
------------
TOTAL COMMON STOCKS (Cost $26,382,531)................. 29,458,807
------------
INVESTMENT IN CURRENCY -- (0.6%)
*Singapore Dollars (Cost $1,475,436)................. 1,477,399
------------
TOTAL -- SINGAPORE (Cost $27,857,967).................. 30,936,206
------------
SOUTH KOREA -- (10.8%)
COMMON STOCKS -- (10.8%)
*Aluminum of Korea................................... 7,257 78,322
*Anam Electronics Co................................. 6,000 54,637
Asia Cement Co., Ltd................................. 5,226 160,393
*Asia Motors Co., Inc................................ 10,428 55,686
Asia Paper Manufacturing Co., Ltd.................... 1,590 39,325
BYC Co., Ltd......................................... 330 34,354
*Bank of Che Ju...................................... 4,500 32,631
Bank of Pusan........................................ 3,500 26,835
*Bing Grae Co., Ltd.................................. 7,595 111,001
Boo Kook Securities Co., Ltd......................... 4,635 35,433
Boram Bank Co., Ltd.................................. 26,748 177,117
*Boram Securities Co., Ltd........................... 5,610 39,734
Boryung Pharmaceutical Co., Ltd...................... 3,619 113,106
Bukwang Pharmaceutical Co., Ltd...................... 850 64,025
Byuck San Corp....................................... 6,580 64,358
Byuck San Engineering and Construction Co., Ltd...... 3,360 29,313
Central Banking Corp................................. 4,887 73,072
Chang Won Carbureter Industries Co., Ltd............. 900 31,164
Cheil Industrial, Inc................................ 20,731 265,692
*Cho Kwang Leather Co., Ltd.......................... 2,474 49,508
Chon Bang Co., Ltd................................... 3,255 191,019
Chong Kun Dang....................................... 1,750 92,861
Choong Wae Pharmaceutical............................ 2,110 74,010
*Choongnam Spinning Co., Ltd......................... 15,800 213,153
Chosun Refractories Co., Ltd......................... 1,311 38,910
Chung Chong Bank Co., Ltd............................ 11,370 57,777
Chung Ho Computer Co., Ltd........................... 1,520 53,144
*Coryo Securities Co., Ltd........................... 13,920 93,895
Crown Confectionery Co., Ltd......................... 1,500 48,904
*Dae Chang Industrial Co............................. 1,600 16,207
Dae Dong Industrial Co., Ltd......................... 6,233 77,781
Dae Duck Electronics Co., Ltd........................ 1,218 76,134
Dae Han Fire and Marine Insurance Co., Ltd........... 7,855 388,547
Dae Han Jung Suok Co., Ltd........................... 19,229 263,737
*Dae Han Pulp Co., Ltd............................... 1,000 25,520
Dae Hyun Co., Ltd.................................... 976 18,982
</TABLE>
159
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Dae Ryung Industries, Inc............................ 2,914 $ 110,729
Dae Sung Electric Wire Co., Ltd...................... 1,565 95,008
Dae Won Kang Up Co., Ltd............................. 7,016 132,511
Daeduck Industries Co., Ltd.......................... 588 39,597
Daehan Flour Mills Co., Ltd.......................... 620 87,825
Daehan Synthetic Fiber Co., Ltd...................... 630 54,536
Daelim Industrial Co., Ltd........................... 4,280 43,786
Daesun Distilling Co., Ltd........................... 1,160 46,687
Daewoo Electronic Components Co., Ltd................ 11,198 173,730
*Daewoo Metal Co., Ltd............................... 1,660 21,835
Daewoo Precision Industries, Ltd..................... 4,870 62,962
*Daewoong Pharmaceutical Co., Ltd.................... 770 34,193
Daeyoung Electronics Industries Co., Ltd............. 1,530 61,234
Daeyu Securities Co., Ltd............................ 4,860 41,743
Dai Han Paint & Ink Manufacturing Co., Ltd........... 680 28,286
*Dainong Corporation Co., Ltd........................ 6,560 24,854
*Daishin Securities Co., Ltd......................... 17,020 131,836
*Dong Ah Securities Co., Ltd......................... 6,720 41,929
*Dong Ah Tire Industrial Co., Ltd.................... 1,020 65,363
Dong Il Rubber Belt Co., Ltd......................... 500 74,199
Dong Shin Pharmaceutical Co., Ltd.................... 1,349 53,384
*Dong Sung Co., Ltd.................................. 6,440 29,033
Dong Wha Pharmaceutical Industries Co., Ltd.......... 4,455 163,788
*Dong Won Co., Ltd................................... 900 63,643
*Dong Yang Tech Co., Ltd............................. 2,600 18,473
Dong Yang Tin Plate Industrial Co., Ltd.............. 3,079 79,961
Dong-A Pharmaceutical Co., Ltd....................... 16,993 410,736
Dong-Il Corp......................................... 2,665 120,741
*Dongbu Securities Co., Ltd.......................... 5,400 34,604
Dongbu Steel Co., Ltd................................ 11,000 218,887
*Donghae Pulp........................................ 12,501 205,188
Dongsung Chemical Industries......................... 5,800 163,013
*Dongwon Industries Co., Ltd......................... 15,100 232,569
Doosan Beverage Co., Ltd............................. 573 20,421
Doosan Construction & Engineering Co., Ltd........... 3,202 29,158
Doosan Industrial Co., Ltd........................... 11,388 110,103
*Doosan Manufacturing Co., Ltd....................... 4,551 102,839
Eagon Industrial Co., Ltd............................ 1,670 29,664
*First Fire & Marine Insurance Co., Ltd.............. 1,749 56,432
First Technology Co., Ltd............................ 1,000 29,342
Global Enterprise Co., Ltd........................... 530 34,916
HS Chemical Co., Ltd................................. 1,690 38,569
*Haedong Fire and Marine Insurance Co., Ltd.......... 3,677 119,880
Hai Tai Stores Co., Ltd.............................. 2,850 17,622
Haitai Confectionery Co., Ltd........................ 13,270 153,661
*Halla Cement Co., Ltd............................... 3,810 33,924
Han Il Iron & Steel Co., Ltd......................... 763 27,792
*Han-Il Synthetic Fiber Industrial Co., Ltd.......... 29,000 170,512
Hangdo Merchant Bank................................. 3 116
Hanil Cement Manufacturing Co., Ltd.................. 2,013 104,101
Hanil Construction Co., Ltd.......................... 2,330 26,718
*Hanil Securities Co., Ltd........................... 6,850 51,750
*Hanjin Engineering and Construction Co., Ltd........ 9,290 97,339
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Hanjin Investment and Securities Co., Ltd........... 6,480 $ 40,650
*Hanjin Transportation Co., Ltd...................... 2,876 55,936
Hankook Core Co., Ltd................................ 1,297 21,143
Hankook Cosmetics Co., Ltd........................... 3,000 80,944
Hankuk Glass Industries, Inc......................... 4,800 107,926
Hankuk Paper Manufacturing Co., Ltd.................. 2,236 56,560
Hanmi Pharmaceutical Co., Ltd........................ 2,769 134,170
*Hanshin Construction................................ 7,540 30,177
Hanshin Machinery Co., Ltd........................... 535 23,036
Hansol Paper Co., Ltd................................ 1,726 38,427
*Hanwa Securities Co., Ltd........................... 8,490 52,687
*Hanwha Energy Co., Ltd.............................. 26,000 198,763
*Hanwha Machinery Co., Ltd........................... 19,598 198,293
Heesung Cable, Ltd................................... 43,839 847,702
Heung Ah Tire & Rubber............................... 5,000 132,097
Hexxim Teletek, Inc.................................. 2,883 42,783
*Hotel Shilla, Ltd................................... 8,200 79,557
Hwa Sung Industrial Co............................... 2,690 49,899
Hwacheon Machiney Works, Ltd......................... 1,050 20,422
*Hyosung Corp........................................ 19,600 108,852
Hyosung Motors & Machinery, Inc...................... 6,630 88,698
Hyosung T & C Co., Ltd............................... 15,228 431,417
Hyundai Cement Co., Ltd.............................. 5,600 181,315
Hyundai Corp......................................... 26,416 460,313
Hyundai International Merchant Bank.................. 5,030 80,863
*Hyundai Mipo Dockyard Co., Ltd...................... 14,000 203,035
Hyundai Pharmaceutical Co., Ltd...................... 3,427 184,931
*Hyundai Pipe Co., Ltd............................... 6,300 59,636
Hyundai Precision Industry Co., Ltd.................. 4,018 68,661
*Hyundai Wood Industry............................... 12,472 107,684
*Il Dong Pharmaceutical Co., Ltd..................... 1,364 91,993
Il Jin Co., Ltd...................................... 1,100 43,901
Il Jin Electronics & Machinery Co., Ltd.............. 1,000 34,289
Il Shin Spinning..................................... 3,021 259,816
Il Sung Construction Co., Ltd........................ 4,430 31,874
Il Sung Pharmaceutical Co., Ltd...................... 1,090 23,650
Il Yang Pharmaceutical Co., Ltd...................... 6,060 149,879
International Fire & Marine Insurance Co., Ltd....... 1,123 58,717
*Isu Chemical Co., Ltd............................... 18,304 154,745
Jae-Il Engineering, Ltd.............................. 1,790 49,102
Jindo Corp........................................... 9,836 115,002
Jinro, Ltd........................................... 9,213 69,395
KIA Motors Service Co., Ltd.......................... 4,020 40,675
*KLB Securities Co................................... 4,920 32,247
Kang Won Industrial, Ltd............................. 19,500 304,722
Kangwon Bank Co., Ltd................................ 42,412 233,159
Keang Nam Enterprises Co., Ltd....................... 4,957 37,282
Keum Kang Development Industry Co., Ltd.............. 6,280 89,664
Keyang Electric Machinery Co., Ltd................... 1,776 38,535
Kia Precision Works Co., Ltd......................... 2,550 20,927
*Kia Steel Co., Ltd.................................. 39,817 181,739
Kohap Co., Ltd....................................... 36,812 290,523
*Kohap, Inc.......................................... 4,240 26,217
*Kolon Construction Co., Ltd......................... 4,337 37,056
Kolon International Corp............................. 14,798 121,445
*Kony Precision Co., Ltd............................. 2,000 38,224
*Korea Cast Iron Pipe Co., Ltd....................... 360 25,376
Korea Computer Co., Ltd.............................. 1,400 44,542
Korea Cottrell Co., Ltd.............................. 580 30,125
Korea Electronics Co., Ltd........................... 10,483 221,563
</TABLE>
160
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Korea Export Packing Industries Co., Ltd............. 1,635 $ 32,173
Korea Express Co., Ltd............................... 2,890 65,630
Korea First Bank Securities.......................... 6,240 54,718
Korea Green Cross Co., Ltd........................... 1,143 96,374
*Korea Industrial Leasing Co., Ltd................... 6,810 66,607
Korea Iron & Steel Co., Ltd.......................... 23,133 291,276
Korea Iron & Steel Works Co., Ltd.................... 400 58,010
Korea Kumho Petrochemical............................ 31,600 230,916
*Korea Line Corp..................................... 3,110 50,347
Korean Reinsurance Co., Ltd.......................... 4,857 122,322
*Kuk Dong Construction Co., Ltd...................... 7,305 54,202
*Kukje Corp.......................................... 10,380 63,015
Kum Kang Trading Co., Ltd............................ 3,550 43,502
*Kum Yang Co., Ltd................................... 1,700 52,558
Kumho Construction & Engineering Co., Ltd............ 57,137 385,410
Kumho Electric Co., Ltd.............................. 1,240 39,033
*Kumho Tire Co., Ltd................................. 26,420 259,893
Kunsul Chemical Industrial Co., Ltd.................. 620 48,791
Kwang Myung Electric Engineering Co., Ltd............ 900 18,212
Kwangju Bank......................................... 20,248 110,630
Kyong Nam Bank....................................... 5,970 55,707
Kyung Nam Energy Co., Ltd............................ 1,350 51,602
Kyungbang Co., Ltd................................... 700 48,241
*Kyungki Bank, Ltd................................... 18,010 97,187
*Kyungnam Wool Textile Co., Ltd...................... 4,172 54,876
Kyungwon-Century Co., Ltd............................ 2,700 81,956
LG International Corp................................ 46,082 367,309
LG Metals Corp....................................... 24,400 491,017
Lotte Chilsung Beverage Co., Ltd..................... 550 58,741
Lotte Confectionery Co., Ltd......................... 750 102,867
Mando Machinery Corp................................. 1,990 70,472
Manho Rope & Wire, Ltd............................... 370 72,794
Maxon Electronics Co., Ltd........................... 1,250 33,446
Midopa Department Store.............................. 16,536 158,017
*Midopa Department Store Issue 96.................... 3,952 31,989
Miwon Co., Ltd....................................... 3,955 76,032
*Miwon Petrochemical Corp............................ 14,328 145,132
Nam Sung Corp........................................ 1,812 24,853
Namkwang Engineering & Construction Co., Ltd......... 2,370 16,919
Namyang Dairy Products Co., Ltd...................... 380 41,866
Nasan Co., Ltd....................................... 9,693 169,995
Nong Shim Co., Ltd................................... 2,113 104,522
*Oriental Brewery Co., Ltd........................... 2,150 64,053
Oriental Fire & Marine Insurance Co., Ltd............ 4,800 135,447
Orion Electric Co., Ltd.............................. 8,708 107,687
Ottogi Corp.......................................... 1,820 80,002
Pacific Chemical Co., Ltd............................ 14,000 341,540
Pang Rim Spinning.................................... 5,000 233,277
Poong San Corp....................................... 32,000 358,314
Posco Chemical Co., Ltd.............................. 13,390 108,535
Pyung Wha Industrial Co., Ltd........................ 2,384 114,711
Rifa Industrial Co................................... 1,480 45,756
Rocket Electric...................................... 1,950 59,629
*STC Corp............................................ 12,400 190,984
Saehan Media Corp.................................... 11,800 210,927
*Sam Ick Construction Co., Ltd....................... 18,972 132,665
*Sam Lip Industrial Co., Ltd......................... 690 31,339
Sam Sung Radiator Industrial Co., Ltd................ 420 35,980
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sambu Construction Co., Ltd.......................... 3,693 $ 78,468
Samsung Securities Co., Ltd.......................... 7,795 127,069
Samwhan Corp. Co., Ltd............................... 17,164 245,062
*Samyang Foods Co., Ltd.............................. 2,060 63,919
Samyang Merchant Bank................................ 3,200 28,061
Samyang Tong Sang Co., Ltd........................... 1,440 20,074
*Samyoung Chemical Co., Ltd.......................... 4,000 113,772
Se Poong Corp........................................ 8,670 100,395
Seah Steel Corp...................................... 2,651 71,528
*Seoul Securities Co., Ltd........................... 10,650 76,627
Shin Dong-Ah Fire & Marine Insurance Co.............. 5,670 105,177
Shin Han Investment & Finance Co., Ltd............... 3,095 77,593
*Shin Han Securities Co., Ltd........................ 5,870 38,473
*Shin Heung Securities Co., Ltd...................... 4,100 26,273
*Shin Heung Securities Co., Ltd. Issue 96............ 789 4,116
Shin Poong Paper Manufacturing Co., Ltd.............. 960 33,889
*Shin Sung Corp...................................... 13,026 108,367
Shin Wha Engineering & Construction Co., Ltd......... 15,771 171,980
Shin Won Corp........................................ 1,790 31,795
Shin Won JMC Corp.................................... 560 73,659
Shin Young Securities Co., Ltd....................... 4,220 73,536
Shindongbang Corp.................................... 4,202 126,131
*Shinhan Engineering & Construction Co., Ltd......... 4,345 28,869
Shinho Paper Co., Ltd................................ 12,545 59,234
*Shinho Steel Co., Ltd............................... 2,999 10,789
Shinil Engineering Co., Ltd.......................... 3,180 25,383
*Shinsung Tongsang Co., Ltd.......................... 9,984 79,692
Shinwon Industrial Co., Ltd.......................... 1,625 47,499
Song Woun Industries Co., Ltd........................ 658 32,549
Soosan Heavy Industries Co., Ltd..................... 2,017 34,460
Ssang Bang Wool Co., Ltd............................. 5,589 178,446
Ssangyong Corp....................................... 9,023 54,777
Ssangyong Fire & Marine Insurance Co., Ltd........... 2,630 42,577
*Ssangyong Heavy Industry Co., Ltd................... 5,700 28,836
Ssangyong Paper Co., Ltd............................. 2,040 35,548
*Sung Chang Enterprise Co., Ltd...................... 1,680 89,713
Sung Shin Cement Co., Ltd............................ 6,515 161,135
Sungwon Construction Co., Ltd........................ 3,390 36,663
*Sunkyong Industries, Ltd............................ 5,030 88,781
*Sunkyong Securities Co., Ltd........................ 7,427 50,098
Tae Il Media Co., Ltd................................ 4,729 67,519
Taegu Department Store Co., Ltd...................... 3,003 50,978
Tai Lim Packaging Industries Co., Ltd................ 1,454 33,673
Taihan Sugar Industrial Co., Ltd..................... 3,326 153,306
Tong Yang Cement Corp................................ 16,890 334,192
Tong Yang Investment and Finance Co., Ltd............ 4,463 43,197
Tong Yang Mool San Co., Ltd.......................... 6,145 116,061
*Tong Yang Securities Co., Ltd....................... 6,770 45,894
*Tongil Heavy Industries Co., Ltd.................... 65,180 351,730
Tongkook Corp........................................ 7,400 36,189
Tongyang Confectionery Co............................ 1,537 38,533
Union Steel Manufacturing Co., Ltd................... 3,000 232,715
Yoosung Enteprise.................................... 1,030 35,318
Youngchang Akki Co., Ltd............................. 3,200 78,786
Youngone Corp........................................ 1,670 34,170
</TABLE>
161
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Youngpoong Corp...................................... 2,000 $ 201,237
Yuhan Corp........................................... 4,195 182,514
------------
TOTAL COMMON STOCKS (Cost $34,234,596)................. 26,438,000
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Korean Won (Cost $15,211)........................... 15,220
------------
RIGHTS/WARRANTS -- (0.0%)
*Hexxim Teletek, Inc. Rights 06/29/97................ 600 0
*Nong Shim Co., Ltd. Rights 06/03/97................. 482 0
*Samsung Fine Chemicals Rights 06/03/97.............. 761 0
*Ssangyong Paper Co., Ltd. Rights 06/01/97........... 828 3,817
*Tae Il Media Co., Ltd. Rights 06/24/97.............. 1,453 5,064
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 8,881
------------
TOTAL -- SOUTH KOREA (Cost $34,249,807)................ 26,462,101
------------
NEW ZEALAND -- (4.0%)
COMMON STOCKS -- (3.8%)
AFFCO Holdings, Ltd.................................. 227,088 86,117
Advantage Group, Ltd................................. 22,000 19,720
Baycorp Holdings, Ltd................................ 42,514 127,513
*CDL Hotels NZ, Ltd.................................. 426,509 147,039
CDL Investments NZ, Ltd.............................. 191,786 52,895
Cavalier Corp., Ltd.................................. 43,907 75,079
Ceramco Corp., Ltd................................... 59,127 57,075
Colonial Motor Co., Ltd.............................. 37,752 65,335
*Corporate Investments, Ltd.......................... 523,774 256,411
*Cue Energy Resources NL............................. 111,415 22,278
DB Group, Ltd........................................ 123,020 185,761
Donaghys, Ltd........................................ 37,239 70,867
Eastern Equities Corp., Ltd.......................... 41,001 28,553
Ebos Group, Ltd...................................... 9,036 36,447
Enerco New Zealand, Ltd.............................. 113,853 447,459
Ernest Adams, Ltd.................................... 5,000 6,895
*Evergreen Forests, Ltd.............................. 122,501 48,989
Fernz Corp., Ltd..................................... 191,102 677,271
Fisher & Paykel Industries, Ltd...................... 141,262 494,793
Force Corp., Ltd..................................... 158,414 87,381
Hallenstein Glassons Holdings, Ltd................... 70,758 108,309
Hellaby Holdings, Ltd................................ 61,379 97,338
Independent Newspapers, Ltd. (Auckland).............. 150,547 752,566
*Kingsgate International Corp., Ltd.................. 479,679 92,607
LWR Industries, Ltd.................................. 73,706 78,263
Michael Hill International, Ltd...................... 47,040 53,192
Milburn New Zealand, Ltd............................. 134,221 255,425
Natural Gas Corp. Holdings, Ltd...................... 42,200 65,468
*New Zealand Oil & Gas, Ltd.......................... 189,110 49,549
New Zealand Refining Co., Ltd........................ 29,230 592,530
Northland Port Corp. (New Zealand), Ltd.............. 48,524 112,082
Nuplex Industries, Ltd............................... 51,891 131,308
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Otter Gold Mines, Ltd............................... 14,500 $ 13,997
Owens Group, Ltd..................................... 77,261 109,207
PDL Holdings, Ltd.................................... 16,581 77,742
Pacific Retail Group, Ltd............................ 52,744 41,822
Port of Tauranga, Ltd................................ 94,870 223,058
Ports of Auckland.................................... 177,558 795,771
Progessive Enterprises, Ltd.......................... 302,461 323,248
Reid Farmers, Ltd.................................... 68,334 29,212
Richina Pacific, Ltd................................. 130,366 156,404
Sanford, Ltd......................................... 130,542 220,521
Seafresh Fisheries................................... 80,520 22,207
Shortland Properties, Ltd............................ 209,352 144,348
South Eastern Utilities, Ltd......................... 73,279 57,600
South Port New Zealand, Ltd.......................... 39,528 40,882
St. Lukes Group, Ltd................................. 162,613 181,637
Steel & Tube Holdings, Ltd........................... 58,505 280,357
*Summit Gold, Ltd.................................... 107,419 30,367
Tasman Agriculture, Ltd.............................. 170,799 102,456
Taylors Group, Ltd................................... 29,646 38,633
Tourism Holdings, Ltd................................ 48,840 76,443
Trans Tasman Properties, Ltd......................... 288,120 158,927
Warehouse Group, Ltd................................. 191,743 527,505
Waste Management NZ, Ltd............................. 47,011 205,829
Williams & Kettle, Ltd............................... 17,172 24,272
Wrightson, Ltd....................................... 206,180 127,945
Zuellig NZ, Ltd...................................... 26,400 11,104
------------
TOTAL COMMON STOCKS (Cost $9,501,913).................. 9,404,009
------------
INVESTMENT IN CURRENCY -- (0.2%)
*New Zealand Dollar (Cost $358,415).................. 357,898
------------
TOTAL -- NEW ZEALAND (Cost $9,860,328)................. 9,761,907
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (6.7%)
Repurchase Agreement, PNC Securities Corp. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
5.50%, 11/15/98) (Cost $16,575,000)................ $ 16,575 16,575,000
------------
TOTAL INVESTMENTS -- (106.9%)
(Cost $230,931,551)++................................ 262,869,920
------------
OTHER ASSETS AND LIABILITIES -- (-6.9%)
Other Assets......................................... 735,840
Payable for Investment Securities Purchased.......... (17,439,383)
Payable for Fund Shares Redeemed..................... (90,557)
Other Liabilities.................................... (112,749)
------------
(16,906,849)
------------
NET ASSETS -- (100.0%)................................. $245,963,071
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
162
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
UNITED KINGDOM -- (91.8%)
COMMON STOCKS -- (91.7%)
600 Group P.L.C....................................... 135,000 $ 280,908
*AAF Industries P.L.C................................. 53,256 16,948
ABI Leisure Group P.L.C............................... 73,000 106,627
AIM Group P.L.C....................................... 37,166 354,831
API Group P.L.C....................................... 51,500 592,538
ASDA Property Holdings P.L.C.......................... 94,000 231,646
ASW Holdings P.L.C.................................... 415,900 176,475
Abacus Polar P.L.C.................................... 150,000 495,720
Abbeycrest P.L.C...................................... 61,590 120,115
Abbot Group P.L.C..................................... 92,595 197,205
Abbott Mead Vickers P.L.C............................. 70,875 774,976
Aberdeen Trust P.L.C.................................. 38,500 53,721
Acatos & Hutcheson P.L.C.............................. 79,000 391,296
*Acorn Computer Group P.L.C........................... 100,000 340,272
Adam & Harvey Group P.L.C............................. 10,500 57,834
Admiral P.L.C......................................... 135,000 985,932
Adscene Group P.L.C................................... 92,000 197,439
Adwest Group P.L.C.................................... 204,250 383,336
*African Lakes Corp. P.L.C............................ 6,208 4,711
Airflow Streamlines P.L.C............................. 20,500 64,737
Airsprung Furniture Group P.L.C....................... 58,000 231,434
Alba P.L.C............................................ 115,625 383,061
Alexanders Holdings P.L.C............................. 188,000 35,284
Alexandra Workwear P.L.C.............................. 91,243 126,572
*Alexon Group P.L.C................................... 154,500 487,899
Allied Leisure P.L.C.................................. 265,166 142,808
Allied London Properties P.L.C........................ 182,000 231,679
Allied Textile Companies P.L.C........................ 169,238 432,247
*Alphameric P.L.C..................................... 1,637 1,189
Alumasc Group P.L.C................................... 85,000 367,608
Alvis P.L.C........................................... 150,000 324,360
Amber Industrial Holdings P.L.C....................... 42,000 87,394
Amey P.L.C............................................ 50,000 410,448
Amstrad P.L.C......................................... 19,702 84,725
Andrews Sykes Group P.L.C............................. 38,727 395,015
*Anglesey Mining P.L.C................................ 55,000 4,264
Anglian Group P.L.C................................... 157,850 616,979
Anglo Eastern Plantations P.L.C....................... 57,166 106,823
*Anglo United P.L.C................................... 826,666 13,491
*Anite Group P.L.C.................................... 250,000 187,680
Appleyard Group P.L.C................................. 160,627 161,218
Applied Distribution Group P.L.C...................... 25,000 18,156
Arcadian International P.L.C.......................... 312,892 257,873
Arcolectric Holdings P.L.C. Class A Non-Voting........ 10,000 11,179
Arlen P.L.C........................................... 200,728 135,949
Armitage Brothers P.L.C............................... 4,000 16,646
Armour Trust P.L.C.................................... 98,500 49,029
*Ascot Holdings P.L.C................................. 50,000 224,400
Ash & Lacy P.L.C...................................... 101,098 276,362
Ashtead Group P.L.C................................... 50,998 258,009
Associated British Engineering P.L.C.................. 534,500 23,988
*Aukett Associates P.L.C.............................. 142,375 9,875
Austin Reed Group P.L.C............................... 77,000 317,930
Avesco P.L.C.......................................... 23,999 128,857
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Avon Rubber P.L.C..................................... 66,766 $ 681,013
Avonside Group P.L.C.................................. 50,000 37,536
Azlan Group P.L.C..................................... 85,000 835,788
BNB Resources P.L.C................................... 59,000 139,618
BPP Holdings P.L.C.................................... 62,450 450,989
BS P.L.C.............................................. 7,000 16,850
*BSG International P.L.C.............................. 684,597 1,134,021
BWI P.L.C............................................. 182,322 316,890
Babcock International Group P.L.C..................... 122,557 170,011
Baggeridge Brick P.L.C................................ 98,000 159,936
Bailey (Ben) Construction P.L.C....................... 26,000 16,548
*Bailey (C.H.) P.L.C.................................. 109,500 15,190
*Bailey (C.H.) P.L.C. Class B......................... 10,000 4,651
Baldwin P.L.C......................................... 51,000 83,232
Bandt P.L.C........................................... 315,000 167,076
Banks (Sidney C.) P.L.C............................... 38,507 189,473
Barbour Index P.L.C................................... 41,000 169,287
Barcom P.L.C.......................................... 120,000 107,712
Bardon Group P.L.C.................................... 989,042 811,094
Barlows P.L.C......................................... 50,000 47,736
Barr & Wallace Arnold Trust P.L.C..................... 16,000 71,025
Barr (A.G.) P.L.C..................................... 47,000 289,558
*Barton Transport P.L.C. (Deferred)................... 1,250 6,120
Baynes (Charles) P.L.C................................ 341,378 545,986
Beales Hunter P.L.C................................... 22,254 45,398
Bearing Power International P.L.C..................... 81,757 18,346
Beattie (James) P.L.C................................. 107,247 273,917
Beauford P.L.C........................................ 1,312 739
Bellway P.L.C......................................... 135,000 740,275
*Bellwinch P.L.C...................................... 163,266 47,961
Bemrose Corp. P.L.C................................... 94,500 637,716
*Benchmark Group P.L.C................................ 13,446 52,775
Benson Group P.L.C.................................... 77,856 63,531
Bentalls P.L.C........................................ 101,500 248,472
Beradin Holdings P.L.C................................ 37,000 22,644
Berisford P.L.C....................................... 200,000 455,328
Bespak P.L.C.......................................... 60,718 597,028
Betacom P.L.C......................................... 195,000 200,491
Bett Brothers P.L.C................................... 41,000 100,368
Betterware P.L.C...................................... 228,870 352,972
*Beverley Group P.L.C................................. 86,820 1,063
Bilton P.L.C.......................................... 180,000 694,742
Birkby P.L.C.......................................... 119,513 340,354
*Birkdale Group P.L.C................................. 33,600 1,919
Birse Group P.L.C..................................... 515,900 204,173
Black (A & C) P.L.C................................... 2,250 13,219
Black (Peter) Holdings P.L.C.......................... 134,495 738,604
Black Arrow Group P.L.C............................... 56,500 63,624
Blacks Leisure Group P.L.C............................ 69,959 615,964
Blagden Industries P.L.C.............................. 173,875 454,022
Blick P.L.C........................................... 74,555 343,728
Blockleys P.L.C....................................... 73,678 40,281
*Bolton Group (International), Ltd.................... 23,000 3,003
Boosey & Hawkes P.L.C................................. 47,500 699,618
Boot (Henry) & Sons P.L.C............................. 57,000 311,630
*Booth Industries Group P.L.C......................... 5,000 3,876
Borthwicks P.L.C...................................... 157,500 69,401
</TABLE>
163
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Bostrom P.L.C......................................... 43,000 $ 197,195
Bourne End Properties P.L.C........................... 185,454 131,658
Bradstock Group P.L.C................................. 130,000 163,363
Brammer (H.) P.L.C.................................... 111,000 1,230,022
Brasway P.L.C......................................... 203,141 79,566
Breedon P.L.C......................................... 75,428 100,325
Brent International P.L.C............................. 239,531 299,050
*Brent Walker Group P.L.C............................. 128,571 3,672
Bridgend Group P.L.C.................................. 93,000 30,355
Bridon P.L.C.......................................... 180,000 282,010
Bridport-Gundry P.L.C................................. 38,500 65,031
Bristol United Press P.L.C............................ 40,500 322,548
Bristol Water Holdings P.L.C.......................... 12,000 229,133
Britannia Group P.L.C................................. 50,000 24,888
British Borneo Petroleum Syndicate P.L.C.............. 60,498 1,253,906
*British Building and Engineering Appliances, Ltd..... 32,000 28,462
British Dredging P.L.C................................ 45,600 111,629
British Fittings Group P.L.C.......................... 62,658 117,085
British Mohair Holdings P.L.C......................... 31,500 59,376
British Polythene Industries P.L.C.................... 56,740 569,488
British Steam Specialties Group P.L.C................. 63,505 521,310
*British Thornton Holdings P.L.C...................... 35,000 9,996
Britton Group P.L.C................................... 372,200 567,947
Brockhampton Holdings P.L.C........................... 12,000 35,741
Brockhampton Holdings P.L.C. Series A Non-Voting...... 48,000 62,669
Brooke Industrial Holdings P.L.C...................... 15,574 35,202
Brooks Service Group P.L.C............................ 25,500 36,414
*Brown & Jackson P.L.C................................ 622,019 142,119
Brunel Holdings P.L.C................................. 276,000 67,565
Budgens P.L.C......................................... 399,285 260,653
Bulgin (A.F.) & Co. P.L.C............................. 4,000 4,570
Bulgin (A.F.) & Co. P.L.C. Class A Non-Voting......... 52,000 8,699
*Bullers P.L.C........................................ 97 0
Bullough P.L.C........................................ 292,000 569,470
Bulmer (H.P.) Holdings P.L.C.......................... 60,500 515,896
Burn Stewart Distillers P.L.C......................... 142,500 131,396
Burnden Leisure P.L.C................................. 33,000 21,812
Burndene Investments P.L.C............................ 285,500 167,737
Burtonwood Brewery P.L.C.............................. 52,000 131,964
CLS Holdings P.L.C.................................... 100,000 212,160
CRT Group P.L.C....................................... 149,251 590,676
Caffyns P.L.C......................................... 6,000 29,621
*Cairn Energy P.L.C................................... 145,000 1,238,810
Cala P.L.C............................................ 98,400 180,662
*Calderburn P.L.C..................................... 107,636 71,143
Camellia P.L.C........................................ 2,950 115,546
*Campari International P.L.C.......................... 25,000 0
Canning (W.) P.L.C.................................... 68,354 349,721
*Cantab Pharmaceuticals P.L.C......................... 50,000 748,680
Cape P.L.C............................................ 132,000 353,295
Capita Group P.L.C.................................... 88,000 359,040
Capital Corp. P.L.C................................... 135,000 420,811
Capital Industries P.L.C.............................. 75,937 236,085
Carclo Engineering Group P.L.C........................ 179,777 570,655
*Cardinal Business Group P.L.C........................ 25,000 3,060
*Carlisle Group P.L.C................................. 125,000 21,930
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Carr's Milling Industries P.L.C....................... 19,000 $ 93,024
Castings P.L.C........................................ 102,000 408,669
*Castle Mill International P.L.C...................... 31,500 1,799
Cater Allen Holdings P.L.C............................ 78,833 561,581
*Cathay International P.L.C........................... 439,600 98,646
Cattles P.L.C......................................... 52,280 258,096
Cavaghan & Grey Group P.L.C........................... 31,500 33,929
Caverdale Group P.L.C................................. 63,924 142,402
Chamberlin & Hill P.L.C............................... 18,000 49,939
Channel Holdings P.L.C................................ 130,500 71,347
Chemring Group P.L.C.................................. 49,000 62,375
Chesterfield Properties P.L.C......................... 25,000 256,020
Chloride Group P.L.C.................................. 571,500 275,143
*Christie Group P.L.C................................. 50,000 48,552
Chrysalis Group P.L.C................................. 72,036 702,437
Church & Co. P.L.C.................................... 26,500 214,078
City Centre Restaurants P.L.C......................... 465,500 972,411
*City Site Estates P.L.C.............................. 20,000 15,178
Claremont Garments (Holdings) P.L.C................... 135,700 236,965
Clark (Matthew) P.L.C................................. 50,000 209,304
Clarkson (Horace) P.L.C............................... 60,489 101,186
Clayhithe P.L.C....................................... 41,500 45,716
*Clinical Computing P.L.C............................. 40,000 23,174
Clinton Cards P.L.C................................... 46,000 179,422
Cliveden P.L.C........................................ 13,570 16,720
*Clubhaus P.L.C....................................... 27,733 37,792
Clyde Blowers P.L.C................................... 19,635 102,542
*Coal Investments P.L.C............................... 1,102 0
*Coda Group P.L.C..................................... 14,898 32,215
Cohen (A.) & Co. P.L.C................................ 2,100 11,138
Cohen (A.) & Co. P.L.C. Class A Non-Voting............ 1,500 6,365
Colefax & Fowler Group P.L.C.......................... 60,000 108,202
*Colorvision P.L.C.................................... 50,000 0
Community Hospitals Group P.L.C....................... 81,333 497,758
Concentric P.L.C...................................... 133,026 290,912
Conrad Ritblat Group P.L.C............................ 44,010 188,539
*Consolidated Coal P.L.C.............................. 9,166 2,842
Cooper (Frederick) P.L.C.............................. 86,954 39,025
Cornwell Parker P.L.C................................. 78,333 236,503
Cosalt P.L.C.......................................... 30,700 108,472
*Costain Group P.L.C.................................. 112,060 74,982
Country Casuals Holdings P.L.C........................ 5,040 9,911
Countryside Property P.L.C............................ 183,454 293,409
Courts P.L.C.......................................... 151,355 1,383,264
Coutts Consulting Group P.L.C......................... 92,000 47,295
Cradley Group Holdings P.L.C.......................... 80,000 59,405
Crest Nicholson P.L.C................................. 311,250 543,517
Crestacare P.L.C...................................... 381,864 172,939
*Creston Land & Estates P.L.C......................... 50,000 5,304
Cropper (James) P.L.C................................. 22,000 128,357
Cullen's Holdings P.L.C............................... 38,645 17,029
Culver Holdings P.L.C................................. 338 604
Cussins Property Group P.L.C.......................... 43,750 63,189
Daejan Holdings P.L.C................................. 23,000 572,424
Dagenham Motors Group P.L.C........................... 65,000 105,019
Dart Group P.L.C...................................... 37,000 130,128
Davis Service Group P.L.C............................. 132,480 571,868
Dawson Group P.L.C.................................... 100,674 330,243
Dawson International P.L.C............................ 397,721 451,111
</TABLE>
164
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Deanes Holdings P.L.C................................ 4,316 $ 352
Debenham Tewson & Chinnocks Holdings P.L.C............ 89,500 133,649
*Delaney Group P.L.C.................................. 270,000 14,321
Delphi Group P.L.C.................................... 50,999 665,843
Delyn Group P.L.C. ................................... 22,500 27,540
Dencora P.L.C......................................... 23,000 67,189
Densitron International P.L.C......................... 42,386 28,707
Derwent Valley Holdings P.L.C......................... 90,000 788,011
Development Securities P.L.C.......................... 62,000 251,442
Dewhirst Group P.L.C.................................. 344,760 1,150,616
Dewhurst P.L.C........................................ 9,000 9,327
Dewhurst P.L.C. Class A Non-Voting.................... 15,500 12,142
Diploma P.L.C......................................... 96,000 502,134
Dixon Motors P.L.C.................................... 41,556 205,154
Doeflex P.L.C......................................... 25,762 108,262
Dolphin Packaging P.L.C............................... 63,110 259,034
Domino Printing Sciences P.L.C........................ 127,187 736,871
*Donelon Tyson P.L.C.................................. 322,588 0
Dowding & Mills P.L.C................................. 400,875 487,400
Drummond Group P.L.C.................................. 26,250 17,779
Dyson (J.& J.) P.L.C. Class A Non-Voting.............. 28,500 62,326
EBC Group P.L.C....................................... 30,000 22,277
EIS Group P.L.C....................................... 113,333 504,015
ERA Group P.L.C....................................... 400,000 35,904
Eadie Holdings P.L.C.................................. 118,000 16,850
East Surrey Holdings P.L.C............................ 36,800 135,130
Eclipse Blinds P.L.C.................................. 103,670 224,176
Edinburgh Fund Managers Group P.L.C................... 68,000 552,106
Elbief P.L.C.......................................... 23,500 15,341
Eleco Holdings P.L.C.................................. 104,685 34,169
Electronic Data Processing P.L.C...................... 55,200 58,106
Elliott (B.) & Co. P.L.C.............................. 6,087 6,109
Ellis & Everard P.L.C................................. 219,016 988,305
Emess P.L.C........................................... 288,250 115,254
English & Overseas Properties P.L.C................... 190,000 55,814
Epwin Group P.L.C..................................... 58,000 234,274
Etam P.L.C............................................ 159,500 337,094
Eurocamp P.L.C........................................ 93,439 372,082
Eurocopy P.L.C........................................ 131,000 143,241
Eurodis Electron P.L.C................................ 70,000 155,938
*Euromoney Publications P.L.C......................... 30,000 746,640
European Colour P.L.C................................. 82,090 86,411
European Motor Holdings P.L.C......................... 140,000 193,066
Evans Halshaw Holdings P.L.C.......................... 77,454 278,091
Evans of Leeds P.L.C.................................. 80,000 196,493
Ewart P.L.C........................................... 30,000 30,600
Ex-Lands Properties P.L.C............................. 208,000 59,405
Expamet International P.L.C........................... 152,749 274,215
*FII Group P.L.C...................................... 41,166 57,105
Faber Prest P.L.C..................................... 29,500 133,600
Fairey Group P.L.C.................................... 13,226 114,723
Falcon Holdings P.L.C................................. 5,500 13,195
*Farringford P.L.C.................................... 30,000 6,854
Fenner P.L.C.......................................... 215,276 567,399
Ferguson International Holdings P.L.C................. 105,000 299,880
Fife Indmar P.L.C..................................... 24,000 15,863
Finlay (James) P.L.C.................................. 239,500 467,082
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
First Choice Holidays................................. 570,500 $ 1,010,196
First Technology P.L.C................................ 36,750 453,419
*Firth (G.M.) Holdings P.L.C.......................... 163,080 138,396
Firth Rixson P.L.C.................................... 339,666 501,673
Fitch P.L.C........................................... 15,500 11,826
Five Oaks Investments P.L.C........................... 150,000 69,768
Flare Group P.L.C..................................... 20,600 45,386
Fletcher King P.L.C................................... 17,500 9,568
Folkes Group P.L.C.................................... 28,000 33,815
Folkes Group P.L.C. Non-Voting........................ 65,500 74,293
Forminster P.L.C...................................... 32,500 74,521
*Forth Ports P.L.C.................................... 51,000 495,230
Forward Technology Industries P.L.C................... 84,260 30,940
*Foster (John) & Son P.L.C............................ 27,500 4,937
French P.L.C.......................................... 32,000 31,334
Friendly Hotels P.L.C................................. 49,415 119,355
Frogmore Estates P.L.C................................ 51,000 471,093
Frost Group P.L.C..................................... 175,080 342,877
*Futura Holdings P.L.C................................ 9,000 0
GBE International P.L.C............................... 134,666 49,449
GEI International P.L.C............................... 87,000 137,725
GWR Group P.L.C....................................... 35,698 102,827
Galliford P.L.C....................................... 239,500 84,036
Gardiner Group P.L.C.................................. 310,500 133,018
Garton Engineering P.L.C.............................. 10,248 23,415
Gaskell P.L.C......................................... 9,000 26,585
Geest P.L.C........................................... 85,000 404,369
*Gent (S.R.) P.L.C.................................... 98,000 102,359
Gerrard Group P.L.C................................... 123,860 685,253
Gibbs & Dandy P.L.C................................... 4,500 6,499
Gibbs & Dandy P.L.C. Class A Non-Voting............... 11,000 13,195
Gieves Group P.L.C.................................... 60,000 46,512
Gleeson (M.J.) Group P.L.C............................ 25,000 377,400
Glenmorangie P.L.C.................................... 20,000 308,448
Gold Greenlees Trott P.L.C............................ 124,447 462,047
Goldsmiths Group P.L.C................................ 50,000 268,872
Goode Durrant P.L.C................................... 122,500 906,637
Goodhead Group P.L.C.................................. 36,000 16,744
Grainger Trust, Ltd................................... 22,000 109,866
Grampian Holdings P.L.C............................... 200,324 442,988
Grampian Television P.L.C............................. 70,000 298,738
Graseby P.L.C......................................... 155,480 399,646
Graystone P.L.C....................................... 77,496 87,899
Greene King P.L.C..................................... 53,000 559,197
Greenway Holdings P.L.C............................... 60,197 42,735
*Greenwich Resources P.L.C............................ 219,332 92,172
Greggs P.L.C.......................................... 26,000 740,438
Greycoat P.L.C........................................ 185,000 514,774
Guiness Peat Group P.L.C.............................. 163,642 101,484
H & C Furnishings P.L.C............................... 40,750 175,238
*HTV Group P.L.C...................................... 187,000 935,389
Haden Maclellan Holdings P.L.C........................ 296,914 552,403
Haggas (John) P.L.C................................... 59,000 98,695
Hall Engineering (Holdings) P.L.C..................... 110,528 455,464
Halstead (James) Group P.L.C.......................... 74,955 333,340
Hambro Countrywide P.L.C.............................. 799,000 1,760,357
Hampden Group P.L.C................................... 25,000 25,500
Hampson Industries P.L.C.............................. 276,004 313,055
*Hampton Trust P.L.C.................................. 250,000 144,840
Hardy Oil & Gas P.L.C................................. 273,750 1,355,917
</TABLE>
165
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hardys & Hansons P.L.C................................ 48,000 $ 214,249
Harris (Philip) P.L.C................................. 25,866 102,367
Hartstone Group P.L.C................................. 800,263 127,338
Havelock Europa P.L.C................................. 64,250 335,539
Hawtal Whiting Holdings P.L.C......................... 22,588 20,091
Hawtin P.L.C.......................................... 146,500 96,233
*Hay (Norman) P.L.C................................... 48,000 20,759
Haynes Publishing Group P.L.C......................... 38,635 140,291
Hazlewood Foods P.L.C................................. 200,000 328,032
Headlam Group P.L.C................................... 99,696 504,382
Heath (C.E.) P.L.C.................................... 75,000 124,848
Heath (Samuel) & Sons P.L.C........................... 7,500 14,566
*Helene P.L.C......................................... 416,326 47,561
Helical Bar P.L.C..................................... 35,000 282,173
Hemingway Properties P.L.C............................ 200,000 130,560
Henderson P.L.C....................................... 52,000 1,173,245
Henlys Group P.L.C.................................... 5,931 45,832
Hewden-Stuart P.L.C................................... 20,000 51,408
Hewetson P.L.C........................................ 31,428 44,879
*Hi-Tech Sports P.L.C................................. 132,446 67,007
Hicking Pentecost P.L.C............................... 49,096 267,216
*Hickson International P.L.C.......................... 500,000 665,040
*High-Point P.L.C..................................... 13,500 3,856
Hill & Smith Holdings P.L.C........................... 105,101 119,210
Hodder Headline P.L.C................................. 61,000 202,588
Hogg Robinson P.L.C................................... 211,000 702,478
*Hollas Group P.L.C................................... 354,000 23,109
Holliday Chemical Holdings P.L.C...................... 100,000 233,376
*Holmes & Marchant Group P.L.C........................ 54,000 8,813
Holt (Joseph) P.L.C................................... 6,000 276,624
Home Counties Newspapers Holdings P.L.C............... 25,000 108,120
Hopkinsons Group P.L.C................................ 210,557 96,216
*Horace Small Apparel P.L.C........................... 82,500 117,810
How Group P.L.C....................................... 88,000 85,452
Howard Holdings P.L.C................................. 57,730 16,488
Hunting P.L.C......................................... 218,695 665,638
*Huntingdon Life Sciences Group P.L.C................. 138,000 166,660
IBC P.L.C............................................. 96,470 606,140
ISA International P.L.C............................... 95,214 361,280
Ibstock P.L.C......................................... 625,200 714,228
Ideal Hardware P.L.C.................................. 20,000 226,848
*Incepta Group P.L.C.................................. 176,000 56,728
Industrial Control Services Group P.L.C............... 26,666 60,926
Intelek P.L.C......................................... 79,904 23,147
Intereurope Technology Services P.L.C................. 23,500 47,365
*International Tool & Supply P.L.C.................... 155,650 17,146
Ipeco Holdings P.L.C.................................. 74,931 107,001
Isotron P.L.C......................................... 30,500 179,194
Ivory & Sime P.L.C.................................... 78,125 291,975
JBA Holdings P.L.C.................................... 50,000 775,200
JLI Group P.L.C....................................... 103,000 98,336
Jackson Group P.L.C................................... 78,000 46,463
Jacobs (John I.) P.L.C................................ 116,000 183,633
Jardine Lloyd Thompson Group P.L.C.................... 392,800 1,051,321
Jarvis P.L.C.......................................... 175,086 801,502
Jarvis Porter Group P.L.C............................. 99,894 330,130
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Jerome (S.) & Sons Holdings P.L.C..................... 27,562 $ 28,113
Johnson Group Cleaners P.L.C.......................... 119,535 479,900
Johnston Group P.L.C.................................. 26,000 203,674
Johnston Press P.L.C.................................. 44,000 127,459
Jones & Shipman P.L.C................................. 29,500 16,369
Jones Stroud Holdings P.L.C........................... 42,500 215,016
Joseph (Leopold) Holdings P.L.C....................... 14,000 115,382
Jourdan (Thomas) P.L.C................................ 40,000 36,883
Kalamazoo Computer Group P.L.C........................ 56,120 67,317
Kelsey Industries P.L.C............................... 7,500 55,080
*Kendell P.L.C........................................ 568,260 6,956
Kenwood Appliances P.L.C.............................. 120,000 251,654
Kode International P.L.C.............................. 43,100 79,132
Kunick P.L.C.......................................... 600,000 232,560
Laing (John) P.L.C.................................... 110,875 688,507
Lambert Fenchurch P.L.C............................... 202,000 360,982
Lambert Howarth Group P.L.C........................... 34,000 68,805
*Lambert Smith Hampton P.L.C.......................... 3,591 5,538
Lamont Holdings P.L.C................................. 72,231 157,961
Leeds Group P.L.C..................................... 86,938 212,824
Leigh Interests P.L.C................................. 156,499 274,562
Leslie Wise Group P.L.C............................... 107,000 51,514
*Liberty P.L.C........................................ 51,875 302,660
Lilleshall P.L.C...................................... 80,564 98,610
Linton Park P.L.C..................................... 39,000 260,957
Linx Printing Technologies P.L.C...................... 36,000 89,597
*Lionheart P.L.C...................................... 20,997 3,855
*Lister & Co. P.L.C................................... 41,000 8,364
Locker (Thomas) Holdings P.L.C........................ 295,250 191,535
London Scottish Bank P.L.C............................ 281,000 440,248
Lookers P.L.C......................................... 53,160 90,227
Lopex P.L.C........................................... 154,948 80,920
*Lovell (Y.J.) Holdings P.L.C......................... 70,932 14,470
Lowe (Robert H.) & Co. P.L.C.......................... 1,985 850
Lyles (S.) P.L.C...................................... 16,000 13,448
Lynx Holdings P.L.C................................... 100,000 179,520
M & W P.L.C........................................... 7,200 15,569
M.R. Data Management Group P.L.C...................... 136,158 194,434
ML Holdings P.L.C..................................... 398,132 259,901
MS International P.L.C................................ 71,500 23,338
MacFarlane Group Clansman P.L.C....................... 292,687 783,371
Macro 4 P.L.C......................................... 50,000 326,400
Mallett P.L.C......................................... 37,437 59,570
Manchester United P.L.C............................... 42,482 429,157
Manders P.L.C......................................... 83,340 217,617
Manganese Bronze Holdings P.L.C....................... 46,184 390,052
Mansfield Brewery P.L.C............................... 155,500 894,560
Marling Industries P.L.C.............................. 478,398 72,219
Marshalls P.L.C....................................... 302,100 680,378
Martin Internationl Holdings P.L.C.................... 97,000 52,240
Matthews (Bernard) P.L.C.............................. 298,000 615,215
Maunders (John) Group P.L.C........................... 61,000 193,629
Mayflower Corp. P.L.C................................. 509,012 1,241,908
McAlpine (Alfred) P.L.C............................... 171,111 395,143
McCarthy & Stone P.L.C................................ 227,968 485,517
*McDonnell Information Systems Group P.L.C............ 138,000 77,700
McKay Securities P.L.C................................ 58,000 173,694
McLeod Russel Holdings P.L.C.......................... 149,524 374,576
Meggitt P.L.C......................................... 522,190 975,785
Melrose Energy P.L.C.................................. 250,000 57,120
</TABLE>
166
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Mentmore Abbey P.L.C.................................. 76,090 $ 62,710
Menvier-Swain Group P.L.C............................. 6,358 28,846
*Merchant Retail Group P.L.C.......................... 263,766 111,921
Meristem P.L.C........................................ 109,250 89,148
Merrydown P.L.C....................................... 35,000 41,126
Metal Bulletin P.L.C.................................. 24,000 428,890
Metalrax Group P.L.C.................................. 335,219 533,400
*Metaltech International P.L.C........................ 401,163 80,201
*Micro Focus Group P.L.C.............................. 34,500 895,234
Microgen Holdings P.L.C............................... 105,000 295,596
Microvitec P.L.C...................................... 100,000 32,640
Mitie Group P.L.C..................................... 125,000 377,400
Molins P.L.C.......................................... 68,000 604,819
Moorfield Estates P.L.C............................... 150,000 64,872
*More Group P.L.C..................................... 98,991 999,207
Morland & Co. P.L.C................................... 66,380 568,744
Moss Brothers Group P.L.C............................. 53,600 1,233,400
Mowlem (John) & Co. P.L.C............................. 419,943 921,792
Mucklow (A & J) Group P.L.C........................... 175,000 389,844
*NSM P.L.C............................................ 58,474 7,634
Narborough Plantations P.L.C.......................... 63,829 20,834
Neepsend P.L.C........................................ 66,250 35,680
Nestor - BNA P.L.C.................................... 180,200 426,425
Newman Tonks Group P.L.C.............................. 300,834 846,908
Newmarket Venture Capital P.L.C....................... 80,000 7,181
Nichols (J.N.) (Vimto) P.L.C.......................... 98,750 332,795
Nightfreight P.L.C.................................... 125,000 76,500
Nobo Group P.L.C...................................... 41,107 83,858
Norcros P.L.C......................................... 292,857 327,391
Northamber P.L.C...................................... 88,888 209,619
Novo Group P.L.C...................................... 113,000 62,701
*OEM P.L.C............................................ 12,000 9,009
*OMI International P.L.C.............................. 173,158 56,519
Ocean Wilson Holdings, Ltd............................ 84,250 151,933
*Oceonics Group P.L.C................................. 52,760 17,221
Ockham Holdings P.L.C................................. 122,000 173,221
*Oliver Group P.L.C................................... 68,000 43,281
Olives Property P.L.C................................. 126,208 60,247
Osborne & Little P.L.C................................ 17,500 215,628
*Osprey Communications P.L.C.......................... 23,524 8,062
*Owen & Robinson P.L.C................................ 9,485 1,896
Oxford Instruments P.L.C.............................. 122,000 749,627
P & P P.L.C........................................... 129,250 466,169
PSIT P.L.C............................................ 185,933 556,817
PWS Holdings P.L.C.................................... 134,428 39,490
Page (Michael) Group P.L.C............................ 147,975 1,308,904
Parity P.L.C.......................................... 50,000 456,960
Park Food Group P.L.C................................. 382,500 337,090
Parkland Group P.L.C.................................. 30,000 82,987
Partridge Fine Arts P.L.C............................. 58,000 67,679
Paterson Zochonis P.L.C............................... 22,000 170,005
Paterson Zochonis P.L.C. Non-Voting................... 27,000 186,611
Peek P.L.C............................................ 291,608 209,398
Pemberstone P.L.C..................................... 9,158 11,583
Pendragon P.L.C....................................... 95,750 564,894
Perkins Foods P.L.C................................... 350,000 476,952
Perpetual P.L.C....................................... 750 33,170
Perry Group P.L.C..................................... 61,666 188,698
*Pex P.L.C............................................ 68,414 6,420
Phoenix Timber Group P.L.C............................ 31,000 11,383
Photo-Me International P.L.C.......................... 145,000 295,800
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Pifco Holdings P.L.C.................................. 20,000 $ 70,176
Pifco Holdings P.L.C. Class A......................... 20,000 68,544
Pittards P.L.C........................................ 60,985 101,020
*Pittencrieff Resources P.L.C......................... 74,000 54,346
Pizza Express P.L.C................................... 45,000 501,228
Plantation & General Investment P.L.C................. 96,224 109,141
Plysu P.L.C........................................... 117,800 304,716
Porter Chadburn P.L.C................................. 256,000 83,558
Portmeirion Potteries (Holdings) P.L.C................ 28,000 235,334
Portsmouth & Sunderland Newspapers P.L.C.............. 30,000 406,368
Porvair P.L.C......................................... 35,000 176,215
Premier Consolidated Oilfields P.L.C.................. 2,488 1,705
*Premier Land P.L.C................................... 50,000 16,320
Pressac Holdings P.L.C................................ 94,000 399,628
Prestwick Holdings P.L.C.............................. 90,000 55,080
Princedale Group P.L.C................................ 250,000 167,280
Property Partnerships P.L.C........................... 10,000 43,656
*Prospect Industries P.L.C............................ 372,477 24,315
Protean P.L.C......................................... 71,076 162,974
*Proudfoot P.L.C...................................... 202,646 77,719
Prowting P.L.C........................................ 173,630 379,708
*QS Holdings P.L.C.................................... 95,775 58,614
*Quadrant Group P.L.C................................. 5,663 7,855
Quality Care Homes P.L.C.............................. 42,708 226,523
Quality Software Products Holdings P.L.C.............. 5,000 19,584
Quick Group P.L.C..................................... 56,165 133,367
RCO Holdings P.L.C.................................... 27,000 88,128
Radamec Group P.L.C................................... 35,000 72,828
Raglan Property P.L.C................................. 100,000 42,024
*Raine P.L.C.......................................... 467,965 152,744
Ransom (William) & Son P.L.C.......................... 30,000 38,678
Ransomes P.L.C........................................ 308,000 155,823
Rea Brothers Group P.L.C.............................. 106,562 78,259
Rea Holdings P.L.C.................................... 54,926 310,152
Readicut International P.L.C.......................... 473,263 293,499
Rebus Group P.L.C..................................... 75,000 85,068
Record Holdings P.L.C................................. 89,727 99,575
*Reece P.L.C.......................................... 283,750 10,419
Reed Executive P.L.C.................................. 116,500 266,179
Reg Vardy P.L.C....................................... 128,597 639,055
Regal Hotel Group P.L.C............................... 200,000 164,832
*Regent Corp. P.L.C................................... 2,488 20
Relyon Group P.L.C.................................... 45,777 280,529
Renishaw P.L.C........................................ 176,806 992,603
Renold P.L.C.......................................... 180,000 707,962
Ricardo Group P.L.C................................... 119,709 265,697
*Richards Group P.L.C................................. 16,000 2,220
Richards P.L.C........................................ 61,500 39,645
Richardsons Westgarth P.L.C........................... 96,928 124,176
*Richmond Oil & Gas P.L.C............................. 220,000 0
*Rodime P.L.C......................................... 261,000 9,584
Rolfe & Nolan P.L.C................................... 24,000 151,776
Ropner P.L.C.......................................... 63,300 149,793
*Ross Group P.L.C..................................... 13,200 700
Rotork P.L.C.......................................... 219,500 947,502
Rowe Evans Investments P.L.C.......................... 114,417 204,468
*Roxspur P.L.C........................................ 585,225 62,081
</TABLE>
167
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Rubicon Group P.L.C................................... 47,890 $ 92,225
Russell (Alexander) P.L.C............................. 47,500 81,008
Rutland Trust P.L.C................................... 774,000 675,795
S & U P.L.C........................................... 29,040 157,820
SEP Industrial Holdings P.L.C......................... 200,000 94,656
SIG P.L.C............................................. 163,200 833,652
Sanderson Bramall Motor Group P.L.C................... 79,166 341,085
Sanderson Electronics P.L.C........................... 90,000 174,787
Saville (J.) Gordon Group P.L.C....................... 247,761 242,608
*Saville (J.) Gordon Group P.L.C. Issue 97............ 206,467 192,064
Savills P.L.C......................................... 104,000 215,555
Scholl P.L.C.......................................... 166,250 809,890
*Scottish Ice Rink Co. (1928) P.L.C................... 13,000 0
Scottish Metropolitan Property P.L.C.................. 314,266 451,336
Secure Trust Group P.L.C.............................. 40,000 403,104
*Seet P.L.C........................................... 7,000 4,170
*Sennah Rubber Co., Ltd. (Guernsey)................... 1,214 142,452
Serco Group P.L.C..................................... 39,000 450,310
Servomex P.L.C........................................ 30,000 190,210
Seton Healthcare Group P.L.C.......................... 88,366 688,619
Shaftesbury P.L.C..................................... 112,500 335,988
Shandwick International P.L.C......................... 302,640 246,954
Shanks & McEwan Group P.L.C........................... 192,000 423,014
Sharpe & Fisher P.L.C................................. 45,497 173,376
*Sheffield United P.L.C............................... 3,000 2,252
Sherwood Group P.L.C.................................. 270,000 160,834
Shiloh P.L.C.......................................... 14,500 32,065
*ShopRite Group P.L.C................................. 204,780 84,386
Sidlaw Group P.L.C.................................... 176,071 287,348
*Signet Group P.L.C................................... 736,900 399,871
Silentnight Holdings P.L.C............................ 129,000 631,584
Simon Engineering P.L.C............................... 378,141 274,621
*Sims Food Group P.L.C................................ 99,000 56,549
Sinclair (William) Holdings P.L.C..................... 53,000 219,267
Sindall (William) P.L.C............................... 50,500 149,585
Singapore Para Rubber Estates P.L.C................... 26,000 120,931
Singer & Friedlander Group P.L.C...................... 364,000 825,727
Sirdar P.L.C.......................................... 145,266 148,171
Sketchley P.L.C....................................... 141,800 141,165
Smart (J.) & Co. (Contractors) P.L.C.................. 22,500 84,456
South Staffordshire Water Holdings P.L.C.............. 11,600 537,646
*Spring Ram Corp. P.L.C............................... 616,000 140,744
St. James Beach Hotels P.L.C.......................... 25,000 74,256
St. Modwen Properties P.L.C........................... 50,000 58,140
Stanley (Charles) Group P.L.C......................... 19,200 42,771
Stanley Leisure Organisation P.L.C.................... 250,258 1,251,811
Stat-Plus Group P.L.C................................. 58,000 165,175
Staveley Industries P.L.C............................. 276,000 786,004
Steel Burrill Jones Group P.L.C....................... 165,682 74,358
Sterling Industries P.L.C............................. 76,000 313,801
Stirling Group P.L.C.................................. 336,000 180,956
Stoddard Sekers International P.L.C................... 179,100 54,805
Stratagem Group P.L.C................................. 70,315 65,984
Stylo P.L.C........................................... 117,000 255,865
Sutcliffe Speakman P.L.C.............................. 418,864 164,061
Swallowfield P.L.C.................................... 15,000 52,754
Swan (John) and Sons P.L.C............................ 1,000 6,446
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Swan Hill Group P.L.C................................. 109,500 $ 145,644
Syltone P.L.C......................................... 50,400 114,331
T & S Stores P.L.C.................................... 253,910 729,311
TGI P.L.C............................................. 59,560 71,443
*Talbex Group P.L.C. (In Receivership)................ 385,000 0
Tamaris P.L.C......................................... 206,460 10,108
*Tandem Group P.L.C................................... 127,365 16,629
Tay Homes P.L.C....................................... 76,266 169,274
Taylor Nelson AGB P.L.C............................... 546,475 459,301
Telemetrix P.L.C...................................... 246,722 251,656
Tex Holdings P.L.C.................................... 14,000 22,848
Thorntons P.L.C....................................... 188,000 727,154
Thorpe (F.W.) P.L.C................................... 24,000 53,073
Tibbett & Britten Group P.L.C......................... 98,400 927,400
Tie Rack P.L.C........................................ 125,000 341,700
Tilbury Douglas P.L.C................................. 97,183 1,209,345
Time Products P.L.C................................... 192,000 1,129,605
Tinsley Robor P.L.C................................... 60,000 108,202
Tomkinsons P.L.C...................................... 14,800 45,892
Tops Estates P.L.C.................................... 10,050 30,917
*Torday & Carlisle P.L.C.............................. 65,000 39,780
Town Centre Securities P.L.C.......................... 150,000 215,424
Toye & Co. P.L.C...................................... 2,000 2,938
*Trace Computers P.L.C................................ 33,552 35,592
Trafford Park Estates P.L.C........................... 50,000 119,544
Transtec P.L.C........................................ 251,525 416,646
Trinity Holdings P.L.C................................ 54,000 222,523
Triplex Lloyd P.L.C................................... 167,249 447,639
*Try Group P.L.C...................................... 243,407 98,317
Tunstall Group P.L.C.................................. 89,000 267,256
UDO Holdings P.L.C.................................... 71,000 152,372
UK Estates P.L.C...................................... 50,000 20,400
*UK Safety P.L.C...................................... 135,833 31,035
Ugland International Holdings P.L.C................... 219,500 286,579
Ulster Television, Ltd................................ 125,000 311,100
Union P.L.C........................................... 47,000 58,679
United Industries P.L.C............................... 122,292 130,725
Usborne P.L.C......................................... 111,066 31,720
VCI P.L.C............................................. 100,000 407,184
Vardon P.L.C.......................................... 188,000 348,236
Verity Group P.L.C.................................... 250,000 211,140
*Vert (Jacques) P.L.C................................. 45,000 15,055
Vibroplant P.L.C...................................... 113,500 153,743
Victoria Carpet Holdings P.L.C........................ 12,000 17,430
*Videologic Group P.L.C............................... 311,666 172,937
Vitec Group P.L.C..................................... 4,500 42,962
Volex Group P.L.C..................................... 85,206 570,130
*Vosper Thornycroft Holdings P.L.C.................... 20,000 260,794
*WEW Group P.L.C...................................... 392,530 99,294
WF Electrical P.L.C................................... 38,500 422,859
WSP Group P.L.C....................................... 50,000 75,480
Wace Group P.L.C...................................... 195,000 105,019
Waddington (John) P.L.C............................... 253,285 1,149,144
Wagon Industrial Holdings P.L.C....................... 30,000 122,400
*Wakebourne P.L.C..................................... 27,850 4,772
Walker Greenbank P.L.C................................ 313,000 298,827
*Ward Holdings P.L.C.................................. 130,000 105,019
Wardle Storeys P.L.C.................................. 58,000 402,288
Warner Estate Holdings P.L.C.......................... 70,000 261,038
Warner Howard P.L.C................................... 63,817 289,014
</TABLE>
168
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Water Hall Group P.L.C............................... 248,445 $ 3,041
Waterman Partnership Holdings P.L.C................... 45,000 44,798
*Wates City of London Properties P.L.C................ 230,000 371,606
Watson & Philip P.L.C................................. 115,400 820,189
Watts, Blake, Bearne & Co. P.L.C...................... 50,500 379,114
*Waverly Mining Finance P.L.C......................... 42,500 23,582
Wellman P.L.C......................................... 204,833 81,065
*Wembley P.L.C........................................ 6,053 35,167
West Trust P.L.C...................................... 145,194 74,641
Westbury P.L.C........................................ 220,444 899,412
*Western Selection P.L.C.............................. 35,525 6,957
Wetherspoon (J.D.) P.L.C.............................. 4,534 97,488
Whatman P.L.C......................................... 56,500 608,573
Whitecroft P.L.C...................................... 105,000 221,054
Widney P.L.C.......................................... 39,528 20,321
*Wiggins Group P.L.C.................................. 1,076,500 166,901
Willoughby's Consolidated P.L.C....................... 9,000 22,032
Wilshaw P.L.C......................................... 223,409 113,027
Windsor P.L.C......................................... 83,441 15,660
Wintrust P.L.C........................................ 22,500 145,044
Wolstenholme Rink P.L.C............................... 15,500 169,483
Worthington Group P.L.C............................... 79,364 71,885
Wyko Group P.L.C...................................... 178,666 409,674
Wyndeham Press Group P.L.C............................ 63,066 210,479
York Waterworks P.L.C................................. 17,000 95,717
Yorklyde P.L.C........................................ 25,555 71,525
Yorkshire Group P.L.C................................. 110,400 395,479
Young & Co's Brewery P.L.C............................ 10,000 88,536
Young & Co's Brewery P.L.C. Class A................... 8,034 84,241
Young (H.) Holdings P.L.C............................. 59,226 141,602
Zetters Group P.L.C................................... 14,500 21,653
------------
TOTAL COMMON STOCKS
(Cost $143,325,586).................................. 175,540,513
------------
INVESTMENT IN CURRENCY -- (0.1%)
*British Pound Sterling
(Cost $183,658)..................................... 168,106
------------
PREFERRED STOCKS -- (0.0%)
East Surrey Holdings P.L.C. 7.8%...................... 9,200 15,315
Rea Holdings P.L.C. 9% Cumulative..................... 2,496 4,033
------------
TOTAL PREFERRED STOCKS
(Cost $37,184)....................................... 19,348
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Bolton Group (International), Ltd. Rights............ 13,142 $ 107
*Gartland, Whalley and Barker P.L.C. Warrants
05/20/99............................................ 85 0
*International Tool & Supply P.L.C. Warrants
12/31/99............................................ 3,537 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 107
------------
TOTAL -- UNITED KINGDOM
(Cost $143,546,428).................................. 175,728,074
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (6.3%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%
06/02/97 ($2,060,000 collateralized by U.S. Treasury
Notes 5.50%, 11/15/98 and $9,901,000 collateralized
by U.S. Treasury Notes 6.00% 11/30/98)
(Cost $11,961,000).................................. $ 11,961 11,961,000
------------
TOTAL INVESTMENTS -- (98.1%)
(Cost $155,507,428)++................................ 187,689,074
------------
OTHER ASSETS AND LIABILITIES -- (1.9%)
Other Assets.......................................... 3,981,199
Payable for Investment Securities Purchased........... (52,941)
Payable for Fund Shares Redeemed...................... (158,900)
Other Liabilities..................................... (62,797)
------------
3,706,561
------------
NET ASSETS -- (100.0%)................................. $191,395,635
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
169
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
FRANCE -- (25.6%)
COMMON STOCKS -- (25.6%)
*Agricole de la Crau................................. 440 $ 41,164
Agricole de la Pointe-a-Pitre........................ 450 48,415
Airfeu SA............................................ 600 20,166
Apem SA.............................................. 1,000 54,574
Arbel SA............................................. 2,280 28,480
Assystem SA.......................................... 2,657 180,448
Aurea................................................ 600 8,202
Bail-Investissement (Societe Immobiliere pour le
Commerce & l'Industrie)............................ 2,367 332,167
Bains de Mer et du Cercle des Etrangers a Monaco..... 4,615 473,333
Banque de la Reunion................................. 987 239,397
Banque Nationale de Paris Intercontinentale.......... 12,465 1,511,694
*Banque Transatlantique.............................. 3,030 90,816
Bazar de l'Hotel de Ville SA......................... 9,950 1,017,065
Berger Levrault SA................................... 476 87,333
Bertrand Faure SA.................................... 62,063 2,881,650
Bioblock Scientific SA............................... 1,373 71,362
Boiron SA............................................ 1,900 215,610
Bollore Technologies SA.............................. 20,366 2,575,741
Brioche Pasquier SA.................................. 2,600 286,937
Brosse et Dupont..................................... 3,170 219,681
*Burelle SA.......................................... 4,030 181,531
But SA............................................... 7,650 414,839
*CDE (Comptoir des Entrepeneurs SA).................. 8,713 15,095
CEGID................................................ 4,500 449,844
CFC (Cie Financiere des Cardans)..................... 296 59,077
CFPI (Cie Francaise de Produits Industriels SA)...... 627 40,192
COM 1 SA............................................. 450 19,647
CPR (Cie Parisienne de Reescompte)................... 9,762 752,783
Caisse Regionale de Credit Agricole Mutuel de la
Brie............................................... 236 14,057
Cambodge............................................. 1,605 667,360
Carbone Lorraine..................................... 6,649 1,543,600
*Cardif SA........................................... 1,140 132,526
*Caves & Producteurs Reunis de Roquefort............. 192 63,202
Cegedim SA........................................... 1,600 157,173
Centenaire-Blanzy.................................... 2,207 175,887
*Centrest (Societe Developpement Regional du
Centre-Est)........................................ 1,705 192
Change de la Bourse SA............................... 614 28,615
*Christian Dalloz SA................................. 674 263,785
Cipe France SA....................................... 2,400 301,455
Cofigeo (Cie Financiere Geo)......................... 400 60,360
Compagnie Financiere de CIC et de l'Union Europeene
SA Series D........................................ 10,650 614,423
*Compagnie Financiere pour l'Immobilier d'Enterprise
Fidei.............................................. 9,399 61,064
*Concorde Cie d'Assurances Contre les Risques de
Toute Nature SA.................................... 2,992 700,829
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Consortium International de Diffusion et de
Representation Sante Cider Sante................... 600 $ 26,715
Continentale d'Assurances SA......................... 810 78,306
Continentale d'Entreprises SA........................ 20,087 957,021
*Costimex SA......................................... 700 13,461
Courtois SA.......................................... 100 8,143
Credit Foncier et Communal d'Alsace et de Lorraine... 800 104,643
*#Credit National.................................... 4,900 260,026
*Cristalleries de Baccarat........................... 1,567 146,601
DMC (Dollfus Mieg et Cie)............................ 25,400 523,666
*Damart SA........................................... 2,290 1,760,745
*Darblay SA.......................................... 305 20,132
#Dassault Electronique SA............................ 17,400 1,715,281
Degremont............................................ 9,600 706,861
Deveaux SA........................................... 1,011 136,622
Didot-Bottin......................................... 810 119,704
Dietrich et Cie...................................... 27,775 1,183,758
Distriborg Groupe SA................................. 1,050 76,403
Docks des Petroles d'Ambes........................... 100 10,551
Docks Lyonnais....................................... 1,110 26,923
*#Dynaction SA....................................... 10,660 264,838
ECIA (Equipements et Composants pour l'Industrie
Automobile)........................................ 17,571 2,666,701
EMI France SA........................................ 300 75,364
Electricite de Strasbourg............................ 7,928 776,043
Emin Leydier Emballages SA........................... 1,056 72,303
*Emprunt Conjoint de Banque du Batiment et des
Travaux Publics et de Financiere de Gestion et
d'Investissement SA................................ 29,814 39,256
Europe 1 Communication............................... 4,782 961,039
Exacompta Clairefontaine SA.......................... 1,600 248,371
*Expand SA........................................... 412 38,545
Explosifs et de Produits Chimiques................... 524 104,401
Faienceries Sarreguemines Digoin et Vitry-le-Francois
SA................................................. 330 30,359
*Fichet-Bauche....................................... 3,515 43,846
Filipacchi Medias SA................................. 3,563 769,144
Fimalac SA........................................... 19,020 1,762,942
*Financiere et Immobiliere de l'Etang de Berre et de
la Mediterranee SA................................. 400 5,658
Financiere Moncey SA................................. 631 339,004
Fininfo SA........................................... 976 120,732
Fives-Lille.......................................... 8,400 614,283
Fonciere (Cie)....................................... 2,823 268,997
Fonciere Lyonnaise SA................................ 4,302 543,340
*Fonciere Lyonnaise SA Em 96......................... 114 13,924
Fonderies Franco Belge............................... 492 56,258
Fraikin SA........................................... 3,284 196,289
*Francaise des Ferrailles............................ 5,288 356,381
Francaise des Magasins Uniprix....................... 2,886 120,000
France-Africaine de Recherches Petrolieres
Francarep.......................................... 3,864 194,807
Frankoparis SA....................................... 4,387 62,324
*Fromagerie F. Paul Renard........................... 200 71,033
</TABLE>
170
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Fructivie SA......................................... 34 $ 3,623
*GCI (Groupe Chatellier Industrie SA)................ 8,721 5,439
GFI Industries SA.................................... 1,369 193,301
GTM Entrepose........................................ 14,338 744,970
*Galeries Lafayette SA............................... 5,664 2,060,707
Gantois Series A..................................... 647 126,217
Gascogne SA.......................................... 6,302 533,246
Gaumont.............................................. 14,206 1,053,390
Gautier France SA.................................... 1,680 78,877
Genefim-Societe Immobiliere pour le Commerce et
l'Industrie SA..................................... 6,161 123,818
*Generale de Geophysique SA.......................... 14,976 1,237,622
Generale de Transport et d'Industrie................. 12,890 480,137
Gevelot.............................................. 1,792 341,511
Gifrer Barbezat SA................................... 550 57,935
*Grand Bazar de Lyon................................. 650 18,131
Grands Moulins de Strasbourg......................... 110 27,767
*Groupe Andre SA..................................... 5,833 497,200
Groupe du Louvre SA.................................. 6,753 233,992
Groupe Guillin SA.................................... 1,200 43,243
Groupe Norbert Dentressangle SA...................... 1,580 223,368
Groupe Zannier SA.................................... 4,100 101,577
Groupement pour le Financement de la Construction
SA................................................. 19,075 1,791,173
Guerbet SA........................................... 1,990 82,744
Guitel-Etienne-Mobilor SA............................ 160 4,164
Guyenne et Gascogne SA............................... 5,200 1,594,595
HIT SA............................................... 600 42,308
Havas Advertising SA................................. 20,787 2,204,027
Hoteliere Lutetia Concorde........................... 2,505 103,116
*Hotels et Casinos de Deauville...................... 2,055 210,057
ICBT Groupe SA....................................... 1,200 47,006
IMS International Metal Service SA................... 1,263 192,557
Immeubles de France.................................. 25,528 1,575,819
Immeubles de Lyon.................................... 3,562 339,414
Immobanque........................................... 1,098 126,312
Immobiliere Marseillaise............................. 656 903,534
Industrie des Transports............................. 600 43,867
Industrielle et Financiere d'Entreprise SA........... 300 12,942
Industrielle et Financiere d'Ingenierie SA........... 40,100 847,574
*Infogrames Entertainment SA......................... 1,550 206,774
Informatique et Realite SA........................... 2,379 93,973
*Informatique et Realite SA Em 97.................... 264 10,241
Intertechnique SA.................................... 4,150 927,495
*Jet Multimedia SA................................... 500 63,583
Labinal SA........................................... 15,925 3,462,556
*Lacroix Indu........................................ 593 25,695
Laurent Bouillet..................................... 480 25,447
*Lectra Systemes SA.................................. 19,192 71,322
Legris Industries SA................................. 32,350 1,401,161
*Locindus (Cie Financiere pour la Location
d'Immeubles Industrials et Commerciaux)............ 1,600 235,620
*Lucia............................................... 254 2,262
*MRM................................................. 1,424 59,457
Manitou BF SA........................................ 1,773 244,202
*Manoir Industries SA................................ 123 5,008
Marie Brizard & Roger International SA............... 266 44,610
*Matussiere et Forest SA............................. 13,600 146,085
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Maxi-livre/Profrance SA............................. 1,200 $ 7,578
Mediascience SA...................................... 150 12,994
Metal Deploye........................................ 328 22,730
*#Metaleurop SA...................................... 58,400 659,681
*Metrologie International............................ 12,040 35,878
Michel Thierry SA.................................... 700 63,669
Montupet SA.......................................... 3,245 354,184
*Mors................................................ 32,445 47,779
*Moulinex SA......................................... 130,453 3,048,876
*Musee Grevin SA..................................... 822 14,668
*NAF NAF SA.......................................... 4,200 47,224
*Nationale de Navigation............................. 8,880 127,692
*Nodet-Gougis SA..................................... 3,500 0
Nord-Est............................................. 3,240 72,412
*Nordon & Cie........................................ 800 52,807
*Olipar.............................................. 250 3,292
PSB Industries SA.................................... 1,240 83,805
Papiers Peints (Societe Francaise des)............... 200 36,382
Parisienne de Chauffage Urbain....................... 200 16,632
Paul Predault SA..................................... 2,199 66,671
*Pier Import Europe SA............................... 2,100 14,116
Plastic Omnium....................................... 12,036 1,007,170
Primisteres Reynoird SA.............................. 800 33,957
Publicis SA.......................................... 20,150 1,825,788
Radiall SA........................................... 1,340 157,633
#Rallye SA........................................... 28,700 1,093,902
Reassurances SA (Francaise de)....................... 14,349 3,654,371
Robertet SA.......................................... 269 56,857
*Rocamat............................................. 5,579 12,082
Rochefortaise Communication SA....................... 11,420 637,280
*#Rochette........................................... 98,470 417,969
Rougier SA........................................... 2,040 130,416
*Rouleau-Guichard SA................................. 300 17,412
Rue Imperiale de Lyon................................ 450 456,081
*SAGA (Societe Anonyme de Gerance et d'Armement)..... 6,425 94,616
SAMSE SA............................................. 1,100 156,462
SAT SA (SA des Telecommunications)................... 2,832 760,499
*SDR de Bretagne SA.................................. 714 3,198
*SEDIVER (Societe Europeene d'Isolateurs en Verre et
Composite)......................................... 551 12,505
*SEUPAR (Societe Europeene de Participations
Industrielles et Financieres)...................... 35 637
SFIM (Societe de Fabrication d'Instruments de
Mesure)............................................ 2,940 473,701
SGCA (Societe Generale de Courtage d'Assurances)..... 554 63,347
*SGE (Societe Generale d'Enterprise SA).............. 14,000 294,698
SOCIM (Societe Immobiliere d'Investissement)......... 3,829 182,428
SOGEPAG (Societe Exploitation de Parcs et Garages)... 379 11,983
Sabate SA............................................ 600 64,241
*Sabeton............................................. 1,350 188,280
Saupiquet............................................ 4,500 545,738
*Savoisienne......................................... 3,963 67,286
Sechilienne.......................................... 220 46,119
</TABLE>
171
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Securidev SA........................................ 1,500 $ 30,145
*Selectibanque SA.................................... 7,100 85,367
Sidergie SA.......................................... 800 121,275
Signaux et d'Equipements Electroniques SA............ 23,983 1,004,693
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)........................ 3,064 454,929
*Simmonds............................................ 575 29,886
Skis Rossignol SA.................................... 46,668 1,026,825
Smoby SA............................................. 500 54,574
Societe d'Etudes et de Realizations pour les
Industries du Bois Seribo.......................... 450 14,813
Societe Dauphin Office Technique d'Affichage SDCS.... 2,192 153,425
*Societe Financiere Immobail SA...................... 4,807 124,922
Societe Financiere Interbail SA...................... 7,000 280,752
*Sodero (Societe de Developpement Regional de
l'Ouest)........................................... 4,181 14,125
Sogeparc SA.......................................... 2,156 291,351
Soie SA.............................................. 390 20,203
Solitaire Produits d'Entretien Francais Prodef....... 300 38,461
Sommer-Allibert SA................................... 17,200 548,302
Sophia SA............................................ 11,700 447,973
Sopra Conseil et Assistance en Informatique SA....... 1,380 111,724
Strafor Facom SA..................................... 33,703 2,323,942
Sucriere de Pithiviers-le-Vieil...................... 1,825 1,109,797
Sylea SA............................................. 4,159 363,876
Taittinger SA........................................ 2,540 1,055,693
Tanneries de France.................................. 158 7,117
Teisseire France SA.................................. 700 21,369
*Teleflex Lionel-Dupont.............................. 7,625 158,128
Thermal de Bagnoles de l'Orne........................ 245 26,529
Touax SA............................................. 3,604 87,415
*Transports en Commun de Nice........................ 100 1,594
*Trouvay et Cauvin SA................................ 1,500 27,287
Unilog SA............................................ 632 75,551
Union Generale du Nord SA............................ 994 37,938
Union Immob.......................................... 3,100 235,776
*Union Industrielle de Credit SA, Paris.............. 20,120 87,145
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies)................................. 31,700 1,812,370
Vermandoise de Sucreries............................. 323 313,375
*Via Banque.......................................... 20,692 605,488
Viel et Cie.......................................... 2,641 66,299
Vilmorin et Cie SA................................... 2,349 184,396
Virax................................................ 954 32,230
Virbac SA............................................ 1,713 162,931
Vulcanic SA.......................................... 400 21,130
------------
TOTAL COMMON STOCKS
(Cost $82,079,818)................................... 92,053,133
------------
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs (Cost $155,812)....................... 155,713
------------
RIGHTS/WARRANTS -- (0.0%)
*BCR Participations Warrants 05/15/99................ 6,425 2,215
*Derichebourg Finances Warrants 07/15/98............. 5,288 7,925
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Informatique et Realite SA Warrants 09/30/99........ 264 $ 2,035
*SAGA (Societe Anonyme de Gerance et d'Armement )
Rights 06/02/97.................................... 6,425 7,235
*Vilmorin et Cie SA Warrants 06/29/01................ 729 8,209
------------
TOTAL RIGHTS/WARRANTS
(Cost $101,804)...................................... 27,619
------------
TOTAL -- FRANCE
(Cost $82,337,434)................................... 92,236,465
------------
GERMANY -- (20.7%)
COMMON STOCKS -- (20.7%)
*AGIV AG fuer Industrie & Verkehrswesen.............. 30,600 562,224
Aachener Strassenbahn und Energieversorguns AG....... 188 46,752
Aachener und Muenchener Lebensversicherung AG........ 316 156,243
Aachener und Muenchener Versicherungs AG............. 1,757 627,133
Agrippina Rueckversicherung AG, Koeln................ 177 238,209
*Agrob AG............................................ 290 63,803
Aigner (Etienne) AG.................................. 600 262,610
*Alexanderwerk AG.................................... 230 14,535
Allweiler AG......................................... 289 50,731
Alte Leipziger Versicherungs AG Series C............. 1,043 317,355
*Amira Verwaltungs AG................................ 200 134,582
Andreae-Noris Zahn AG, Anzag......................... 3,320 1,204,447
Anterra Vermoegensverwaltungs AG..................... 1,350 131,919
Apoca Parking AG..................................... 1,650 160,269
*Augsburger Kammgarn Spinnerei AG.................... 660 12,358
BDAG Balcke-Duerr AG................................. 3,291 510,307
*Barmag AG........................................... 1,300 226,302
Bayerische Handelsbank AG............................ 2,270 611,001
*Berliner Elektro Holding AG......................... 7,800 182,563
Berliner Kindl-Brauerei AG........................... 1,000 280,866
Binding-Brauerei AG.................................. 2,925 838,648
Biotest AG........................................... 8,060 327,776
Blaue Quellen Mineral und Heilbrunnen AG............. 300 508,894
*Bochum-Gelsenkirchener Strassenbahnen AG............ 228 43,359
Boewe Systec AG...................................... 3,000 108,485
Boss (Hugo) AG....................................... 870 1,013,049
*Brau und Brunnen AG................................. 4,995 374,114
Breitenburger Portland-Cement-Fabrik AG.............. 25 37,303
Bremer Strassenbahn AG............................... 307 39,161
*Bremer Woll-Kaemmerei AG............................ 1,996 176,942
Brillant AG.......................................... 1,238 260,784
Buckau (Walther) AG.................................. 900 121,123
*Ceag Industrie-Aktien und Anlagen AG................ 2,067 215,287
*Computer 2000 AG.................................... 547 115,225
*Concordia Bau und Boden AG.......................... 32,189 367,282
Custodia Holding AG.................................. 60 70,217
*DLW AG.............................................. 3,940 403,683
DSL Holding AG....................................... 5,850 770,187
</TABLE>
172
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Data Modul AG........................................ 2,400 $ 52,662
*Deutsche Babcock AG, Oberhausen..................... 2,900 161,205
Deutsche Bank Luebeck AG............................. 1,200 1,102,399
Deutsche Hypotheken Bank AG, Hannover/Berlin......... 2,500 548,566
Deutsche Spezialglas AG.............................. 1,600 215,331
Deutsche Steinzeug Cremer & Breuer AG................ 5,560 406,671
Deutsche Verkehrs-Bank AG............................ 4,750 500,293
Didier-Werke AG...................................... 6,800 529,198
*Dierig Holding AG................................... 1,500 118,490
Doag-Holding AG...................................... 750 82,504
*Dortmunder Actien-Brauerei AG....................... 1,650 97,996
Duerr Beteiligungs AG................................ 31,750 1,226,156
Duerrkopp Adler AG................................... 2,219 185,674
Dyckerhoff & Widmann AG.............................. 4,919 662,007
Dyckerhoff AG........................................ 2,798 1,062,552
Eichbaum-Brauereien AG, Mannheim..................... 672 89,652
Erlus Baustoffwerke AG............................... 297 101,665
*Erste Kulmbacher Actien Brauerei AG................. 432 14,535
Escada AG............................................ 2,052 324,190
*Escom AG............................................ 4,200 1,032
Fag Kugelfischer Georg Schaeffer AG.................. 85,500 1,590,930
Felten & Guilleaume Energietechnik AG................ 3,250 308,075
*Flender (A. Friedrich) AG........................... 900 86,893
Forst Ebnath AG...................................... 24 11,656
Fraenkisches Ueberlandwerk AG, Nuernberg............. 896 230,685
#Fuchs Petrolub AG Oel & Chemie...................... 2,231 280,670
Fuchs Petrolub AG Oel & Chemie (Stimmrechtslos)...... 55 6,501
GEA AG............................................... 1,500 614,394
Gerresheimer Glas AG................................. 23,800 392,442
Gilde Brauerei AG.................................... 1,200 389,702
*Gildemeister AG..................................... 1,400 78,642
Goldschmidt AG....................................... 3,200 1,207,724
Grosskraftwerk Franken AG............................ 789 213,986
Hagen Batterie AG.................................... 1,000 160,328
Hamborner AG......................................... 2,100 469,643
Hamburger Hochbahn AG Series A....................... 4,257 274,002
Harpener AG.......................................... 7,100 1,296,197
Hasen-Braeu AG....................................... 100 96,548
Heilit & Woerner Bau AG.............................. 425 41,033
Heilit & Woerner Bau AG.............................. 1,701 166,218
Heinrich Industrie & Handels AG...................... 350 143,359
*Herlitz AG.......................................... 3,462 366,660
Hindrichs-Auffermann AG.............................. 3,580 61,796
Holsten-Brauerei AG, Hamburg......................... 3,077 657,171
*Honsel-Werke AG..................................... 350 27,443
Horten AG............................................ 3,380 451,919
Hucke AG............................................. 8,300 242,832
*Hutschenreuther AG.................................. 1,050 66,355
Hypothekenbank In Hamburg AG......................... 1,252 805,851
ICN (Immobilien Consult Nuernberg AG)................ 737 280,310
IFA Hotel & Touristik AG............................. 7,000 159,743
*Ikon AG Praezisionstechnik.......................... 626 65,933
Iwka AG.............................................. 6,224 1,704,407
Jacobsen (W.) AG, Kiel............................... 37 58,672
KM Europa Metal AG................................... 7,550 759,860
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
KM Europa Metal AG Em 95............................. 10,570 $ 1,008,139
*KSB AG.............................................. 2,387 553,102
KWS Kleinwanzlebener Saatzucht AG.................... 1,650 1,337,185
*Kali und Salz Beteiligungs AG....................... 13,950 1,322,352
Kampa-Haus AG........................................ 9,900 390,439
*Kaufhalle AG........................................ 7,800 780,456
*Kaufring AG......................................... 2,203 138,574
*Kempinski AG, Berlin................................ 686 258,906
Kennametal Hertal AG Werkzeuge & Hartstoffe.......... 50 6,144
Keramag Keramische Werke AG.......................... 1,300 517,262
Kiekert AG........................................... 12,950 559,980
*Kloeckner Humboldt-Deutz AG......................... 16,750 164,658
*Kloeckner-Werke AG.................................. 23,800 1,754,710
*Koeln-Duesseldorfer Deutsche Rheinschiffahrt AG..... 300 12,639
Kolb und Schuele AG.................................. 10,000 72,557
*Kolbenschmidt AG, Neckarsulm........................ 75,000 1,426,273
Kraftuebertragungswerke Rheinfelden AG............... 4,684 1,129,203
Kraftwerk Altwuerttemberg AG......................... 314 333,476
Kromschroder (G.) AG................................. 765 152,194
*Kueppersbusch AG.................................... 525 77,107
Kupferberg (Christian Adalbert) & Cie KG A.A......... 151 83,938
*Leffers AG, Bielefeld............................... 1,225 187,800
Lehnkering AG........................................ 1,530 209,849
Leifheit AG.......................................... 13,500 530,837
Leonische Drahtwerke AG.............................. 2,000 766,530
*Linotype-Hell AG.................................... 4,300 374,898
MG Vermoegensverwaltungs AG.......................... 4,040 248,215
*MLF Holding fuer Umwelttechnologie AG............... 165 1,641
*MLF Holding fuer Umwelttechnologie AG Em 95......... 33 348
*Maihak (H.) AG...................................... 275 34,612
Main Kraftwerke AG................................... 1,189 681,814
Mainzer Aktien-Bierbrauerei AG....................... 563 151,539
Mannheimer Versicherung AG........................... 2,257 1,148,970
Markt und Kuehlhallen AG............................. 1,400 212,990
*Maternus-Kliniken AG, Bad Oyenhausen................ 2,400 24,576
Mauser Waldeck AG.................................... 1,667 198,987
Mittelschwaebische Ueberlandzentrale AG.............. 355 214,994
*Moenus Textilmaschinen AG........................... 5,250 36,864
*Moksel (A.) AG...................................... 15,800 138,123
Muehle Rueningen AG.................................. 160 29,959
*Mueller-Weingarten AG............................... 579 107,398
*Nak Stoffe AG....................................... 1,046 1,897
*Neue Baumwoll-Spinnerei und Weberei Hof AG.......... 1,217 84,029
*Niedermayr Papierwarenfabrik AG..................... 60 14,184
Nordcement AG........................................ 2,000 795,787
Norddeutsche Steingutfabrik AG....................... 5,960 105,320
Nuernberger Hypothekenbank AG........................ 2,387 709,535
*Orenstein & Koppel AG............................... 3,778 104,122
Otavi Minen AG....................................... 600 86,015
Otto Reichelt AG..................................... 11,950 193,689
Parkbrauerei AG...................................... 300 40,374
Patrizier-Braeu AG................................... 737 60,374
*Pfaff (G.M.) AG..................................... 8,000 293,973
</TABLE>
173
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Pfleiderer Bau und Verkehrssysteme AG................ 750 $ 394,529
Phoenix AG, Hamburg.................................. 47,500 751,829
Plettac AG........................................... 5,554 1,218,695
Progress-Werk Oberkirch AG........................... 500 74,312
Rathgeber AG......................................... 8 3,534
Reckitt und Colman Deutschland AG.................... 540 128,286
Reichelbraeu AG, Kulmbach............................ 550 119,719
*Reichelt (F.) AG.................................... 1,290 129,830
Reiter Ingolstadt Spinnereimaschinen AG.............. 1,200 115,857
*Renk AG............................................. 1,940 107,841
Rheinboden Hypothekenbank AG......................... 2,650 454,330
Rheinmetall Berlin AG................................ 5,000 1,138,092
Rhoen Klinikum AG.................................... 15,240 1,863,757
*Rosenthal AG........................................ 2,383 195,214
*Rothenberger AG..................................... 300 18,607
#Salamander AG, Kornwesteim.......................... 5,172 759,609
Schlenk (Carl) AG.................................... 65 16,545
*Schmalbach-Lubeca AG................................ 2,350 533,528
*Schneider Rundfunkwerke AG.......................... 623 115,195
Schwaebische Zellstoff AG............................ 1,925 263,012
Scor Deutschland Rueckversicherungs AG............... 1,872 227,839
*Sektkellerei Schloss Wachenheim AG.................. 252 101,744
Sinalco AG........................................... 110 48,274
*Sinn AG............................................. 1,973 450,246
Sinner AG, Karlsruhe................................. 416 102,235
Sixt AG.............................................. 100 77,238
Sloman Neptun Schiffahrts AG......................... 35 4,096
Stern-Brauerei Carl Funke AG......................... 1,100 76,273
Stoehr & Co. AG...................................... 1,600 159,157
*Stolberger Zink AG.................................. 2,560 36,250
Stollwerck AG........................................ 1,358 470,413
*Strabag AG.......................................... 2,000 169,690
*Stumpf (Otto) AG.................................... 2,275 34,611
Stuttgarter Hofbraeu AG.............................. 1,800 484,494
Sued-Chemie AG....................................... 2,186 1,112,826
Sueddeutsche Bodencreditbank AG...................... 3,344 994,004
Tarkett AG........................................... 27,000 630,369
*Terrex Handels AG................................... 1,250 299,883
*Triton-Belco AG, Hamburg............................ 1,186 65,927
*Tucher Braeu AG..................................... 750 38,619
Ueberlandwerk Unterfranken AG........................ 40 7,256
VBH (Vereinigter Baubeschlag-Handel) AG.............. 9,415 166,925
VGT AG............................................... 293 63,435
*VK Muehlen AG....................................... 1,312 120,529
*Varta AG............................................ 5,500 907,548
Vereinigte Deutsche Nickel-Werke AG.................. 1,380 250,322
Verseidag AG......................................... 2,753 257,741
*Voegele (Joseph) AG................................. 750 104,447
*Vogtlaendische Baumwollspinnerei AG................. 559 29,438
*Volksfuersorge Holding AG........................... 650 275,746
Vossloh AG........................................... 7,950 351,214
WCM Beteiligungs und Grundbesitz AG.................. 51,950 732,589
WMF (Wuerttembergische Metallwarenfabrik AG)......... 3,033 559,037
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Walter AG........................................... 1,350 $ 537,156
Walter Bau AG........................................ 100 15,799
*Wanderer-Werke AG................................... 1,437 161,442
Weinig (Michael) AG.................................. 2,500 833,821
Weru AG.............................................. 150 61,439
Westag & Getalit..................................... 700 141,311
Wickrather Bauelemente AG............................ 465 51,697
*Wolldeckenfabrik Weil der Stadt AG.................. 80 1,685
Wuerttembergische & Badische Versicherungs AG Series
A/B................................................ 112 207,092
Wuerttembergische Hypothekenbank AG.................. 1,613 764,500
Wuerttembergische Lebensversicherung AG.............. 443 186,635
Wuerzburger Hofbraeu AG.............................. 133 75,489
*Zanders Feinpapiere AG.............................. 4,450 378,862
Zeag Zementwerk Lauffen-Elektrizitaetswerk Heilbronn
AG................................................. 1,942 448,853
------------
TOTAL COMMON STOCKS
(Cost $64,102,626)................................... 74,385,140
------------
PREFERRED STOCKS -- (0.0%)
Westag & Getalit (Cost $38,374)...................... 260 50,965
------------
RIGHTS/WARRANTS -- (0.0%)
*Berliner Elektro Holding AG Rights 06/06/97 (Cost
$0)................................................ 7,800 9,174
------------
TOTAL -- GERMANY
(Cost $64,141,000)................................... 74,445,279
------------
SWITZERLAND -- (10.6%)
COMMON STOCKS -- (10.6%)
*AFG Arbonia Foster Holding AG, Arbon................ 522 300,764
*Accumulatoren-Fabrik Oerlikon, Zuerich.............. 30 19,724
Afipa SA, Vevey...................................... 20 3,323
Afipa SA, Vevey Series A............................. 80 14,563
Aletsch AG, Moerel................................... 50 117,533
*Ascom Holding AG, Bern.............................. 907 1,102,250
*Attisholz Holding AG, Attisholz..................... 1,079 459,214
BHB Beteiligungs und Finanzgesellschaft.............. 150 22,269
BKW FMB Energie AG, Bern............................. 600 678,685
Bank Sarasin & Cie Series B, Basel................... 274 179,180
Banque Cantonale de Geneve........................... 840 195,970
*Banque Cantonale du Jura............................ 450 79,533
Banque Privee Edmond de Rothschild SA, Geneve........ 120 424,602
Basellandschaftliche Kantonalbank.................... 500 133,616
Basler Kantonalbank (Participating).................. 500 137,151
Bobst SA, Prilly..................................... 230 382,114
Bobst SA, Prilly (Namen)............................. 180 146,341
Bossard Holding AG, Zug.............................. 635 312,001
Bucher Holding AG, Niederweningen.................... 671 673,609
CKW (Centralschweizerische Kraftwerke), Luzern....... 670 606,292
CKW (Centralschweizerische Kraftwerke), Luzern
(Participating).................................... 1,500 130,435
Calida Holding AG, Oberkirch......................... 99 97,285
Canon (Schweiz) AG, Dietlikon........................ 3,706 225,321
</TABLE>
174
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Carlo Gavazzi Holding AG, Baar Series B.............. 83 $ 62,199
Chocoladefabriken Lindt & Spruengli AG, Kilchberg.... 16 304,277
Chocoladefabriken Lindt & Spruengli AG, Kilchberg
(Participating).................................... 74 130,788
Coop Bank, Basel..................................... 941 578,770
Crossair AG fuer Europaeischen Regionalluffverkehr... 235 76,257
Crossair AG fuer Europaeischen Regionalluftverkehr,
Basel.............................................. 192 124,878
Crossair AG fuer Europaeischen Regionalluftverkehr,
Basel (Genusschen)................................. 330 41,994
Daetwyler Holding AG, Atldorf........................ 388 718,671
Danzas Holding AG, Basel............................. 90 89,268
Danzas Holding AG, Basel (Participating)............. 1,502 294,135
*Distefora Holding SA, Jegenstorf.................... 4,840 57,827
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG,
Laufenberg......................................... 8,400 1,935,949
ESEC Holding SA, Cham................................ 65 199,894
Edipresse SA, Lausanne............................... 432 106,893
Edipresse SA, Lausanne (Nominal)..................... 1,310 60,198
Eichhof Holding AG, Luzern........................... 42 106,893
Eichhof Holding AG, Luzern (Namen)................... 5 11,665
Eisenbahngesellschaft Brig-Visp-Zermatt.............. 370 74,811
Energie Electrique du Simplon SA Simplon Village..... 70 56,911
*Escor AG, Duedingen................................. 496 8,100
*Feldschloesschen-Huerlimann Holding AG,
Rheinfelden........................................ 1,462 410,332
Feldschloesschen-Huerlimann Holding AG, Rheinfelden
(Participating).................................... 350 34,889
Financiere Michelin, Granges-Paccot.................. 637 324,242
*Financiere Tradition, Lausanne...................... 50 30,753
Fischer (Georg) AG, Schaffhausen..................... 1,202 1,716,536
Fischer (Georg) AG, Schaffhausen (Namen)............. 400 107,458
Forbo Holding AG, Eglisau............................ 1,100 458,819
Fotolabo SA, Ropraz.................................. 1,200 390,244
Fuchs Petrolub AG, Frauenfeld........................ 2,001 674,780
*Galenica Holding AG, Bern
Series B........................................... 405 176,660
Generale d'Affichage, Geneve......................... 290 114,811
*Generali (Switzerland) Holdings, Adliswil........... 1,670 311,686
Golay-Buchel Holding SA, Lausanne.................... 40 29,975
Gornergrat Monte Rasa-Bahnen Zermatt................. 70 90,067
Gurit-Heberlein AG, Wattwil SG....................... 310 964,298
HPI Holding SA, Yverdon-les-Bains.................... 200 35,348
Hero, Lenzburg....................................... 660 354,613
Hero, Lenzburg (Namen)............................... 400 50,901
Hilti AG, Schaan (Participating)..................... 600 402,969
*Industrieholding Cham AG, Cham...................... 216 149,650
Jelmoli Holding AG, Zuerich.......................... 1,771 1,089,268
Jelmoli Holding AG, Zuerich (Namen).................. 2,835 349,740
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Kardex AG, Zuerich................................... 630 $ 202,651
Kardex AG, Zuerich (Participating)................... 610 188,455
Keramik Holding AG Laufen, Laufen.................... 600 326,617
Kraftwerk Laufenburg, Laufenburg..................... 8,475 1,569,777
Kuehne & Nagel International AG, Schindellegi........ 162 95,058
Kuoni Reisen Holding AG, Zuerich..................... 120 398,727
Lem Holding SA, Plan-les-Ovates...................... 270 60,509
Loeb Holding AG, Bern (Participating)................ 620 92,485
Logitech International SA, Apples.................... 4,805 828,858
*Maag Holding AG, Zuerich............................ 820 155,942
Magazine Zum Globus, Zuerich......................... 400 231,884
Magazine Zum Globus, Zuerich (Participating)......... 396 202,969
*Mikron Holding AG, Biel............................. 1,224 212,004
Moevenpick-Holding, Zuerich.......................... 1,320 401,273
Moevenpick-Holding, Zuerich (Participating).......... 443 130,911
Motor-Columbus AG, Baden............................. 930 1,512,195
*Netstal-Maschinen AG, Nafaels....................... 2 805
Nokia-Maillefer Holding SA........................... 277 112,602
*Omnium Geneve SA, Geneve............................ 110 6,377
Orell Fuessli Graphische Betriebe AG, Zuerich........ 240 190,032
Oz Holding, Zuerich.................................. 440 219,300
*Parco Industriale e Immobiliare SA, Giornico........ 600 942
Phoenix Mecano AG, Stein am Rhein.................... 2,749 1,467,299
Phonak Holding AG Series B........................... 230 178,049
Porst Holding AG, Jegenstorf......................... 1,844 273,765
Prodega AG, Moosseedoff (Participating).............. 400 158,360
Publicitas Holding SA, Lausanne...................... 2,199 438,401
Rieter Holding AG, Winterthur........................ 980 318,699
SIG (Schweizerische Industrie Gesellschaft Holding
AG), Neuhausen am Rheinfall (Namen)................ 140 204,878
SIG (Schweizerische Industrie Gesellschaft Holding
AG), Neuhausen am Rheinfall........................ 112 336,515
Sarna Kunststoff Holding AG, Sarnen.................. 176 180,417
*Saurer AG, Arbon.................................... 660 387,275
Schweizerhall Holding AG, Basel...................... 140 123,719
Schweizerische National Versicherungs Gesellschaft,
Basel.............................................. 132 285,557
Siegfried AG, Zofingen............................... 1,066 1,176,406
*Sihl Zuercher Papierfabriek an der Sihl, Zuerich.... 10 6,645
Sika Finanz AG, Baar................................. 1,550 449,275
Sika Finanz AG, Baar (Namen)......................... 1,500 71,580
Sopracenerina........................................ 2,295 212,545
*Suedelektra Holding AG, Zug......................... 970 857,193
*Swisslog Holding AG, Aarau.......................... 500 176,741
*Tege SA, Montreux................................... 900 138,706
*UMS Schweizerische Metallwerke Holding AG, Bern..... 2,560 211,750
Unigestion Holding, Geneve........................... 2,891 138,981
Usego Hofer Curti AG, Volketswil..................... 2,040 213,446
</TABLE>
175
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Vaudoise Assurances Holding, Lausanne................ 45 $ 95,917
Villars Holding SA, Fribourg......................... 150 17,497
*Von Moos Holding AG, Luzern......................... 7,000 78,933
*Von Roll Holding AG, Gerlafingen.................... 32,024 638,442
Vontobel Holding AG, Zuerich......................... 286 186,016
*WMH Walter Meier Holding AG, Staefa................. 50 30,117
Zehnder Holding AG................................... 193 84,050
Zellweger Luwa AG, Uster............................. 804 613,871
*Zschokke Holding SA, Geneve......................... 230 60,976
*Zueblin Holding AG, Zuerich......................... 700 34,641
Zuercher Ziegeleien Holding, Zuerich................. 1,415 740,262
Zuger Kantonalbank................................... 500 615,058
------------
TOTAL -- SWITZERLAND
(Cost $28,738,959)................................... 38,092,547
------------
NETHERLANDS -- (9.5%)
COMMON STOCKS -- (9.5%)
A.I.R. Holdings NV................................... 1,356 40,298
ACF Holding NV (Certificate)......................... 15,757 242,352
Aalberts Industries NV............................... 24,350 641,124
Ahrend NV............................................ 23,672 1,499,556
Atag Holding NV...................................... 4,397 246,443
Athlon Groep NV...................................... 5,350 287,305
Athlon Groep NV (Certificate)........................ 3,500 186,131
Bam Groep NV......................................... 5,015 309,842
Batenburg Beheer NV.................................. 1,000 143,639
Beers NV............................................. 16,625 572,080
Begemann Groep NV.................................... 13,451 203,378
Bijenkorf Beheer KBB NV, Amsterdam................... 1,021 74,206
Boer Winkelbedrijven NV.............................. 12,387 1,038,493
Boskalis Westminster NV.............................. 46,207 973,286
*Braat Beheer NV..................................... 3,880 28,321
Cindu International NV............................... 1,750 137,774
Content Beheer....................................... 14,750 602,920
Crown Van Gelder NV.................................. 2,400 217,727
Delft Instruments NV................................. 12,808 257,095
Econosto NV.......................................... 16,232 308,899
Eriks Holdings NV.................................... 9,000 619,395
Flexovit International NV............................ 15,159 161,232
GTI Holding NV....................................... 4,507 573,362
Gamma Holding NV..................................... 18,338 1,027,808
Geveke NV............................................ 11,398 538,404
Goudsmit NV Voorheen Eduard.......................... 2,066 282,217
Grand Hotel Krasnapopski NV.......................... 323 91,360
Grolsche NV.......................................... 32,100 1,002,497
Hoek's (W.A.) Machine & Zuurstoffafabriek NV......... 14,850 1,409,124
Hollandia Industriele Maatschappij NV................ 500 18,509
Hollandsche Beton Groep NV........................... 5,047 1,163,073
Internatio-Mueller NV................................ 62,728 2,021,163
Kas-Associatie NV.................................... 7,830 513,563
Kempen & Co. NV...................................... 22,200 678,269
Kondor Wessels Groep NV.............................. 1,000 51,199
Koninklijke Frans Maas Groep NV...................... 14,215 474,327
Koninklijke Ten Cate NV.............................. 12,373 676,064
*Koppelpoort Holding NV.............................. 250 38,452
Landre & Glinderman NV............................... 2,113 94,523
MacIntosh NV......................................... 19,733 415,648
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Multihouse NV....................................... 20,000 $ 9,385
NBM-Amstelland NV.................................... 47,736 1,241,932
NKF Holding NV....................................... 19,313 511,523
Nagron Nationaal Grondbezit NV....................... 3,931 421,179
Nederlandsche Apparatenfabriek Nedap................. 4,250 436,522
Nedlloyd Groep NV, Rotterdam......................... 22,900 562,351
*Norit NV............................................ 30,731 520,729
Otra NV.............................................. 23,000 382,534
Pakhoed NV........................................... 17,678 599,098
Polynorm NV.......................................... 3,431 315,731
Reesink NV........................................... 2,050 132,534
Roto Smeets de Boer NV............................... 1,000 49,791
Rubber Cultuur Maatschappij Amsterdam NV............. 40,800 64,880
Samas-Groep NV, Zaandam.............................. 11,576 440,588
Schuitema NV, Amersfoort............................. 300 680,396
Schuttersveld Holding................................ 11,354 517,974
Smit Internationale NV............................... 10,790 480,993
Sphinx NV............................................ 22,968 241,894
*Textielgroep Twenthe NV............................. 1,000 20,334
*Tulip Computers NV.................................. 11,467 83,701
Twentsche Kabel Holding NV........................... 18,270 966,843
*Ubbink NV........................................... 1,500 39,025
*Van der Giessen de Noord............................ 4,433 129,431
Van der Moolen Holding NV............................ 6,756 433,258
*Van Dorp Groep NV................................... 3,261 42,675
Volker Stevin NV..................................... 20,385 2,354,159
*Vredestein NV....................................... 20,514 251,345
Wegener NV........................................... 20,403 2,307,305
------------
TOTAL COMMON STOCKS
(Cost $16,966,629)................................... 34,099,168
------------
RIGHTS/WARRANTS -- (0.0%)
*A.I.R. Holdings NV Rights 07/01/97.................. 12 6
*Aalberts Industries NV Rights 07/17/97.............. 24,350 0
*Boer Winkelbedrijven NV Rights 06/06/97............. 12,387 0
*Flexovit International NV Rights 06/06/97........... 12 4
*Koninklijke Frans Maas Groep NV Rights 06/19/97..... 14,215 0
*Landre & Glinderman NV Rights....................... 7 11
*NBM-Amstelland NV Rights 07/01/97................... 47,736 0
*Van der Moolen Holding NV Warrants 03/23/00......... 675 12,951
------------
TOTAL RIGHTS/WARRANTS
(Cost $3,330)........................................ 12,972
------------
TOTAL -- NETHERLANDS
(Cost $16,969,959)................................... 34,112,140
------------
SPAIN -- (9.0%)
COMMON STOCKS -- (9.0%)
*AGF Union y Fenix Seguros y Reaseguros SA........... 26,550 280,923
*Ahorro Familiar SA.................................. 6,051 40,591
Amper SA............................................. 34,400 856,432
*Asturiana del Zinc SA............................... 33,100 535,643
Azkoyen SA........................................... 4,200 528,340
</TABLE>
176
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Azkoyen SA Em 97.................................... 1,050 $ 130,270
*BAMI SA (Inmobiliara de Construcciones y
Terrenos).......................................... 23,634 55,244
Banco de Alicante.................................... 6,100 133,095
Banco de Andalucia................................... 4,303 693,360
Banco de Castilla SA................................. 2,100 1,379,668
Banco de Credito Balear SA........................... 9,850 593,997
Banco de Galicia SA.................................. 7,550 898,064
Banco de Valencia.................................... 51,350 1,029,841
Banco de Vasconia SA................................. 8,900 646,881
*Banco de Vitoria SA................................. 27,700 399,409
Banco Guipuzcoano SA................................. 4,817 182,220
Banco Pastor SA...................................... 18,100 1,126,556
Banco Zaragozano SA.................................. 45,598 1,119,453
Bodegas y Bebidas SA................................. 12,876 433,652
CAF (Construcciones y Auxiliar de Ferrocarriles
SA)................................................ 9,500 378,423
*CAI (Corporacion Alimentaria Iberica SA)............ 11,200 0
*CARTEMAR (Cartera de Valores del Mar SA)............ 4,016 3,611
*CINSA (Compania de Inversiones SA).................. 1,400 7,746
*Citroen Hispania SA................................. 650 32,590
Conservera Campofrio SA.............................. 16,500 1,056,639
Construcciones Lain SA............................... 127,600 231,198
*Coporacion Financiera Reunida SA.................... 60,085 243,082
Cubiertas y Mzov SA.................................. 10,395 1,125,047
*Dimetal SA.......................................... 3,500 5,809
ERZ (Electricas Reunidas de Zaragoza)................ 54,937 2,070,585
ESSA (Estacionamientos Subterraneos SA).............. 8,875 177,377
Ebro Agricolas Compania de Alimentacion SA........... 89,900 1,722,151
*El Aguila SA........................................ 39,200 193,831
Elecnor SA........................................... 8,100 217,064
Empresa Nacional de Celulosa SA...................... 8,200 120,505
Energia e Industrias Aragonesas SA................... 12,340 78,512
*Ercros SA........................................... 33,200 25,485
*Erpo SA............................................. 3,289 1,569
*Espanola del Zinc SA................................ 6,500 76,418
*Estacionamientos Urbanos SA......................... 4,200 136,515
Europistas Concesionaria Espanola SA................. 119,698 964,372
*Filo SA............................................. 61,297 198,813
Financiera y Minera Series A/C....................... 5,200 61,314
GESA (Gas y Electricidad SA)......................... 17,000 946,404
General Azucarera de Espana SA....................... 15,850 783,731
*Global Steel Wire SA................................ 7,083 18,859
Grupo Anaya SA....................................... 16,500 319,502
*Grupo Hispano-Suiza SA.............................. 71,400 33,083
*Huarte SA........................................... 42,500 201,331
Hullas del Coto Cortes............................... 8,666 200,768
Iberica de Autopistas SA Concesionaria de Estado
Iberpistas......................................... 45,070 907,010
Inbesos SA........................................... 1,610 16,868
Indo Internacional SA................................ 5,600 207,967
*Inmobiliaria Alcazar SA............................. 5,126 38,108
Inmobiliaria del Sur SA.............................. 1,380 53,921
*Inmobiliaria Urbis SA............................... 37,291 277,233
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Inmobiliaria Zabalburu SA........................... 5,800 $ 116,321
Koipe SA............................................. 8,400 615,187
Koxka C.E. SA........................................ 3,000 150,415
*LSB (La Seda de Barcelona SA) Series B.............. 25,200 100,207
Lingotes Especiales SA............................... 4,140 55,830
Marco Iberica Distribucion de Ediciones Midesa....... 5,600 72,614
*Max Center Leisa SA................................. 3,000 4,357
*Nicolas Correa SA................................... 1,575 65,788
*Nueva Montana Quijano SA Series B................... 100,500 83,402
OCP Construcciones SA................................ 14,930 722,752
Papelera de Navarra SA............................... 6,000 78,008
*Pascual Hermanos SA................................. 7,610 3,859
*Pescanova SA........................................ 23,252 315,976
Portland Valderrivas SA.............................. 8,075 559,554
*Prim SA............................................. 3,100 12,006
Prosegur Cia de Seguridad SA......................... 7,000 91,252
*Radiotronica SA..................................... 2,137 40,420
*Santana Motor SA Series A........................... 22,100 22,925
Sarrio SA............................................ 105,100 375,046
*Sindibank (Sindicato de Banqueros de Barcelona)..... 10,540 178,582
*#Sotogrande SA...................................... 69,786 193,046
Tableros de Fibras SA Series B....................... 21,876 266,264
*#Tavex Algodonera SA................................ 8,800 106,196
*Transportes Ferroviarios Especiales Tranfesa........ 24,000 224,066
Uniland Cementera SA................................. 5,750 268,413
Unipapel SA.......................................... 13,484 261,101
Uralita SA........................................... 122,725 1,188,209
#Vidrala SA.......................................... 20,680 869,533
Vidriera Leonesa SA, Vilesa.......................... 6,959 171,809
Viscofan Industria Navarra de Envolturas Celulosicas
SA................................................. 46,425 939,095
*Zeltia SA........................................... 3,664 102,622
------------
TOTAL COMMON STOCKS
(Cost $26,918,717)................................... 32,451,935
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $24,475)....................... 24,453
------------
TOTAL -- SPAIN
(Cost $26,943,192)................................... 32,476,388
------------
ITALY -- (8.4%)
COMMON STOCKS -- (8.4%)
Acquedotto de Ferrari Galliera SpA................... 54,000 150,151
Aedes SpA (Sta Ligure Lombarda per Imprese &
Costruzioni)....................................... 42,000 195,879
Allianz Subalpina SpA................................ 55,125 406,791
*Ansaldo Trasporti SpA............................... 199,533 186,116
*#Attivita Immobiliari............................... 181,400 195,975
*Auschem SpA (In Liquidation)........................ 82,000 0
Banca Agricola Milanese.............................. 48,000 287,620
*Banca Nazionale dell'Agricoltura SpA................ 170,000 98,253
Banco di Chiavari e della Riviera Ligure SpA,
Chiavari........................................... 175,000 263,445
Bassetti SpA......................................... 67,500 249,454
*Bastogi SpA......................................... 1,683,000 52,659
*Binda SpA........................................... 1,299,375 17,643
</TABLE>
177
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Boero (Bartolomeo) SpA.............................. 8,925 $ 34,248
Bonifica dei Terreni Ferraresi e per Imprese Agricole
Roma............................................... 11,600 72,590
*Brioschi Finanziaria SpA, Milano.................... 200,000 19,482
CALP (Cristalleria Artistica la Piana SpA)........... 48,000 153,586
CAMFIN (Cam Finanziaria)............................. 20,500 32,918
#CEMENTIR (Cementarie del Tirreno SpA), Roma......... 661,563 377,668
*CIGA SpA (Compagnia Italiana Grandi Alberghi)....... 76,890 35,542
CMI SpA.............................................. 36,428 80,645
Caffaro SpA Sta per l'Industria Chimica ed
Elettrochimica..................................... 297,550 239,775
*Calcestruzzo ed il Cemento SpA...................... 51,560 86,294
Caltagirone SpA...................................... 343,085 202,744
*Cantoni ITC SpA..................................... 121,000 136,079
Cartiere Burgo SpA................................... 85,000 495,779
#Cementeria di Augusta SpA........................... 105,000 134,822
*Cia Assicuratrice Unipol SpA........................ 182,000 482,425
#Comau SpA........................................... 176,500 567,876
Condotta Acque Potabili SpA, Torino.................. 28,000 66,120
Costa Crociere SpA (Risp)............................ 26,000 38,296
Cucirini SpA......................................... 30,000 22,670
*Dalmine SpA......................................... 3,001,700 646,804
Danieli & C.Officine Meccaniche SpA.................. 93,500 612,698
*Dataconsyst C.G.S. SpA, Monza....................... 220 0
*Del Favero SpA...................................... 86,000 30,462
*Editoriale l'Espresso SpA........................... 55,000 193,843
*Editoriale la Repubblica SpA........................ 152,500 247,580
Ericsson SpA......................................... 61,500 1,029,296
Euromobiliare SpA.................................... 73,500 99,799
*FIAR (Fabbrica Italiana Apparecchiature
Radioelettriche SpA)............................... 22,990 60,125
*FMC (Fabbrica Milanese Condutorri SpA).............. 25,000 11,733
*FONSPA (Credito Fondiaro e Industriale Istituto per
i Finanziamenti a Medio e Lungo Termine SpA)....... 269,000 253,294
#Falck (Acciaierie & Ferriere Lombarde).............. 305,200 1,175,648
*Finarte Casa d'Aste SpA (Milano).................... 56,266 36,406
*Finarte Partecipazioni Pro Arte SpA................. 202,693 126,601
*Fincasa 44 SpA...................................... 150,036 13,286
*Finrex Finanziaria Immobiliaria SpA (In
Liquidation)....................................... 36,000 2,572
*Firs-Italiana de Assicurazioni Compagnia di
Assicurazioni Eriassicurazioni (In Liquidation).... 90,000 0
*Fochi (Filippo) SpA................................. 216,000 29,329
*Fornara Societa Finanziaria e di Participazioni
SpA................................................ 310,000 13,177
*Gabetti Holding SpA................................. 70,000 31,820
*Gerolimich SpA (In Liquidation)..................... 297,400 0
Gewiss SpA........................................... 103,000 1,663,056
*Gottardo Ruffoni SpA................................ 279,832 17,082
*Grassetto SpA....................................... 279,125 71,456
ITALJOLLY (Cia Italiana dei Jolly Hotels SpA)........ 48,500 227,339
Immobiliare Metanopoli SpA........................... 1,062,500 659,240
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Impregilo SpA...................................... 532,000 $ 387,560
Industria Macchine Automatique SpA................... 23,000 96,337
Industrie Zignago S. Margherita SpA.................. 61,000 396,127
*Linificio & Canapificio Nazionale SpA............... 118,000 53,291
#Maffei SpA.......................................... 75,000 97,408
#Magneti Marelli SpA................................. 431,666 688,056
Magona d'Italia SpA, Firenze......................... 40,000 199,823
*Mandelli SpA........................................ 41,000 50,805
#Manifattura Lane Gaetano Marzotto & Figli SpA....... 144,000 1,187,178
Marangoni SpA, Rovereto.............................. 50,303 126,879
Merloni Elettrodomestici SpA......................... 210,000 576,480
*Milano Assicurazioni SpA............................ 52,000 113,891
*Monrif SpA.......................................... 210,000 71,285
#Montefibre SpA, Milano.............................. 275,267 148,204
*NAI SpA (Navigazione Alta Italia)................... 139,760 24,340
*Necchi SpA.......................................... 131,400 48,483
*Perlier SpA......................................... 120,700 20,308
Pininfarina SpA...................................... 64,570 996,815
*Poligrafici Editoriale SpA.......................... 226,000 366,905
*Premafin Finanziaria SpA............................ 1,025,000 296,505
Previdente Cia Italiana Assicurazione SpA............ 149,590 684,410
#Ratti SpA........................................... 155,900 312,233
Recordati Industria Chimica E Farmaceutica SpA....... 34,000 236,850
*Rejna SpA, Milano................................... 19,000 179,580
Risanamento di Napoli SpA............................ 26,700 274,266
Riva Finanziaria SpA................................. 47,600 168,605
*Rodriquez SpA....................................... 41,250 23,427
SAES Getters SpA..................................... 14,750 202,019
SISA (Societa Imballaggi Speciali Asti SpA).......... 65,000 45,280
*SMI STA Metallurgica Italiana SpA................... 565,280 226,926
*SNIA Fibre SpA...................................... 328,000 103,789
SOPAF (Societa Partecipazioni Finanziarie SpA)....... 85,000 81,041
*Saffa SpA, Milano................................... 100,500 182,145
*#Safilo (Sta Azionaria Fabbrica Italiana Lavorazione
Occhiali SpA)...................................... 50,100 1,079,550
Saiag SpA (Industrie Articoli Gomma)................. 43,000 177,696
#Sasib SpA........................................... 186,000 628,089
*Schiapparelli 1824 SpA.............................. 30,000 1,718
Serfi SpA (Servizi Finanziari)....................... 72,000 381,274
*Simint SpA.......................................... 82,488 467,492
Sogefi SpA........................................... 260,000 583,269
*Sondel Nordelettrica SpA............................ 728,892 1,280,154
#Sorin Biomedica SpA................................. 407,610 1,299,424
*Stayer SpA.......................................... 22,500 17,201
*Stefanel SpA........................................ 190,800 287,231
#Tecnost SpA......................................... 170,000 328,178
Teknecomp SpA........................................ 148,643 75,467
Terme Demaniali di Acqui SpA......................... 39,900 14,274
*Tripcovich (D.) & Co. SpA Navigazione Rimorchi e
Salvataggi Trieste................................. 113,898 24,879
*#UNICEM (Unione Cementi Marchini Emiliane e di
Augusta-Casale).................................... 159,600 1,077,411
</TABLE>
178
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Unione Manifatture SpA (In Liquidation)............. 156,000 $ 0
*Unipar (Unione Nazionale di Participazione SpA) (In
Liquidation)....................................... 539,000 0
Vianini Industria SpA................................ 126,000 54,338
#Vianini Lavori SpA.................................. 191,000 287,532
Vittoria Assicurazioni SpA........................... 59,500 181,777
Zucchi (Vincenzo) SpA................................ 97,000 506,789
------------
TOTAL COMMON STOCKS
(Cost $41,896,555)................................... 30,057,185
------------
RIGHTS/WARRANTS -- (0.0%)
*Unipol SpA Warrants
(Cost $76,471)..................................... 52,000 13,906
------------
TOTAL -- ITALY
(Cost $41,973,026)................................... 30,071,091
------------
SWEDEN -- (6.5%)
COMMON STOCKS -- (6.5%)
Acrimo AB Series B................................... 2,800 50,630
Active I Malmoe AB Series A.......................... 4,160 75,758
Active I Malmoe AB Series B.......................... 4,160 76,564
*#Allgon AB Series B................................. 65,400 971,392
Alma Industri & Handel AB Series B................... 5,200 123,578
*Anders Dioes AB..................................... 28,800 148,789
#Angpannefoereningen AB Series B..................... 10,800 181,337
Argonaut AB Series A................................. 81,000 152,741
*Argonaut AB Series B................................ 171,500 332,257
B & N Bylock & Nordsjoefrakt AB Series B............. 41,800 485,890
BPA AB Series A...................................... 74,000 205,489
BPA AB Series B...................................... 56,700 153,788
*#BTL AB Series B.................................... 136,700 473,175
Beijer AB Series B................................... 11,700 169,248
Benima Ferator Engineering AB........................ 13,400 63,690
Berg (C.F.) & Co. AB Series B........................ 6,200 30,029
#Bergman & Beving AB Series B........................ 28,000 980,045
*Bilspedition AB Series A............................ 88,300 304,502
Bongs Fabriker AB Series B........................... 6,000 44,947
Boras Waefveri AB Series B........................... 8,600 69,977
Carbo AB............................................. 11,100 324,004
Catena AB Series A................................... 66,700 865,786
#Celsius Industrier AB Series B...................... 60,100 1,164,353
*#Concordia Maritime AB Series B..................... 37,300 98,760
Eldon AB Series B.................................... 10,800 304,088
*Enator AB........................................... 60,100 1,172,115
Enea Data AB Series B................................ 2,000 44,559
Esselte AB Series A.................................. 40,100 916,719
Esselte AB Series B.................................. 34,500 815,434
*Evidentia Fastigheter AB Series A................... 16,120 81,615
*Evidentia Fastigheter AB Series B................... 1,000 4,921
FFNS Gruppen AB Series B............................. 13,000 109,138
*Fabege Fastigh AB Birger Gustavsson Series B........ 24,338 229,470
*Fastighits AB Celtica............................... 5,800 27,343
Finnveden AB Series B................................ 18,100 360,013
Forcenergy AB Series B............................... 32,100 389,719
*#Frontline AB....................................... 90,800 321,333
#Garphyttan Industrier AB............................ 39,000 476,009
Getinge Industrier AB Series B....................... 24,036 440,828
#Geveko AB Series B.................................. 8,300 100,233
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Gullspangs Kraft AB Series B......................... 7,500 $ 113,336
Hexagon AB Series B.................................. 3,572 100,113
*#ICB Shipping AB Series B........................... 61,500 695,027
JP Bank Series A..................................... 14,000 70,520
JP Bank Series B..................................... 8,000 40,297
Jacobson and Widmark AB.............................. 13,400 64,036
Kjessler & Mannerstrale AB........................... 8,500 51,598
Kloevern Foervaltnings AB Series B................... 89,460 246,109
Lindex AB............................................ 16,100 376,377
Linjebuss AB Series A................................ 30,700 273,594
Marieberg Tidnings AB Series A....................... 51,900 1,307,136
NCC AB Series A...................................... 3,000 32,160
NCC AB Series B...................................... 54,400 590,197
#Nobelpharma AB...................................... 45,460 525,498
Nolato AB Series B................................... 15,300 282,583
*#Nordstroem & Thulin AB Series B.................... 162,800 399,509
OEM International AB Series B........................ 3,200 49,183
OM Gruppen AB........................................ 9,700 285,644
*Piren AB............................................ 13,487 88,839
Platzer Bygg AB Series B............................. 36,000 79,044
Rottneros Bruk AB.................................... 366,600 411,937
*Sandblom & Stohne AB Series B....................... 8,400 82,454
Scandiaconsult AB.................................... 14,300 86,807
Scribona AB Series A................................. 40,100 502,383
#Scribona AB Series B................................ 31,700 397,146
*Sifab Fastignets AB................................. 21,600 119,961
*Skandigen AB, Series A.............................. 13,300 59,264
*Solitair Kapital AB................................. 90,000 79,044
*Spendrups Bryggeri AB Series B...................... 19,900 143,933
*#Stena Line AB Series B............................. 128,000 619,955
Svedala Industri..................................... 60,000 1,208,912
Tivox AB Series B.................................... 7,200 13,949
VBB Gruppen AB Series B.............................. 20,900 85,031
Wallenstam Byggnads AB Series B...................... 16,700 110,003
Westergyllen AB Series B............................. 4,300 86,083
Zeteco AB Series B................................... 5,200 228,350
------------
TOTAL COMMON STOCKS
(Cost $17,584,441)................................... 23,246,278
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $13,434)........................ 13,185
------------
TOTAL -- SWEDEN
(Cost $17,597,875)................................... 23,259,463
------------
BELGIUM -- (4.8%)
COMMON STOCKS -- (4.8%)
*Abfin SA............................................ 2,560 9,148
Afrifina............................................. 3,480 424,390
BMT NV............................................... 2,040 356,971
Banque Belgo-Zairoise Belgolaise SA.................. 1,155 463,507
Banque Nationale de Belgique......................... 810 1,212,932
Belge des Betons..................................... 425 190,442
Belgo Katanga NPV.................................... 408 255,434
Belgo Katanga NPV VVPR............................... 136 84,855
Belvuco NV........................................... 531 114,453
Bernheim-Comofi SA................................... 5,295 262,047
CFE (Compagnie Francois d'Entreprises)............... 2,080 558,049
CMB (Cie Martime Belge).............................. 500 34,316
Carrieres Unies Porphyre............................. 20 20,703
</TABLE>
179
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Chanic SA........................................... 175 $ 3,871
Chimique et Metallurgique Campine, Beerse............ 370 55,091
City Hotels SA....................................... 1,290 172,683
Cofinimmo SA......................................... 4,330 462,964
Cokeries & Houilleres d'Anderlues.................... 100 8,281
*Commerciale de Brasserie SA COBRHA.................. 115 41,747
Credit General SA de Banque, Bruxelles............... 3,459 784,799
Creyf's SA........................................... 1,500 117,839
Creyf's SA V.V.P.R................................... 300 8
Deceuninck Plastics Industries SA.................... 7,370 1,425,508
*Electrorail SA (Reunies d'Electricite & de
Transports)........................................ 11,416 15,541
Engrais Rosier SA.................................... 655 125,947
Fabrique de Fer de Charleroi......................... 77 214,447
Financiere d'Obourg.................................. 440 2,299,830
Floridienne NV....................................... 2,033 99,747
Ford Motor Co. SA Belgium............................ 1,110 190,457
*Forges de Clabecq SA................................ 3,460 294
*Franki NV (Cie Internationale des Pieux Armes
Frankignoul SA).................................... 5,875 76,312
Glaces de Charleroi.................................. 70 183,636
Glaverbel SA......................................... 2,900 389,024
*Immobel (Cie Immobiliere de Belgique SA)............ 10,600 793,647
*Intercomfina SA..................................... 11,000 1,248
Mecaniver SA, Bruxelles.............................. 128 48,100
Metiers Automatiques Picanol......................... 403 231,731
*PCB SA Bruxelles.................................... 6,504 68,250
*Papeteries de Catala SA............................. 315 38,370
Plantations Nord-Sumatra SA.......................... 650 80,190
*Recticel SA......................................... 8,450 113,833
*Roton (Compagnie Industrielle et Financiere
Roton)............................................. 30 1,021
SABCA (Sa Belge de Constructions Aeronautiques)...... 4,280 200,284
*SCF SA.............................................. 2,850 15,357
SIPEF (Societe Internationale de Plantations & de
Finance), Anvers................................... 1,175 258,260
SIPEF (Societe Internationale de Plantations & de
Finance), Anvers (Precompte Reduit)................ 370 81,744
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sa d'Ieteren......................................... 15,000 $ 2,756,665
*Sa d'Ieteren V.V.P.R................................ 3,150 357
Sait Radioholland.................................... 6,088 191,308
Sait Radioholland (Precompte Reduit)................. 152 4,569
Sapec SA............................................. 3,560 153,971
Sapec SA (Taux Reduit)............................... 75 3,191
Sidro................................................ 4,040 315,088
Spadel NPV........................................... 325 359,472
Surongo SA........................................... 20 2,904
*Telinfo SA.......................................... 5,790 316,102
Ter Beke NV.......................................... 2,212 194,475
*UNIBRA.............................................. 1,600 129,325
Uco Textiles NV...................................... 2,124 240,351
------------
TOTAL -- BELGIUM
(Cost $10,091,378)................................... 17,255,086
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.0%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
6.00%, 11/30/98)
(Cost $14,353,000)................................. $ 14,353 14,353,000
------------
TOTAL INVESTMENTS -- (99.1%)
(Cost $303,145,823)++................................ 356,301,459
------------
OTHER ASSETS AND LIABILITIES -- (0.9%)
Other Assets......................................... 3,402,615
Payable for Fund Shares Redeemed..................... (187,055)
Other Liabilities.................................... (97,495)
------------
3,118,065
------------
NET ASSETS -- 100.0%................................... $359,419,524
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
180
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
JAPAN -- (31.4%)
COMMON STOCKS -- (31.4%)
Achilles Corp........................................ 207,000 $ 577,964
Aica Kogyo Co., Ltd.................................. 47,000 250,344
Aichi Bank, Ltd...................................... 10,500 856,959
#Aichi Machine Industry Co., Ltd..................... 87,000 519,459
Aichi Steel Works, Ltd............................... 194,000 793,333
Aida Engineering, Ltd................................ 84,000 600,412
Aisin Seiki Co., Ltd................................. 137,000 2,118,557
Alps Electric Co., Ltd............................... 70,000 980,241
Amada Co., Ltd....................................... 304,000 2,572,509
Amada Metrecs Co., Ltd............................... 71,000 713,660
Amada Sonoike Co., Ltd............................... 81,000 361,160
Amano Corp........................................... 63,000 671,134
Ando Corp............................................ 6,000 17,062
*Aoki Corp........................................... 361,000 434,192
Aoki International Co., Ltd.......................... 51,000 955,155
#Aomori Bank, Ltd.................................... 170,000 854,381
Aoyama Trading Co., Ltd.............................. 41,100 1,292,320
Asahi Breweries, Ltd................................. 324,000 4,425,773
Asahi Denka Kogyo KK................................. 67,000 460,481
Asahi Organic Chemicals Industry Co., Ltd............ 96,000 498,969
Asanuma Corp......................................... 59,000 155,103
Ashikaga Bank, Ltd................................... 643,000 2,126,761
*Asics Corp.......................................... 197,000 406,186
Atsugi Nylon Industrial Co., Ltd..................... 279,000 932,397
Awa Bank, Ltd........................................ 189,600 1,022,928
Bandai Co., Ltd...................................... 47,000 1,041,753
#Bank of Ikeda, Ltd.................................. 13,000 658,935
Bank of Iwate, Ltd................................... 18,590 964,636
Bank of Kinki, Ltd................................... 205,000 1,003,866
#Bank of Kyoto, Ltd.................................. 347,400 1,805,644
Bank of Nagoya, Ltd.................................. 185,000 1,192,010
Bank of Saga, Ltd.................................... 177,000 898,686
Bank of Yokohama, Ltd................................ 190,000 943,471
Best Denki Co., Ltd.................................. 3,000 29,897
Brother Industries, Ltd.............................. 282,000 1,102,320
Bunka Shutter Co., Ltd............................... 70,000 423,368
CMK Corp............................................. 38,000 483,161
CSK Corp............................................. 56,400 1,739,485
Calpis Food Industry Co., Ltd........................ 70,000 420,361
Canon Sales Co., Inc................................. 64,900 1,488,686
#Casio Computer Co., Ltd............................. 264,000 2,077,526
*Central Glass Co., Ltd.............................. 211,000 614,510
Chiba Bank, Ltd...................................... 368,000 1,912,715
#Chiba Kogyo Bank, Ltd............................... 21,000 593,557
Chichibu Onoda Cement Corp........................... 355,000 1,421,220
Chiyoda Corp......................................... 191,000 899,210
*Chiyoda Fire and Marine Insurance Co., Ltd.......... 360,150 1,454,214
Chudenko Corp........................................ 66,000 1,757,732
Chuetsu Pulp and Paper Co., Ltd...................... 106,000 344,227
#Chugoku Bank, Ltd................................... 199,000 3,026,031
Chukyo Coca-Cola Bottling Co., Ltd................... 42,000 375,258
Chukyo Sogo Bank, Ltd................................ 127,000 509,527
#Chuo Trust and Banking Co., Ltd..................... 235,000 1,344,588
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
Citizen Watch Co., Ltd............................... 301,000 $ 2,283,359
Dai Tokyo Fire & Marine Insurance Co., Ltd........... 427,000 2,384,450
Dai-Dan Co., Ltd..................................... 42,000 425,773
Daicel Chemical Industries, Ltd...................... 392,000 1,505,361
#Daido Hoxan, Inc.................................... 124,000 447,423
Daido Steel Co., Ltd................................. 453,000 1,439,948
*Daiei OMC, Inc...................................... 201,000 504,227
Daiichi Pharmaceutical Co., Ltd...................... 33,000 567,010
#Daikyo, Inc......................................... 176,000 625,979
#Daio Paper Corp..................................... 113,750 952,803
Daisan Bank, Ltd..................................... 138,000 675,773
Daishi Bank, Ltd..................................... 324,000 1,550,412
Daito Trust Construction Co., Ltd.................... 161,384 1,788,534
#Daiwa Bank, Ltd..................................... 472,000 1,853,127
*#Daiwa Danchi Co., Ltd.............................. 106,000 419,811
Daiwa House Industry Co., Ltd........................ 320,000 3,766,323
Daiwa Securities Co., Ltd............................ 325,000 2,392,826
*Daiwabo Co., Ltd.................................... 92,000 285,326
Deodeo Corp.......................................... 43,400 913,488
Descente, Ltd........................................ 62,000 295,619
Dowa Fire & Marine Insurance Co., Ltd................ 327,000 1,581,624
Ehime Bank, Ltd...................................... 143,000 723,600
Eighteenth Bank, Ltd................................. 183,000 1,194,845
Ezaki Glico Co., Ltd................................. 138,600 1,155,000
Fuji Denki Reiki Co., Ltd............................ 5,150 36,767
Fuji Fire & Marine Insurance Co., Ltd................ 277,000 966,168
Fuji Oil Co., Ltd.................................... 86,000 576,289
Fuji Photo Film Co., Ltd............................. 489,000 18,946,649
Fujisawa Pharmaceutical Co., Ltd..................... 314,000 2,967,354
Fujita Corp.......................................... 491,000 873,170
Fujitsu, Ltd......................................... 354,000 4,318,557
Fukui Bank, Ltd...................................... 287,000 1,102,139
Fukuoka City Bank, Ltd............................... 240,532 1,012,549
*#Fukutoku Bank, Ltd................................. 27,000 45,232
Fukuyama Transporting Co., Ltd....................... 11,000 74,184
#Furukawa Co., Ltd................................... 88,000 322,818
Fuso Pharmaceutical Industries, Ltd.................. 81,000 396,649
Futaba Corp.......................................... 16,000 690,034
#Futaba Industrial Co., Ltd.......................... 64,000 1,017,182
Gunze, Ltd........................................... 250,000 1,138,316
*Hanshin Electric Railway Co., Ltd................... 141,000 525,722
*Haseko Corp......................................... 390,000 626,546
Heiwado Co., Ltd..................................... 57,000 788,402
Higo Bank, Ltd....................................... 270,000 1,670,103
Hiroshima Bank, Ltd.................................. 542,000 2,421,306
Hiroshima-Sogo Bank, Ltd............................. 136,000 753,608
Hitachi Cable, Ltd................................... 69,000 542,397
Hitachi Koki Co., Ltd................................ 118,000 843,436
#Hitachi Maxell, Ltd................................. 96,000 2,226,804
Hitachi Plant Engineering & Construction Co., Ltd.... 22,000 100,172
#Hitachi Transport System, Ltd....................... 113,000 980,498
Hitachi, Ltd......................................... 2,839,000 30,243,643
Hokkai Can Co., Ltd., Tokyo.......................... 33,000 168,686
</TABLE>
181
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
#Hokkaido Takus Bank................................. 912,000 $ 1,167,423
#Hokuetsu Bank....................................... 218,500 865,365
#Hokuetsu Paper Mills, Ltd........................... 138,000 757,577
Hokuriku Bank, Ltd................................... 699,000 2,360,026
#House Foods Corp.................................... 115,000 1,946,306
Hyakugo Bank, Ltd. (105th Bank)...................... 241,000 1,407,904
#Hyakujishi Bank, Ltd................................ 306,000 1,877,010
Inax Corp............................................ 252,000 1,755,773
Ines Corp............................................ 30,000 458,763
#Intec, Inc.......................................... 36,000 457,732
Itochu Fuel Corp..................................... 109,000 655,498
Itoham Foods, Inc.................................... 233,000 1,315,129
Izumi Co., Ltd....................................... 63,000 882,216
Izumiya Co., Ltd..................................... 113,000 1,776,546
JGC Corp............................................. 184,000 1,011,684
Japan Airport Terminal Co., Ltd...................... 4,000 51,546
Japan Pulp and Paper Co., Ltd........................ 141,000 535,412
*Japan Steel Works, Ltd.............................. 81,000 166,314
Japan Wool Textile Co., Ltd.......................... 42,000 309,948
Joyo Bank, Ltd....................................... 19,000 93,041
Juroku Bank, Ltd..................................... 349,000 1,604,081
Kagawa Bank, Ltd..................................... 72,650 536,137
Kagoshima Bank, Ltd.................................. 219,000 1,337,706
Kajima Corp.......................................... 124,000 693,505
Kamagai Gumi Co., Ltd................................ 713,000 1,163,832
Kamigumi Co., Ltd.................................... 288,000 1,719,588
*Kandenko Co., Ltd................................... 215,000 1,699,313
Kaneka Corp.......................................... 344,000 1,994,845
*Kankaku Securities Co., Ltd......................... 210,000 369,845
Kansai Paint Co., Ltd., Osaka........................ 18,000 72,062
Kanto Auto Works, Ltd., Yokosuka..................... 59,000 354,811
Kanto Natural Gas Development Co., Ltd............... 17,000 97,122
Kasumi Co., Ltd...................................... 44,000 309,966
Katokichi Co., Ltd................................... 56,000 1,034,364
*Kawasho Corp........................................ 90,000 278,351
Keiyo Bank, Ltd...................................... 315,000 1,290,851
Keiyo Co., Ltd....................................... 44,000 374,605
Kikkoman Corp........................................ 192,000 1,270,103
Kinden Corp.......................................... 67,000 892,182
Kinseki, Ltd......................................... 22,000 298,625
Kitano Construction Corp............................. 43,000 169,931
Kitz Corp............................................ 129,000 502,036
Kiyo Bank, Ltd....................................... 296,000 892,577
Koa Fire & Marine Insurance Co., Ltd................. 45,000 235,438
Koito Manufacturing Co., Ltd......................... 146,000 1,125,103
Kokusai Denshin Denwa Co., Ltd....................... 27,600 1,778,351
Kokusai Securities Co., Ltd.......................... 266,000 2,228,093
Komatsu Forklift Co., Ltd............................ 81,000 439,098
Komatsu, Ltd......................................... 970,000 7,333,333
Komori Corp.......................................... 74,000 1,557,560
Konica Corp.......................................... 66,000 403,711
Koyo Seiko Co........................................ 37,000 314,055
Kurabo Industries, Ltd............................... 261,000 672,680
Kureha Chemical Industry Co., Ltd.................... 226,000 978,557
Kurimoto, Ltd........................................ 143,000 1,068,814
Kyudenko Corp........................................ 77,000 631,082
Lintec Corp.......................................... 33,000 552,835
#Long Term Credit Bank of Japan, Ltd................. 1,324,000 4,322,337
Maeda Corp........................................... 199,000 1,102,706
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
Maeda Road Construction Co., Ltd..................... 103,000 $ 845,060
Makita Corp.......................................... 164,000 2,409,278
Marubeni Corp........................................ 1,213,000 5,158,376
Marudai Food Co., Ltd................................ 127,000 550,988
Maruetsu, Inc........................................ 144,000 692,783
Maruichi Steel Tube, Ltd............................. 96,000 1,657,732
Marusan Securities Co., Ltd.......................... 30,000 176,546
#Maruzen Showa Unyu Co., Ltd......................... 81,000 327,758
Matsushita Electric Industrial Co., Ltd.............. 1,688,000 31,758,763
Matsushita Electric Works, Ltd....................... 286,000 3,169,588
Matsushita Refrigeration Co.......................... 177,000 1,050,747
#Matsushita Seiko Co., Ltd........................... 133,000 868,385
*Mazda Motor Corp.................................... 794,000 2,380,636
Meija Seika Kaisha, Ltd. Tokyo....................... 148,000 776,873
Michimen Corp........................................ 444,000 1,541,031
Michinoku Bank, Ltd.................................. 158,000 977,320
Mitsubishi Gas Chemical Co., Inc..................... 483,000 1,788,428
Mitsubishi Oil Co., Ltd.............................. 451,000 2,247,251
Mitsubishi Paper Mills, Ltd.......................... 342,000 1,404,433
*Mitsubishi Steel Manufacturing Co., Ltd............. 28,000 99,828
Mitsui Construction Co., Ltd......................... 199,000 350,472
Mitsui Fudosan Co., Ltd.............................. 120,000 1,515,464
#Mitsui Petrochemical Industries, Ltd................ 317,000 1,486,959
Mitsui Trust & Banking Co., Ltd...................... 148,000 1,113,814
Miyazaki Bank, Ltd................................... 10,100 42,604
#Mizuno Corp......................................... 130,000 813,058
Mori Seiki Co., Ltd.................................. 92,000 1,375,258
Musashino Bank, Ltd.................................. 26,000 1,183,849
NHK Spring Co., Ltd.................................. 234,000 972,990
NOK Corp............................................. 149,000 1,035,576
Nagase & Co., Ltd.................................... 154,000 1,043,866
Naigai Co., Ltd...................................... 6,000 21,907
#Nakayama Steel Works, Ltd........................... 117,000 492,526
Nanto Bank, Ltd...................................... 282,000 1,778,247
*New Japan Securities Co., Ltd....................... 453,000 1,183,093
Nichicon Corp........................................ 85,000 1,015,034
Nifco, Inc........................................... 55,000 538,660
Nihon Cement Co., Ltd................................ 346,000 1,700,275
Nihon Kohden Corp.................................... 17,000 104,716
Nihon Nohyaku Co., Ltd............................... 7,000 33,196
Nihon Unisys, Ltd.................................... 18,000 162,371
Nikko Securities Co., Ltd............................ 205,000 1,218,729
Nippon Beet Sugar Manufacturing Co., Ltd............. 147,000 536,727
Nippon Chemi-Con Corp................................ 119,000 600,112
#Nippon Credit Bank, Ltd............................. 1,683,000 3,542,397
Nippon Densetsu Kogyo Co., Ltd....................... 62,000 452,749
Nippon Flour Mills Co., Ltd.......................... 21,000 84,794
Nippon Hodo Co., Ltd................................. 119,000 948,729
Nippon Koei Co., Ltd., Tokyo......................... 40,000 173,540
Nippon Meat Packers, Inc., Osaka..................... 232,000 2,830,241
Nippon Metal Industry Co., Ltd....................... 148,000 418,316
#Nippon Oil Co., Ltd................................. 1,291,000 6,543,729
Nippon Paint Co., Ltd................................ 270,000 872,165
Nippon Road Co., Ltd................................. 90,000 351,804
#Nippon Sanso Corp................................... 297,000 1,178,814
Nippon Sheet Glass Co., Ltd.......................... 461,000 1,706,967
Nippon Shinpan Co., Ltd.............................. 325,000 1,122,423
Nippon Shinyaku Co., Ltd............................. 62,000 532,646
</TABLE>
182
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*Nippon Suisan Kaisha, Ltd........................... 49,000 $ 140,601
Nishi-Nippon Bank, Ltd............................... 23,540 121,340
Nishimatsu Construction Co., Ltd..................... 75,000 496,134
Nissan Shatai Co., Ltd............................... 158,000 787,285
Nissei Sangyo Co., Ltd............................... 89,050 1,055,747
#Nisshin Oil Mills, Ltd.............................. 141,000 835,825
Nisshin Steel Co., Ltd............................... 1,067,000 2,658,333
Nisshinbo Industries, Inc............................ 248,000 2,111,409
Nissin Electric Co., Ltd............................. 104,000 486,942
#Nitto Denko Corp.................................... 116,000 1,893,471
#Noritz Corp......................................... 55,000 623,711
North Pacific Bank, Ltd.............................. 133,000 651,289
Ogaki Kyoritsu Bank, Ltd............................. 50,000 262,887
Oita Bank, Ltd....................................... 133,000 891,237
Okamura Corp......................................... 44,000 289,175
*Okasan Securities Co., Ltd.......................... 20,000 52,062
Okumura Corp......................................... 260,000 1,364,777
Okura Industrial Co., Ltd............................ 6,000 22,783
Olympus Optical Co., Ltd............................. 244,000 2,077,354
#Parco Co., Ltd...................................... 49,000 391,495
Pioneer Electronic................................... 182,000 4,503,093
Q.P. Corp............................................ 146,000 1,248,024
#Rengo Co., Ltd...................................... 192,000 1,078,763
*Renown, Inc......................................... 271,000 623,952
*#Rhythm Watch Co., Ltd.............................. 135,000 417,526
#Royal Co., Ltd...................................... 41,000 803,093
#Ryosan Co., Ltd..................................... 42,000 923,711
Ryoyo Electro Corp................................... 31,000 593,900
Sakai Chemical Industry Co., Ltd..................... 97,000 397,500
#San In Godo Bank, Ltd............................... 186,000 1,385,412
Sanki Engineering Co., Ltd........................... 81,000 800,258
Sankyo Aluminum Industry Co., Ltd.................... 244,000 848,969
*Sankyo Seiki Manufacturing Co., Ltd................. 22,000 137,783
#Sanyo Electric...................................... 2,042,000 8,613,591
Sanyo Shokai, Ltd.................................... 77,000 427,337
Sanyo Special Steel Co., Ltd......................... 178,000 481,701
*#Seino Transportation Co., Ltd...................... 160,000 1,731,959
Seiyo Food Systems, Inc.............................. 73,000 562,552
#Sekisui Jushi Co., Ltd.............................. 44,000 408,247
Seksui House......................................... 749,000 7,335,567
Senko Co., Ltd....................................... 107,000 437,560
Senshukai Co., Ltd................................... 44,000 453,608
#Shiga Bank, Ltd..................................... 250,000 1,204,897
Shimizu Bank, Ltd.................................... 9,400 573,368
Shimizu Corp......................................... 124,000 738,247
#Shinmaywa Industries, Ltd........................... 112,000 790,928
Shinwa Bank, Ltd..................................... 157,000 741,838
Shionogi & Co., Ltd.................................. 354,000 2,630,670
Shiseido Co., Ltd.................................... 220,000 3,213,058
Showa Electric Wire & Cable Co., Ltd., Kawasaki...... 141,000 525,722
Showa Sangyo Co., Ltd................................ 185,000 619,845
Sintokogio, Ltd., Nagoya............................. 56,000 404,124
Snow Brand Milk Products Co., Ltd.................... 340,000 1,688,316
#Stanley Electric Co., Ltd........................... 197,000 1,047,620
Sumisho Computer Systems Corp........................ 20,000 340,206
Sumitomo Corp........................................ 918,000 8,123,196
Sumitomo Metal Industries, Ltd. Osaka................ 177,000 451,624
Sumitomo Osaka Cement Co., Ltd....................... 352,000 1,061,443
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
Sumitomo Realty & Development Co., Ltd............... 398,000 $ 3,128,608
Sumitomo Warehouse Co., Ltd.......................... 67,000 395,438
Sun Wave Corp........................................ 46,000 454,467
#Suruga Bank, Ltd.................................... 256,000 1,539,519
*#TEC Corp........................................... 273,000 1,261,804
#TOC Co., Ltd........................................ 65,000 731,529
Tadano, Ltd.......................................... 22,000 152,526
Taiheiyo Securities Co., Ltd......................... 62,000 133,162
Taikisha, Ltd........................................ 36,000 569,072
#Taisei Corp......................................... 622,000 2,666,478
Taisei Prefab Construction Co., Ltd.................. 56,000 135,189
Taiyo Toyo Sanso Co., Ltd............................ 20,000 64,605
#Takara Standard Co., Ltd............................ 130,000 1,116,838
Takiron Co., Ltd..................................... 54,000 250,515
Tanabe Seiyaku Co., Ltd.............................. 220,000 1,846,564
Teijin, Ltd.......................................... 272,000 1,147,354
Teikoku Oil Co., Ltd................................. 131,000 627,990
Tekken Corp.......................................... 93,000 367,526
Tochigi Bank, Ltd.................................... 69,000 557,216
Toda Corp............................................ 216,000 1,391,753
Toho Bank, Ltd....................................... 236,000 1,297,594
#Tokai Rika Co., Ltd................................. 67,000 502,500
Toko, Inc............................................ 92,000 526,392
#Tokushu Paper Manufacturing Co., Ltd................ 39,000 300,876
Tokuyama Corp........................................ 48,000 253,608
Tokyo Broadcasting System, Inc....................... 70,000 1,274,914
#Tokyo Sowa Bank..................................... 199,000 709,493
Tokyo Steel Manufacturing Co., Ltd................... 163,100 2,017,732
Tokyo Style Co., Ltd................................. 107,000 1,479,983
Tokyo Tatemono Co., Ltd.............................. 223,000 1,174,390
*Tokyo Tekko Co., Ltd................................ 9,000 25,438
#Tokyo Tomin Bank, Ltd............................... 29,500 1,373,625
Tokyu Car Corp....................................... 104,000 358,282
Tokyu Department Store Co., Ltd...................... 289,000 1,119,751
#Tokyu Store Chain Corp.............................. 63,000 506,057
Tomoku Co., Ltd...................................... 81,000 318,711
Tonami Transportation Co., Ltd....................... 91,000 416,692
Toshiba Engineering & Construction Co., Ltd.......... 67,000 302,766
Toshoku, Ltd......................................... 195,000 698,582
Towa Bank, Ltd....................................... 102,000 560,825
Toyo Engineering Corp................................ 172,000 768,385
Toyo Exterior Co., Ltd............................... 18,000 247,423
Toyo Information System Co., Ltd..................... 32,000 415,120
Toyo Ink Manufacturing Co., Ltd...................... 297,000 1,135,438
Toyo Kanetsu K.K..................................... 128,000 333,196
Toyo Kohan Co., Ltd.................................. 62,000 466,065
Toyo Seikan Kaisha, Ltd.............................. 144,600 2,757,835
Toyo Suisan Kaisha, Ltd.............................. 116,000 1,096,220
Toyo Tire & Rubber Co., Ltd.......................... 33,000 106,598
Toyo Trust & Banking Co., Ltd........................ 715,000 5,079,940
#Toyoda Machine Works, Ltd........................... 122,000 1,184,364
#Toyota Auto Body Co., Ltd........................... 86,000 901,375
Toyota Tsusho Corp................................... 258,000 1,505,000
Tsubaki Nakashima Co., Ltd........................... 36,000 309,278
Uniden Corp.......................................... 12,000 144,330
*Unisia Jecs Corp.................................... 130,000 605,326
Victor Co. of Japan, Ltd............................. 246,000 2,747,423
Wacoal Corp.......................................... 149,000 1,817,698
Yakult Honsha Co., Ltd............................... 184,000 1,991,753
</TABLE>
183
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
#Yamagata Bank, Ltd.................................. 154,000 $ 793,814
Yamaguchi Bank....................................... 133,000 1,919,588
Yamaichi Securities Co., Ltd......................... 1,269,000 3,597,680
Yamamura Glass Co., Ltd.............................. 109,000 407,345
#Yamato Kogyo Co., Ltd............................... 96,000 948,454
#Yasuda Trust & Banking Co., Ltd..................... 1,154,000 3,469,931
#Yodogawa Steel Works, Ltd........................... 232,000 1,435,052
Yokogawa Bridge Corp................................. 3,500 23,724
Yokogawa Electric Corp............................... 261,000 2,163,789
Yokohama Reito Co., Ltd.............................. 40,000 432,990
Yurtec Corp.......................................... 61,000 686,512
--------------
TOTAL COMMON STOCKS
(Cost $546,063,454).................................. 474,575,155
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $47,502)......................... 47,433
--------------
TOTAL -- JAPAN
(Cost $546,110,956).................................. 474,622,588
--------------
UNITED KINGDOM -- (19.6%)
COMMON STOCKS -- (19.6%)
ASDA Group P.L.C..................................... 1,719,300 3,360,062
Abbey National P.L.C................................. 680,600 9,780,059
Allied Domecq P.L.C.................................. 140,000 1,016,736
Anglian Water P.L.C.................................. 174,300 1,944,268
Antofagasta Holdings P.L.C........................... 38,000 253,025
Arjo Wiggins Appleton P.L.C.......................... 534,500 1,456,748
Associated British Foods P.L.C....................... 593,200 5,493,981
Associated British Ports Holdings P.L.C.............. 244,400 1,035,044
BAA P.L.C............................................ 685,160 5,954,314
BG P.L.C............................................. 2,917,900 9,738,316
BICC P.L.C........................................... 134,750 369,452
Bank of Scotland (Governor and Company of the)....... 1,566 9,814
Barclays P.L.C....................................... 981,055 18,980,824
Barratt Developments P.L.C........................... 150,000 603,432
Bass P.L.C........................................... 583,700 7,554,105
Beazer Group P.L.C................................... 140,257 391,418
Berkeley Group P.L.C................................. 62,042 709,274
British Land Co. P.L.C............................... 280,946 2,744,146
British Steel P.L.C.................................. 1,344,200 3,345,445
British Telecommunications P.L.C..................... 3,087,096 22,293,772
British Vita P.L.C................................... 134,000 447,217
Brixton Estate P.L.C................................. 151,200 537,933
Bryant Group P.L.C................................... 224,555 465,422
Burford Holdings P.L.C............................... 171,000 394,887
Burton Group P.L.C................................... 460,700 1,009,375
*Capital Shopping Centres P.L.C...................... 253,375 1,678,843
*Centrica P.L.C...................................... 2,862,900 2,990,242
Chelsfield P.L.C..................................... 194,800 1,228,736
Christies International P.L.C........................ 61,000 306,122
Coats Viyella P.L.C.................................. 445,250 868,344
Commercial Union P.L.C............................... 462,591 5,171,397
Delta P.L.C.......................................... 97,000 511,322
*Energy Group P.L.C.................................. 18,200 162,918
English China Clays P.L.C............................ 199,387 657,307
First Leisure Corp. P.L.C............................ 80,900 426,453
General Accident P.L.C............................... 317,900 4,692,662
*Grantchester Holdings P.L.C......................... 12,930 37,456
Great Portland Estates P.L.C......................... 197,275 740,491
Great Universal Stores P.L.C......................... 663,500 7,005,923
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*Greenalls Group P.L.C............................... 163,446 $ 1,255,030
Greene King P.L.C.................................... 59,000 622,502
Guardian Royal Exchange P.L.C........................ 600,692 2,740,021
Guinness P.L.C....................................... 85,000 787,930
Hambros P.L.C........................................ 107,954 399,931
Hanson P.L.C......................................... 133,750 688,673
Hardy Oil & Gas P.L.C................................ 74,000 366,531
Harrisons & Crosfield P.L.C.......................... 463,000 914,295
Highland Distilleries Co. P.L.C...................... 106,000 574,333
Hillsdown Holdings P.L.C............................. 457,694 1,314,644
House of Fraser P.L.C................................ 140,000 395,270
Hyder P.L.C.......................................... 91,950 1,216,256
Ibstock P.L.C........................................ 150,000 171,360
Imperial Chemical Industries P.L.C................... 559,900 7,424,274
Kwik Save Group P.L.C................................ 100,551 449,632
LaPorte P.L.C........................................ 35,000 375,278
Ladbroke Group P.L.C................................. 773,872 2,904,806
Laird Group P.L.C.................................... 92,400 576,798
Lasmo P.L.C.......................................... 613,035 2,451,159
Lex Service P.L.C.................................... 84,933 487,216
London & Manchester Group P.L.C...................... 75,000 544,680
Lonrho P.L.C......................................... 516,030 1,141,128
Marley P.L.C......................................... 211,318 439,711
Mersey Docks & Harbour Co. P.L.C..................... 37,610 248,587
Meyer International P.L.C............................ 78,658 534,660
Mirror Group P.L.C................................... 273,000 980,179
National Power P.L.C................................. 113,000 1,017,054
National Westminster Bank P.L.C...................... 1,144,442 13,886,568
Peel Holdings P.L.C.................................. 32,500 295,168
Persimmon P.L.C...................................... 162,000 622,624
Pilkington P.L.C..................................... 669,455 1,371,151
Powell Duffryn P.L.C................................. 47,037 344,288
Powergen P.L.C....................................... 426,853 4,858,953
Premier Consolidated Oilfields P.L.C................. 685,414 469,810
RJB Mining P.L.C..................................... 100,000 644,640
RMC Group P.L.C...................................... 129,000 1,915,805
Racal Electronics P.L.C.............................. 184,300 697,804
Redland P.L.C........................................ 337,705 1,804,966
Rolls-Royce P.L.C.................................... 307,777 1,250,707
Royal & Sun Alliance Insurance Group, Inc. P.L.C..... 926,401 6,947,118
Rugby Group P.L.C.................................... 417,000 803,042
Safeway P.L.C........................................ 716,577 4,204,186
Sainsbury (J.) P.L.C................................. 919,692 5,245,776
*Salvesen (Christian) P.L.C.......................... 32,000 124,815
Scottish & Newcastle P.L.C........................... 47,600 543,782
Scottish Hydro-Electric P.L.C........................ 252,000 1,647,112
Sears P.L.C.......................................... 991,300 1,245,707
Severn Trent P.L.C................................... 244,602 3,105,702
Shell Transport & Trading Co., P.L.C................. 1,919,015 37,707,263
*Slough Estates P.L.C................................ 253,300 1,302,165
Smith (David S.) Holdings P.L.C...................... 208,000 756,987
South West Water P.L.C............................... 83,253 973,501
Stakis P.L.C......................................... 503,194 817,107
Storehouse P.L.C..................................... 177,000 631,168
T & N P.L.C.......................................... 345,397 707,428
*Tarmac P.L.C........................................ 603,116 1,250,042
Tate & Lyle P.L.C.................................... 70,000 514,651
Taylor Woodrow P.L.C................................. 254,719 858,423
*Telewest Communications P.L.C....................... 155,000 188,455
Tesco P.L.C.......................................... 1,385,221 8,488,856
</TABLE>
184
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
Thames Water P.L.C................................... 260,611 $ 2,919,802
Transport Development Group P.L.C.................... 49,200 143,326
Unigate P.L.C........................................ 154,000 1,236,534
Unilever P.L.C....................................... 529,500 14,141,717
United Biscuits Holdings P.L.C....................... 344,389 1,160,619
United Utilities P.L.C............................... 348,907 3,983,067
Vaux Group P.L.C..................................... 85,917 388,400
Wessex Water P.L.C................................... 142,021 935,225
Whitbread P.L.C...................................... 321,600 4,159,446
Wilson (Connolly) Holdings P.L.C..................... 128,000 310,211
Wilson Bowden P.L.C.................................. 84,200 699,439
Wimpey (George) P.L.C................................ 236,750 515,812
Wolverhampton & Dudley Breweries P.L.C............... 42,700 446,690
Yorkshire Water P.L.C................................ 234,624 1,437,813
*Yorkshire Water P.L.C. Series B..................... 2 1
--------------
TOTAL COMMON STOCKS
(Cost $225,187,798).................................. 296,093,095
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $141,652).................................... 142,577
--------------
PREFERRED STOCKS -- (0.0%)
Hyder P.L.C. (Cost $111,389)......................... 76,860 136,725
--------------
TOTAL -- UNITED KINGDOM
(Cost $225,440,839).................................. 296,372,397
--------------
GERMANY -- (8.6%)
COMMON STOCKS -- (8.6%)
*AGIV AG fuer Industrie & Verkehrswesen.............. 50,800 933,365
*Ava Allgemeine Handelsgesellschaft der Verbraucher
AG, Bielefeld...................................... 2,600 798,713
#BASF AG............................................. 475,500 17,528,672
#BHF Bank AG......................................... 109,700 3,049,005
Badenwerk AG......................................... 3,552 1,091,164
Bankgesellschaft Berlin AG........................... 222,000 5,085,606
Bayer AG............................................. 10,000 387,654
#Bayerische Hypotheken und Wechselbank AG............ 296,200 9,402,487
#Bayerische Vereinsbank AG........................... 270,450 11,125,006
Berliner Kraft & Licht Bewag AG...................... 86,500 2,024,576
Bilfinger & Berger Bau AG, Mannheim.................. 45,700 1,778,262
*#Commerzbank AG..................................... 338,150 9,932,785
#Continental AG...................................... 83,100 1,888,106
DBV Holding AG....................................... 3,300 1,243,534
*Deutsche Babcock AG, Oberhausen..................... 2,500 138,970
#Deutsche Bank AG.................................... 176,500 9,780,310
Deutsche Hypothekenbank Frankfurt AG................. 300 173,786
#Deutsche Lufthansa AG............................... 254,700 4,055,229
Deutsche Pfandbrief und Hypothekenbank AG, Depfa..... 45,700 2,687,449
#Dresdner Bank AG, Frankfurt......................... 430,600 15,067,221
Dyckerhoff AG........................................ 525 199,371
GEA AG............................................... 800 327,677
Heidelberger Zement AG, Heidelberg................... 500 46,811
Hochtief AG.......................................... 57,400 2,525,734
*Holzmann (Philipp) AG............................... 6,200 1,832,066
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
KM Europa Metal AG................................... 2,000 $ 201,287
#Karstadt AG......................................... 8,350 2,946,197
Koelnische Rueckversicherungs-Gesellschaft AG........ 500 427,150
Man AG, Muechen...................................... 14,000 4,005,851
#Preussag AG......................................... 4,150 1,092,744
*Ruetgerswerke AG.................................... 467 82,524
Siemens AG........................................... 72,400 4,080,920
Thuega AG............................................ 267 78,116
Thyssen Industrie AG Essen........................... 6,700 1,099,678
Vereins & Westbank AG................................ 4,776 1,034,008
Volkswagen AG........................................ 17,000 10,981,861
WCM Beteiligungs und Grundbesitz AG.................. 65,500 923,669
--------------
TOTAL COMMON STOCKS
(Cost $102,690,998).................................. 130,057,564
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $144)............................ 145
--------------
TOTAL -- GERMANY
(Cost $102,691,142).................................. 130,057,709
--------------
SWITZERLAND -- (6.7%)
COMMON STOCKS -- (6.7%)
*Ascom Holding AG, Bern.............................. 600 729,162
Baloise Holding, Basel............................... 3,219 7,077,476
Banque Cantonale Vaudois............................. 5,795 1,462,577
Bobst SA, Prilly..................................... 1,912 3,176,529
#Credit Suisse Holding, Zuerich (Namen).............. 152,128 19,116,827
Danzas Holding AG, Basel............................. 1,452 1,440,195
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG,
Laufenberg......................................... 3,173 731,282
Fischer (Georg) AG, Schaffhausen..................... 1,410 2,013,574
Fischer (Georg) AG, Schaffhausen (Namen)............. 1,017 273,213
Forbo Holding AG, Eglisau............................ 6,081 2,536,437
Jelmoli Holding AG, Zuerich.......................... 500 307,529
Julius Baer Holding AG, Zuerich...................... 2,386 3,280,855
*Oerlikon-Buehrle Holding AG, Zuerich................ 35,681 4,136,928
Pargesa Holding SA, Geneve........................... 1,935 2,462,354
Pirelli SA, Basel.................................... 3,600 610,817
Rieter Holding AG, Winterthur........................ 6,897 2,242,927
SBG (Schweizerische Bankgesellschaft)................ 3,018 3,311,372
SBV (Schweizerischer Bankverein) (Namen)............. 82,332 19,877,256
SIG (Schweizerische Industrie Gesellschaft Holding
AG), Neuhausen am Rheinfall (Namen)................ 1,233 1,804,390
SIG (Schweizerische Industrie Gesellschaft Holding
AG), Neuhausen am Rheinfall........................ 840 2,523,860
*Saurer AG, Arbon.................................... 6,027 3,536,522
Schindler Holding AG, Hergiswil...................... 579 744,984
Schweizerische National Versicherungs Gesellschaft,
Basel.............................................. 981 2,122,206
Sulzer AG, Winterthur................................ 10,099 7,953,543
*Swissair Schweizerische Luftverkehr AG, Zuerich..... 6,438 6,563,164
</TABLE>
185
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
UBS (Union Bank of Switzerland)...................... 4,275 $ 936,903
*Von Roll Holding AG, Gerlafingen.................... 15,045 299,943
--------------
TOTAL COMMON STOCKS
(Cost $81,446,193)................................... 101,272,825
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $0).............................. 0
--------------
TOTAL -- SWITZERLAND
(Cost $81,446,193)................................... 101,272,825
--------------
FRANCE -- (6.6%)
COMMON STOCKS -- (6.5%)
#AGF (Assurances Generales de France SA)............. 93,900 2,855,068
AXA-UAP.............................................. 10,000 598,579
Accor SA............................................. 5,592 775,052
Banque Nationale de Paris............................ 104,400 4,286,694
Bongrain SA.......................................... 1,363 522,814
Bouygues............................................. 12,764 1,105,240
#CPR (Cie Parisienne de Reescompte).................. 8,300 640,043
Centrale d'Investissements........................... 100 12,128
*Centrale du Groupe des Assurances Nationales SA..... 39,400 882,609
Christian Dior SA.................................... 21,100 3,308,299
Ciments Vicat........................................ 800 71,240
Club Mediterranee SA................................. 9,400 662,006
Colas SA............................................. 2,950 409,382
#Compagnie de Suez SA................................ 112,857 5,713,239
Credit Commercial de France.......................... 13,391 562,134
*#Credit National.................................... 7,912 419,862
ECIA (Equipements et Composants pour l'Industrie
Automobile)........................................ 2,800 424,948
Elf Aquitaine........................................ 150,084 15,003,200
Eridania Beghin-Say SA............................... 17,900 2,505,752
Esso SA.............................................. 5,176 466,306
*#Euro Disney SCA.................................... 528,000 827,859
Financiere de Paribas SA Series A.................... 85,572 5,455,734
GTM Entrepose........................................ 10,277 533,970
#Groupe Danone....................................... 33,700 5,073,683
LaFarge Coppee SA.................................... 65,057 4,159,049
Labinal SA........................................... 3,200 695,773
#Pechiney International.............................. 26,150 412,275
Pernod-Ricard........................................ 6,000 286,383
Peugeot SA........................................... 34,550 3,417,888
#Rallye SA........................................... 14,220 541,996
Remy Cointreau SA.................................... 25,100 608,801
#Rhone-Poulenc SA Series A........................... 173,080 5,607,408
Rue Imperiale de Lyon................................ 350 354,730
*SGE (Societe Generale d'Enterprise SA).............. 2,000 42,100
#Saint Louis (SLB)................................... 5,200 1,199,099
Saint-Gobain......................................... 54,448 7,480,468
#Societe Generale Paris.............................. 62,907 6,887,946
#Sommer-Allibert SA.................................. 13,500 430,353
Sophia SA............................................ 7,700 294,820
*Thomson-CSF......................................... 82,403 2,348,457
Total SA............................................. 70,000 6,403,326
UAP SA............................................... 202,797 4,929,387
--------------
TOTAL COMMON STOCKS
(Cost $91,487,868)................................... 99,216,100
--------------
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.1%)
*French Francs (Cost $1,211,772)..................... $ 1,225,838
--------------
TOTAL -- FRANCE
(Cost $92,699,640)................................... 100,441,938
--------------
NETHERLANDS -- (5.0%)
COMMON STOCKS -- (5.0%)
ABN Amro Holding NV.................................. 1,059,028 19,601,404
Bijenkorf Beheer KBB NV, Amsterdam................... 10,508 763,720
DSM NV............................................... 31,453 3,123,981
Fortis Amev NV....................................... 138,270 5,687,958
Gist-Brocades NV..................................... 12,004 398,673
Hollandsche Beton Groep NV........................... 2,952 680,284
Ing Groep NV......................................... 605,849 26,817,821
KLM (Koninklijke Luchtvaart Mij NV).................. 75,607 2,187,794
Koninklijke Hoogovens NV............................. 28,448 1,420,917
Koninklijke KNP BT................................... 86,000 1,775,600
Nationale Investeringsbank NV Series A............... 8,218 762,671
Nedlloyd Groep NV, Rotterdam......................... 17,100 419,922
Pakhoed NV........................................... 27,537 933,214
Philips Electronics NV............................... 149,900 8,214,020
Stad Rotterdam....................................... 39,663 1,778,424
Stork NV............................................. 26,248 1,160,495
--------------
TOTAL COMMON STOCKS
(Cost $44,737,820)................................... 75,726,898
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $2,281)................... 2,309
--------------
RIGHTS/WARRANTS -- (0.0%)
*ABN Amro Holding NV Rights.......................... 264,757 0
*Gist Brocades NV Rights 06/30/97.................... 32 0
*Hollandsche Beton Groep NV Rights................... 2,952 0
*Ing Groep NV Rights 06/06/97........................ 35 0
*Pakhoed NV Rights................................... 31 0
*Stad Rotterdam Rights 06/27/97...................... 36 0
--------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
--------------
TOTAL -- NETHERLANDS
(Cost $44,740,101)................................... 75,729,207
--------------
HONG KONG -- (3.8%)
COMMON STOCKS -- (3.8%)
Allied Properties (Hong Kong), Ltd................... 1,278,000 224,384
Amoy Properties, Ltd................................. 2,501,000 2,841,312
CDL Hotels International, Ltd........................ 1,201,616 539,067
Century City International Holdings, Ltd............. 1,482,646 593,365
Chinese Estates Holdings, Ltd........................ 1,923,653 1,949,481
*Evergo China Holdings, Ltd.......................... 285,280 40,881
#Great Eagle Holdings, Ltd........................... 447,680 1,583,583
HKR International, Ltd............................... 979,440 1,365,602
Hang Lung Development Co., Ltd....................... 1,348,000 2,584,276
#Hongkong & Shanghai Hotels, Ltd..................... 1,171,124 1,814,290
#Hopewell Holdings, Ltd.............................. 4,379,000 2,445,026
#Hysan Development Co., Ltd.......................... 1,028,000 3,430,648
Lai Sun Development Co., Ltd......................... 826,800 1,014,020
Lai Sun Garment (International), Ltd................. 21,000 23,722
Miramar Hotel & Investment Co., Ltd.................. 565,000 1,075,878
</TABLE>
186
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
New World Development Co. Ltd........................ 1,240,739 $ 7,880,759
#Paliburg Holdings, Ltd.............................. 1,768,500 2,317,361
Realty Development Corp., Ltd. Series A.............. 204,000 784,818
#Regal Hotels International Holdings, Ltd............ 3,771,816 1,192,996
#Shangri-la Asia, Ltd................................ 256,000 323,883
Sino Hotels (Holdings), Ltd.......................... 543,653 259,684
#Sino Land Co., Ltd.................................. 2,721,200 3,179,300
Stelux Holdings International, Ltd................... 451,552 85,110
Tai Cheung Holdings, Ltd............................. 571,000 501,265
Tsim Sha Tsui Properties, Ltd........................ 1,204,000 4,414,356
Wharf Holdings, Ltd.................................. 2,142,000 9,595,585
Wheelock and Co., Ltd................................ 2,019,000 4,939,330
--------------
TOTAL COMMON STOCKS
(Cost $42,899,917)................................... 56,999,982
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $95,842).................... 95,847
--------------
RIGHTS/WARRANTS -- (0.0%)
*Hong Kong & Shanghai Hotels, Ltd. Warrants
12/10/98........................................... 86,124 16,900
*Lai Sun Hotels International, Ltd. Warrants
04/30/99........................................... 155,505 15,458
*Stelux Holdings International, Ltd. Warrants
02/28/98........................................... 90,310 3,264
--------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 35,622
--------------
TOTAL -- HONG KONG
(Cost $42,995,759)................................... 57,131,451
--------------
ITALY -- (3.0%)
COMMON STOCKS -- (3.0%)
Banca Commerciale Italiana SpA....................... 3,372,000 6,638,893
*#Banca di Roma...................................... 6,331,000 4,507,460
*Banca Toscana....................................... 497,000 887,552
Banco Ambrosiano Veneto SpA.......................... 349,000 860,190
*Banco di Napoli..................................... 335,000 115,616
*#CIR SpA (Cie Industriale Riunite), Torino.......... 885,000 559,035
#Cartiere Burgo SpA.................................. 235,000 1,370,683
*Cia Assicuratrice Unipol SpA........................ 106,036 281,068
Credito Italiano..................................... 3,030,000 4,507,704
#Fiat SpA............................................ 2,724,000 8,933,125
Finmeccanica SpA..................................... 1,670,000 926,737
#Ifil Finanziaria Partecipazioni SpA, Torino......... 804,000 2,368,475
*Ing Olivetti & C SpA, Ivrea......................... 5,994,414 1,744,640
#Istituto Bancario San Paolo Torino SpA.............. 887,500 5,582,568
#Italcementi Fabbriche Riunite Cemento SpA,
Bergamo............................................ 318,000 1,850,103
#Italmobiliare SpA, Milano........................... 14,330 210,648
#Magneti Marelli SpA................................. 700,000 1,115,768
*Milano Assicurazioni SpA............................ 49,520 108,459
*Montedison SpA...................................... 1,390,000 849,312
Toro Assicurazioni Cia Anonima d'Assicurazione di
Torino SpA......................................... 118,500 1,297,701
--------------
TOTAL COMMON STOCKS
(Cost $47,405,563)................................... 44,715,737
--------------
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Banco di Napoli SpA Rights.......................... 335,000 $ 297
*Unipol SpA Warrants................................. 30,296 8,102
--------------
TOTAL RIGHTS/WARRANTS
(Cost $44,553)....................................... 8,399
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira (Cost $776)............................ 765
--------------
TOTAL -- ITALY
(Cost $47,450,892)................................... 44,724,901
--------------
AUSTRALIA -- (2.7%)
COMMON STOCKS -- (2.7%)
*Amcor, Ltd.......................................... 53,501 354,960
Australia & New Zealand Banking Group, Ltd........... 537,509 3,685,050
Australian National Industries, Ltd.................. 381,934 451,459
#Boral, Ltd.......................................... 613,255 1,959,535
Burns, Philp & Co., Ltd.............................. 254,643 374,789
*CRA, Ltd............................................ 23,450 385,039
#CSR, Ltd............................................ 508,054 1,867,475
#Commonwealth Bank of Australia...................... 327,149 3,521,473
#Email, Ltd.......................................... 146,802 455,643
Energy Resources of Australia, Ltd. Series A......... 84,525 380,308
Fosters Brewing Group, Ltd........................... 853,236 1,678,753
GIO Australia Holdings, Ltd.......................... 307,433 904,973
Goodman Fielder, Ltd................................. 627,341 813,299
MIM Holdings......................................... 822,779 1,229,808
National Australia Bank, Ltd......................... 515,195 7,378,450
News Corp., Ltd...................................... 1,014,261 4,509,374
PMP Communications, Ltd.............................. 104,970 288,181
Pacific Dunlop, Ltd.................................. 506,319 1,417,060
Pioneer International, Ltd........................... 385,982 1,315,747
Publishing and Broadcasting, Ltd..................... 176,912 940,347
#Santos, Ltd......................................... 261,045 1,071,015
*Santos, Ltd. Issue 97............................... 32,630 134,870
St. George Bank, Ltd................................. 66,421 406,742
Stockland Trust Group Units.......................... 141,647 361,868
Weston (George) Foods, Ltd........................... 42,444 265,417
#Westpac Banking Corp................................ 939,489 5,108,333
--------------
TOTAL COMMON STOCKS
(Cost $32,054,600)................................... 41,259,968
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $158,593).................................... 156,493
--------------
TOTAL -- AUSTRALIA
(Cost $32,213,193)................................... 41,416,461
--------------
SWEDEN -- (2.6%)
COMMON STOCKS -- (2.6%)
Avesta Sheffield AB.................................. 69,500 758,508
Celsius Industrier AB Series B....................... 24,200 468,841
*Diligentia AB....................................... 50,770 580,322
Electrolux AB Series B............................... 8,900 531,069
Foereningsbanken AB Series A......................... 187,200 1,003,397
*Graenges AB......................................... 4,450 55,463
Gullspangs Kraft AB Series B......................... 10,700 161,692
*Kinnevik Industrifoervaltnings AB Series A.......... 3,200 85,140
</TABLE>
187
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*Kinnevik Industrifoervaltnings AB Series B.......... 11,500 $ 314,885
Marieberg Tidnings AB Series A....................... 24,000 604,456
Mo Och Domsjoe AB Series A........................... 5,700 175,951
Mo Och Domsjoe AB Series B........................... 64,200 1,990,055
NCC AB Series A...................................... 45,400 486,690
#NCC AB Series B..................................... 73,600 798,502
Naeckebro AB......................................... 21,630 287,748
SSAB Swedish Steel Series A.......................... 92,700 1,712,121
#SSAB Swedish Steel Series B......................... 33,300 621,485
Skandinaviska Enskilda Banken Series A............... 496,200 5,127,026
Skandinaviska Enskilda Banken Series C............... 23,700 231,108
Stora Kopparbergs Bergslags AB Series A.............. 259,100 3,831,702
Stora Kopparbergs Bergslags AB Series B.............. 57,600 855,538
Svenska Cellulosa AB Series A........................ 57,000 1,192,638
Svenska Cellulosa AB Series B........................ 186,800 3,920,568
Svenska Handelsbanken Series A....................... 200,300 5,355,131
#Svenska Handelsbanken Series B...................... 20,000 514,046
Svenska Kullagerfabriken AB Series A................. 14,600 320,568
Svenska Kullagerfabriken AB Series B................. 5,500 127,155
Sydkraft AB Series C................................. 8,800 200,039
Trelleborg AB Series B............................... 104,700 1,805,289
Trelleborg AB Series C............................... 5,000 88,473
Volvo AB Series A.................................... 51,600 1,432,871
Volvo AB Series B.................................... 104,400 2,892,322
--------------
TOTAL COMMON STOCKS
(Cost $27,008,003)................................... 38,530,799
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $142,356)....................... 140,518
--------------
RIGHTS/WARRANTS -- (0.0%)
*Volvo AB Series A Rights 06/11/97
(Cost $0).......................................... 156,000 41,707
--------------
TOTAL -- SWEDEN
(Cost $27,150,359)................................... 38,713,024
--------------
SPAIN -- (2.4%)
COMMON STOCKS -- (2.4%)
#Autopistas del Mare Nostrum SA...................... 65,000 937,241
Banco Central Hispanoamericano SA.................... 207,500 6,694,243
#DRACONSA (Dragados y Construcciones SA)............. 131,489 2,546,122
Ebro Agricolas Compania de Alimentacion SA........... 38,300 733,686
#FESCA (Fuerzas Electricas de Cataluna SA) Series
A.................................................. 360,334 3,139,840
#Iberdrola SA........................................ 816,000 9,903,734
Metrovacesa (Inmobiliaria Metropolitana Vasco
Central)........................................... 40,800 1,585,726
#Sevillana de Electricidad SA........................ 414,019 3,965,535
#Union Electrica Fenosa SA........................... 460,900 4,079,889
Uralita SA........................................... 24,500 237,206
Vallehermoso SA...................................... 80,000 2,019,364
--------------
TOTAL COMMON STOCKS
(Cost $28,095,100)................................... 35,842,586
--------------
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $14,345)....................... $ 14,257
--------------
TOTAL -- SPAIN
(Cost $28,109,445)................................... 35,856,843
--------------
MALAYSIA -- (2.2%)
COMMON STOCKS -- (2.1%)
Affin Holdings Berhad................................ 219,000 558,406
Amsteel Corp. Berhad................................. 1,912,000 1,409,243
Batu Kawan Berhad.................................... 185,000 405,379
Berjaya Group Berhad................................. 1,302,500 1,722,829
Berjaya Industrial Berhad............................ 691,000 823,143
Berjaya Leisure Berhad............................... 235,000 631,972
Boustead Holdings Berhad............................. 253,000 569,502
Golden Hope Plantations Berhad....................... 758,000 1,292,526
Hap Seng Consolidated Berhad......................... 120,000 296,414
Highlands & Lowlands Berhad.......................... 607,000 957,657
Hong Leong Industries Berhad......................... 144,000 436,016
IOI Corp. Berhad..................................... 436,000 583,649
Kamunting Corp. Berhad............................... 1,015,000 727,888
Kuala Lumpur Kepong Berhad........................... 677,000 1,753,187
Land & General Berhad................................ 208,000 261,865
Leader Universal Holdings Berhad..................... 636,000 1,380,956
Lion Land Berhad..................................... 704,000 681,562
Malaysia Mining Corp. Berhad......................... 1,220,000 1,360,956
Malaysian Airlines System............................ 987,000 2,280,717
Malaysian Helicopter Services Berhad................. 1,033,000 946,574
Malaysian Industrial Development Finance Berhad...... 964,000 1,397,992
Malaysian Plantations Berhad......................... 258,000 349,482
Metroplex Berhad..................................... 1,210,000 1,320,877
Mulpha International Berhad.......................... 1,033,000 831,339
Perlis Plantations Berhad............................ 380,000 1,105,179
Pernas International Holdings Berhad................. 601,000 562,689
Renong Berhad........................................ 405,000 580,877
Southern Bank Berhad (Foreign)....................... 130,000 326,295
TA Enterprise Berhad................................. 941,000 1,064,717
Tan Chong Motor Holdings Berhad...................... 981,000 1,829,116
Tenaga Nasional Berhad............................... 542,000 2,483,267
Time Engineering Berhad.............................. 237,000 402,239
--------------
TOTAL COMMON STOCKS
(Cost $34,906,643)................................... 31,334,510
--------------
INVESTMENT IN CURRENCY -- (0.1%)
*Malaysian Ringetts
(Cost $1,275,031).................................. 1,269,804
--------------
TOTAL -- MALAYSIA
(Cost $36,181,674)................................... 32,604,314
--------------
BELGIUM -- (1.3%)
COMMON STOCKS -- (1.3%)
Ackermans & Van Haaren SA............................ 2,500 512,621
Banque Bruxelles Lambert............................. 15,528 4,188,068
#Banque Bruxelles Lambert VVPR....................... 128 22
#Bekaert SA.......................................... 1,800 1,064,379
CMB (Cie Martime Belge).............................. 7,500 514,748
Cofinimmo SA......................................... 4,850 518,562
Electrafina SA....................................... 8,000 807,714
Generale de Banque SA................................ 6,930 2,736,819
Generale de Banque SA VVPR........................... 630 250
</TABLE>
188
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
#Generale de Belgique SA............................. 19,080 $ 1,758,650
Glaverbel SA......................................... 7,022 941,976
Glaverbel SA VVPR.................................... 22 1
#Groupe Bruxelles Lambert SA, Bruxelles.............. 6,300 1,004,141
Nationale a Portefeuille............................. 4,700 342,570
Powerfin SA.......................................... 10,150 1,434,990
Sofina SA............................................ 500 351,673
Solvay SA............................................ 3,579 2,162,016
*Union Miniere SA.................................... 20,400 1,643,108
--------------
TOTAL -- BELGIUM
(Cost $16,051,730)................................... 19,982,308
--------------
SINGAPORE -- (1.2%)
COMMON STOCKS -- (1.2%)
First Capital Corp., Ltd............................. 499,000 1,376,311
Hotel Properties, Ltd................................ 760,000 1,303,465
Industrial & Commercial Bank, Ltd.................... 13,000 48,687
#Natsteel, Ltd....................................... 385,000 1,013,371
Neptune Orient Lines, Ltd............................ 494,000 446,104
Shangri-la Hotel, Ltd................................ 288,200 867,525
Singapore Airlines, Ltd. (Foreign)................... 40,000 341,617
Singapore Land, Ltd.................................. 687,000 3,510,745
#Straits Steamship Land, Ltd......................... 1,173,000 3,498,061
Straits Trading Co., Ltd............................. 552,000 1,290,641
Tuan Sing Holdings, Ltd.............................. 1,179,000 437,431
United Industrial Corp., Ltd......................... 2,703,000 2,194,946
#United Overseas Land, Ltd........................... 983,000 1,541,421
--------------
TOTAL COMMON STOCKS
(Cost $19,021,876)................................... 17,870,325
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost $126)....................... 127
--------------
TOTAL -- SINGAPORE
(Cost $19,022,002)................................... 17,870,452
--------------
FACE
AMOUNT VALUE+
---------- --------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.3%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
5.50%, 11/15/98) (Cost $18,931,000)................ $ 18,931 $ 18,931,000
--------------
TOTAL INVESTMENTS -- (98.4%)
(Cost $1,361,234,925)++.............................. 1,485,727,418
--------------
OTHER ASSETS AND LIABILITIES -- (1.6%)
Other Assets......................................... 33,518,489
Payable for Investment Securities Purchased.......... (7,702,269)
Payable for Fund Shares Redeemed..................... (688,689)
Other Liabilities.................................... (409,791)
--------------
24,717,740
--------------
NET ASSETS -- (100.0%) Applicable to 126,817,658
Outstanding $.01 Par Value Shares (Unlimited Number
of Shares Authorized)................................ $1,510,445,158
--------------
--------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 11.91
--------------
--------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
189
<PAGE>
THE EMERGING MARKETS SERIES
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
TURKEY -- 10.9%
COMMON STOCKS -- 10.8%
Akbank................................................ 16,058,250 $ 1,450,944
*Akbank Issue 96...................................... 28,546,751 2,377,041
Akcansa Cimento Sanayi ve Ticaret SA.................. 1,292,130 176,270
*Aksa................................................. 3,136,091 255,581
*Aksa Issue 97........................................ 627,218 47,338
Aksigorta A.S......................................... 3,744,000 233,486
Alarko Holding........................................ 1,163,620 134,001
Alarko Sanayii ve Ticaret A.S......................... 656,000 74,382
Arcelik A.S........................................... 10,279,104 1,147,303
Aygaz................................................. 1,946,480 372,440
Bekoteknik Sanayi A.S................................. 1,915,927 237,607
Bossa Ticaret ve Sanayi Isletmeleri A.S............... 4,312,500 93,212
Brisa Bridgestone Sanbanci Lastik San & Tic A.S....... 1,116,000 395,436
*CIMSA A.S. (Cimento Sanayi ve Ticaret)............... 985,000 123,902
Cimentas A.S.......................................... 414,813 54,383
Cukurova Elektrik A.S................................. 518,000 752,533
Dogan Sirketler Grubu Holdings A.S.................... 6,314,700 136,488
Doktas................................................ 54,400 7,518
EGE Biracilik ve Malt Sanayii A.S..................... 2,185,704 573,106
*Eczacibasi Ilac...................................... 2,130,940 99,668
Enka Holding.......................................... 649,996 142,796
Erciyas Biracilik..................................... 3,127,160 228,260
Eregli Demir ve Celik Fabrikalari Turk A.S............ 6,353,000 855,411
Es Kisehir Bankasi Esbank............................. 8,014,999 56,800
Good Year Lastikleri A.S.............................. 586,000 205,563
*Guney Biracilik...................................... 772,800 37,788
Hurriyet Gazette...................................... 1,382,000 76,391
*Ihlas Holding........................................ 3,025,057 273,329
*Izmir Demir Celik.................................... 4,092,600 47,130
Kartonsan............................................. 1,417,500 80,363
Koc Holding A.S....................................... 9,959,999 2,117,497
Kordsa Kord Bezi Sanayi ve Ticaret A.S................ 434,000 141,478
*Migros Turk A.S...................................... 960,225 639,651
*Netas Northern Electric Telekomunikasyon A.S......... 1,254,000 422,117
Otosan Otomobil A.S................................... 1,389,000 767,784
Peg Profilo A.S....................................... 3,145,860 205,102
Raks Elektroniks A.S.................................. 307,000 58,741
*Sarkuysan Elektrolitik Bakir Sanayi A.S.............. 794,000 77,369
*T. Tuborg Bira ve Malt Sanayi A.S.................... 195,000 6,080
Tat Konserve.......................................... 1,351,497 105,354
*Teletas Telekomunikasyon Endustri Ticaret A.S........ 700,000 93,013
Tofas Turk Otomobil Fabrikasi A.S..................... 8,894,250 453,820
Trakya Cam Sanayii A.S................................ 8,084,792 315,118
Turcas Petrolculuk A.S................................ 1,982,955 108,205
Turk Demir Dokum...................................... 2,522,493 116,195
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Turk Siemens Kablo ve Elektrik Sanayi A.S............. 997,500 $ 86,595
Turk Sise Cam......................................... 5,523,886 567,616
Turkiye Garanti Bankasi A.S........................... 17,966,013 725,719
*Turkiye Garanti Bankasi A.S.
Issue 97............................................ 21,958,429 764,609
Turkiye Is Bankasi A.S. Series C...................... 9,970,200 3,214,826
USAS (Ucak Servisi A.S.).............................. 59,500 118,064
Yapi ve Kredi Bankasi A.S............................. 26,301,274 624,401
*Yapi ve Kredi Bankasi A.S.
Issue 97............................................ 34,980,694 681,716
------------
TOTAL COMMON STOCKS
(Cost $16,023,932)................................... 23,157,540
------------
RIGHTS/WARRANTS -- 0.1%
*Aksa Rights 06/13/97................................. 3,136,091 116,678
*Tat Konserve Rights 06/28/97......................... 900,998 63,851
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 180,529
------------
TOTAL -- TURKEY
(Cost $16,023,932)................................... 23,338,069
------------
BRAZIL -- 10.8%
PREFERRED STOCKS -- 5.7%
Aracruz Celulose SA Series B.......................... 251,999 513,275
Banco Bradesco SA..................................... 80,023,042 637,014
Banco Credito Nacional SA Brasil...................... 9,000,000 76,941
*Banco do Brasil SA................................... 54,090,000 478,082
Banco Itau SA......................................... 2,690,000 1,382,323
Brasiliero de Petroleo Ipiranga....................... 12,300,000 195,366
Brasmotor SA.......................................... 600,000 134,542
COFAP (Cia Fabricadora De Pecas)...................... 5,100 52,415
Centrais Electricas de Santa Catarin Celesc Series
B................................................... 180,000 216,948
Cervejaria Brahma..................................... 2,060,767 1,496,044
Cimento Portland Itau................................. 630,000 208,077
Copene-Petroquimica do Nordeste SA Series A........... 420,000 136,952
Coteminas Cia Tecidos Norte de Minas.................. 480,000 188,807
Duratex SA............................................ 2,900,000 148,997
Ericsson Telecomunicacoes SA.......................... 11,120,000 623,377
IKPC Industrias Klabin de Papel e Celulose SA......... 176,875 168,563
Investimentos Itau SA................................. 730,000 607,026
*Lojas Americanas SA.................................. 1,610,000 20,307
Lojas Renner SA....................................... 800,000 46,342
Multibras Eletrodomesticos SA......................... 315,000 320,798
*Paranapanema SA...................................... 2,120,000 17,827
Sadia Concordia SA.................................... 100,000 96,235
Siderurgica Belgo-Mineira............................. 970,000 66,159
Siderurgica de Tubarao Sid Tubaroo Series B........... 11,520,000 158,221
*Siderurgica Paulista Casipa Series B................. 65,000 37,046
Suzano de Papel e Celulose............................ 54,000 121,592
Telecomunicacoes Brasileiras SA....................... 137,922 19,033
</TABLE>
190
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
USIMINAS (Usinas Siderurgicas de Minas Gerais SA)..... 520,390,000 $ 564,003
Unibanco Unias de Bancos Brasileiros SA............... 22,200,000 767,241
Vale do Rio Doce...................................... 81,160 1,793,361
*Vale do Rio Doce Series B............................ 81,160 0
Votorantim Celulose e Papel SA........................ 8,515,325 231,520
White Martins SA...................................... 208,662 678,449
------------
TOTAL PREFERRED STOCKS
(Cost $9,310,974).................................... 12,202,883
------------
COMMON STOCKS -- 5.1%
Acos Especiais Itabira-Acesita Aces................... 25,963,524 50,942
Antarctica Paulista I.B.B.C. Anta..................... 3,000 336,354
Banco Bamerindus do Brazil SA......................... 2,400 26,908
Banco Bradesco SA..................................... 146,489,164 1,204,433
*Banco do Estado de Sao Paulo SA...................... 5,100,000 64,804
Embraco SA............................................ 130,000 52,228
*Lojas Americanas SA.................................. 10,520,000 137,410
*Mannesmann SA........................................ 149,000 20,047
Petroquimica do Sul Copesul........................... 3,160,000 126,955
Santista Alimentos SA................................. 72,000 161,450
Siderurgica Nacional Sid Nacional..................... 17,500,000 572,269
Souza Cruz Industria e Comercio....................... 71,000 660,712
Telecomunicacoes Brasileiras SA....................... 57,550,000 7,500,373
VSMA (Cia Vidraria Santa Marina)...................... 54,000 151,359
------------
TOTAL COMMON STOCKS
(Cost $5,471,908).................................... 11,066,244
------------
RIGHTS/WARRANTS -- 0.0%
*Banco Credito Nacional SA Brasil Rights.............. 827,332 0
*Banco do Brasil SA Warrants
Series A 06/30/01................................... 5,038,000 9,132
*Banco do Brasil SA Warrants
Series B 06/30/06................................... 7,557,000 11,438
*Banco do Brasil SA Warrants
Series C 06/30/11................................... 12,595,000 17,652
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 38,222
------------
TOTAL -- BRAZIL
(Cost $14,782,882)................................... 23,307,349
------------
PORTUGAL -- 9.9%
COMMON STOCKS -- 9.9%
BCP (Banco Comercial Portugues SA).................... 174,539 3,051,656
Banco Espirito Santo e Commercial de Lisboa........... 115,000 2,381,145
Banco Pinto & Sotto Mayor SA.......................... 129,900 871,510
Banco Totta & Acores SA............................... 70,500 1,005,104
Cimpor Cimentos de Portugal SA........................ 28,685 630,274
*Companhia de Seguros Mundial Confianca SA............ 64,600 854,857
Companhia de Seguros Tranquilidade SA................. 28,400 604,301
Companhia Geral de Credito Predial Portugues SA....... 15,480 139,580
Corticeira Amorim Sociedad Gestora Participacoes
Sociais SA.......................................... 20,700 192,514
EFACEC (Empresa Fabril de Maquinas Electricas)........ 17,600 151,570
SHARES VALUE+
------------ ------------
Engil Sociedade Gestora de Participacoes Sociais SA... 21,000 $ 248,988
Filmes Lusomundo SA................................... 8,300 77,720
*Inparsa Industrias e Participacoes S.G.P.S. SA....... 23,250 197,538
Investimentos Participacoes e Gestao SA Inapa......... 8,000 268,363
Jeronimo Martins (Estabelecimentos Jeronimo Martins &
Filho Administracao e Participacoes Financeiros
SA)................................................. 32,998 2,240,581
*Lusotur Sociedad Financeira de Turismo SA............ 5,500 92,218
*Mague-Gestao e Participacoes SA...................... 5,200 150,226
Modelo Continente SGPS SA............................. 44,400 1,592,134
Portucel Industrial Empresa Produtora de Celulose
SA.................................................. 59,800 413,308
Portugal Telecom SA................................... 66,928 2,566,799
Salvador Caetano Industrias Metalurgicas e Veiculos de
Transporte SA....................................... 11,164 277,647
*Sociedad Construcoes Soares da Costa SA.............. 9,730 79,911
Sociedade de Investimento e Gestao SGPS SA............ 34,300 799,870
*Sonae Industria-Sociedade Gestora de Participacoes
Sociais SA.......................................... 20,300 185,154
Sonae Investimentos Sociedade Gestora de Participacoes
Sociais SA.......................................... 46,500 1,743,817
Uniceruniao Cervejeira SA............................. 28,200 503,816
------------
TOTAL COMMON STOCKS
(Cost $15,945,278)................................... 21,320,601
------------
RIGHTS/WARRANTS -- 0.0%
*Companhia Geral de Credito Predial Portugues SA
Rights 06/25/97
(Cost $0)........................................... 15,480 9,490
------------
TOTAL -- PORTUGAL
(Cost $15,945,278)................................... 21,330,091
------------
MALAYSIA -- 9.6%
COMMON STOCKS -- 8.6%
AMMB Holdings Berhad.................................. 45,400 287,594
AMMB Holdings Berhad 7.5% Unsecured Loan Stock 1999... 2,000 1,179
Affin Holdings Berhad................................. 25,000 63,745
Amsteel Corp. Berhad.................................. 96,000 70,757
*Aokam Perdana Berhad................................. 10,000 12,590
Arab Malaysia Corp. Berhad............................ 29,000 116,693
Asiatic Development Berhad............................ 62,000 55,578
Ban Hin Lee Bank Berhad............................... 11,000 47,769
Bandar Raya Developments Berhad....................... 23,000 31,155
*Batu Kawan Berhad.................................... 32,000 70,119
*Berjaya Group Berhad................................. 94,000 124,335
Berjaya Leisure Berhad................................ 75,000 201,693
Berjaya Sports Toto Berhad............................ 20,000 93,227
Cahya Mata Sarawak Berhad............................. 11,000 100,797
Carlsberg Brewery Malaysia Berhad..................... 10,000 87,649
Commerce Asset Holding Berhad......................... 56,000 162,868
Cycle & Carriage Bintang Berhad....................... 6,000 39,920
DCB Holdings Berhad................................... 82,000 264,621
</TABLE>
191
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Diversified Resources Berhad.......................... 28,000 $ 72,510
Edaran Otomobil Nasional Berhad....................... 26,000 226,853
Ekran Berhad.......................................... 21,000 46,434
Esso Malaysia Berhad.................................. 29,000 73,367
*Faber Group Berhad................................... 169,600 162,167
Fraser & Neave Holdings Berhad........................ 18,000 87,490
Gadek (Malaysia) Berhad............................... 11,000 55,657
*Gamuda Berhad........................................ 31,000 111,155
Genting Berhad........................................ 80,000 417,530
Golden Hope Plantations Berhad........................ 115,000 196,096
Guiness Anchor Berhad................................. 21,000 46,016
Hap Seng Consolidated Berhad.......................... 34,000 83,984
Hicom Holdings Berhad................................. 118,000 239,761
Highlands and Lowlands Berhad......................... 62,000 97,817
Hong Leong Bank Berhad................................ 25,000 66,235
Hong Leong Credit Berhad.............................. 41,000 197,649
Hong Leong Industries Berhad.......................... 11,200 33,912
*Hong Leong Properties Berhad......................... 77,000 97,554
Hume Industries (Malaysia) Berhad..................... 28,000 149,482
IJM Corp. Berhad...................................... 35,000 80,179
IOI Corp. Berhad...................................... 92,000 123,155
*Idris Hydraulic (Malaysia) Berhad.................... 39,000 45,992
*Innovest Berhad...................................... 36,000 122,629
Intria Berhad......................................... 32,000 65,020
Jaya Tiasa Holdings Berhad............................ 26,000 122,231
KFC Holdings (Malaysia) Berhad........................ 20,000 77,291
Kamunting Corp. Berhad................................ 40,000 28,685
Kedah Cement Holdings Berhad.......................... 37,000 54,542
Kuala Lumpur Kepong Berhad............................ 81,500 211,056
*Kwong Yik Bank Berhad................................ 36,000 124,781
Land -- General Berhad................................ 35,000 44,064
Leader Universal Holdings Berhad...................... 47,000 102,052
Lingui Development Berhad............................. 37,000 63,681
Lion Land Berhad...................................... 1,000 968
MNI Holdings Berhad................................... 10,000 45,020
Magnum Corp. Berhad................................... 171,500 285,606
Malakoff Berhad....................................... 16,000 73,307
Malayan Banking Berhad................................ 120,000 1,266,932
Malayan Cement Berhad................................. 44,750 74,880
Malayan United Industries Berhad...................... 50,000 36,653
Malaysia Industrial Development Finance Berhad........ 69,000 100,064
Malaysia Mining Corp. Berhad.......................... 40,000 44,621
Malaysian Airlines System............................. 88,000 203,347
Malaysian Helicopter Services Berhad.................. 53,000 48,566
Malaysian International Shipping Corp. (Foreign)...... 85,666 197,953
Malaysian Oxygen Berhad............................... 13,000 67,849
Malaysian Pacific Industries.......................... 23,000 100,797
Malaysian Resources Corp. Berhad...................... 63,000 180,717
Metroplex Berhad...................................... 56,000 61,131
*Mulpha International Berhad.......................... 83,000 66,797
Multi-Purpose Holdings Berhad......................... 86,000 136,367
Nestle (Malaysia) Berhad.............................. 26,000 193,705
New Straits Times Press (Malaysia) Berhad............. 17,000 100,239
Nylex (Malaysia) Berhad............................... 12,000 21,323
OSK Holdings.......................................... 34,000 66,374
Oriental Holdings Berhad.............................. 16,800 127,841
Oyl Industries Berhad................................. 14,000 97,052
Perlis Plantations Berhad............................. 39,500 114,880
Pernas International Holdings Berhad.................. 71,000 66,474
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Perusahaan Otomobil Nasional Berhad................... 62,000 $ 323,586
Petronas Gas Berhad................................... 162,000 587,331
Phileo Allied Berhad.................................. 37,000 73,116
*Phileo Land Berhad................................... 27,000 62,928
Public Bank Berhad (Foreign).......................... 10,666 16,743
RJ Reynolds Berhad.................................... 13,000 34,183
Rashid Hussain Berhad................................. 42,000 269,402
Renong Berhad......................................... 281,000 403,028
Resorts World Berhad.................................. 125,000 418,327
Road Builders (Malaysia) Holdings Berhad.............. 13,000 64,223
Rothmans of Pall Mall Malaysia Berhad................. 32,000 337,849
Sarawak Enterprise Corp. Berhad....................... 136,000 195,060
Shell Refining Co. Federation of Malaysia Berhad...... 32,000 94,343
Sime Darby Berhad (Malaysia).......................... 279,800 914,088
Sime UEP Properties Berhad............................ 21,000 44,343
*Southern Steel Berhad................................ 30,000 80,677
*Sri Hartamas Corp. Berhad............................ 65,000 43,247
Sungei Way Holdings Berhad............................ 43,000 97,649
*Ta Enterprise Berhad................................. 74,000 83,729
Tan Chong Motor Holdings Berhad....................... 57,000 106,279
*Technology Resources (Industries) Berhad............. 86,000 171,315
Telekom Malaysia Berhad............................... 240,000 1,778,486
Tenaga Nasional Berhad................................ 370,000 1,695,219
Time Engineering Berhad............................... 54,000 91,649
Tractors Malaysia Holdings Berhad..................... 22,000 41,195
UMW Holdings Berhad................................... 28,800 148,016
United Engineering (Malaysia) Berhad.................. 86,198 697,139
YTL Corp. Berhad...................................... 84,500 301,305
------------
TOTAL COMMON STOCKS
(Cost $19,579,326)................................... 18,513,234
------------
INVESTMENT IN
CURRENCY -- 1.0%
*Malaysian Ringetts (Cost $2,053,043)................. 2,052,759
------------
RIGHTS/WARRANTS -- 0.0%
*AMMB Holdings Berhad Rights.......................... 2,000 187
*AMMB Holdings Berhad Rights.......................... 181 1
*Cahya Mata Sarawak Berhad Rights..................... 4,400 12,797
*Commerce Asset Holding Berhad Rights 06/04/97........ 11,200 3,570
*Commerce Asset Holding Berhad Rights for Warrants
06/04/97............................................ 7,000 0
*Malaysian Pacific Industries Rights for Guolene Paper
06/04/97............................................ 9,333 837
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 17,392
------------
TOTAL -- MALAYSIA
(Cost $21,632,369)................................... 20,583,385
------------
ARGENTINA -- 9.4%
COMMON STOCKS -- 9.4%
*Acindar Industria Argentina de Aceros SA Series A.... 164,000 388,054
*Alpargatas SA Industrial y Comercial................. 150,000 136,418
*Astra Cia Argentina de Petroleos SA.................. 190,980 378,330
</TABLE>
192
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Bagley y Cia, Ltd. SA Series B........................ 106,228 $ 212,562
Banco de Galicia y Buenos Aires SA Series A........... 140,199 925,776
*Banco del Sud Sociedad Anonima Series B.............. 29,000 455,528
Banco Frances del Rio de la Plata SA.................. 81,477 884,468
*Buenos Aires Embotelladora SA Series B............... 100 7,604
CIADEA SA............................................. 63,798 255,319
Capex SA Series A..................................... 18,000 172,886
*Celulosa Argentina SA Series B....................... 75,000 30,390
Central Costanera SA Series B......................... 20,000 73,037
Central Puerto SA Series B............................ 16,000 50,585
*Corcemar SA Series B................................. 19,226 108,681
Garovaglio y Zorraquin SA............................. 28,000 90,485
*Indupa SA Industrial y Comercial..................... 180,366 214,743
Irsa Inversiones y Representaciones SA................ 73,979 291,623
Juan Minetti SA....................................... 74,265 330,645
Ledesma SA............................................ 135,378 155,763
Metrogas SA Series B.................................. 403,115 401,300
Molinos Rio de la Plata SA Series B................... 103,387 403,411
Naviera Perez Companc SA Series B..................... 379,002 2,900,816
Nobleza-Piccardo Sdad Industrial Comercial y
Financiera Pica..................................... 25,542 136,207
*Sevel Argentina SA Series C.......................... 79,034 158,146
Siderar SAIC Series A................................. 21,280 93,402
Siderca SA Series A................................... 532,000 1,277,439
*Sociedad Comercial del Plata......................... 113,000 393,437
Telecom Argentina Stet-France SA Series B............. 317,000 1,690,455
Telefonica de Argentina SA Series B................... 738,000 2,658,129
Transportadora de Gas del Sur SA Series B............. 398,000 1,003,462
YPF Sociedad Anonima Yacimientos Petroliferos Fiscales
Series D............................................ 130,000 3,888,944
------------
TOTAL COMMON STOCKS
(Cost $14,530,019)................................... 20,168,045
------------
RIGHTS/WARRANTS -- 0.0%
*Corcemar SA Rights 06/04/97
(Cost $0)........................................... 19,226 0
------------
TOTAL -- ARGENTINA
(Cost $14,530,019)................................... 20,168,045
------------
MEXICO -- 9.3%
COMMON STOCKS -- 9.3%
*Altos Hornos de Mexico S.A........................... 97,000 223,110
Apasco S.A. de C.V.................................... 61,000 398,229
*Carso Global Telecom S.A. de C.V. Telecom Series
A1.................................................. 192,000 682,591
Cementos de Mexico S.A. de C.V. Series B.............. 279,000 1,143,674
Cifra S.A. de C.V. Series A........................... 79,376 135,775
Cifra S.A. de C.V. Series C........................... 799,000 1,265,622
Controladora Comercial Mexicana S.A. de C.V. Series
B................................................... 175,000 138,601
Desc S.A. de C.V. Series B............................ 75,000 506,705
Desc S.A. de C.V. Series C............................ 1,381 9,243
El Puerto de Liverpool S.A. Series C1................. 295,500 336,475
SHARES VALUE+
------------ ------------
Empresas ICA Sociedad Controladora S.A. de C.V........ 33,000 $ 476,379
*Empresas la Moderna S.A. de C.V. Series A............ 120,000 590,587
Fomento Economico Mexicano S.A. de C.V. Series B...... 135,000 717,358
*Gruma S.A. de C.V. Series B.......................... 60,466 279,227
Grupo Carso S.A. de C.V. Series A-1................... 203,000 1,153,176
Grupo Celanese SA Series B-1.......................... 120,000 254,757
*Grupo Financiero Banamex Accival S.A. de C.V. Series
B................................................... 385,000 833,907
*Grupo Financiero Banamex Accival S.A. de C.V. Series
L................................................... 13,187 26,160
*Grupo Financiero Bancomer S.A. de C.V. Series B...... 1,246,380 468,339
*Grupo Financiero Bancomer S.A. de C.V. Series L...... 7,792 2,346
*Grupo Financiero GBM Atlantico S.A. de C.V. Series
B................................................... 30,000 23,532
Grupo Financiero Inbursa S.A. de C.V. Series B........ 239,699 832,457
*Grupo Financiero Invermexico S.A. de C.V. Series B... 542,811 30,217
*Grupo Financiero Invermexico S.A. de C.V. Series L... 500 29
*Grupo Financiero Santander Mexicano S.A. de C.V.
Series B............................................ 24,203 14,099
*Grupo Financiero Serfin S.A. de C.V. Series B........ 715,102 226,184
*Grupo Gigante S.A. Series B.......................... 341,400 103,664
Grupo Industrial Alfa S.A. Series A................... 150,290 887,023
Grupo Industrial Bimbo S.A. de C.V. Series A.......... 98,000 657,136
Grupo Mexico S.A. de C.V. Series B.................... 172,000 613,664
Grupo Modelo S.A. de
C.V. -- Series C.................................... 78,000 487,007
*Grupo Televisa S.A. (Certificate Representing Series
A, Series D, + Series L)............................ 70,000 1,002,530
Hylsamex S.A. de C.V. Series B........................ 54,000 261,665
Industrias Penoles S.A. de C.V........................ 103,000 482,161
Kimberly Clark de Mexico S.A. de C.V. Series A........ 225,000 777,138
*Seguros Comercial America S.A. de C.V. Series B...... 63,000 189,701
Telefonos de Mexico S.A. Series A..................... 50,000 110,703
Telefonos de Mexico S.A. Series L..................... 1,420,000 3,158,350
*Tolmex S.A. de C.V. Series B-2....................... 16,000 74,899
*Vitro S.A............................................ 121,600 352,308
------------
TOTAL -- MEXICO
(Cost $16,618,284)................................... 19,926,728
------------
ISRAEL -- 9.3%
COMMON STOCKS -- 9.3%
*Africa-Israel Investments, Ltd....................... 2,840 206,711
*Africa-Israel Investments, Ltd....................... 155 92,808
*Agis Industries (1983), Ltd.......................... 21,736 227,546
American Israeli Paper Mills, Ltd..................... 3,291 141,154
*Bank Hapoalim B.M.................................... 1,082,174 2,448,112
*Bank Leumi Le-Israel................................. 1,244,374 1,928,012
Bezek, Ltd............................................ 635,246 1,704,643
</TABLE>
193
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Blue Square Chain Stores Properties Investment....... 17,894 $ 183,215
CLAL Electronics Industries, Ltd...................... 3,262 391,682
CLAL Industries, Ltd.................................. 122,865 635,515
CLAL Insurance, Ltd................................... 34,785 396,837
CLAL Israel, Ltd...................................... 2,692,000 844,496
Delek Israel Fuel Corp., Ltd. Series C................ 7,802 252,268
Elbit Medical Imaging................................. 17,319 103,356
Elbit Systems, Ltd.................................... 17,319 174,113
Elbit, Ltd............................................ 17,320 48,977
Elite Industries, Ltd................................. 2,700 64,054
Elron Electronic Industries, Ltd...................... 17,833 233,968
First International Bank of Israel.................... 487 394,920
IDB Bankholding Corp., Ltd............................ 32,861 750,172
IDB Development Corp., Ltd. Series A.................. 39,687 983,612
*Israel Chemicals, Ltd................................ 1,054,000 1,294,642
Koor Industries, Ltd.................................. 12,116 1,074,733
*Leumi Holdings Insurance............................. 279,107 197,313
*Makhteshim Chemical Works, Ltd....................... 72,165 465,739
*Matav Cable Israel................................... 19,027 167,521
Osem Investment, Ltd.................................. 62,780 365,965
Property and Building Corp., Ltd...................... 3,099 253,085
Super-Sol, Ltd. Series B.............................. 151,600 511,749
Tadiran, Ltd.......................................... 17,307 471,048
Tambour............................................... 26,898 52,688
Teva Pharmaceutical Industries, Ltd................... 48,650 2,859,902
------------
TOTAL -- ISRAEL
(Cost $15,647,218)................................... 19,920,556
------------
INDONESIA -- 9.1%
COMMON STOCKS -- 9.1%
*PT Asahimas Flat Glass Co., Ltd. (Foreign)........... 75,000 40,107
PT Astra International (Foreign)...................... 234,000 895,187
PT Bakrie & Brothers (Foreign)........................ 1,034,000 499,774
PT Bank Dagang Nasional Indonesia (Foreign)........... 430,500 464,855
PT Bank Danamon (Foreign)............................. 560,500 553,353
PT Bank International Indonesia (Foreign)............. 687,993 566,017
PT Bank Niaga (Foreign)............................... 62,400 179,679
PT Barito Pacific Timber (Foreign).................... 672,000 608,145
PT Bimantara Citra (Foreign).......................... 393,000 670,897
*PT Charoen Pokphand Indonesia........................ 76,000 38,297
PT Ciputra Development (Foreign)...................... 132,000 116,742
PT Citra Marga Nusaphala Persada (Foreign)............ 214,000 213,472
PT Dankos Laboratories (Foreign)...................... 21,000 17,709
PT Duta Pertiwi (Foreign)............................. 200,000 84,328
PT Gadjah Tunggal (Foreign)........................... 298,000 144,035
PT GT Petrochem Industries TBK (Foreign).............. 35,000 14,757
PT Hanjaya Mandala Sampoerna (Foreign)................ 356,500 1,440,811
*PT Hero Supermarket (Foreign)........................ 78,000 78,610
PT Indah Kiat Pulp & Paper Corp. (Foreign)............ 462,441 342,408
PT Indocement Tunggal Prakarsa (Foreign).............. 621,000 766,351
PT Indofood Sukses Makmur (Foreign)................... 393,600 886,450
SHARES VALUE+
------------ ------------
PT Indorama Synthetics (Foreign)...................... 365,580 $ 308,284
PT Indosat (Foreign).................................. 373,500 1,113,894
*PT Inti Indorayon Utama (Foreign).................... 257,000 177,077
*PT Jakarta International Hotel and Development
(Foreign)........................................... 362,500 357,877
PT Japfa Comfeed Indonesia (Foreign).................. 29,000 18,490
PT Jaya Real Property (Foreign)....................... 100,000 139,860
PT Kabelmetal Indonesia (Foreign)..................... 106,000 44,694
PT Kalbe Farma (Foreign).............................. 150,000 172,768
PT Kawasan Industri Jababeka (Foreign)................ 260,333 313,235
PT Lippo Bank (Foreign)............................... 428,000 431,345
PT Lippo Land Development (Foreign)................... 174,000 207,569
PT Matahari Putra Prima (Foreign)..................... 136,000 241,958
PT Mayora Indah (Foreign)............................. 288,720 133,612
PT Modern Photo Film Co. (Foreign).................... 77,000 280,317
PT Mulia Industrindo (Foreign)........................ 850,680 428,664
PT Pabrik Kertas Tjiwi Kimia (Foreign)................ 107,125 109,064
PT Pakuwon Jati (Foreign)............................. 312,000 125,134
PT Panasia Indosyntec (Foreign)....................... 103,600 26,635
PT Perusahaan Rokok TPAJ Gudang Garam (Foreign)....... 282,000 1,218,017
PT Polysindo Eka Perkasa (Foreign).................... 481,000 252,273
PT Semen Cibinong (Foreign)........................... 33,000 82,466
PT Semen Gresik (Foreign)............................. 213,500 526,944
PT Summarecon Agung (Foreign)......................... 85,280 49,112
PT Tambang Timah (Persero) (Foreign).................. 252,000 404,278
PT Telekomunikasi Indonesia (Persero) (Foreign)....... 2,064,500 3,481,880
PT Tempo Scan Pacific (Foreign)....................... 19,500 41,711
PT Tigaraksa Satria (Foreign)......................... 25,200 34,208
*PT Unggul Indah Corp. (Foreign)...................... 55,000 73,812
PT United Tractors (Foreign).......................... 15,000 47,203
------------
TOTAL COMMON STOCKS
(Cost $17,862,242)................................... 19,464,365
------------
RIGHTS/WARRANTS -- 0.0%
*PT Bank Dagang Nasional Indonesia (Foreign) Warrants
02/14/00............................................ 61,500 25,045
*PT Bank International Indonesia (Foreign) Warrants
01/17/00............................................ 61,154 22,640
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 47,685
------------
INVESTMENT IN
CURRENCY -- 0.0%
*Indonesian Rupee (Cost $2)........................... 2
------------
TOTAL -- INDONESIA
(Cost $17,862,244)................................... 19,512,052
------------
SOUTH KOREA -- 8.7%
COMMON STOCKS -- 8.7%
*A-Nam Industrial Co., Ltd............................ 9,640 147,391
*Asia Motors Co., Inc................................. 16,640 88,859
Bank of Pusan......................................... 12,200 93,540
*Cheil Jedang Corp.................................... 4,374 211,447
Chong Kun Dang........................................ 1,100 58,370
*Chosun Brewery Co., Ltd.............................. 2,870 71,952
</TABLE>
194
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Commercial Bank of Korea Co., Ltd..................... 86,700 $ 455,187
Daegu Bank Co., Ltd................................... 22,490 197,467
Daelim Industrial Co., Ltd............................ 16,100 164,710
*Daesung Industrial Co., Ltd.......................... 1,570 81,898
*Daewoo Corp.......................................... 57,670 445,411
Daewoo Electronics Co., Ltd........................... 39,930 291,788
*Daewoo Heavy Industries, Ltd......................... 72,700 619,523
*Daewoo Motor Sales Corp.............................. 9,480 119,366
*Daewoo Securities Co., Ltd........................... 25,160 325,284
*Daewoo Telecom Co., Ltd.............................. 9,570 92,203
*Dong-Ah Construction Industrial Co., Ltd............. 19,270 402,948
*Dongkuk Steel Mill Co., Ltd.......................... 11,930 281,653
*Dongsuh Securities Co., Ltd.......................... 17,800 155,687
Dongwon Securities Co., Ltd........................... 11,250 147,976
Han Il Cement Manufacturing Co., Ltd.................. 2,560 132,389
*Han Kook Tire Manufacturing Co., Ltd................. 2,206 95,978
*Hanil Bank........................................... 50,620 312,996
*Hanjin Shipping Co., Ltd............................. 4,220 101,052
*Hankook Caprolactam Corp............................. 590 66,661
Hansol Paper Co., Ltd................................. 8,850 196,998
*Hanwha Chemical Corp................................. 14,912 134,112
Hyosung T & C Co., Ltd................................ 4,000 113,322
*Hyundai Engineering & Construction Co., Ltd.......... 24,510 570,384
*Hyundai Fire & Marine Insurance Co., Ltd............. 4,550 189,264
*Hyundai Motor Co., Ltd............................... 9,220 282,975
*Hyundai Motor Service Co., Ltd....................... 7,470 193,153
Hyundai Precision Industry Co., Ltd................... 11,740 200,616
*Hyundai Securities Co., Ltd.......................... 13,186 194,195
*Inchon Iron & Steel CO Ltd........................... 4,945 110,074
*Keumkang Co., Ltd.................................... 3,060 137,949
*Kia Motors Corp...................................... 29,110 530,165
*Kolon Industries, Inc................................ 3,090 61,835
*Koram Bank, Ltd...................................... 21,930 305,713
*Korea Chemical Co., Ltd.............................. 1,020 82,563
*Korea Electric Power Corp............................ 31,150 963,041
Korea Exchange Bank................................... 78,210 519,641
Korea Express Co., Ltd................................ 7,340 166,687
Korea First Bank Inc., Ltd............................ 83,640 364,838
*Korea Long Term Credit Bank.......................... 6,300 89,241
*Korea Zinc Co., Ltd.................................. 8,770 198,175
*Korean Air........................................... 3,000 55,312
*Kyong Nam Bank....................................... 10,490 97,883
*LG Cable & Machinery, Ltd............................ 11,900 193,985
LG Chemical, Ltd...................................... 37,110 508,985
*LG Construction, Ltd................................. 14,120 236,524
LG Electronics, Inc................................... 38,390 651,702
*LG Industrial Systems, Ltd........................... 10,370 206,351
*LG Insurance Co., Ltd................................ 2,210 135,408
*LG Securities Co., Ltd............................... 20,480 216,427
*Oriental Chemical Industries Co., Ltd................ 5,720 146,617
Pacific Chemical Co., Ltd............................. 4,330 105,633
*Pohang Iron & Steel Co., Ltd......................... 2,580 169,970
*SK Telecom Co., Ltd.................................. 130 55,318
*Sam Yang Corp........................................ 3,510 89,970
*Samchully Co., Ltd................................... 1,233 90,656
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Samsung Aerospace Industrial Co., Ltd................ 16,570 $ 176,970
Samsung Corp.......................................... 33,000 430,354
*Samsung Display Devices, Ltd......................... 6,230 315,877
*Samsung Electro-Mechanics Co., Ltd................... 5,577 151,730
*Samsung Electronics Co., Ltd......................... 2,770 208,645
*Samsung Fine Chemicals............................... 2,290 121,515
*Samsung Fire & Marine Insurance...................... 350 112,142
*Samsung Heavy Industries Co.,
Ltd................................................. 37,670 398,087
*Seondo Electric Co., Ltd............................. 880 170,163
*Seoul Bank........................................... 83,640 349,793
*Shinhan Bank Co., Ltd................................ 490 5,729
*Shinsegae Department Store........................... 5,710 217,616
*Ssangyong Cement Industry Co., Ltd................... 8,130 85,459
*Ssangyong Investment Securities Co., Ltd............. 7,380 69,278
*Ssangyong Motor Co................................... 29,100 173,390
*Ssangyong Oil Refining Co., Ltd...................... 15,090 313,845
*Sungmi Telecom Electronics Co., Ltd.................. 930 121,804
*Sunkyong, Ltd........................................ 8,450 103,547
*Tae Kwang Industrial Co., Ltd........................ 420 174,705
*Tae Young Corp....................................... 3,280 169,255
*Tai Han Electric Wire Co............................. 5,990 86,197
*Trigem Computer, Inc................................. 3,210 75,784
*Young Poong Mining & Construction Corp............... 3,296 161,187
*Yukong, Ltd.......................................... 28,820 648,004
------------
TOTAL COMMON STOCKS
(Cost $16,523,740)................................... 18,568,494
------------
RIGHTS/WARRANTS -- 0.0%
*Daegu Bank Co., Ltd. Rights 07/01/97................. 7,833 14,178
*Samsung Electronics Co., Ltd. Rights 06/29/97........ 45 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 14,178
------------
TOTAL -- SOUTH KOREA
(Cost $16,523,740)................................... 18,582,672
------------
PHILIPPINES -- 7.0%
COMMON STOCKS -- 7.0%
*Aboitiz Equity Ventures, Inc......................... 2,376,400 178,568
Ayala Land, Inc. Series B............................. 1,661,250 1,323,956
Bacnotan Consolidated Industries, Inc................. 47,450 87,337
*Belle Corp........................................... 1,711,000 454,535
C & P Homes, Inc...................................... 1,963,500 745,161
*Centennial City, Inc................................. 3,285,000 236,869
*DMCI Holdings, Inc................................... 694,000 421,404
Far East Bank and Trust Co. (Foreign)................. 255,600 649,913
Fil-Estate Land, Inc.................................. 1,252,000 308,843
*Filinvest Land, Inc.................................. 2,193,000 499,355
Guoco Holdings (Philippines), Inc..................... 1,080,000 129,108
*International Container Terminal Services, Inc....... 471,000 254,715
Ionics Circuits, Inc.................................. 154,600 86,541
</TABLE>
195
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
La Tondena Distillers, Inc............................ 199,000 $ 509,772
*Megaworld Properties & Holdings, Inc................. 1,695,000 225,142
Metro Pacific Corp.................................... 1,481,000 387,814
Metropolitan Bank & Trust Co.......................... 87,511 1,976,055
*Mondragon International Philippines, Inc............. 340,700 116,368
Petron Corp........................................... 4,818,000 1,316,493
Philippine Long Distance Telephone Co................. 55,660 1,647,621
*Philippine National Bank............................. 83,875 553,861
*Philippine Savings Bank.............................. 100,000 159,393
*Pilipino Telephone Corp.............................. 628,500 244,483
RFM Corp.............................................. 974,000 225,480
Republic Glass Holding Corp........................... 331,250 34,571
*Robinson's Land Corp. Series B....................... 1,132,000 146,065
SM Prime Holdings, Inc................................ 4,415,000 1,256,641
*Security Bank Corp................................... 122,350 190,374
*Southeast Asia Cement Holdings, Inc.................. 3,098,780 145,825
*Union Bank of the Philippines........................ 283,200 252,569
*Universal Robina Corp................................ 908,000 341,146
------------
TOTAL COMMON STOCKS
(Cost $19,225,782)................................... 15,105,978
------------
PREFERRED STOCKS -- 0.0%
*RFM Corp. (Cost $31,500)............................. 177,090 31,453
------------
TOTAL -- PHILIPPINES
(Cost $19,257,282)................................... 15,137,431
------------
THAILAND -- 5.6%
COMMON STOCKS -- 5.6%
*Adkinson Securities Public Co., Ltd. (Foreign)....... 2,100 1,986
*Advance Agro Public Co., Ltd. (Foreign).............. 100,000 215,292
Advanced Info Service Public Co., Ltd. (Foreign)...... 147,100 1,035,916
Amarin Plaza Public Co., Ltd. (Foreign)............... 7,400 2,561
Asia Securities Trading Public Co., Ltd. (Foreign).... 52,300 70,505
Ayudhya Insurance Public Co., Ltd. (Foreign).......... 1,000 7,847
*Bangkok Bank of Commerce Public Co., Ltd.
(Foreign)........................................... 152,949 32,621
*Bangkok Expressway Public Co., Ltd. (Foreign)........ 488,500 501,278
Bangkok Land Public Co., Ltd. (Foreign)............... 65,200 26,893
Bangkok Metropolitan Bank Public Co., Ltd.
(Foreign)........................................... 732,794 235,910
*Bangkok Rubber Public Co., Ltd. (Foreign)............ 14,600 2,409
*Bangkok Steel Industry Public Co., Ltd. (Foreign).... 20,000 7,646
Bank of Asia Public Co., Ltd. (Foreign)............... 12,870 10,876
Bank of Ayudhya Public Co., Ltd. (Foreign)............ 223,250 467,163
Banpu Public Co., Ltd. (Foreign)...................... 33,400 462,358
Berli Jucker Public Co., Ltd. (Foreign)............... 10,100 36,173
SHARES VALUE+
------------ ------------
Capital Nomura Securities Public Co., Ltd.
(Foreign)........................................... 14,000 $ 6,338
Charoen Pokphand Feedmill Public Co., Ltd.
(Foreign)........................................... 14,000 36,056
*Christiani and Nielson (Thai) Public Co., Ltd.
(Foreign)........................................... 7,097 1,228
*Compass East Industry (Thailand) Public Co., Ltd.
(Foreign)........................................... 2,400 9,392
Dusit Thani Public Co., Ltd. (Foreign)................ 8,933 5,886
Ekachart Finance and Securities Co., Ltd. (Foreign)... 10,200 7,081
First Bangkok City Bank Public Co., Ltd. (Foreign).... 416,550 385,539
First City Investment Public Co., Ltd. (Foreign)...... 44,200 12,629
Five Stars Property Public Co., Ltd. (Foreign)........ 3,800 2,753
*GSS Array Technology Public Co., Ltd. (Foreign)...... 3,200 5,795
General Finance and Securities Public Co., Ltd.
(Foreign)........................................... 46,300 20,029
Grammy Entertainment Public Co., Ltd. (Foreign)....... 18,000 212,958
Hana Microelectronics Co., Ltd. (Foreign)............. 6,000 29,940
Hemaraj Land and Development Public Co., Ltd.
(Foreign)........................................... 27,500 95,724
*ITF Finance and Securities Public Co., Ltd........... 8,025 1,033
*International Broadcasting Corp. Public Co., Ltd.
(Foreign)........................................... 2,900 1,663
International Cosmetics Public Co., Ltd. (Foreign).... 3,500 12,676
International Engineering Public Co., Ltd.
(Foreign)........................................... 2,000 1,710
Italian-Thai Development Public Co., Ltd. (Foreign)... 158,300 286,660
Jasmine International Public Co., Ltd. (Foreign)...... 190,400 178,141
*Juldis Develop Public Co., Ltd. (Foreign)............ 1,000 145
Kiatnakin Finance and Securities Public Co., Ltd.
(Foreign)........................................... 12,800 6,310
Krisda Mahanakorn Public Co., Ltd. (Foreign).......... 23,300 8,157
Krung Thai Bank Public Co., Ltd. (Foreign)............ 758,770 900,753
Land and House Public Co., Ltd. (Foreign)............. 1,000 1,268
MK Real Estate Development Public Co., Ltd.
(Foreign)........................................... 2,925 2,178
Mutual Fund Public Co., Ltd. (Foreign)................ 500 1,972
*NTS Steel Group Public Co., Ltd. (Foreign)........... 35,500 3,714
Nakornthon Bank Public Co., Ltd. (Foreign)............ 64,134 125,816
National Finance and Securities Public Co., Ltd.
(Foreign)........................................... 122,400 105,899
*Natural Park Public Co., Ltd. (Foreign).............. 192,700 39,936
</TABLE>
196
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*New Imperial Hotel Public Co., Ltd. (Foreign)........ 30,000 $ 27,163
*Padaeng Industry Public Co., Ltd (Foreign)........... 7,800 2,951
Phatra Thanakit Public Co., Ltd. (Foreign)............ 140,400 230,233
*Phoenix Pulp and Paper Public Co., Ltd. (Foreign).... 52,700 48,246
*Poonipat Finance and Securities Public Co., Ltd.
(Foreign)........................................... 4,987 1,766
Power-P Public Co., Ltd. (Foreign).................... 1,600 6,020
Premier Enterprises Public Co., Ltd. (Foreign)........ 6,000 4,376
*Property Perfect Public Co., Ltd. (Foreign).......... 26,050 8,491
Quality Houses Public Co., Ltd. (Foreign)............. 18,000 6,592
Regional Container Lines Public Co., Ltd. (Foreign)... 500 3,541
Robinson Department Store Public Co., Ltd.
(Foreign)........................................... 24,700 7,455
Saha-Union Public Co. Ltd. (Foreign).................. 48,700 34,296
Sammakorn Public Co., Ltd. (Foreign).................. 7,500 4,225
Sanyo Universal Electric Public Co., Ltd. (Foreign)... 6,500 9,547
Securities One Public Co., Ltd. (Foreign)............. 76,630 59,361
Serm Suk Public Co., Ltd. (Foreign)................... 1,000 14,326
Shangri-la Hotel Public Co., Ltd. (Foreign)........... 12,000 8,149
Shinawatra Computer and Communications Public Co.,
Ltd. (Foreign)...................................... 87,300 418,056
Siam Cement Public Co., Ltd. (Foreign)................ 27,000 582,374
Siam City Bank Public Co., Ltd. (Foreign)............. 370,000 249,396
Siam City Cement Public Co., Ltd...................... 12,000 43,944
Siam City Cement Public Co., Ltd. (Foreign)........... 63,000 230,704
Siam Commercial Bank Public Co., Ltd. (Foreign)....... 5,000 26,559
Siam Makro Public Co., Ltd. (Foreign)................. 59,000 148,390
Siam Pulp & Paper Co., Ltd. (Foreign)................. 46,200 85,521
*Sino-Thai Engineering and Construction Public Co.,
Ltd. (Foreign)...................................... 2,900 4,376
*Somprasong Land Public Co., Ltd. (Foreign)........... 5,400 1,652
Srithai Superware Public Co., Ltd. (Foreign).......... 16,400 54,777
Swedish Motors Corp. Public Co., Ltd. (Foreign)....... 7,000 4,225
TPI Polene Public Co., Ltd. (Foreign)................. 129,238 191,127
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Tanayong Public Co., Ltd. (Foreign)................... 46,000 $ 16,845
*Telecomasia Corp. Public Co., Ltd. (Foreign)......... 903,200 1,044,950
Thai Carbon Black Public Co., Ltd. (Foreign).......... 5,000 18,763
*Thai German Ceramic Industry Public Co., Ltd.
(Foreign)........................................... 11,100 6,365
Thai Glass Industries Public Co., Ltd. (Foreign)...... 15,400 40,901
Thai Military Bank Public Co., Ltd. (Foreign)......... 322,100 392,094
Thai Petrochemical Industry Public Co., Ltd.
(Foreign)........................................... 1,234,260 980,951
Thai Plastic and Chemicals Public Co., Ltd.
(Foreign)........................................... 29,300 100,221
*Thai Telephone & Telecommunication Public Co., Ltd.
(Foreign)........................................... 450,000 212,777
Thaimex Finance and Securities Public Co., Ltd.
(Foreign)........................................... 4,100 2,021
Tipco Asphalt Public Co., Ltd. (Foreign).............. 69,700 330,970
*Tuntex (Thailand) Public Co., Ltd. (Foreign)......... 91,828 66,515
United Communication Industry Public Co., Ltd.
(Foreign)........................................... 145,800 662,994
Wattachak Public Co., Ltd. (Foreign).................. 24,300 7,432
------------
TOTAL -- THAILAND
(Cost $25,744,692)................................... 12,028,451
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- 2.0%
Repurchase Agreement, Chase Manhattan Bank N.A. 5.30%,
06/02/97 (Collateralized by U.S. Treasury Notes
6.25%, 07/31/98)
(Cost $4,322,000)................................... $ 4,322 4,322,000
------------
TOTAL INVESTMENTS -- (101.6%)
(Cost $198,889,940)++................................ 218,156,829
------------
OTHER ASSETS AND
LIABILITIES -- (-1.6%)
Other Assets.......................................... 1,832,243
Payable for Investment Securities Purchased........... (5,044,926)
Other Liabilities..................................... (146,523)
------------
(3,359,206)
------------
NET ASSETS -- 100.0%................................... $214,797,623
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
197
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
BRAZIL -- (14.7%)
PREFERRED STOCKS -- (13.3%)
*Acos Villares SA..................................... 120,000 $ 25,787
*Alpargatas-Santista Textil SA........................ 300,000 43,446
BS Continental SA Utilidades Domesticas............... 1,500,000 27,469
Banco America do Sul SA............................... 610,000 51,294
Banco Bandeirantes SA................................. 700,000 37,148
Banco Mercantil do Brasil SA.......................... 130,000 20,648
Banco Noroeste SA..................................... 70,000 54,284
Banco Real SA......................................... 66,000 47,483
*CELG Series B........................................ 1,080,000 171,541
COFAP (Cia Fabricadora De Pecas)...................... 6,000 61,665
Cambuci SA............................................ 84,000 17,266
Confab Industrial SA.................................. 27,000 42,885
Consorcio Real Brasileiro de Administracao SA Series
F................................................... 19,000 37,279
Distribuidora de Produtos Petreleo Ipirangi SA........ 3,900,000 63,403
ENERSUL Empresa Energetjica de Mato Grosso do Sul SA
Series B............................................ 9,200,000 49,855
*ENERSUL Empresa Energetjica de Mato Grosso do Sul SA
Subscription Receipts............................... 3,956,000 20,920
Electrolux do Brasil SA............................... 40,600,000 69,418
*Embraer Empresa Brasileira de Aeronautica Series A... 7,200,000 104,270
Forca Luz Cataguazes Leopoldina Series A.............. 23,400,000 40,665
*Francisco Stedile SA Series A........................ 20,200,000 41,332
Frigobras Cia Brasileira de Frigorificos.............. 75,000 58,161
Gerdau SA............................................. 12,500,000 200,645
*Gradiente Eletronica SA.............................. 260,000 25,203
Industria de Bebidas Antarctica Minas Gerais
Antarctic........................................... 171,000 68,700
*Industria de Bebidas Antarctica Polar SA............. 23,000 40,830
Industrias Villares SA................................ 58,000 37,179
Inepar SA Industria e Construcoes..................... 28,900,000 43,743
Iven SA............................................... 148,000 96,795
Lojas Renner SA....................................... 900,000 52,135
Manah SA.............................................. 900,000 40,615
Marcopolo SA.......................................... 200,000 36,252
Marisol SA Industria do Vestuario..................... 36,000 31,954
*Metalurgica Barbara.................................. 25,300,000 60,041
Metalurgica Gerdau SA................................. 1,500,000 60,264
Mineracao da Trinidade Samitri........................ 2,508,000 83,655
Oxiteno SA Industria e Comercio....................... 12,000 29,151
*Paranapanema SA...................................... 6,200,000 52,135
Perdigao SA Comercio e Industria...................... 55,000,000 113,052
Pirelli Cabos SA...................................... 29,000 224,619
Pirelli Pneus SA...................................... 33,000 103,289
*Randon Participacoes SA.............................. 51,000,000 40,026
Refinaria de Petroleo Ipiranga SA..................... 3,600,000 35,284
Renner Herrmann SA.................................... 28,000 29,823
*Serrana SA........................................... 55,000 35,457
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Sharp SA Equipamentos Eletronicos.................... 30,200,000 $ 29,627
Siderurgica Belgo-Mineira............................. 1,100,000 75,026
*Siderurgica Paulista Casipa Series B................. 107,000 60,983
Siderurgica Riograndense SA........................... 2,910,000 95,160
*Sociedade de Participacoes Cimenteiras SA............ 55,000 97,636
Tam Transportes Aereos Regionais SA................... 1,150,000 73,053
*Varig SA Viacao Aerea Riograndense................... 16,000 29,599
Weg SA................................................ 165,000 94,039
Wembley Roupas SA..................................... 10,300,000 88,536
*Wentex Textil SA..................................... 22,000 108,941
------------
TOTAL PREFERRED STOCKS (Cost $2,753,550)............... 3,379,666
------------
COMMON STOCKS -- (1.4%)
Acos Especiais Itabira-Acesita Aces................... 42,900,000 84,173
Avipal SA Avicultura e Agropecua...................... 15,900,000 54,520
Makro Atacadista SA................................... 47,000 58,404
*Mannesmann SA........................................ 215,000 28,927
Monteiro Aranha SA.................................... 2,700,000 83,248
Rhodia Ster SA........................................ 124,000 35,915
*Sao Paulo Alpargatas SA.............................. 510,000 21,919
------------
TOTAL COMMON STOCKS (Cost $312,550).................... 367,106
------------
RIGHTS/WARRANTS -- (0.0%)
*BS Continental SA Utilidades Domesticas Rights....... 50,772 0
*Monteiro Aranha SA Rights 06/26/97................... 168,168 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................
------------
TOTAL -- BRAZIL
(Cost $3,066,100).................................... 3,746,772
------------
ISRAEL -- (14.0%)
COMMON STOCKS -- (13.9%)
*Agis Industries (1983), Ltd.......................... 27,000 282,653
Azorim Investment Development & Construction Co.,
Ltd................................................. 10,710 125,243
Baran................................................. 9,500 74,715
*Dead Sea Periclase................................... 13,028 63,012
Delek Automotive Systems, Ltd......................... 75,000 138,296
*Discount Mortgage Bank, Ltd.......................... 1,320 105,926
*Elco Industries (1975)............................... 6,000 106,483
*Electra Consumer..................................... 20,300 153,376
*Electra Israel, Ltd.................................. 3,000 143,889
Electric Wire & Cable Co. of Israel, Ltd.............. 12,800 47,243
Feuchtwanger Industies................................ 224 31,819
*Formula Systems...................................... 6,570 116,715
*Israel General Bank, Ltd............................. 3,222 107,160
*Israel Land Development Co., Ltd..................... 26,000 123,073
Israel Petrochemical Enterprises, Ltd................. 32,500 206,015
*Israel Salt Industries............................... 38,139 103,242
*J.O.E.L. Jerusalem Oil Exploration, Ltd.............. 61,782 23,931
</TABLE>
198
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Maman Cargo Terminals & Handling, Ltd................. 33,600 $ 73,437
*Matav Cable Israel................................... 14,000 123,261
Mehadrin, Ltd......................................... 3,887 118,102
*Middle East Tube Co.................................. 19,000 24,961
Miloumor.............................................. 12,658 63,609
*Mishkan Hapoalim Mortgage Bank, Ltd. Series B........ 1,440 251,708
Mul-t-lock, Ltd....................................... 20,500 61,834
*Naphta Israel Petroleum Corp......................... 10,563 18,669
*Nice Systems, Ltd.................................... 5,785 164,336
*Ormat Industries..................................... 54,000 61,080
*Rapac Electronics, Ltd............................... 6,000 41,639
Tambour............................................... 64,000 125,365
*Tefahot Israel Mortgage Bank, Ltd.................... 330 257,389
*Tempo Beer Industries, Ltd........................... 9,027 43,980
Ytong Industries, Ltd................................. 52,500 140,571
------------
TOTAL COMMON STOCKS (Cost $2,893,080).................. 3,522,732
------------
RIGHTS/WARRANTS -- (0.1%)
*Azorim Investment Development and Construction Co.,
Ltd. Rights (Cost $0)............................... 3,094 22,246
------------
TOTAL -- ISRAEL
(Cost $2,893,080).................................... 3,544,978
------------
INDONESIA -- (13.2%)
COMMON STOCKS -- (13.1%)
PT Aneka Kimia Raya (Foreign)......................... 49,000 25,195
PT Anwar Siered (Foreign)............................. 58,000 19,087
PT Apac Centertex Corp. (Foreign)..................... 122,000 37,639
PT Argha Prima Industry (Foreign)..................... 90,666 53,146
*PT Asahimas Flat Glass Co., Ltd. (Foreign)........... 65,000 34,759
PT Bakrie Sumatra Plantations (Foreign)............... 49,000 40,313
*PT Bank Indonesia Raya (Foreign)..................... 74,000 113,390
PT Bank International Indonesia (Foreign)............. 78,329 64,442
PT Bank Mashill Utama (Foreign)....................... 44,200 34,091
PT Bank Niaga (Foreign)............................... 23,000 66,228
PT Bank PDFCI (Foreign)............................... 44,000 39,819
PT Bank Tiara Asia (Foreign).......................... 43,000 52,180
PT Bayu Buana Travel Service (Foreign)................ 68,000 43,357
PT Berlian Laju Tanker (Foreign)...................... 36,400 38,182
PT Branta Mulia (Foreign)............................. 33,000 38,857
PT Bukaka Teknik Utama (Foreign)...................... 36,000 21,843
PT Ciputra Development (Foreign)...................... 75,000 66,331
PT Citra Marga Nusaphala Persada (Foreign)............ 75,000 74,815
PT Darya-Varia Laboratoria (Foreign).................. 33,000 42,760
*PT Davomas Abadi (Foreign)........................... 40,000 48,540
PT Dharmala Agrifood (Foreign)........................ 37,000 23,591
PT Dharmala Intiland (Foreign)........................ 73,000 106,602
PT Dharmala Sakti Sejahtera (Foreign)................. 129,333 135,664
PT Duta Angadda Realty (Foreign)...................... 66,000 60,407
PT Duta Pertiwi (Foreign)............................. 132,000 55,656
PT Ever Shine Textile (Foreign)....................... 75,000 27,766
PT Fajar Surya Wisesa (Foreign)....................... 53,000 20,167
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
PT Ficorinvest Bank (Foreign)......................... 56,000 $ 37,433
PT Gadjah Tunggal (Foreign)........................... 118,000 57,034
PT Gajah Surya Multi Finance (Foreign)................ 182,000 121,658
*PT Great River International (Foreign)............... 93,000 56,427
PT GT Petrochem Industries TBK (Foreign).............. 123,000 51,861
*PT Hero Supermarket (Foreign)........................ 33,000 33,258
*PT Indal Aluminum Industry (Foreign)................. 47,000 16,917
*PT Inti Indorayon Utama (Foreign).................... 63,000 43,408
*PT Jakarta International Hotel and Development
(Foreign)........................................... 57,000 56,273
PT Kalbe Farma (Foreign).............................. 64,000 73,715
PT Karwell Indonesia (Foreign)........................ 46,000 19,868
PT Kawasan Industri Jababeka (Foreign)................ 47,000 56,551
PT Keramika Indonesia Assosiasi (Foreign)............. 40,000 28,795
PT Lippo Life Insurance (Foreign)..................... 115,000 144,282
PT Lippo Securities (Foreign)......................... 194,000 145,640
PT Matahari Putra Prima (Foreign)..................... 33,000 51,584
PT Mayora Indah (Foreign)............................. 114,000 52,756
PT Medco Energi Corp. (Foreign)....................... 24,000 39,243
PT Miwon Indonesia (Foreign).......................... 20,000 24,887
PT Modern Bank (Foreign).............................. 31,000 27,098
PT Modern Photo Film Co. (Foreign).................... 20,000 72,810
PT Multipolar Corp. (Foreign)......................... 70,000 55,430
PT Ometraco Corp. (Foreign)........................... 38,000 33,803
PT Pabrik Kertas Tjiwi Kimia (Foreign)................ 50,000 50,905
PT Pakuwon Jati (Foreign)............................. 63,000 25,267
PT Panasia Indosyntec (Foreign)....................... 79,000 20,311
PT Perdana Cipta Multi Finance (Foreign).............. 52,000 28,877
PT Plaza Indonesia Realty (Foreign)................... 20,000 15,220
PT Prasidha Aneka Niaga (Foreign)..................... 28,000 36,857
PT Pudjiadi Prestige (Foreign)........................ 45,500 16,845
*PT Putra Sejahtera Pioneerindo (Foreign)............. 29,000 27,736
PT Sekar Bumi (Foreign)............................... 30,000 29,617
PT Sinar Mas Agro Resources and Technology Corp.
(Smart Corp.) (Foreign)............................. 62,000 45,269
PT Sorini Corp. (Foreign)............................. 43,000 17,688
PT Surabaya Agung Industri Pulp & Paper (Foreign)..... 64,500 21,226
PT Suryamas Dutamakmur (Foreign)...................... 125,000 33,422
PT Tamara Bank (Foreign).............................. 24,000 28,137
PT Tempo Scan Pacific (Foreign)....................... 22,000 47,059
PT Texmaco Jaya (Foreign)............................. 93,000 51,645
PT Ultra Jaya Melk (Foreign).......................... 52,000 27,273
*PT Unggul Indah Corp. (Foreign)...................... 19,000 25,499
PT United Tractors (Foreign).......................... 20,000 62,937
PT Wicaksana Overseas International (Foreign)......... 17,000 20,629
------------
TOTAL COMMON STOCKS
(Cost $2,980,237).................................... 3,317,977
------------
</TABLE>
199
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.1%)
*PT Bank International Indonesia (Foreign) Warrants
01/17/00............................................ 6,962 $ 2,577
*PT Karwell Indonesia (Foreign) Rights 07/04/97....... 92,000 20,815
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 23,392
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Indonesian Rupee (Cost $5)........................... 5
------------
TOTAL -- INDONESIA
(Cost $2,980,242).................................... 3,341,374
------------
TURKEY -- (12.1%)
COMMON STOCKS -- (11.9%)
Akal Tekstil A.S...................................... 353,000 16,260
Aksigorta A.S......................................... 2,045,000 127,532
Aksu Iplik Dokuma ve Boya Apre Fab A.S................ 634,500 20,009
*Aktas Elektrik Ticaret A.S........................... 131,000 190,313
Alarko Holding........................................ 498,000 57,349
Alarko Sanayii ve Ticaret A.S......................... 374,000 42,407
Altinyildiz Mensucat ve Konfeksiyan Fabrikalari
A.S................................................. 366,000 39,554
*Anadolu Anonim Turk Sigorta Sirketi.................. 1,254,000 30,215
Bagfas................................................ 110,000 22,996
Bekoteknik Sanayi A.S................................. 872,000 108,143
Bolu Cimento Sanayi A.S............................... 797,000 26,828
Borusan............................................... 385,000 17,462
Bossa Ticaret ve Sanayi Isletmeleri A.S............... 2,255,000 48,740
Bursa Cimento Fabrikasi A.S........................... 275,000 38,002
*CIMSA A.S. (Cimento Sanayi ve Ticaret)............... 600,000 75,473
Cimentas A.S.......................................... 458,000 60,045
*Deva Holding A.S..................................... 1,732,300 16,266
Dogan Sirketler Grubu Holdings A.S.................... 5,327,000 115,140
Doktas................................................ 220,000 30,402
*Eczacibasi Ilac...................................... 1,547,000 72,356
*Eczacibasi Yapi Gere................................. 750,000 22,589
*Ege Seramik Co., Inc................................. 726,000 21,094
*Egeplast............................................. 193,000 14,703
Enka Holding.......................................... 321,000 70,520
Es Kisehir Bankasi Esbank............................. 4,743,000 33,612
Finansbank............................................ 5,746,000 61,080
Good Year Lastikleri A.S.............................. 266,000 93,310
Gubre Fabrikalari Ticaret A.S......................... 216,000 14,848
Gunes Sigorta A.S..................................... 1,095,000 28,712
*Guney Biracilik...................................... 488,000 23,862
*Hektas Ticaret A.S................................... 545,000 18,539
Hurriyet Gazette...................................... 632,000 34,934
*Izmir Demir Celik.................................... 3,977,000 45,799
*Karsu Tekstil........................................ 284,000 24,655
Kartonsan............................................. 998,750 56,623
Kav Orman Sanayii A.S................................. 1,092,000 28,246
Kent Gida Maddeleri Sanayii ve Ticaret A.S............ 544,000 50,117
Kepez Elektrik Ticaret A.S............................ 61,000 112,395
*Kerevitas Gida Sanayi ve Ticaret A.S................. 422,000 16,448
Konya Cimento......................................... 185,000 18,027
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Kordsa Kord Bezi Sanayi ve Ticaret A.S................ 206,000 $ 67,153
Marshall Boya ve Vernik Sanayii A.S................... 317,000 39,313
*Medya Holdings A.S. Series C......................... 2,935,000 19,135
Merko Gida Sanayi ve Ticaret A.S. Series A............ 1,058,000 25,492
*Milliyet Gazetecilik A.S............................. 2,160,000 19,899
*Mutlu Aku............................................ 509,000 18,036
Net Holding A.S....................................... 861,000 34,169
*Net Turizm........................................... 748,000 38,696
Peg Profilo A.S....................................... 1,136,000 74,064
Pinar Su Sanayi ve Ticaret A.S........................ 771,000 33,876
Raks Elektroniks A.S.................................. 130,000 24,874
*Sarkuysan Elektrolitik Bakir Sanayi A.S.............. 745,000 72,594
*T. Tuborg Bira ve Malt Sanayi A.S.................... 835,000 26,036
Tat Konserve.......................................... 670,500 52,268
Tekstil Bankasi A.S................................... 1,800,000 26,150
*Teletas Telekomunikasyon Endustri Ticaret A.S........ 677,000 89,956
Turcas Petrolculuk A.S................................ 969,000 52,876
Turk Demir Dokum...................................... 1,260,003 58,040
Turk Dis Ticaret Bankasi A.S.......................... 2,693,285 30,538
Turk Siemens Kablo ve Elektrik Sanayi A.S............. 622,500 54,040
USAS (Ucak Servisi A.S.).............................. 30,000 59,528
Vakif Finansal Kiralama A.S........................... 591,000 9,214
*Vakif Finansal Kiralama A.S. Issue 97................ 886,499 8,481
Vestel Elektronik Sanayi Ticaret A.S.................. 285,000 109,064
Yasarbank A.S......................................... 5,266,000 35,453
Yunsa Yunlu Sanayi ve Ticaret A.S..................... 619,000 16,011
------------
TOTAL COMMON STOCKS
(Cost $3,133,661).................................... 3,040,561
------------
RIGHTS/WARRANTS -- (0.2%)
*Akal Tekstil A.S. Rights 06/19/97.................... 353,000 10,319
*Deva Holding A.S. Rights 06/17/97.................... 1,019,000 2,269
*Tat Konserve Rights 06/28/97......................... 447,000 31,677
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 44,265
------------
TOTAL -- TURKEY
(Cost $3,133,661).................................... 3,084,826
------------
MEXICO -- (11.3%)
COMMON STOCKS -- (11.3%)
*Abaco Grupo Financiero S.A. de C.V. Series B......... 108,000 8,608
*Bufete Industrial S.A. (Representing 3 shares Series
L and 1 share Series B)............................. 24,000 154,555
*Corporacion Geo S.A. de C.V. Series B................ 37,000 177,651
*Embotelladores del Valle Anahuac S.A. de C.V. Series
B................................................... 39,000 28,174
Farmacias Benavides S.A. de C.V. Series B............. 54,000 117,783
Grupo Casa Autrey S.A. de C.V......................... 104,000 184,210
Grupo Cementos de Chihuahua S.A. de C.V. Series B..... 152,000 153,462
Grupo Continental S.A. Certificado Provisional........ 65,000 156,250
</TABLE>
200
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Grupo Fernandez Editores S.A. de C.V. Series B....... 103,000 $ 22,805
*Grupo Financiero Banorte S.A. de C.V. Series B....... 187,000 172,710
*Grupo Financiero BBV-Probursa S.A. de C.V. Series
B................................................... 681,621 170,750
*Grupo Financiero GBM Atlantico S.A. de C.V. Series
L................................................... 124,000 98,836
*Grupo Financiero Invermexico S.A. de C.V. Series B... 773,000 43,031
*Grupo Financiero Santander Mexicano S.A. de C.V.
Series B............................................ 34,436 20,060
*Grupo Financiero Serfin S.A. de C.V. Series B........ 236,000 74,646
Grupo Herdez S.A. de C.V. Series B.................... 107,000 48,058
*Grupo Posadas S.A. de C.V. Series L.................. 199,000 97,184
*Grupo Tribasa S.A. de C.V............................ 64,000 157,571
*Industrias S.A. de C.V. Series B..................... 33,000 121,078
*Jugos del Valle S.A. de C.V. Series B................ 20,000 29,099
Nacional de Drogas S.A. de C.V. Series L.............. 70,000 225,614
Sanluis Corporacion S.A. de C.V.(representing 1 share
Series B, 1 share Series C & 1 share Series D)...... 27,000 164,651
*Sears Roebuck de Mexico S.A. de C.V. Series B-1...... 39,000 89,309
Sistema Argos S.A. de C.V. Series B................... 98,000 122,500
Tablex S.A. de C.V. Series 2.......................... 33,000 106,465
Transportacion Maritima Mexicana S.A. de C.V. Series
L................................................... 24,000 130,567
------------
TOTAL -- MEXICO
(Cost $2,909,042).................................... 2,875,627
------------
MALAYSIA -- (11.0%)
COMMON STOCKS -- (11.0%)
Amalgamated Industrial Steel Berhad................... 10,000 22,709
Anson Perdana Berhad.................................. 10,000 26,693
Antah Holding Berhad.................................. 23,000 31,522
*Aokam Perdana Berhad................................. 22,000 27,697
Arab Malaysian Development Berhad..................... 58,000 37,896
Asas Dunia Berhad..................................... 8,000 25,020
Asia Pacific Land Berhad.............................. 70,000 36,813
Austral Enterprises Berhad............................ 14,000 26,215
Ayer Hitam Planting Syndicate Berhad.................. 2,000 39,442
Bank Islam (Malaysia) Berhad.......................... 14,000 36,813
Berjaya Industrial Berhad............................. 55,000 65,518
Berjaya Singer Berhad................................. 28,000 58,566
Bolton Properties Berhad.............................. 18,000 30,980
Cement Industries of Malaysia Berhad.................. 13,000 34,701
Chemical Co. of Malaysia Berhad....................... 16,000 50,996
Country Heights Holdings Berhad....................... 13,000 84,422
DMIB Berhad........................................... 30,000 27,490
DNP Holdings Berhad................................... 34,000 28,311
*Damansara Realty Berhad.............................. 65,000 33,924
Datuk Keramik Holdings Berhad......................... 24,000 37,100
Diperdana Corp. Berhad................................ 3,000 21,753
*FACB Berhad.......................................... 66,000 31,028
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
FCW Holdings Berhad................................... 16,000 $ 21,291
*Faber Group Berhad................................... 32,000 30,598
Federal Flour Mills Berhad............................ 20,000 48,207
Golden Plus Holdings Berhad........................... 16,000 30,343
Gopeng Berhad......................................... 17,000 35,219
*Granite Industries Berhad............................ 22,000 30,151
Guthrie Ropel Berhad.................................. 11,000 19,721
HLG Capital Berhad.................................... 12,000 32,988
IGB Corp. Berhad...................................... 42,000 40,494
*Insas Berhad......................................... 56,000 40,159
Island & Peninsular Berhad............................ 11,000 35,498
Johan Holdings Berhad................................. 30,000 25,697
Keck Seng (Malaysia) Berhad........................... 23,000 29,506
Kelang Container Terminal Berhad...................... 12,000 26,056
Kemayan Corp. Berhad.................................. 31,000 35,199
Kian Joo Can Factory Berhad........................... 6,000 22,590
Kuala Sidim Berhad.................................... 13,000 29,263
Kulim Malaysia Berhad................................. 18,000 36,574
Ladang Perbadanan-Fima Berhad......................... 11,000 27,829
Larut Consolidated Berhad............................. 18,000 20,438
Leisure Management Berhad............................. 10,000 41,434
Lion Corp. Berhad..................................... 13,000 26,673
MBF Holdings Berhad................................... 106,000 57,857
MUI Properties Berhad................................. 47,000 28,462
Malayawata Steel Berhad............................... 14,000 22,757
Malaysia Assurance Alliance Berhad.................... 8,800 51,888
Malaysia Building Society Berhad...................... 28,000 41,721
*Malaysia Building Society Berhad Issue 97............ 7,000 9,203
Malaysian Mosaics Berhad.............................. 27,000 35,713
Malaysian Plantations Berhad.......................... 28,000 37,928
Malaysian Tobacco Co. Berhad.......................... 20,000 28,526
Mancon Berhad......................................... 12,000 23,331
Maruichi Malaysia Steel Tube Berhad................... 8,000 25,817
Matsushita Electric Co. (Malaysia) Berhad............. 3,200 27,410
Nam Fatt Berhad....................................... 9,000 22,769
Negara Properties (Malaysia) Berhad................... 5,000 20,319
OSK Holdings.......................................... 28,000 54,661
Pacific Chemicals Berhad.............................. 11,000 21,912
*Pan Pacific Asia Berhad.............................. 12,000 29,402
*Panglobal Berhad..................................... 14,000 28,446
Parit Perak Holdings Berhad........................... 13,000 16,781
*Peladang Kimia Berhad................................ 14,000 36,813
Pelangi Berhad........................................ 32,000 35,315
Petaling Garden Berhad................................ 11,000 15,777
*Phileo Land Berhad................................... 12,000 27,968
Pilecon Engineering Berhad............................ 21,000 34,805
Prime Utilities Berhad................................ 3,000 22,829
*Promet Berhad........................................ 52,000 44,128
SP Settia Berhad...................................... 7,000 22,590
Samanda Holdings Berhad............................... 6,000 50,438
Selangor Properties Berhad............................ 34,000 36,303
Shangri-la Hotels (Malaysia) Berhad................... 39,000 40,865
Sriwani Holdings Berhad............................... 12,000 37,291
Talam Corp. Berhad.................................... 14,000 16,733
Tan & Tan Developments Berhad......................... 28,000 27,442
Tasek Cement Berhad................................... 13,000 32,629
*Tongkah Holdings Berhad.............................. 14,000 24,319
Tradewinds (Malaysia) Berhad.......................... 13,000 20,717
United Malacca Rubber Estates Berhad.................. 6,000 31,315
</TABLE>
201
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
United Malayan Land Berhad............................ 13,000 $ 29,781
United Plantations Berhad............................. 15,000 30,478
Westmont Industries Berhad............................ 23,000 25,382
Westmont Land (Asia) Berhad........................... 20,000 28,526
Wing Tiek Holdings Berhad............................. 8,000 16,414
Worldwide Holdings Berhad............................. 16,000 20,398
------------
TOTAL COMMON STOCKS
(Cost $2,865,670).................................... 2,795,696
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Malaysian Ringetts (Cost $5,964)..................... 5,932
------------
TOTAL -- MALAYSIA
(Cost $2,871,634).................................... 2,801,628
------------
PHILIPPINES -- (10.2%)
COMMON STOCKS -- (10.1%)
*Alaska Milk Corp..................................... 413,000 38,557
*Alsons Consolidated Resources, Inc................... 1,253,000 65,622
*Anglo Philippine Holdings Corp....................... 546,000 19,685
Bacnotan Cement Corp.................................. 86,700 29,613
Bacnotan Consolidated Industries, Inc................. 20,000 36,812
*Bankard, Inc......................................... 145,000 29,165
*Cebu Holdings, Inc................................... 860,000 62,664
Cosmos Bottling Corp.................................. 439,000 138,281
*East Asia Power Resources Corp....................... 431,000 107,137
Engineering Equipment, Inc............................ 564,000 24,829
*Global Equities, Inc................................. 717,000 40,816
*Gotesco Land, Inc. Series B.......................... 17,000,000 32,258
*House of Investments, Inc............................ 258,000 27,415
*International Container Terminal Services, Inc....... 207,150 112,026
Ionics Circuits, Inc.................................. 82,500 46,181
*Kepphil Shipyard, Inc................................ 522,000 24,961
*Kuok Philippine Properties, Inc...................... 1,870,000 114,968
*Lepanto Consolidated Mining Co. Series B............. 1,540,000 53,184
*MUI Resources (Philippines), Inc..................... 1,121,000 72,323
*Mabuhay Holdings Corp................................ 516,000 26,241
*Macroasia Corp....................................... 129,000 19,338
*Manila Jockey Club, Inc.............................. 18,800 24,971
*Mondragon International Philippines, Inc............. 181,700 62,061
*Negros Navigation Co., Inc........................... 311,000 20,773
*PDCP Development Bank................................ 27,600 29,328
*Palawan Oil and Gas Exploration, Inc................. 51,600,000 29,374
Philippine Bank of Communications..................... 4,700 92,751
*Philippine National Construction Corp................ 75,000 37,002
*Philippine Realty & Holdings Corp.................... 2,549,000 88,030
*Philippine Savings Bank.............................. 31,100 49,571
*Picop Resources, Inc................................. 225,000 34,156
*Pryce Properties Corp................................ 581,900 37,100
RFM Corp.............................................. 335,000 77,552
Republic Glass Holding Corp........................... 176,250 18,394
*Robinson's Land Corp. Series B....................... 432,000 55,742
*SM Development Corp.................................. 975,000 83,624
*Security Bank Corp................................... 39,000 60,683
*Selecta Dairy Products, Inc.......................... 308,000 27,352
Sime Darby Pilipinas, Inc. SD Tire.................... 19,900 26,433
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Solidbank Corp........................................ 3,040 $ 35,765
*Soriano (A.) Corp.................................... 1,352,970 154,038
*Southeast Asia Cement Holdings, Inc.................. 1,154,000 54,306
*Steniel Manufacturing Corp........................... 250,000 14,231
*Union Bank of the Philippines........................ 88,300 78,749
*United Paragon Mining Corp........................... 64,500,000 31,822
*Universal Rightfield Property Holdings, Inc.......... 1,062,000 112,850
Urban Bank, Inc....................................... 4,920 33,609
Victorias Milling Co., Inc............................ 48,000 3,862
*Vitarich Corp........................................ 176,000 17,366
*William, Gothong & Aboitiz, Inc...................... 763,000 63,125
------------
TOTAL COMMON STOCKS
(Cost $3,253,512).................................... 2,576,696
------------
PREFERRED STOCKS -- (0.1%)
*RFM Corp. (Cost $10,834)............................. 60,909 10,818
------------
TOTAL -- PHILIPPINES
(Cost $3,264,346).................................... 2,587,514
------------
THAILAND -- (6.9%)
COMMON STOCKS -- (6.8%)
Alphatec Electronics Public Co., Ltd. (Foreign)....... 12,900 23,360
*Aromatics (Thailand) Public Co., Ltd. (Foreign)...... 140,000 61,972
Asia Securities Trading Public Co., Ltd. (Foreign).... 22,000 25,674
Ayudhya Insurance Public Co., Ltd. (Foreign).......... 4,000 33,159
Bangkok Agro Industrial Products Public Co., Ltd.
(Foreign)........................................... 2,700 11,191
Big C Supercenter Public Co., Ltd. (Foreign).......... 87,000 29,408
*Castle Peak Holdings Public Co., Ltd. (Foreign)...... 6,800 32,563
*Central Paper Industry Public Co., Ltd. (Foreign).... 19,800 41,831
Delta Electronics (Thailand) Public Co., Ltd.
(Foreign)........................................... 19,800 105,972
*Dynamic Eastern Finance Thailand (1991) Co., Ltd.
(Foreign)........................................... 46,200 8,366
First City Investment Public Co., Ltd. (Foreign)...... 45,000 12,857
*Golden Land Property Development Public Co., Ltd.
(Foreign)........................................... 68,800 9,690
Hana Microelectronics Co., Ltd. (Foreign)............. 6,000 29,940
Hemaraj Land and Development Public Co., Ltd.
(Foreign)........................................... 19,000 40,141
KCE Electronics Public Co., Ltd. (Foreign)............ 6,000 21,127
Kang Yong Electric Public Co., Ltd. (Foreign)......... 7,200 24,193
Kiatnakin Finance and Securities Public Co., Ltd.
(Foreign)........................................... 12,000 5,916
Krisda Mahanakorn Public Co., Ltd. (Foreign).......... 23,800 8,332
LPN Development Public Co., Ltd. (Foreign)............ 15,100 15,419
</TABLE>
202
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Laem Thong Bank Public Co., Ltd. (Foreign)........... 43,700 $ 32,533
Lanna Lignite Public Co., Ltd. (Foreign).............. 11,500 92,555
Loxley Public Co., Ltd. (Foreign)..................... 12,500 24,145
Media of Medias Public Co., Ltd. (Foreign)............ 9,100 30,577
*Modern Home Development Public Co., Ltd. (Foreign)... 23,700 38,387
Nakornthon Bank Public Co., Ltd. (Foreign)............ 35,900 70,428
Nation Multimedia Group Public Co., Ltd. (Foreign).... 13,000 23,672
National Petrochemical Public Co., Ltd. (Foreign)..... 108,500 97,148
Nithipat Finance Public Co., Ltd. (Foreign)........... 35,600 20,056
PAE (Thailand) Public Co., Ltd. (Foreign)............. 6,600 5,843
*Phoenix Pulp and Paper Public Co., Ltd. (Foreign).... 35,700 32,683
Pizza Public Co., Ltd. (Foreign)...................... 9,000 45,272
Prasit Development Public Co., Ltd. (Foreign)......... 29,700 14,342
Regional Container Lines Public Co., Ltd. (Foreign)... 3,000 21,248
SCF Finance and Securities Co., Ltd. (Foreign)........ 17,000 5,815
Saha Pathana Inter-Holding Public Co., Ltd.
(Foreign)........................................... 16,000 35,412
*Sahaviriya Steel Industries Public Co., Ltd.
(Foreign)........................................... 168,300 37,250
Siam City Credit Finance and Securities Public Co.,
Ltd. (Foreign)...................................... 18,200 7,873
Siam Pulp & Paper Co., Ltd. (Foreign)................. 31,500 59,577
Siam Sanwa Industrial Credit Public Co., Ltd.
(Foreign)........................................... 17,500 9,155
Siam Tyre Public Co., Ltd. (Foreign).................. 2,500 48,692
Srithai Superware Public Co., Ltd. (Foreign).......... 6,000 20,161
*Sun Tech Group Public Co., Ltd. (Foreign)............ 27,200 9,742
*Supalai Public Co., Ltd. (Foreign)................... 17,300 6,962
TCJ Motor Public Co., Ltd. (Foreign).................. 7,300 32,608
Thai Danu Bank Public Co., Ltd. (Foreign)............. 41,200 66,732
Thai Modern Plastic Industry Public Co., Ltd.
(Foreign)........................................... 15,700 27,483
Thai Pineapple Public Co., Ltd. (Foreign)............. 12,200 11,905
Thai Plastic and Chemicals Public Co., Ltd.
(Foreign)........................................... 12,200 42,467
Thai Reinsurance Public Co., Ltd. (Foreign)........... 19,300 60,579
Thai Rung Union Carbide Public Co., Ltd. (Foreign).... 13,200 47,807
Thai-Germany Products Public Co., Ltd. (Foreign)...... 37,050 24,228
*Tuntex (Thailand) Public Co., Ltd. (Foreign)......... 34,900 25,280
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Vanachai Group Public Co., Ltd. (Foreign)............ 22,100 $ 16,564
*Vinythai Public Co., Ltd. (Foreign).................. 198,700 31,184
Wall Street Finance and Securities Public Co., Ltd.
(Foreign)........................................... 13,400 7,280
Wattachak Public Co., Ltd. (Foreign).................. 49,500 15,139
------------
TOTAL COMMON STOCKS
(Cost $2,583,332).................................... 1,739,895
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Thailand Baht (Cost $16,329)......................... 17,052
------------
RIGHTS/WARRANTS -- (0.0%)
*Laem Thong Bank Public Co., Ltd. (Foreign) Rights
06/12/97............................................ 13,446 0
*Wall Street Finance and Securities Public Co., Ltd.
(Foreign) Rights 06/27/97........................... 6,700 944
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 944
------------
TOTAL -- THAILAND
(Cost $2,599,661).................................... 1,757,891
------------
ARGENTINA -- (6.7%)
COMMON STOCKS -- (6.7%)
*Acindar Industria Argentina de Aceros SA Series A.... 50,000 118,309
*Alpargatas SA Industrial y Comercial................. 140,000 127,324
Atanor Cia Nacional para la Industria Quimica SA
Series D............................................ 36,000 62,311
Bagley y Cia, Ltd. SA Series B........................ 62,000 124,062
*Bonafide SA Industrial y Comercial Bona Series C..... 34,000 20,410
*Celulosa Argentina SA Series B....................... 25,500 10,333
Central Puerto SA Series B............................ 43,000 135,948
Cinba SA Cia de Bebidao y Alimentos SA................ 15,000 23,111
*Corcemar SA Series B................................. 19,000 107,404
*Cresud SA Comercial Industrial Financiera y
Agropecuaria........................................ 61,250 120,110
Dycasa Dragados y Construcciones Argentina SA Series
B................................................... 7,000 28,154
*Ferrum SA de Ceramica y Metalurgica Series B......... 15,000 27,013
Fiplasto SA Comercial y Industrial Series B........... 6,000 25,213
Garovaglio y Zorraquin SA............................. 14,160 45,760
Importadora y Exportadora de la Patagonia Series B.... 11,500 159,930
Introductora de Buenos Aires SA Series A.............. 10,105 24,264
Massalin Particulares SA Series B..................... 41,000 244,072
Morixe Hermanos SA.................................... 9,000 22,061
Nobleza-Piccardo Sdad Industrial Comercial y
Financiera Pica..................................... 22,000 117,319
*Pirelli Cables SA.................................... 23,786 58,305
*Polledo SA Industrial y Constructora y Financiera.... 26,000 28,900
*Quimica Estrella SA Series B......................... 24,000 30,735
</TABLE>
203
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sol Petroleo SA....................................... 10,000 $ 19,610
*Supervielle Soc...................................... 15,000 25,813
------------
TOTAL COMMON STOCKS
(Cost $1,543,048).................................... 1,706,471
------------
</TABLE>
<TABLE>
<CAPTION>
PREFERRED STOCKS -- (0.0%)
<S> <C> <C>
*Quimica Estrella SA 10% Cumulative Convertible Series
B
(Cost $3,261)....................................... 3,260 4,175
------------
RIGHTS/WARRANTS -- (0.0%)
*Corcemar SA Rights 06/04/97
(Cost $0)........................................... 19,000 0
------------
TOTAL -- ARGENTINA
(Cost $1,546,309).................................... 1,710,646
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.7%)
Repurchase Agreement, Chase Manhattan Bank N.A. 5.30%,
06/02/97 (Collateralized by U.S. Treasury Notes
6.25%, 07/31/98)
(Cost $172,000)..................................... $ 172 172,000
------------
TOTAL INVESTMENTS -- (100.8%)
(Cost $25,436,075)++................................. 25,623,256
------------
OTHER ASSETS AND LIABILITIES -- (-0.8%)
Other Assets.......................................... 114,764
Payable for Fund Shares Redeemed...................... (74,091)
Other Liabilities..................................... (7,941)
Payable for Reimbursement Fee......................... (245,412)
------------
(212,680)
------------
NET ASSETS -- (100.0%)................................. $ 25,410,576
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
204
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
BONDS -- (51.4%)
Albertson's, Inc. Medium Term Notes
5.650%, 03/26/98................................... $ 4,530 $ 4,524,926
Anheuser-Busch Companies, Inc. Corporate Bonds
7.600%, 03/01/99................................... 1,000 1,020,000
Associates Corp. of North America Corporate Bonds
7.250%, 05/15/98................................... 1,000 1,011,020
8.800%, 08/01/98................................... 2,000 2,058,540
Associates Corp. of North America Medium Term Notes
6.500%, 09/09/98................................... 16,650 16,737,744
6.250%, 03/15/99................................... 3,100 3,092,250
Bayerische Landesbank U.S. Finance, Inc. Medium Term
Notes
6.400%, 05/05/99................................... 22,000 22,000,000
Canada (Government of) Bonds
6.400%, 09/10/98................................... 22,540 22,652,700
Chevron Canada Financial, Ltd. Medium Term Notes
5.600%, 04/01/98................................... 23,100 23,013,375
Chubb Capital Corp. Medium Term Notes
6.000%, 02/01/98................................... 5,000 5,007,499
Colgate-Palmolive Co. Medium Term Notes
6.550%, 02/16/98................................... 10,000 10,049,599
6.630%, 02/16/98................................... 1,540 1,548,470
6.710%, 02/16/98................................... 10,000 10,060,399
DuPont (E.I.) de Nemours & Co. Corporate Bonds
8.650%, 12/01/97................................... 1,050 1,064,836
FCC National Bank Medium Term Notes
6.000%, 04/02/98................................... 23,000 23,015,868
6.144%, 10/30/98................................... 2,000 2,001,020
Ford Motor Credit Co. Corporate Bonds
6.250%, 02/26/98................................... 7,000 7,025,270
7.250%, 05/15/99................................... 5,800 5,887,000
GTE North, Inc. Corporate Bonds Series B
5.500%, 02/15/99................................... 1,000 986,250
General Electric Capital Corp. Medium Term Notes
8.700%, 02/09/98................................... 4,000 4,079,480
7.050%, 03/27/98................................... 4,750 4,798,212
7.020%, 04/13/98................................... 3,000 3,030,150
6.844%, 04/23/98................................... 10,725 10,820,344
IBM Credit Corp. Medium Term Notes
6.570%, 04/07/99................................... 23,000 23,086,250
Illinois Tool Works, Inc. Corporate Bonds
7.500%, 12/01/98................................... 5,000 5,098,999
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
KFW International Finance, Inc. Medium Term Notes
8.250%, 03/18/98................................... $ 8,650 $ 8,812,187
Morgan (J.P.) & Co., Inc. Corporate Bonds
6.362%, 08/05/98................................... 19,000 19,074,478
Morgan Guaranty Trust Corporate Bonds
6.000%, 10/01/98................................... 6,000 5,994,059
National Elf Aquitaine, Inc. Corporate Bonds
7.750%, 05/01/99................................... 8,550 8,742,375
National Rural Utilities Cooperative Finance Corp.
Medium Term Notes
8.500%, 02/15/98................................... 9,850 10,022,375
NationsBank N.C. Corporate Bonds
6.100%, 01/19/99................................... 24,000 23,880,000
Norwest Corp. Medium Term Notes
5.750%, 03/15/98................................... 2,000 1,996,680
6.000%, 10/13/98................................... 2,000 2,002,900
5.750%, 11/16/98................................... 7,600 7,555,008
Norwest Financial, Inc. Medium Term Notes
6.230%, 09/01/98................................... 3,285 3,297,450
6.250%, 03/15/99................................... 2,000 1,997,500
Ontario Hydro Medium Term Notes
5.800%, 03/31/98................................... 17,850 17,850,000
Paccar Financial Corp. Medium Term Notes
7.350%, 02/02/98................................... 5,210 5,267,414
5.280%, 03/20/98................................... 5,000 4,986,500
Pepsico, Inc. Medium Term Notes
6.125%, 01/15/98................................... 2,000 2,002,740
5.463%, 07/01/98................................... 4,851 4,823,494
Pitney Bowes Credit Corp. Medium Term Notes
6.305%, 09/23/98................................... 24,230 24,324,495
Rockwell International Corp. Corporate Bonds
7.625%, 02/17/98................................... 2,850 2,882,176
Sara Lee Corp. Medium Term Notes
5.500%, 12/01/98................................... 1,250 1,237,175
UBS Finance, Inc. Medium Term Notes
6.200%, 10/01/98................................... 3,000 3,003,750
Upjohn Co. Medium Term Notes
5.920%, 02/17/98................................... 5,000 4,999,800
Wachovia Bank Medium Term Notes
5.375%, 04/15/98................................... 3,350 3,332,345
5.600%, 03/08/99................................... 11,000 10,848,750
------------
TOTAL BONDS
(Cost $391,788,922).................................. 392,603,852
------------
COMMERCIAL PAPER -- (23.3%)
AI Credit Corp. C.P.
5.570%, 07/21/97................................... 2,700 2,678,238
</TABLE>
205
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
Barclays U.S. Funding Corp. C.P.
5.600%, 08/04/97................................... $ 7,000 $ 6,928,133
Barton Capital Corp. C.P.
5.450%, 06/05/97................................... 3,005 3,002,220
5.550%, 06/19/97................................... 3,500 3,489,189
5.640%, 07/01/97................................... 7,000 8,955,519
5.630%, 08/01/97................................... 7,000 6,931,522
Beta Finance, Inc. C.P.
5.640%, 08/08/97................................... 9,500 9,396,555
Caisse des Depots et Consignments C.P.
5.380%, 06/12/97................................... 21,000 20,957,912
Corporate Asset Funding Corp. C.P.
5.550%, 06/06/97................................... 19,000 18,979,495
5.600%, 07/03/97................................... 2,000 1,989,498
5.610%, 07/11/97................................... 1,000 993,502
Delaware Funding Corp. C.P.
5.600%, 06/09/97................................... 6,000 5,990,750
5.590%, 06/30/97................................... 1,800 1,791,382
5.630%, 07/08/97................................... 4,000 3,975,863
Enterprise Funding Corp. C.P.
5.620%, 07/28/97................................... 10,500 10,404,665
5.640%, 08/01/97................................... 4,000 3,961,220
5.620%, 08/12/97................................... 2,500 2,471,479
Export Development Corp. C.P.
5.580%, 06/16/97................................... 2,270 2,264,040
General Electric Capital Corp. C.P.
5.590%, 07/15/97................................... 8,000 7,942,960
Glaxo Wellcome P.L.C. C.P.
5.590%, 07/22/97................................... 2,000 1,983,482
National Rural Utilities Cooperative Finance Corp. C.P.
5.560%, 06/20/97................................... 1,000 996,757
Novartis Finance Corp. C.P.
5.490%, 06/04/97................................... 1,130 1,129,109
Sheffield Receivables Corp. C.P.
5.600%, 07/15/97................................... 1,000 992,870
Sigma Finance Corp. C.P.
5.600%, 06/16/97................................... 6,000 5,984,246
5.610%, 06/23/97................................... 2,500 2,490,733
5.610%, 06/27/97................................... 5,000 4,978,377
5.660%, 07/28/97................................... 1,000 990,839
5.640%, 08/04/97................................... 0 4,948,667
5.650%, 08/04/97................................... 3,000 2,969,200
St. Michael Finance Ltd. C.P.
5.570%, 06/11/97................................... 8,229 8,213,776
5.570%, 06/16/97................................... 9,700 9,674,532
Teco Finance, Inc. C.P.
5.620%, 07/10/97................................... 5,000 4,968,111
5.630%, 08/04/97................................... 2,000 1,979,357
Triple-A-One Plus Funding Corp. C.P.
5.530%, 06/16/97................................... 1,932 1,926,927
USAA Capital Corp. C.P.
5.540%, 06/20/97................................... 300 299,027
------------
TOTAL COMMERCIAL PAPER (Cost $177,680,614)............. 177,630,152
------------
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
AGENCY OBLIGATIONS -- (17.9%)
Federal Agriculture Mortgage Corp.
7.200%, 10/15/98................................... $ 2,850 $ 2,890,299
Federal Home Loan Bank
5.715%, 03/20/98................................... 10,000 9,982,400
6.060%, 10/02/98................................... 25,000 24,997,247
5.100%, 01/26/99................................... 3,200 3,147,264
5.947%, 02/26/99................................... 20,000 19,951,200
Federal National Mortgage Association
6.410%, 07/17/98................................... 13,000 13,055,899
5.940%, 08/14/98................................... 25,000 24,957,247
5.700%, 12/18/98................................... 8,100 8,051,399
Student Loan Marketing Association
7.000%, 03/03/98................................... 9,400 9,475,199
6.250%, 06/30/98................................... 20,000 20,050,198
------------
TOTAL AGENCY OBLIGATIONS (Cost $136,573,919)........... 136,558,352
------------
U.S. TREASURY OBLIGATIONS -- (4.5%)
U.S. Treasury Notes
5.750%, 12/31/98................................... 17,000 16,918,059
6.375%, 04/30/99................................... 17,700 17,753,629
------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $34,652,826)..... 34,671,688
------------
VARIABLE RATE OBLIGATIONS -- (1.8%)
American Express Centurion Bank
5.718%, 06/05/97 (Cost $14,000,000)................ 14,000 14,000,000
------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
6.00%, 08/15/99) (Cost $183,000).................... 183 183,000
------------
TOTAL INVESTMENTS -- (98.9%) (Cost $754,879,281)++..... 755,647,044
------------
OTHER ASSETS AND LIABILITIES -- (1.1%)
Other Assets.......................................... 8,547,700
Payable for Fund Shares Redeemed...................... (95,468)
Other Liabilities..................................... (86,634)
------------
8,365,598
------------
NET ASSETS -- (100.0%) Applicable to 76,365,535
Outstanding $.01 Par Value Shares (Unlimited Number
of Shares Authorized)................................ $764,012,642
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 10.00
------------
------------
- --------------------
+See Note B to Financial Statements.
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
206
<PAGE>
THE DFA TWO-YEAR CORPORATE FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
BONDS -- (62.1%)
Albertson's, Inc. Medium Term Notes
5.650%, 03/26/98................................... $ 3,300 $ 3,296,303
Anheuser-Busch Companies, Inc. Corporate Bonds
7.600%, 03/01/99................................... 3,500 3,570,000
Associates Corp. of North America Corporate Bonds
8.350%, 12/23/98................................... 3,000 3,095,700
Associates Corp. of North America Medium Term Notes
6.250%, 03/15/99................................... 400 399,000
Bayerische Landesbank U.S. Finance, Inc. Medium Term
Notes
6.400%, 05/05/99................................... 3,700 3,700,000
Canada (Government of) Bonds
6.400%, 09/10/98................................... 3,300 3,316,500
Chevron Canada Financial, Ltd. Medium Term Notes
5.600%, 04/01/98................................... 2,500 2,490,625
Coca-Cola Co., Inc. Corporate Bonds
7.875%, 09/15/98................................... 2,625 2,683,773
FCC National Bank Medium Term Notes
6.144%, 10/30/98................................... 3,000 3,001,530
Ford Motor Credit Co. Corporate Bonds
9.250%, 06/15/98................................... 3,000 3,100,770
GTE North, Inc. Corporate Bond Series B
5.500%, 02/15/99................................... 4,000 3,945,000
IBM Credit Corp. Medium Term Notes
6.570%, 04/07/99................................... 3,700 3,713,875
Illinois Tool Works, Inc. Corporate Bonds
7.500%, 12/01/98................................... 3,700 3,773,259
KFW International Finance, Inc. Medium Term Notes
8.250%, 03/18/98................................... 3,000 3,056,250
Michigan Bell Telephone Medium Term Notes
9.250%, 11/15/98................................... 1,760 1,834,800
Morgan (J.P.) & Co., Inc. Corporate Bonds
6.362%, 08/05/98................................... 3,000 3,011,760
National Elf Aquitaine, Inc. Corporate Bonds
7.750%, 05/01/99................................... 3,000 3,067,500
National Rural Utilities Cooperative Finance Corp
Medium Term Notes
6.875%, 06/15/98................................... 3,000 3,017,940
NationsBank N.C. Corporate Bonds
6.100%, 01/19/99................................... 3,750 3,731,250
Norwest Corp. Medium Term Notes
6.000%, 10/13/98................................... 3,000 3,004,350
Ontario Hydro Medium Term Notes
5.800%, 03/31/98................................... 1,575 1,575,000
Paccar Financial Corp. Medium Term Notes
7.320%, 07/15/98................................... 3,000 3,046,590
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
Pitney Bowes Credit Corp. Medium Term Notes
6.305%, 09/23/98................................... $ 3,000 $ 3,011,700
Rockwell International Corp. Corporate Bonds
7.625%, 02/17/98................................... 2,500 2,528,225
Sara Lee Corp. Medium Term Notes
5.500%, 12/01/98................................... 3,500 3,464,090
St. Paul Companies, Inc. Medium Term Notes
8.350%, 08/27/98................................... 1,500 1,540,800
UBS Finance, Inc. Medium Term Notes
6.200%, 10/01/98................................... 2,500 2,503,125
Upjohn Co. Medium Term Notes
5.920%, 02/17/98................................... 3,000 2,999,880
Wachovia Bank Medium Term Notes
5.375%, 04/15/98................................... 3,000 2,984,190
------------
TOTAL BONDS (Cost $84,366,940)......................... 84,463,785
------------
U.S. TREASURY OBLIGATIONS -- (27.8%)
U.S. Treasury Notes
5.750%, 12/31/98................................... 30,000 29,855,197
5.875%, 02/28/99................................... 1,000 995,580
6.250%, 03/31/99................................... 1,000 1,001,420
6.250%, 05/31/99................................... 6,000 6,003,300
------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $37,900,475)..... 37,855,497
------------
AGENCY OBLIGATIONS -- (7.2%)
Federal Farm Credit Bank
5.450%, 12/14/98................................... 2,750 2,719,007
Federal National Mortgage Association
5.940%, 08/14/98................................... 2,000 1,996,580
Student Loan Marketing Association
6.250%, 06/30/98................................... 5,000 5,012,549
------------
TOTAL AGENCY OBLIGATIONS (Cost $9,706,645)............. 9,728,136
------------
SUPRANATIONAL OBLIGATIONS -- (2.3%)
Inter-American Development Bank 9.450%, 09/15/98 (Cost
$3,125,166)......................................... 3,000 3,120,000
------------
TEMPORARY CASH INVESTMENTS -- (0.6%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
6.00%, 08/15/99) (Cost $867,000).................... 867 867,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $135,966,226)++................................ $136,034,418
------------
------------
- --------------------
+See Note B to Financial Statements.
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
207
<PAGE>
THE DFA TWO-YEAR GOVERNMENT SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- (99.6%)
U.S. Treasury Notes
5.500%, 11/15/98.................................... $ 22,800 $ 22,621,018
5.625%, 11/30/98.................................... 1,000 993,860
5.750%, 12/31/98.................................... 9,000 8,956,619
5.875%, 01/31/99.................................... 3,000 2,988,689
5.875%, 02/28/99.................................... 42,000 41,814,360
6.250%, 03/31/99.................................... 2,000 2,002,840
6.375%, 04/30/99.................................... 3,000 3,009,090
6.250%, 05/31/99.................................... 27,000 27,014,850
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $109,532,049)................................... 109,401,326
------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97
(Collateralized by U.S. Treasury Notes 6.00%,
08/15/99)
(Cost $454,000)...................................... 454 454,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $109,986,049)++.... $109,855,326
------------
------------
- --------------
+See Note B to Financial Statements.
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
208
<PAGE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
CANADA -- (29.6%)
BONDS -- (28.5%)
Alberta (Province of)
6.000%, 03/01/99.................................... 8,000 $ 5,929,466
Bayerische Landesbank Girozentrale
8.375%, 11/23/98.................................... 1,627 1,240,663
British Columbia (Province of)
10.000%, 10/09/98................................... 9,000 6,993,265
Canada (Government of)
4.000%, 03/15/99.................................... 13,000 9,352,017
European Investment Bank
9.000%, 08/17/98.................................... 2,000 1,527,555
Export Development Corp.
6.625%, 08/12/98.................................... 3,000 2,230,936
Farm Credit Corp. Euro Medium Term Notes
6.250%, 01/08/99.................................... 12,300 9,107,647
General Electric Capital Canada, Inc.
7.250%, 11/27/98.................................... 3,000 2,251,792
General Electric Capital Corp. Series B & C Euro Medium
Term Notes
6.375%, 11/09/98.................................... 2,000 1,483,091
International Finance Corp.
7.750%, 08/18/98.................................... 8,000 6,033,167
Kellogg Co.
6.250%, 10/12/98.................................... 12,000 8,863,784
Minnesota Mining & Manufacturing Co.
6.500%, 10/15/98.................................... 12,800 9,491,781
Nippon Telegraph & Telephone Corp.
7.250%, 06/25/98.................................... 5,000 3,728,003
Norway (Kingdom of)
7.250%, 10/22/98.................................... 13,000 9,749,294
Ontario (Province of)
10.625%, 07/15/98................................... 5,300 4,097,147
Ontario-Hydro
10.875%, 03/29/99................................... 6,000 4,804,258
Toronto (Municipality of)
11.000%, 02/16/99................................... 7,089 5,646,969
Toyota Credit Canada, Inc.
7.125%, 06/01/98.................................... 2,550 1,897,404
World Bank (International Bank for Reconstruction and
Development)
6.250%, 10/15/98.................................... 8,900 6,593,309
------------
TOTAL BONDS
(Cost $102,373,552).................................. 101,021,548
------------
INVESTMENT IN CURRENCY -- (1.1%)
*Canadian Dollars
(Cost $3,749,253).................................... 3,753,598
------------
TOTAL -- CANADA
(Cost $106,122,805).................................. 104,775,146
------------
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
UNITED STATES -- (27.0%)
BONDS -- (27.0%)
Alberta (Province of)
7.625%, 11/05/98.................................... 4,000 $ 4,068,000
Associates Corp. of North America Corporate Bonds
8.350%, 12/23/98.................................... 2,000 2,063,800
6.680%, 05/10/99.................................... 500 501,875
Australia & New Zealand Banking Group
6.500%, 12/30/98.................................... 4,000 4,013,200
BP America, Inc.
9.750%, 03/01/99.................................... 9,525 10,029,825
Bayerische Landesbank U.S. Finance, Inc. Medium Term
Notes
6.400%, 05/05/99.................................... 8,000 7,988,072
Bayerische Vereinsbank AG
5.250%, 02/01/99.................................... 7,000 6,886,600
Chubu Electric Power
8.250%, 09/25/98.................................... 3,515 3,592,681
Credit Locale de France SA
5.125%, 11/30/98.................................... 6,000 5,901,000
Denmark (Kingdom of)
5.450%, 09/24/98.................................... 2,000 1,981,600
FCC National Bank Medium Term Notes
6.144%, 10/30/98.................................... 2,000 2,001,020
IBM Credit Corp.
6.625%, 04/19/99.................................... 5,000 5,025,000
National Australia Bank
5.375%, 02/09/99.................................... 9,400 9,261,820
NationsBank N.C. Corporate Bonds
6.100%, 01/19/99.................................... 6,000 5,982,044
Norwest Financial, Inc. Medium Term Notes
6.250%, 03/15/99.................................... 3,000 2,996,250
Nova Scotia (Bank of)
6.625%, 12/31/98.................................... 5,000 5,018,000
6.375%, 04/14/99.................................... 4,000 3,999,200
Qantas Airways, Ltd.
9.500%, 11/30/98.................................... 3,500 3,643,150
Tokyo Electric Power Co., Inc.
8.750%, 08/28/98.................................... 5,700 5,853,330
UBS Finance, Inc. Medium Term Notes
6.200%, 10/01/98.................................... 3,000 3,003,750
Wachovia Bank
4.900%, 10/15/98.................................... 2,000 1,969,900
------------
TOTAL -- UNITED STATES
(Cost $95,829,408)................................... 95,780,117
------------
</TABLE>
209
<PAGE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
GERMANY -- (16.8%)
BONDS -- (16.3%)
Bank voor Nederlandsche Gemeenten BNG Euro Medium Term
Notes
4.250%, 04/09/99.................................... 12,000 $ 7,077,823
DSL Finance BV
5.000%, 02/09/99.................................... 3,000 1,793,154
Eurofima Europaeische Gesellschaft Fuer Die
Finanzierung Von Eisenbahnmaterial, Basel
6.250%, 07/20/98.................................... 5,000 3,014,043
Germany (Federal Republic of)
3.750%, 03/19/99.................................... 8,000 4,695,611
LKB Bader-Wuerttemberg Finance NV
6.000%, 05/10/99.................................... 16,000 9,755,413
Landesbank Hessen-Thueringen Girozentrale
5.500%, 08/14/98.................................... 4,500 2,693,680
8.500%, 10/01/98.................................... 8,000 4,980,690
Morgan (J.P.) and Co., Inc.
7.250%, 11/30/98.................................... 15,000 9,217,671
Suedwestdeutsche Landesbank Capital Markets P.L.C.
5.000%, 02/08/99.................................... 7,431 4,438,164
7.125%, 02/17/99.................................... 8,649 5,336,671
Treuhandanstalt
5.000%, 01/14/99.................................... 8,000 4,781,744
------------
TOTAL BONDS
(Cost $59,837,622)................................... 57,784,664
------------
INVESTMENT IN CURRENCY -- (0.5%)
*German Marks
(Cost $1,822,024).................................... 1,820,842
------------
TOTAL -- GERMANY
(Cost $61,659,646)................................... 59,605,506
------------
UNITED KINGDOM -- (12.7%)
BONDS -- (12.7%)
Abbey National Treasury Services P.L.C.
7.125%, 12/30/98.................................... 2,000 3,256,166
Deutsche Siedlungs & Landesrentenbank
7.750%, 08/12/98.................................... 4,669 7,670,861
Eksportfinans ASA
7.250%, 11/30/98.................................... 3,556 5,799,910
Halifax Building Society, Ltd.
7.750%, 12/03/98.................................... 6,000 9,852,710
Hewlett Packard Finance Co.
7.125%, 12/23/98.................................... 2,000 3,239,520
KFW International Finance, Inc.
7.875%, 07/06/98.................................... 3,115 5,122,316
National & Provincial Building Society
8.250%, 11/04/98.................................... 1,000 1,653,216
Nordic Investment Bank
7.750%, 08/13/98.................................... 5,000 8,215,488
------------
TOTAL BONDS
(Cost $44,242,943)................................... 44,810,187
------------
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $485).......................................... $ 496
------------
TOTAL -- UNITED KINGDOM
(Cost $44,243,428)................................... 44,810,683
------------
NETHERLANDS -- (6.3%)
BONDS -- (6.2%)
ABN-Amro Bank NV
6.500%, 11/15/98.................................... 3,500 1,890,511
Austria (Republic of)
6.500%, 05/07/99.................................... 1,500 820,777
Bank voor Nederlandsche Gemeenten BNG
7.000%, 02/04/99.................................... 5,000 2,732,013
Denmark (Kingdom of)
6.125%, 08/20/98.................................... 9,000 4,828,467
European Investment Bank
5.000%, 02/16/99.................................... 4,000 2,122,002
Netherlands (Kingdom of)
6.500%, 01/15/99.................................... 15,000 8,160,845
7.000%, 03/15/99.................................... 3,000 1,650,156
------------
TOTAL BONDS
(Cost $23,822,931)................................... 22,204,771
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Netherlands Guilder
(Cost $235,466)...................................... 234,619
------------
TOTAL -- NETHERLANDS
(Cost $24,058,397)................................... 22,439,390
------------
AUSTRALIA -- (3.1%)
BONDS -- (3.1%)
Credit Locale de France SA Euro Medium Term Notes
10.500%, 01/06/99................................... 2,900 2,353,969
McDonald's Australian Property Funding Corp.
10.500%, 11/05/98................................... 3,300 2,664,562
Rural and Industries Bank of Western Australia
6.500%, 10/29/98.................................... 3,885 2,980,485
World Bank (International Bank for Reconstruction and
Development)
7.600%, 04/22/99.................................... 4,000 3,117,822
------------
TOTAL BONDS
(Cost $11,353,869)................................... 11,116,838
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $2)............................................ 2
------------
TOTAL -- AUSTRALIA
(Cost $11,353,871)................................... 11,116,840
------------
</TABLE>
210
<PAGE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
FRANCE -- (2.7%)
BONDS -- (2.7%)
France (Government of) BTAN
4.750%, 04/12/99
(Cost $9,621,054)................................. 55,000 $ 9,685,984
------------
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs
(Cost $515).......................................... 520
------------
TOTAL -- FRANCE
(Cost $9,621,569).................................... 9,686,504
------------
JAPAN -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen.......................................... 410
------------
TEMPORARY CASH INVESTMENTS -- (1.8%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
6.00%, 08/15/99)
(Cost $6,270,000)................................... 6,270 6,270,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $359,159,511)++................................ $354,484,596
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
211
<PAGE>
THE DFA TWO-YEAR CORPORATE FIXED INCOME SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investments at Value................................................................... $136,034
Cash................................................................................... 1
Receivables
Interest............................................................................. 2,378
Investment Securities Sold........................................................... 6,063
Fund Shares Sold..................................................................... 17
Prepaid Expenses and Other Assets...................................................... 9
-----------
Total Assets....................................................................... 144,502
-----------
LIABILITIES:
Payable for Investment Securities Purchased............................................ 5,993
Accrued Expenses and Other Liabilities................................................. 29
-----------
Total Liabilities.................................................................. 6,022
-----------
NET ASSETS............................................................................... $138,480
-----------
-----------
SHARES OUTSTANDING $.01 PAR VALUE
(Unlimited Number of Shares Authorized)................................................ 13,595,887
-----------
-----------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................................. $10.19
-----------
-----------
Investments at Cost...................................................................... $135,966
-----------
-----------
</TABLE>
See accompanying Notes to Financial Statements
212
<PAGE>
THE DFA TWO-YEAR GOVERNMENT SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
ASSETS:
Investments at Value....................................................................... $ 109,855
Cash....................................................................................... 1
Receivables
Interest............................................................................... 1,020
Investment Securities Sold............................................................. 27,842
Fund Shares Sold....................................................................... 53
Prepaid Expenses and Other Assets.......................................................... 10
---------
Total Assets................................................................... 138,781
---------
LIABILITIES:
Payable for Investment Securities Purchased................................................ 26,970
Accrued Expenses and Other Liabilities..................................................... 22
---------
Total Liabilities.............................................................. 26,992
---------
NET ASSETS................................................................................. $ 111,789
---------
---------
Investments at Cost........................................................................ $ 109,986
---------
---------
</TABLE>
See accompanying Notes to Financial Statements
213
<PAGE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investments at Value................................................................... $ 354,484
Receivables
Interest............................................................................. 10,797
Investment Securities Sold........................................................... 8,318
Fund Shares Sold..................................................................... 819
Unrealized Gain on Forward Currency Contracts.......................................... 1,143
Prepaid Expenses and Other Assets...................................................... 8
-----------
Total Assets................................................................. 375,569
-----------
LIABILITIES:
Payable for Investment Securities Purchased............................................ 13,902
Accrued Expenses and Other Liabilities................................................. 128
-----------
Total Liabilities............................................................ 14,030
-----------
NET ASSETS............................................................................... $ 361,539
-----------
-----------
SHARES OUTSTANDING $.01 PAR VALUE
(Unlimited Number of Shares Authorized).............................................. 34,998,608
-----------
-----------
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE........................................................... $ 10.33
-----------
-----------
Investments at Cost...................................................................... $ 359,160
-----------
-----------
</TABLE>
See accompanying Notes to Financial Statements
214
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE ENHANCED THE U.S. THE U.S.
6-10 SMALL LARGE U.S. LARGE SMALL CAP LARGE CAP
COMPANY COMPANY COMPANY VALUE VALUE
SERIES SERIES SERIES SERIES SERIES
----------- ----------- --------------- ----------- -----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends.............................................. $ 1,403 $ 5,236 $ 1 $ 8,186 $ 12,165
Interest............................................... 172 68 667 820 323
Income from Securities Lending......................... 85 21 -- 212 49
----------- ----------- ------- ----------- -----------
Total Investment Income............................ 1,660 5,325 668 9,218 12,537
----------- ----------- ------- ----------- -----------
EXPENSES
Investment Advisory Services........................... 42 67 7 1,452 537
Accounting & Transfer Agent Fees....................... 76 40 14 394 292
Custodian's Fees....................................... 25 59 12 127 97
Legal Fees............................................. 2 5 1 13 10
Audit Fees............................................. 3 2 1 15 11
Shareholders' Reports.................................. 3 2 1 18 13
Trustees' Fees and Expenses............................ 1 1 -- 4 3
Other.................................................. 7 4 4 19 13
----------- ----------- ------- ----------- -----------
Total Expenses..................................... 159 180 40 2,042 976
----------- ----------- ------- ----------- -----------
NET INVESTMENT INCOME.................................. 1,501 5,145 628 7,176 11,561
----------- ----------- ------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY
Net Realized Gain on Investment Securities............. 10,445 116 86 79,221 35,763
Net Realized Gain on Foreign Currency Transactions..... -- -- 405 -- --
Net Realized Gain on Futures........................... -- -- 4,240 -- --
Net Realized Gain on Swap Contracts.................... -- -- 403 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......... 9,280 64,973 (315) 76,107 72,107
Translation of Foreign Currency Denominated
Amounts.......................................... -- -- (100) -- --
Futures............................................ -- -- (2,234) -- --
Swap Contracts..................................... -- -- (104) -- --
----------- ----------- ------- ----------- -----------
NET GAIN ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY............................................. 19,725 65,089 2,381 155,328 107,870
----------- ----------- ------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS....... $ 21,226 $ 70,234 $ 3,009 $ 162,504 $ 119,431
----------- ----------- ------- ----------- -----------
----------- ----------- ------- ----------- -----------
</TABLE>
See accompanying Notes to Financial Statements
215
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE THE PACIFIC THE UNITED THE
JAPANESE RIM KINGDOM CONTINENTAL THE DFA
SMALL SMALL SMALL SMALL INTERNATIONAL
COMPANY COMPANY COMPANY COMPANY VALUE
SERIES SERIES SERIES SERIES SERIES
----------- ------------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, (Net of Foreign Taxes Withheld of $257,
$112, $449, $359 and $1,694, respectively).......... $ 1,454 $ 2,241 $ 2,668 $ 3,423 $ 15,672
Interest.............................................. 104 101 65 186 619
Income from Securities Lending........................ 341 73 -- 62 625
----------- ------------- ----------- ----------- ------------
Total Investment Income........................... 1,899 2,415 2,733 3,671 16,916
----------- ------------- ----------- ----------- ------------
EXPENSES
Investment Advisory Services.......................... 138 117 95 174 1,374
Accounting & Transfer Agent Fees...................... 168 143 116 198 381
Custodian's Fees...................................... 62 151 15 89 338
Legal Fees............................................ 5 4 3 6 14
Audit Fees............................................ 7 6 5 8 15
Shareholders' Reports................................. 7 6 5 8 18
Trustees' Fees and Expenses........................... 2 1 1 1 4
Other................................................. 13 9 8 14 40
----------- ------------- ----------- ----------- ------------
Total Expenses.................................... 402 437 248 498 2,184
----------- ------------- ----------- ----------- ------------
NET INVESTMENT INCOME................................. 1,497 1,978 2,485 3,173 14,732
----------- ------------- ----------- ----------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY
Net Realized Gain on Investment Securities............ 414 1,498 6,805 5,861 16,961
Net Realized Gain (Loss) on Foreign Currency
Transactions........................................ (114) (69) 75 (239) (1,204)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........ (55,945) 1,093 (1,222) 23,686 22,791
Translation of Foreign Currency Denominated
Amounts......................................... 85 (10) 12 (165) (135)
----------- ------------- ----------- ----------- ------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY............................................ (55,560) 2,512 5,670 29,143 38,413
----------- ------------- ----------- ----------- ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS.............................................. $ (54,063) $ 4,490 $ 8,155 $ 32,316 $ 53,145
----------- ------------- ----------- ----------- ------------
----------- ------------- ----------- ----------- ------------
</TABLE>
See accompanying Notes to Financial Statements
216
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE THE DFA THE DFA THE DFA THE DFA
EMERGING THE EMERGING ONE-YEAR TWO-YEAR TWO-YEAR TWO-YEAR GLOBAL
MARKETS MARKETS SMALL CAP FIXED INCOME CORPORATE FIXED GOVERNMENT FIXED INCOME
SERIES SERIES(1) SERIES INCOME SERIES SERIES SERIES
----------- ----------------- ------------- --------------- ------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, (Net of Foreign
Taxes Withheld of $213,$18,
$0, $0, $0 and $0,
respectively)................ $ 2,987 $ 371 -- -- -- --
Interest....................... 188 52 $ 23,131 $ 3,944 $ 3,147 $ 8,413
----------- ----- ------------- ------- ------------- -------
Total Investment Income.... 3,175 423 23,131 3,944 3,147 8,413
----------- ----- ------------- ------- ------------- -------
EXPENSES
Investment Advisory Services... 95 23 197 98 82 85
Accounting & Transfer Agent
Fees......................... 116 14 101 30 27 166
Custodians' Fees............... 275 74 49 8 7 38
Legal Fees..................... 12 3 3 1 1 6
Audit Fees..................... 4 -- 4 1 1 6
Shareholders' Reports.......... 5 1 4 1 1 7
Trustees' Fees and Expenses.... 1 -- 1 1 -- 1
Other.......................... 13 1 12 2 2 3
----------- ----- ------------- ------- ------------- -------
Total Expenses............. 521 116 371 142 121 312
----------- ----- ------------- ------- ------------- -------
NET INVESTMENT INCOME.......... 2,654 307 22,760 3,802 3,026 8,101
----------- ----- ------------- ------- ------------- -------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY
Net Realized Gain (Loss) on
Investment Securities........ 153 6 408 197 (222) 868
Net Realized Gain (Loss) on
Foreign Currency
Transactions................. (61) (29) -- -- -- 9,973
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities and
Foreign Currency......... 15,826 187 (2,662) (755) (487) (8,387)
Translation of Foreign
Currency Denominated
Amounts.................. (13) -- -- -- -- (1,137)
----------- ----- ------------- ------- ------------- -------
NET GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN
CURRENCY..................... 15,905 164 (2,254) (558) (709) 1,317
----------- ----- ------------- ------- ------------- -------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS........ $ 18,559 $ 471 $ 20,506 $ 3,244 $ 2,317 $ 9,418
----------- ----- ------------- ------- ------------- -------
----------- ----- ------------- ------- ------------- -------
</TABLE>
(1) For the period December 2, 1996 (commencement of operations) to May 31,
1997.
See accompanying Notes to Financial Statements
217
<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 THE ENHANCED U.S. LARGE
COMPANY SERIES SERIES COMPANY SERIES
----------------------- ----------------------- -------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS
ENDED ENDED ENDED ENDED ENDED JULY 3, TO
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
1997 1996 1997 1996 1997 1996
------------ --------- ------------ --------- ------------ -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income............................ $ 1,501 $ 2,838 $ 5,145 $ 5,282 $ 628 $ 401
Net Realized Gain (Loss) on Investment
Securities..................................... 10,445 30,043 116 (18) 86 142
Net Realized Gain (Loss) on Foreign Currency
Transactions................................... -- -- -- -- 405 (28)
Net Realized Gain on Futures..................... -- -- -- -- 4,240 --
Net Realized Gain on Swap Contracts.............. -- -- -- -- 403 --
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency..... 9,280 10,563 64,973 63,985 (315) 67
Translation of Foreign Currency Denominated
Amounts...................................... -- -- -- -- (100) 172
Futures........................................ -- -- -- -- (2,234) 3,290
Swap Contracts................................. -- -- -- -- (104) 380
------------ --------- ------------ --------- ------------ -----------
Net Increase in Net Assets Resulting from
Operations................................... 21,226 43,444 70,234 69,249 3,009 4,424
------------ --------- ------------ --------- ------------ -----------
Distributions From:
Net Investment Income............................ (327) (2,841) -- (1,215) (544) (332)
Net Realized Gains............................... (30,080) (12,248) -- (686) (3,437) --
------------ --------- ------------ --------- ------------ -----------
Total Distributions.......................... (30,407) (15,089) -- (1,901) (3,981) (332)
------------ --------- ------------ --------- ------------ -----------
Capital Share Transactions (1):
Shares Issued.................................... 79,877 73,274 -- 32,324 7,280 25,091
Shares Issued in Lieu of Cash Distributions...... 28,416 14,860 -- 1,744 2,312 332
Shares Redeemed.................................. (51,291) (70,072) -- (10,535) (11,815) (302)
------------ --------- ------------ --------- ------------ -----------
Net Increase (Decrease) from Capital Share
Transactions................................. 57,002 18,062 -- 23,533 (2,223) 25,121
------------ --------- ------------ --------- ------------ -----------
Transactions in Interest (1):
Contributions.................................... -- -- 131,902 309,297 -- --
Withdrawals...................................... -- -- (31,364) (30,855) -- --
------------ --------- ------------ --------- ------------ -----------
Net Increase from Transactions in Interest..... -- -- 100,538 278,442 -- --
------------ --------- ------------ --------- ------------ -----------
Total Increase (Decrease).................... 47,821 46,417 170,772 369,323 (3,195) 29,213
NET ASSETS
Beginning of Period.............................. 268,401 221,984 466,441 97,118 29,213 --
------------ --------- ------------ --------- ------------ -----------
End of Period.................................... $ 316,222 $ 268,401 $ 637,213 $ 466,441 $ 26,018 $ 29,213
------------ --------- ------------ --------- ------------ -----------
------------ --------- ------------ --------- ------------ -----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................... 7,027 6,163 N/A 2,257 669 2,484
Shares Issued in Lieu of Cash Distributions..... 2,560 1,340 121 230 28
Shares Redeemed................................. (4,280) (5,840) (754) (1,101) (27)
------------ --------- ------------ --------- ------------ -----------
5,307 1,663 1,624 (202) 2,485
------------ --------- ------------ --------- ------------ -----------
------------ --------- ------------ --------- ------------ -----------
</TABLE>
- ------------------
(1) For The U.S. Large Company Series, Capital Share Transactions and Shares
Issued and Redeemed are reported through May 31, 1996, Transactions in
Interest are reported for the period June 1, through November 30, 1996.
Effective June 1, 1996, the Series was reorganized as a partnership.
See accompanying Notes to Financial Statements
218
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. SMALL CAP THE U.S. LARGE CAP
VALUE SERIES VALUE SERIES
------------------------- -------------------------
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED MAY NOV. 30, ENDED MAY NOV. 30,
31, 1997 1996 31, 1997 1996
------------ ----------- ------------ -----------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.................... $ 7,176 $ 10,727 $ 11,561 $ 16,593
Net Realized Gain on Investment
Securities............................. 79,221 57,358 35,763 52,525
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities.................. 76,107 131,332 72,107 82,209
------------ ----------- ------------ -----------
Net Increase in Net Assets Resulting
from Operations...................... 162,504 199,417 119,431 151,327
------------ ----------- ------------ -----------
Distributions From:
Net Investment Income.................... (1,696) (10,581) (6,025) (16,460)
Net Realized Gains....................... (57,267) (15,728) (52,566) (11,101)
------------ ----------- ------------ -----------
Total Distributions.................. (58,963) (26,309) (58,591) (27,561)
------------ ----------- ------------ -----------
Capital Share Transactions (1):
Shares Issued............................ 294,610 470,306 160,020 470,093
Shares Issued in Lieu of Cash
Distributions.......................... 53,197 25,751 49,196 25,800
Shares Redeemed.......................... (30,479) (45,295) (26,204) (54,744)
------------ ----------- ------------ -----------
Net Increase From Capital Share
Transactions......................... 317,328 450,762 183,012 441,149
------------ ----------- ------------ -----------
Total Increase....................... 420,869 623,870 243,852 564,915
NET ASSETS
Beginning of Period...................... 1,248,213 624,343 987,942 423,027
------------ ----------- ------------ -----------
End of Period............................ $1,669,082 $ 1,248,213 $1,231,794 $ 987,942
------------ ----------- ------------ -----------
------------ ----------- ------------ -----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................... 17,909 32,133 10,556 33,894
Shares Issued in Lieu of Cash
Distributions......................... 3,298 1,749 3,346 1,923
Shares Redeemed......................... (1,831) (3,121) (1,725) (3,976)
------------ ----------- ------------ -----------
19,376 30,761 12,177 31,841
------------ ----------- ------------ -----------
------------ ----------- ------------ -----------
</TABLE>
See accompanying Notes to Financial Statements
219
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE JAPANESE THE PACIFIC
SMALL RIM SMALL
COMPANY COMPANY
SERIES SERIES
------------------------ ----------------------
SIX MONTHS AUG. 9 SIX MONTHS AUG. 9
ENDED TO ENDED TO
MAY 31, NOV. 30, MAY 31, NOV. 30,
1997 1996 1997 1996
----------- ----------- ----------- ---------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income....................... $ 1,497 $ 816 $ 1,978 $ 1,634
Net Realized Gain (Loss) on Investment
Securities................................ 414 (540) 1,498 1,507
Net Realized Loss on Foreign Currency
Transactions.............................. (114) (33) (69) (3)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................ (55,945) (31,608) 1,093 11,126
Translation of Foreign Currency
Denominated Amounts..................... 85 (6) (10) 11
----------- ----------- ----------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations............... (54,063) (31,371) 4,490 14,275
----------- ----------- ----------- ---------
Transactions in Interest:
Contributions............................... 33,692 393,877 17,213 232,462
Withdrawals................................. (16,996) (32,824) (7,221) (15,256)
----------- ----------- ----------- ---------
Net Increase from Transactions in
Interest................................ 16,696 361,053 9,992 217,206
----------- ----------- ----------- ---------
Total Increase (Decrease)................. (37,367) 329,682 14,482 231,481
NET ASSETS
Beginning of Period......................... 329,682 -- 231,481 --
----------- ----------- ----------- ---------
End of Period............................... $ 292,315 $ 329,682 $ 245,963 $ 231,481
----------- ----------- ----------- ---------
----------- ----------- ----------- ---------
</TABLE>
See accompanying Notes to Financial Statements
220
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
THE UNITED KINGDOM THE CONTINENTAL
SMALL COMPANY SERIES SMALL COMPANY SERIES
----------------------- -----------------------
SIX MONTHS AUG. 9 TO SIX MONTHS AUG. 9 TO
ENDED MAY NOV. 30, ENDED MAY NOV. 30,
31, 1997 1996 31, 1997 1996
------------ --------- ------------ ---------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................. $ 2,485 $ 1,550 $ 3,173 $ 273
Net Realized Gain (Loss) on Investment
Securities.......................... 6,805 (65) 5,861 4,083
Net Realized Gain (Loss) on Foreign
Currency Transactions............... 75 65 (239) 4
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.......................... (1,222) 16,738 23,686 3,231
Translation of Foreign Currency
Denominated Amounts............... 12 8 (165) (71)
------------ --------- ------------ ---------
Net Increase in Net Assets
Resulting from Operations....... 8,155 18,296 32,316 7,520
------------ --------- ------------ ---------
Transactions in Interest:
Contributions......................... 8,477 178,848 12,312 360,586
Withdrawals........................... (7,861) (14,519) (21,090) (32,224)
------------ --------- ------------ ---------
Net Increase (Decrease) from
Transactions in Interest........ 616 164,329 (8,778) 328,362
------------ --------- ------------ ---------
Total Increase.................... 8,771 182,625 23,538 335,882
NET ASSETS
Beginning of Period................... 182,625 -- 335,882 --
------------ --------- ------------ ---------
End of Period......................... $ 191,396 $ 182,625 $ 359,420 $ 335,882
------------ --------- ------------ ---------
------------ --------- ------------ ---------
</TABLE>
See accompanying Notes to Financial Statements
221
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA INTERNATIONAL THE EMERGING THE EMERGING
VALUE SERIES MARKETS SERIES MARKETS SMALL
------------------------- ----------------------- CAP SERIES
SIX MONTHS YEAR SIX MONTHS YEAR ---------------
ENDED MAY ENDED ENDED ENDED DEC. 2, 1996
31, NOV. 30, MAY 31, NOV. 30, TO MAY 31,
1997 1996 1997 1996 1997
------------ ----------- ------------ --------- ---------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................................. $ 14,732 $ 23,725 $ 2,654 $ 1,803 $ 307
Net Realized Gain on Investment Securities............ 16,961 27,321 153 43 6
Net Realized Loss of Foreign Currency Transactions.... (1,204) (82) (61) (78) (29)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......... 22,791 80,434 15,826 5,536 187
Translation of Foreign Currency Denominated
Amounts........................................... (135) 9 (13) 7 --
------------ ----------- ------------ --------- ---------------
Net Increase in Net Assets Resulting from
Operations........................................ 53,145 131,407 18,559 7,311 471
------------ ----------- ------------ --------- ---------------
Distributions From:
Net Investment Income................................. (3,447) (23,445) -- -- --
Net Realized Gains.................................... (27,255) (4,744) -- -- --
------------ ----------- ------------ --------- ---------------
Total Distributions............................... (30,702) (28,189) -- -- --
------------ ----------- ------------ --------- ---------------
Capital Share Transactions (1):
Shares Issued......................................... 128,162 1,084,901 -- -- --
Shares Issued in Lieu of Cash Distributions........... 30,702 28,189 -- -- --
Shares Redeemed....................................... (27,714) (468,842) -- -- --
------------ ----------- ------------ --------- ---------------
Net Increase From Capital Share Transactions........ 131,150 644,248 -- -- --
------------ ----------- ------------ --------- ---------------
Transactions in Interest:
Contributions......................................... -- -- 38,455 108,247 24,941
Withdrawals........................................... -- -- (4,291) (2,834) (1)
------------ ----------- ------------ --------- ---------------
Net Increase from Transactions in Interest.......... -- -- 34,164 105,413 24,940
------------ ----------- ------------ --------- ---------------
Total Increase.................................... 153,593 747,466 52,723 112,724 25,411
NET ASSETS
Beginning of Period................................... 1,356,852 609,386 162,075 49,351 --
------------ ----------- ------------ --------- ---------------
End of Period......................................... $1,510,445 $1,356,852 $ 214,798 $ 162,075 $ 25,411
------------ ----------- ------------ --------- ---------------
------------ ----------- ------------ --------- ---------------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................ 11,435 95,652 N/A N/A N/A
Shares Issued in Lieu of Cash Distribution........... 2,726 2,494
Shares Redeemed...................................... (2,468) (40,798)
------------ -----------
11,693 57,348
------------ -----------
------------ -----------
</TABLE>
See accompanying Notes to Financial Statements
222
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA
THE DFA ONE-YEAR TWO-YEAR CORPORATE
FIXED INCOME FIXED INCOME
SERIES SERIES
------------------------ -----------------------
SIX MONTHS YEAR SIX MONTHS JUNE 7
ENDED ENDED ENDED TO
MAY 31, NOV. 30, MAY 31, NOV. 30,
1997 1996 1997 1996
------------ ---------- ------------ ---------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................ $ 22,760 $ 43,492 $ 3,802 $ 3,222
Net Realized Gain (Loss) on
Investment Securities.............. 408 (301) 197 164
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities.............. (2,662) 3,135 (755) 823
------------ ---------- ------------ ---------
Net Increase in Net Assets
Resulting from Operations........ 20,506 46,326 3,244 4,209
------------ ---------- ------------ ---------
Distributions From:
Net Investment Income................ (23,184) (42,530) (2,025) (3,053)
Net Realized Gains................... -- -- (164) --
------------ ---------- ------------ ---------
Total Distributions.............. (23,184) (42,530) (2,189) (3,053)
------------ ---------- ------------ ---------
Capital Share Transactions (1):
Shares Issued........................ 155,318 520,113 19,277 126,154
Shares Issued in Lieu of Cash
Distributions...................... 19,180 32,939 37 1,641
Shares Redeemed...................... (267,100) (403,109) (4,675) (6,165)
------------ ---------- ------------ ---------
Net Increase (Decrease) From
Capital Share Transactions....... (92,602) 149,943 14,639 121,630
------------ ---------- ------------ ---------
Total Increase (Decrease)........ (95,280) 153,739 15,694 122,786
NET ASSETS
Beginning of Period.................. 859,293 705,554 122,786 --
------------ ---------- ------------ ---------
End of Period........................ $ 764,013 $ 859,293 $ 138,480 $ 122,786
------------ ---------- ------------ ---------
------------ ---------- ------------ ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................... 15,572 52,148 1,909 12,591
Shares Issued in Lieu of Cash
Distribution...................... 1,927 3,311 4 163
Shares Redeemed..................... (26,800) (40,380) (464) (607)
------------ ---------- ------------ ---------
(9,301) 15,079 1,449 12,147
------------ ---------- ------------ ---------
------------ ---------- ------------ ---------
</TABLE>
See accompanying Notes to Financial Statements
223
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA
THE DFA TWO-YEAR
TWO-YEAR GLOBAL
GOVERNMENT FIXED INCOME
SERIES SERIES
----------------------- -----------------------
SIX MONTHS JUNE 7 SIX MONTHS FEB. 9
ENDED TO ENDED TO
MAY 31, NOV. 30, MAY 31, NOV. 30,
1997 1996 1997 1996
------------ --------- ------------ ---------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income........................ $ 3,026 $ 2,648 $ 8,101 $ 9,662
Net Realized Gain (Loss) on Investment
Securities................................. (222) 504 868 241
Net Realized Gain of Foreign Currency
Transactions............................... -- -- 9,973 527
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................. (487) 357 (8,387) 3,711
Translation of Foreign Currency Denominated
Amounts.................................. -- -- (1,137) 2,297
------------ --------- ------------ ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 2,317 3,509 9,418 16,438
------------ --------- ------------ ---------
Distributions From:
Net Investment Income........................ -- -- (9,220) (6,900)
Net Realized Gains........................... -- -- (251) --
------------ --------- ------------ ---------
Total Distributions...................... -- -- (9,471) (6,900)
------------ --------- ------------ ---------
Capital Share Transactions (1):
Shares Issued................................ -- -- 54,422 323,241
Shares Issued in Lieu of Cash
Distributions.............................. -- -- 9,471 6,900
Shares Redeemed.............................. -- -- (21,573) (20,407)
------------ --------- ------------ ---------
Net Increase From Capital Share
Transactions............................. -- -- 42,320 309,734
------------ --------- ------------ ---------
Transactions in Interest:
Contributions................................ 16,287 109,613 -- --
Withdrawals.................................. (11,462) (8,475) -- --
------------ --------- ------------ ---------
Net Increase from Transactions in
Interest................................. 4,825 101,138 -- --
------------ --------- ------------ ---------
Total Increase........................... 7,142 104,647 42,267 319,272
NET ASSETS
Beginning of Period.......................... 104,647 -- 319,272 --
------------ --------- ------------ ---------
End of Period................................ $ 111,789 $ 104,647 $ 361,539 $ 319,272
------------ --------- ------------ ---------
------------ --------- ------------ ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................... N/A N/A 5,313 32,201
Shares Issued in Lieu of Cash
Distribution.............................. 932 683
Shares Redeemed............................. (2,109) (2,021)
------------ ---------
4,136 30,863
------------ ---------
------------ ---------
</TABLE>
See accompanying Notes to Financial Statements
224
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 6-10 SMALL COMPANY SERIES
----------------------------------------------------
SIX MONTHS YEAR YEAR YEAR
ENDED ENDED ENDED ENDED FEB. 3
MAY 31, NOV. 30, NOV. 30, NOV. 30, TO NOV.
1997 1996 1995 1994 30, 1993
- -------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period.... $ 12.56 $ 11.26 $ 9.54 $ 10.39 $ 10.00
----------- -------- -------- -------- --------
Income From Investment
Operations (2)
Net Investment
Income............... 0.06 0.13 0.12 0.12 0.10
Net Gain (Losses) on
Securities (Realized
and Unrealized)...... 0.81 1.92 2.50 (0.07) 0.54
----------- -------- -------- -------- --------
Total From Investment
Operations......... 0.87 2.05 2.62 0.05 0.64
- -------------------------------------------------------------------------------
Less Distributions (2)
Net Investment
Income............... (0.02) (0.13) (0.12) (0.11) (0.10)
Net Realized Gains..... (1.56) (0.62) (0.78) (0.79) (0.15)
----------- -------- -------- -------- --------
Total
Distributions...... (1.58) (0.75) (0.90) (0.90) (0.25)
- -------------------------------------------------------------------------------
Net Asset Value, End of
Period (2)............. $ 11.85 $ 12.56 $ 11.26 $ 9.54 $ 10.39
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Total Return (2)......... 7.78%# 19.17% 29.19% 0.59% 6.35%#
- -------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)............ $316,222 $268,401 $221,984 $143,630 $161,925
Ratio of Expenses to
Average Net Assets..... 0.11%* 0.13% 0.15% 0.17% 0.17%*
Ratio of Net Investment
Income to Average Net
Assets................. 1.07%* 1.05% 1.18% 1.11% 1.18%*
Portfolio Turnover
Rate................... 39.07%* 32.38% 21.16% 27.65% 32.88%*
Average Commission Rate
(1).................... $ 0.0563 $ 0.0586 N/A N/A N/A
- -------------------------------------------------------------------------------
<CAPTION>
THE ENHANCED U.S. LARGE
THE U.S. LARGE COMPANY SERIES COMPANY SERIES
---------------------------------------------------------------------- ---------------------------
SIX MONTHS YEAR ENDED YEAR ENDED YEAR ENDED FEB. 3 TO SIX MONTHS JULY 3 TO
ENDED MAY NOV. 30, NOV. 30, NOV. 30, NOV. 30, ENDED NOV. 30,
31, 1997 1996 1995 1994 1993 MAY 31, 1997 1996
- ------------------------- ------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period.... N/A(2) $ 13.48 $ 10.11 $ 10.27 $ 10.00 $ 11.76 $ 10.00
----------- ----------- ---------- ---------- ---------- ------------ ----------
Income From Investment
Operations (2)
Net Investment
Income............... -- 0.15 0.30 0.28 0.24 0.25 0.16
Net Gain (Losses) on
Securities (Realized
and Unrealized)...... -- 1.41 3.36 (0.14) 0.26 1.02 1.74
----------- ----------- ---------- ---------- ---------- ------------ ----------
Total From Investment
Operations......... -- 1.56 3.66 0.14 0.50 1.27 1.90
- ------------------------- ------------------------------------------------------------------------------------------------------
Less Distributions (2)
Net Investment
Income............... -- (0.16) (0.29) (0.29) (0.23) (0.21) (0.14)
Net Realized Gains..... -- (0.08) -- (0.01) -- (1.42) --
----------- ----------- ---------- ---------- ---------- ------------ ----------
Total
Distributions...... -- (0.24) (0.29) (0.30) (0.23) (1.63) (0.14)
- ------------------------- ------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period (2)............. N/A(2) $ 14.80 $ 13.48 $ 10.11 $ 10.27 $ 11.40 $ 11.76
- ------------------------- ------------------------------------------------------------------------------------------------------
- ------------------------- ------------------------------------------------------------------------------------------------------
Total Return (2)......... N/A(2) 11.60%# 36.77% 1.30% 5.05%# 12.81%# 18.95%#
- ------------------------- ------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)............ $637,213 $ 466,441 $97,118 $48,657 $37,853 $26,018 $29,213
Ratio of Expenses to
Average Net Assets..... 0.07%* 0.12% 0.02%(a) 0.02%(a) 0.02%*(a) 0.24%* 0.29%*
Ratio of Net Investment
Income to Average Net
Assets................. 1.91%* 2.12% 2.61%(a) 2.83%(a) 2.87%*(a) 4.58%* 4.60%*
Portfolio Turnover
Rate................... 3.48%* 14.09% 2.38% 8.52% 34.36%* 217.17%* 211.07%*
Average Commission Rate
(1).................... $ 0.0200 $ 0.0212 N/A N/A N/A $0.0200 $0.0200
- ------------------------- ------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
(a) Had certain reimbursements not been in effect the ratios of expenses to average net assets for the periods ended November
30, 1995, 1994 and 1993 would have been 0.18%, 0.33% and 0.48%, respectively, and the ratios of net investment income to
average net assets for the period November 30, 1995, 1994 and 1993, would have been 2.45%, 2.52% and 2.41%, respectively.
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC fiscal years beginning
after September 1, 1995.
(2) For the U.S. Large Company Series, items are calculated for the period December 1, 1995 through May 31, 1996. Effective
June 1, 1996, this Series was reorganized as a partnership, and these items are no longer applicable.
</TABLE>
See accompanying Notes to Financial Statements.
225
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. SMALL CAP VALUE SERIES
----------------------------------------------------
YEAR YEAR YEAR MARCH 2
SIX MONTHS ENDED ENDED ENDED TO
ENDED MAY NOV. 30, NOV. 30, NOV. 30, NOV. 30,
31, 1997 1996 1995 1994 1993
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
(UNAUDITED)
Net Asset Value, Beginning of Period...... $ 16.58 $ 14.02 $ 11.15 $ 11.04 $ 10.00
----------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income................... 0.08 0.15 0.14 0.12 0.08
Net Gain (Losses) on Securities
(Realized and Unrealized)............. 1.73 2.88 3.06 0.16 1.09
----------- -------- -------- -------- --------
Total From Investment Operations...... 1.81 3.03 3.20 0.28 1.17
- ------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income................... (0.02) (0.15) (0.14) (0.12) (0.07)
Net Realized Gains...................... (0.74) (0.32) (0.19) (0.05) (0.06)
----------- -------- -------- -------- --------
Total Distributions................... (0.76) (0.47) (0.33) (0.17) (0.13)
- ------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 17.63 $ 16.58 $ 14.02 $ 11.15 $ 11.04
- ------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------
Total Return.............................. 11.38%# 22.14% 28.81% 2.52% 11.69%#
- ------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... 1$,669,082 $1,248,213 $624,343 $350,277 $ 95,681
Ratio of Expenses to Average Net Assets... 0.28%* 0.29% 0.32% 0.32% 0.33%*
Ratio of Net Investment Income to Average
Net Assets.............................. 0.99%* 1.11% 1.22% 1.50% 1.35%*
Portfolio Turnover Rate................... 24.24%* 14.91% 20.62% 8.22% 1.07%*
Average Commission Rate (1)............... $ 0.0657 $ 0.0658 N/A N/A N/A
- ------------------------------------------------------------------------------------------------
<CAPTION>
THE U.S. LARGE CAP VALUE SERIES
----------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR FEB. 19
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV 31,
1997 1996 1995 1994 1993
- ------------------------------------------ ----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
(UNAUDITED)
Net Asset Value, Beginning of Period...... $ 15.52 $ 13.29 $ 9.92 $ 10.59 $ 10.00
----------- -------- -------- -------- -----------
Income From Investment Operations
Net Investment Income................... 0.16 0.31 0.32 0.33 0.20
Net Gain (Losses) on Securities
(Realized and Unrealized)............. 1.47 2.57 3.53 (0.65) 0.58
----------- -------- -------- -------- -----------
Total From Investment Operations...... 1.63 2.88 3.85 (0.32) 0.78
- ------------------------------------------ ----------------------------------------------------------
Less Distributions
Net Investment Income................... (0.09) (0.31) (0.31) (0.35) (0.18)
Net Realized Gains...................... (0.82) (0.34) (0.17) -- (0.01)
----------- -------- -------- -------- -----------
Total Distributions................... (0.91) (0.65) (0.48) (0.35) (0.19)
- ------------------------------------------ ----------------------------------------------------------
Net Asset Value, End of Period............ $ 16.24 $ 15.52 $ 13.29 $ 9.92 $ 10.59
- ------------------------------------------ ----------------------------------------------------------
- ------------------------------------------ ----------------------------------------------------------
Total Return.............................. 11.11%# 22.48% 39.26% (3.13)% 7.79%#
- ------------------------------------------ ----------------------------------------------------------
Net Assets, End of Period (thousands)..... $1,231,794 $987,942 $423,027 $198,848 $ 90,271
Ratio of Expenses to Average Net Assets... 0.18%* 0.19% 0.21% 0.22% 0.23%*
Ratio of Net Investment Income to Average
Net Assets.............................. 2.16%* 2.37% 2.84% 3.72% 3.75%*
Portfolio Turnover Rate................... 17.76%* 20.12% 29.41% 39.33% 0.75%*
Average Commission Rate (1)............... $ 0.0497 $ 0.0499 N/A N/A N/A
- ------------------------------------------ ----------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC fiscal years beginning
after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements.
226
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE JAPANESE SMALL THE PACIFIC RIM SMALL THE UNITED KINGDOM SMALL
COMPANY SERIES COMPANY SERIES COMPANY SERIES
------------------------ ------------------------ ------------------------
SIX MONTHS AUG. 9 SIX MONTHS AUG. 9 SIX MONTHS AUG. 9
ENDED TO ENDED TO ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, MAY 31, NOV. 30,
1997 1996 1997 1996 1997 1996
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
(UNAUDITED) (UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of Period........... N/A + N/A + N/A + N/A + N/A + N/A+
----------- ----------- ----------- ----------- ----------- -----------
Income From Investment Operations
Net Investment Income........................ -- -- -- -- -- --
Net Gain (Losses) on Securities (Realized and
Unrealized)................................ -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations........... -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income........................ -- -- -- -- -- --
Net Realized Gains........................... -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions........................ -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................. N/A + N/A + N/A + N/A + N/A + N/A+
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
Total Return................................... N/A + N/A + N/A + N/A + N/A + N/A+
- ---------------------------------------------------------------------------------------------------------------- -----------
Net Assets, End of Period (thousands).......... $ 292,315 $ 329,610 $ 245,963 $ 231,481 $ 191,396 $ 182,625
Ratio of Expenses to Average Net Assets........ 0.29%* 0.29%* 0.38%* 0.45%* 0.26%* 0.29%*
Ratio of Net Investment Income to Average Net
Assets....................................... 1.09%* 0.76%* 1.70%* 2.50%* 2.62%* 2.94%*
Portfolio Turnover Rate........................ 16.78%* 1.67%* 16.59%* 8.04%* 3.78%* 4.55%*
Average Commission Rate (1).................... $ 0.0318 $ 0.0427 $ 0.0044 $ 0.0102 $ 0.0113 $ 0.0050
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE CONTINENTAL SMALL
COMPANY SERIES
------------------------
SIX MONTHS AUG. 9
ENDED TO
MAY 31, NOV. 30,
1997 1996
- ----------------------------------------------- ------------------------
<S> <C> <C>
(UNAUDITED)
Net Asset Value, Beginning of Period........... N/A + N/A +
----------- -----------
Income From Investment Operations
Net Investment Income........................ -- --
Net Gain (Losses) on Securities (Realized and
Unrealized)................................ -- --
----------- -----------
Total From Investment Operations........... -- --
- ----------------------------------------------- ------------------------
Less Distributions
Net Investment Income........................ -- --
Net Realized Gains........................... -- --
----------- -----------
Total Distributions........................ -- --
- ----------------------------------------------- ------------------------
Net Asset Value, End of Period................. N/A + N/A +
- ----------------------------------------------- ------------------------
- ----------------------------------------------- ------------------------
Total Return................................... N/A + N/A +
- -----------------------------------------------
Net Assets, End of Period (thousands).......... $ 359,420 $ 335,882
Ratio of Expenses to Average Net Assets........ 0.29%* 0.31%*
Ratio of Net Investment Income to Average Net
Assets....................................... 1.83%* 0.27%*
Portfolio Turnover Rate........................ 4.13%* 6.69%*
Average Commission Rate (1).................... $ 0.0304 $ 0.0392
- ----------------------------------------------- -----------
</TABLE>
<TABLE>
<C> <S>
* Annualized
+ Not applicable as The Japanese Small Company Series, The Pacific Rim Small Company Series, The United Kingdom Small
Company Series and The Continental Small Company Series are organized as Partnerships.
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements.
227
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA INTERNATIONAL THE EMERGING
VALUE SERIES MARKETS SERIES
-------------------------------------------- -------------------------------------------
SIX MONTHS YEAR FEB. 15 SIX MONTHS YEAR YEAR APRIL 25
ENDED YEAR ENDED ENDED TO ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, MAY 31, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1997 1996 1995 1994
- -------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period................. $ 11.79 $ 10.55 $ 10.06 $ 10.00 N/A+ N/A+ N/A+ N/A+
----------- ---------- -------- -------- ----------- -------- -------- ---------
Income From Investment
Operations
Net Investment Income..... 0.12 0.23 0.20 0.13 -- -- -- --
Net Gain (Losses) on
Securities (Realized and
Unrealized)............. 0.27 1.32 0.52 0.07 -- -- -- --
----------- ---------- -------- -------- ----------- -------- -------- ---------
Total From Investment
Operations............ 0.39 1.55 0.72 0.20 -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income..... (0.03) (0.23) (0.21) (0.13) -- -- -- --
Net Realized Gains........ (0.24) (0.08) (0.02) (0.01) -- -- -- --
----------- ---------- -------- -------- ----------- -------- -------- ---------
Total Distributions......... (0.27) (0.31) (0.23) (0.14) -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period.................... $ 11.91 $ 11.79 $ 10.55 $ 10.06 N/A+ N/A+ N/A+ N/A+
- -------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------
Total Return................ 3.39%# 14.85% 7.20% 1.99%# N/A+ N/A+ N/A+ N/A+
- -------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)............... $1,510,445 $1,350,852 $609,386 $348,381 $214,798 $162,075 $ 49,351 $ 15,724
Ratio of Expenses to Average
Net Assets................ 0.32%* 0.36% 0.42% 0.45%*(a) 0.55%* 0.66% 0.87% 1.49%*
Ratio of Net Investment
Income to Average Net
Assets.................... 2.15%* 2.23% 2.14% 1.84%*(a) 2.80%* 1.63% 1.70% 0.56%*
Portfolio Turnover Rate..... 18.48%* 12.23% 9.75% 1.90%* 0.91%* 0.37% 8.17% 1.28%*
Average Commission Rate
(1)....................... $ 0.0069 $ 0.0112 N/A N/A $ 0.0004 $ 0.0010 N/A N/A
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
+ Not applicable as The Emerging Markets Series is organized as a partnership.
(a) Had certain waivers not been in effect the ratio of expenses to average net assets for the period ended November 30, 1994
would have been 0.48%, and the ratio of net investment income to average net assets for the period ended November 30,
1994 would have been 1.81%.
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements.
228
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE
EMERGING
MARKETS
SMALL CAP
SERIES
----------- THE DFA ONE-YEAR FIXED INCOME SERIES(2)
DEC. 2, ----------------------------------------------------
1996 SIX MONTHS YEAR YEAR YEAR FEB. 8
TO ENDED ENDED ENDED ENDED TO
MAY 31, MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1997 1996 1995 1994 1993
- -----------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period............................. N/A+ $ 10.03 $ 10.00 $ 9.84 $ 10.06 $ 10.00
----------- ----------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income.............. -- 0.29 0.56 0.60 0.44 0.31
Net Gain (Losses) on Securities
(Realized and Unrealized)........ -- (0.03) 0.03 0.16 (0.18) 0.03
----------- ----------- -------- -------- -------- --------
Total From Investment
Operations...................... -- 0.26 0.59 0.76 0.26 0.34
- -----------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income.............. -- (0.29) (0.56) (0.60) (0.43) (0.28)
Net Realized Gains................. -- -- -- -- (0.05) --
----------- ----------- -------- -------- -------- --------
Total Distributions.................. -- (0.29) (0.56) (0.60) (0.48) (0.28)
- -----------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period....... N/A+ $ 10.00 $ 10.03 $ 10.00 $ 9.84 $ 10.06
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
Total Return......................... N/A+ 2.61%# 6.10% 7.91% 2.61% 3.39%#
- -----------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $ 25,411 $764,013 $859,293 $705,554 $592,286 $608,428
Ratio of Expenses to Average Net
Assets............................. 1.00%*(a) 0.09%* 0.09% 0.10% 0.10% 0.10%*
Ratio of Net Investment Income to
Average Net Assets................. 2.64%*(a) 5.78%* 5.62% 6.04% 4.41% 3.80%*
Portfolio Turnover Rate.............. 0.66%* 81.14%* 95.84% 81.31% 140.82% 111.67%*
Average Commission Rate (1).......... $ 0.0002 N/A N/A N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
+ Not applicable as The Emerging Markets Small Cap Series is organized as a partnership.
(a) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily
indicative of future ratios.
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
(2) Restated to reflect a 900% stock dividend as January 2, 1996.
</TABLE>
See accompanying Notes to Financial Statements.
229
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA THE DFA
TWO-YEAR THE DFA TWO-YEAR
CORPORATE FIXED TWO-YEAR GLOBAL FIXED
INCOME GOVERNMENT INCOME
SERIES SERIES SERIES
-------------------------- -------------------------- ---------------------
SIX MONTHS JUNE 7 JUNE 7 FEB. 9
ENDED TO SIX MONTHS TO SIX MONTHS TO
MAY 31, NOV. 30, ENDED MAY NOV. 30, ENDED MAY NOV. 30,
1997 1996 31, 1997 1996 31, 1997 1996
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
(UNAUDITED) (UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of
Period........................ $ 10.11 $ 10.00 N/A+ N/A+ $ 10.34 $ 10.00
----------- ------------ ----------- ------------ ---------- --------
Income From Investment
Operations
Net Investment Income......... 0.29 0.28 -- -- 0.24 0.34
Net Gain (Losses) on
Securities (Realized and
Unrealized)................. (0.04) 0.09 -- -- 0.05 0.25
----------- ------------ ----------- ------------ ---------- --------
Total From Investment
Operations................ 0.25 0.37 -- -- 0.29 0.59
- -----------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income......... (0.16) (0.26) -- -- (0.29) (0.25)
Net Realized Gains............ (0.01) -- -- -- (0.01) --
----------- ------------ ----------- ------------ ---------- --------
Total Distributions......... (0.17) (0.26) -- -- (0.30) (0.25)
- -----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 10.19 $ 10.11 N/A+ N/A+ $ 10.33 $ 10.34
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
Total Return.................... 2.51%# 3.76%# N/A+ N/A+ 2.84%# 6.01%#
- -----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $138,480 $122,786 $111,789 $104,647 $361,539 $319,272
Ratio of Expenses to Average Net
Assets........................ 0.22%* 0.23%* 0.22%* 0.23%* 0.18%* 0.20%*
Ratio of Net Investment Income
to Average Net Assets......... 5.83%* 6.11%* 5.58%* 5.95%* 4.79%* 4.51%*
Portfolio Turnover Rate......... 111.11%* 81.97%* 152.18%* 200.59%* 134.21%* 87.07%*
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
+ Not applicable as The DFA Two-Year Government Series is organized as a partnership.
</TABLE>
See accompanying Notes to Financial Statements.
230
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At May
31, 1997, the Trust consisted of sixteen investment portfolios (collectively,
the "Series"):
The U.S. 6-10 Small Company Series
The U.S. Large Company Series
The Enhanced U.S. Large Company Series
The U.S. Small Cap Value Series
The U.S. Large Cap Value Series
(the "Domestic Equity Portfolios")
The DFA One-Year Fixed Income Series
The DFA Two-Year Corporate Fixed Income Series
The DFA Two-Year Government Series
The DFA Two-Year Global Fixed Income Series
(the "Fixed Income Portfolios")
The Japanese Small Company Series
The Pacific Rim Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The DFA International Value Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
(the "International Equity Portfolios")
On August 9, 1996, four portfolios of DFA Investment Dimensions Group Inc.
(the "Fund"): The Japanese Small Company Portfolio, The Pacific Rim Small
Company Portfolio, The United Kingdom Small Company Portfolio and The
Continental Small Company Portfolio, respectively, transferred their investable
assets for shares with equal values of a corresponding Series of the Trust (the
"Transfer").
On June 1, 1996 the U.S. Large Company Series ("this Series") was
reorganized from an entity taxed as a corporation to an entity taxed as a
partnership for income tax purposes. This reorganization was accomplished by an
amendment to the organization document of the Series which for income tax
purposes was treated as a liquidation of this Series, immediate distribution of
its assets to its sole shareholder at May 31, 1996, which was the U.S. Large
Company Portfolio (the "Portfolio") and subsequent contribution of those assets
from the Portfolio, along with a nominal contribution from the Advisor to this
Series to create the partnership. On June 2, 1996, an unrelated investment
company contributed assets valued at $225,957,696 to this Series in exchange for
a 63.4% interest in this Series. The total net assets of this Series increased
to $356,632,854 immediately following this transaction. These transactions are
expected to be tax-free events to all parties involved based on rulings obtained
from the Internal Revenue Service. For financial reporting purposes, this Series
continues to exist and as such, will maintain all of its previous operating
history throughout the financial statements.
On December 20, 1995, the Board of Trustees of The DFA Investment Trust
Company approved a 900% stock dividend under Delaware Trust Law, which is
treated as a 10 for 1 stock split for financial reporting purposes for The DFA
One-Year Fixed Income Series. The record date of the stock dividend was January
1, 1996, and the ex-date and payable dates were January 2, 1996. This was a
tax-free event to the shareholders of this series. All share and per share data
as of and for the period ended November 30,1995 and all prior periods have been
restated to reflect the stock dividend.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
231
<PAGE>
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.
Fixed income instruments held by The Enhanced U.S. Large Company Series and
The Fixed Income Portfolios are valued on the basis of prices provided by a
pricing service when such prices are believed to reflect the fair market value
of such securities.
2. FOREIGN CURRENCY TRANSLATION: Securities, other assets and liabilities
of The Enhanced U.S. Large Company Series, the International Equity Portfolios
and The DFA Two-Year Global Fixed Income Series whose values are initially
expressed in foreign currencies are translated to U.S. dollars at the bid price
of such currency against U.S. dollars last quoted by a major bank. Dividend and
interest income and certain expenses are translated to U.S. dollars at the rate
of exchange on their respective accrual dates. Receivables and payables
denominated in foreign currencies are marked to market daily based on daily
exchange rates and exchange gains or losses are realized upon ultimate receipt
or disbursement. The Enhanced U.S. Large Company Series and The DFA Two-Year
Global Fixed Income Series also enter into forward foreign currency contracts
solely for the purpose of hedging against fluctuations in currency exchange
rates. These contracts are also marked to market daily based on daily exchange
rates.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized. However, The
Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed Income
Series do 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 Enhanced
U.S. Large Company Series, the International Equity Portfolios and The DFA
Two-Year Global Fixed Income Series and the U.S. dollar equivalent amounts
actually received or paid.
3. FEDERAL INCOME TAXES: It is the intention of The U.S. 6-10 Small
Company Series, The Enhanced U.S. Large Company Series, The U.S. Small Cap Value
Series, The U.S. Large Cap Value Series, The DFA International Value Series, The
DFA One-Year Fixed Income Series, The DFA Two-Year Corporate Fixed Income
Series, and The DFA Two-Year Global Fixed Income Series 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 U.S. Large Company Series, The Japanese Small Company Series, The
Pacific Rim Small Company Series, The United Kingdom Small Company Series, The
Continental Small Company Series, The Emerging Markets Series, The Emerging
Markets Small Cap Series and The DFA Two-Year Government Series are treated as
partnerships for federal income tax purposes. Any interest, dividends and gains
or losses of these Series will be deemed to have been "passed through" to their
Feeder Funds.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on an accrual basis. Discount and
premium on securities purchased are amortized over the lives of the respective
securities. Expenses directly attributable to a Series are directly charged.
Common expenses are allocated using methods determined by the Board of
Directors.
232
<PAGE>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides investment advisory
services to the Trust. For the six months ended May 31, 1997, the Series'
advisory fees were computed daily and paid monthly to the Advisor based on the
following effective annual rates:
<TABLE>
<S> <C>
The U.S. 6-10 Small Company Series....................................... .03 of 1%
The U.S. Large Company Series............................................ .025 of 1%
The Enhanced U.S. Large Company Series................................... .05 of 1%
The U.S. Small Cap Value Series.......................................... .20 of 1%
The U.S. Large Cap Value Series.......................................... .10 of 1%
The Japanese Small Company Series........................................ .10 of 1%
The Pacific Rim Small Company Series..................................... .10 of 1%
The United Kingdom Small Company Series.................................. .10 of 1%
The Continental Small Company Series..................................... .10 of 1%
The DFA International Value Series....................................... .20 of 1%
The Emerging Markets Series.............................................. .10 of 1%
The Emerging Markets Small Cap Series.................................... .20 of 1%
The DFA One-Year Fixed Income Series..................................... .05 of 1%
The DFA Two-Year Corporate Fixed Income Series........................... .15 of 1%
The DFA Two-Year Government Series....................................... .15 of 1%
The DFA Two-Year Global Fixed Income Series.............................. .05 of 1%
</TABLE>
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
D. PURCHASE AND SALES OF SECURITIES:
For the six months ended May 31, 1997, 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.......................... -- -- $ 80,466 $ 53,952
The U.S. Large Company Series............................... -- -- 115,460 9,362
The Enhanced U.S. Large Company Series...................... -- -- 18,916 17,554
The U.S. Small Cap Value Series............................. -- -- 412,386 172,129
The U.S. Large Cap Value Series............................. -- -- 203,014 94,065
The Japanese Small Company Series........................... -- -- 24,215 23,085
The Pacific Rim Small Company Series........................ -- -- 25,414 19,150
The United Kingdom Small Company Series..................... -- -- 3,515 13,417
The Continental Small Company Series........................ -- -- 6,976 21,352
The DFA International Value Series.......................... -- -- 213,077 125,282
The Emerging Markets Series................................. -- -- 39,931 834
The Emerging Markets Small Cap Series....................... -- -- 25,316 68
The DFA One-Year Fixed Income Series........................ $ 90,123 $ 99,795 176,619 120,263
The DFA Two-Year Corporate Fixed Income Series.............. 45,863 40,935 41,112 29,636
The DFA Two-Year Government Series.......................... 86,750 79,916 -- --
The DFA Two-Year Global Fixed Income Series................. 7,734 7,677 301,138 238,376
</TABLE>
233
<PAGE>
E. INVESTMENT TRANSACTIONS:
At May 31, 1997, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of futures, swap contracts,
investment securities and foreign currencies for each Series were as follows:
<TABLE>
<CAPTION>
GROSS GROSS
UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION NET
-------------- -------------- ---------
(000) (000) (000)
<S> <C> <C> <C>
The U.S. 6-10 Small Company Series......................... $ 86,106 $ (27,514) $ 58,592
The U.S. Large Company Series.............................. 216,691 (4,468) 212,223
The Enhanced U.S. Large Company Series..................... 1,332 (248) 1,084
The U.S. Small Cap Value Series............................ 393,680 (96,931) 296,749
The U.S. Large Cap Value Series............................ 230,438 (11,460) 218,978
The Japanese Small Company Series.......................... 6,932 (99,605) 92,673
The Pacific Rim Small Company Series....................... 60,971 (29,033) 31,938
The United Kingdom Small Company Series.................... 65,766 (33,584) 32,182
The Continental Small Company Series....................... 101,136 (47,980) 53,156
The DFA International Value Series......................... 240,798 (116,305) 124,493
The Emerging Markets Series................................ 45,180 (25,913) 19,267
The Emerging Markets Small Cap Series...................... 3,207 (3,020) 187
The DFA One-Year Fixed Income Series....................... 1,101 (333) 768
The DFA Two-Year Corporate Fixed Income Series............. 191 (123) 68
The DFA Two-Year Government Series......................... 57 (188) (131)
The DFA Two-Year Global Fixed Income Series................ -- (4,676) (4,676)
</TABLE>
At November 30, 1996, The DFA One-Year Fixed Income Series had a capital
loss carryover for federal income tax purposes of approximately $3,032,000 of
which $2,705,000 and $327,000 expire on November 30, 2003 and 2004,
respectively.
F. COMPONENTS OF NET ASSETS:
<TABLE>
<CAPTION>
AT MAY 31, 1997 NET ASSETS CONSIST OF:
-------------------------------------------------------------------------------------------------------
(AMOUNTS IN THOUSANDS)
UNREALIZED
APPRECIATION
(DEPRECIATION)
OF
UNDISTRIBUTED FUTURES, SWAP
UNDISTRIBUTED NET REALIZED CONTRACTS, UNREALIZED
NET UNDISTRIBUTED FOREIGN INVESTMENT NET FOREIGN
PAID-IN INVESTMENT NET REALIZED EXCHANGE SECURITIES AND EXCHANGE TOTAL NET
CAPITAL INCOME GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY GAIN (LOSS) ASSETS
---------- ------------- ------------- ------------- ---------------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
The U.S. 6-10 Small
Company Series $ 245,996 $ 1,290 $10,344 -- $ 58,592 -- $ 316,222
The Enhanced U.S. Large
Company Series.......... 22,898 125 1,434 $ 405 1,084 $ 72 26,018
The U.S. Small Cap Value
Series.................. 1,287,365 5,898 79,070 -- 296,749 -- 1,669,082
The U.S. Large Cap Value
Series.................. 971,066 6,064 35,686 -- 218,978 -- 1,231,794
The DFA International
Value Series............ 1,358,768 11,580 16,917 (1,204) 124,493 (109) 1,510,445
The DFA One-Year Fixed
Income Series........... 762,097 3,780 (2,632) -- 768 -- 764,013
The DFA Two-Year
Corporate Fixed Income
Series.................. 136,269 1,946 197 -- 68 -- 138,480
The DFA Two-Year Global
Fixed Income Series..... 352,054 2,170 858 9,973 (4,676) 1,160 361,539
</TABLE>
234
<PAGE>
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' Investment Objectives and Policies, the
Series may invest in certain financial instruments which have off-balance sheet
risk and concentrations of credit risk. These instruments and their significant
corresponding risks are described below:
1. REPURCHASE AGREEMENTS. The Series may purchase money market instruments
subject to the seller's agreement to repurchase them at an agreed upon date and
price. The seller will be required on a daily basis to maintain the value of the
collateral subject to the agreement at not less than the repurchase price
(including accrued interest). The agreements are conditioned upon the collateral
being deposited under the Federal Reserve book-entry system or with the Trust's
custodian or a third party sub-custodian. All open repurchase agreements were
entered into on May 30, 1997.
2. FORWARD CURRENCY CONTRACTS: The Enhanced U.S. Large Company Series and
The DFA Two-Year Global Fixed Income Series may enter into forward foreign
currency contracts to hedge against adverse changes in the relationship of the
U.S. dollar to foreign currencies. At May 31, 1997, The Enhanced U.S. Large
Company and The DFA Two-Year Global Fixed Income Series had entered into the
following contracts and the related net unrealized foreign exchange gain is
reflected in the accompanying financial statements:
THE ENHANCED U.S. LARGE COMPANY SERIES
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION VALUE AT EXCHANGE GAIN
DATE CURRENCY SOLD CONTRACT AMOUNT MAY 31, 1997 (LOSS)
- ---------- ----------------------------------------- ---------------- ---------------- -------------
<C> <C> <S> <C> <C> <C>
06/27/97 3,166,872 Netherlands Guilder $ 1,665,253 $ 1,651,132 $ 14,121
06/23/97 9,848,906 Canadian Dollar 7,171,390 7,132,237 39,153
06/23/97 477,949 Canadian Dollar 345,609 346,114 (505)
06/27/97 2,280,952 German Marks 1,349,132 1,334,671 14,461
06/27/97 521,826 Australian Dollar 406,466 397,946 8,520
---------------- ---------------- -------------
$ 10,937,850 $ 10,862,100 $ 75,750
---------------- ---------------- -------------
---------------- ---------------- -------------
</TABLE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION VALUE AT EXCHANGE GAIN
DATE CURRENCY SOLD CONTRACT AMOUNT MAY 31, 1997 (LOSS)
- ---------- ----------------------------------------- ---------------- ---------------- -------------
<C> <C> <S> <C> <C> <C>
06/09/97 28,884,588 British Pound Sterling $ 46,697,871 $ 47,139,648 $ (441,777)
06/16/97 43,835,748 Netherlands Guilder 22,929,072 22,854,926 74,146
06/20/97 98,142,550 German Marks 57,960,378 57,426,887 533,491
06/20/97 56,595,527 French Francs 9,938,601 9,805,185 133,416
06/23/97 140,131,851 Canadian Dollar 102,074,118 101,478,638 595,480
06/27/97 15,086,850 Australian Dollar 11,755,162 11,505,262 249,900
06/23/97 5,469,176 Canadian Dollar 3,957,225 3,960,588 (3,363)
06/20/97 3,028,680 German Marks 1,773,533 1,772,194 1,339
---------------- ---------------- -------------
$ 257,085,960 $ 255,943,328 $ 1,142,632
---------------- ---------------- -------------
---------------- ---------------- -------------
</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 Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed
Income Series will enter into forward contracts only for hedging purposes.
3. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain consideration and risks not typically associated with investments in the
United States, including the possibility of future political and economic
235
<PAGE>
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
4. FUTURES CONTRACTS. During the six months ended May 31, 1997, The
Enhanced U.S. Large Company Series ("Enhanced") entered into futures contracts
in accordance with its investment objectives. Upon entering into a futures
contract, the Enhanced deposits cash or pledges U.S. Government securities to a
broker, equal to the minimum "initial margin" requirements of the exchange on
which the contract is traded. Subsequent payments are received from or paid to
the broker each day, based on the daily fluctuation in the market value of the
contract. These receipts or payments are known as "variation margin" and are
recorded daily by Enhanced as unrealized gains or losses until the contracts are
closed. When the contracts are closed, Enhanced records a realized gain or loss
equal to the difference between the value of the contract at the time it was
opened and the value at the time it was closed.
At May 31, 1997, Enhanced had outstanding 53 long futures contracts on the
S&P 500 Index all of which expire June 20, 1997. The value of such contracts on
May 31, 1997 was $22,540,900 which resulted in an unrealized gain of $1,056,175.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities and from the possibility of an illiquid secondary market for these
instruments.
5. EQUITY INDEX SWAPS - Enhanced may enter into equity index swaps in
accordance with its investment objectives. A swap agreement obligates two
parties to exchange returns realized on a notional amount agreed upon by both
parties. The obligations of the parties are calculated on a net basis based on
the daily fluctuations in the indices on which the contract is based. The daily
net fluctuation is recorded as unrealized gains or losses by Enhanced. At the
termination of the agreement, Enhanced will receive from or pay to the counter
party, the accumulated net unrealized gain or loss, which will then be recorded
as realized.
At May 31, 1997, Enhanced had an outstanding equity index swap with Morgan
Stanley dated January 15, 1997 (which represents approximately 12% of the net
assets of Enhanced), terminating on July 15, 1997. The notional value of the
swap was $3,056,369 and Enhanced had recorded net unrealized appreciation of
$276,088 consisting of $64,095 owed to Morgan Stanley and $340,183 owed to
Enhanced. Payments made by Enhanced are based on the London Interbank Offered
Rate (LIBOR) plus 0.10% per annum calculated on the original notional amount
plus accumulated interest added on the monthly LIBOR reset date. Payments
received by Enhanced are based on the daily value of the S&P 500 Index plus
accumulated dividends as expressed in Index points calculated on the original
notional amount.
Risks may arise upon entering into equity index swaps in the event of the
default or bankruptcy of a swap agreement counter party.
H. LINE OF CREDIT
In July, 1996, the Trust, together with other DFA-advised portfolios,
entered into a $50 million unsecured line of credit with its domestic custodian
bank. Each portfolio is permitted to borrow, subject to its investment
limitations, up to a maximum of $50 million. Borrowings under the line are
charged interest at the current overnight federal funds rate plus a variable
rate determined at the date of borrowing. Each portfolio is individually and not
jointly liable for its particular advances under the line. There is no
commitment fee on the unused portion of the line of credit. For the six months
ended May 31, 1997 borrowings under the line were as follows:
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED NUMBER OF INTEREST
AVERAGE AVERAGE DAYS EXPENSE
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED
------------- ------------ ----------- -------
<S> <C> <C> <C> <C>
The U.S. 6-10 Small Company Series...... 5.75% $3,292,000 1 $ 526
The U.S. Large Company Series........... 5.99% 1,546,675 8 3,091
</TABLE>
There were no outstanding borrowings under the line of credit at May 31,
1997.
236
<PAGE>
I. SECURITIES LENDING:
Domestic security loans are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on loan.
International security loans are required at all times to be secured by
collateral at least equal to 105% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the Series or, at the opinion of
the lending agent, replace the loaned securities. The market value of securities
on loan to brokers and the related collateral cash received at May 31, 1997, is
as follows:
<TABLE>
<CAPTION>
VALUE OF VALUE OF
SECURITIES ON LOAN COLLATERAL
------------------- ----------------
<S> <C> <C>
Domestic Equity Portfolios
The U.S. 6-10 Small Company Series..................................................... $ 13,186,667 $ 14,885,487
The U.S. Large Company Series.......................................................... 54,603,798 55,741,289
The U.S. Small Cap Value Series........................................................ 35,239,265 40,559,883
The U.S. Large Cap Value Series........................................................ 44,839,181 46,549,650
International Equity Portfolios
The Japanese Small Company Series...................................................... 55,642,002 59,049,290
The Pacific Rim Small Company Series................................................... 18,511,817 20,218,172
The Continental Small Company Series................................................... 15,537,683 16,489,079
The DFA International Value Series..................................................... 210,542,895 223,780,531
</TABLE>
237
